Pekao hedges its exposure to interest rate risk associated with the volatility of market reference rates (WIBOR, EURIBOR) and its exposure to currency risk generated by loan portfolios and lease receivables with a variable interest rate denominated in EUR and deposits in Polish zloty, which economically constitute a long-term liability with a variable interest rate (the connection extended by current and future flows arising from loans and lease receivables with a variable interest rate in EUR) using currency interest rate swaps (basis swaps). CIRS transactions are decomposed into a component hedging the asset portfolio and a component hedging the liability portfolio.
In 2022, Pekao dissolved a hedging relationship in which basis swaps hedged a portfolio of CHF floating-rate loans and a portfolio of PLN deposits economically representing a long-term floating-rate liability. The impact of discontinuing hedge accounting for this relationship on the consolidated profit and loss account was PLN 38 million.
| Currency | 31 December 2022 Maturity |
31 December 2021 Maturity |
|||||||||
| Up to 3 months | Over 3 months up to 1 year | Over 1 year to 5 years | Over 5 years | Total | Up to 3 months | Over 3 months up to 1 year | Over 1 year to 5 years | Over 5 years | Total | ||
| Par value | CHF/PLN | – | – | – | – | – | – | 222 | 1,748 | 445 | 2,415 |
| Par value | EUR/PLN | 455 | 793 | – | – | 1,248 | 285 | 345 | 1,223 | – | 1,853 |
| Impact of the hedge relationship on the statement of financial position and the financial result | 31 December 2022 | 31 December 2021 |
|---|---|---|
| Hedging instruments | ||
| Par value | 1,248 | 4,268 |
| Carrying amount – assets | – | – |
| Carrying amount – liabilities | 68 | 690 |
| Change in the fair value of the hedging instrument, on the basis of which hedge inefficiency is estimated | (4) | 5 |
| Profit or loss arising out of net position hedge, captured in a separate line item of other comprehensive income | – | – |
| Hedge inefficiency amount recognized in the profit and loss account | – | 1 |
| Amount transferred from cash flow hedge accounting capital to the profit and loss account as reclassification adjustment | – | – |
| Hedged items | ||
| Amount equal to the change in the fair value of a hypothetical derivative representing the hedged item, which forms the basis for estimating hedge inefficiency in the period | 4 | (11) |
| Balance of the hedge accounting capital item for relations, for which hedge accounting will be continued after the end of the reporting period | (27) | (35) |
| Balance remaining in the hedge accounting capital item for those relations, to which hedge accounting is no longer applied | – | – |