Pekao hedges its exposure to interest rate risk associated with the volatility of market reference rates (EURIBOR, USD LIBOR) and its exposure to currency risk generated by portfolios of variable interest rate loans denominated in the Euro and term and negotiated deposits in the American dollar, which are economically equivalent to long-term variable interest rate liabilities, by using FX swaps.
| 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 | EUR/PLN | 703 | 469 | – | – | 1,172 | 6,569 | 2,690 | – | – | 9,259 |
| Average rate | 4.9 | 4.8 | – | – | 4.9 | 4.6 | 4.7 | – | – | 4.6 | |
| Par value | EUR/USD | 938 | 235 | – | – | 1,173 | 235 | 207 | – | – | 442 |
| Average rate | 1.1 | 1.1 | – | – | 1.1 | 1.1 | 1.1 | – | – | 1.1 | |
| Par value | USD/PLN | – | – | – | – | – | – | 102 | – | – | 102 |
| Average rate | – | – | – | – | – | – | 3.7 | – | – | 3.7 | |
| 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 | 2,345 | 9,803 |
| Carrying amount – assets | 48 | 63 |
| Carrying amount – liabilities | 1 | 31 |
| Change in the fair value of the hedging instrument, on the basis of which hedge inefficiency is estimated | 9 | (13) |
| 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 | – | – |
| 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 | (9) | 13 |
| Balance of the hedge accounting capital item for relations, for which hedge accounting will be continued after the end of the reporting period | (3) | (12) |
| Balance remaining in the hedge accounting capital item for those relations, to which hedge accounting is no longer applied | – | – |