PZU hedges foreign currency cash flows generated by the portfolios of fixed-rate bonds denominated in EUR, USD or GBP using cross-currency interest rate swaps (CIRS). This way it hedges the foreign exchange risk component associated with the volatility of exchange rates.
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 | – | – | 1,002 | 204 | 1,206 | – | – | 734 | 373 | 1,107 |
Average rate | – | – | 4.3 | 4.3 | 4.3 | – | – | 4.3 | 4.3 | 4.3 | |
Par value | USD/PLN | – | – | 438 | – | 438 | – | – | 445 | – | 445 |
Average rate | – | – | 3.8 | – | 3.8 | – | – | 3.8 | – | 3.8 | |
Par value | GBP/PLN | – | 16 | 358 | 191 | 565 | – | – | 350 | 211 | 561 |
Average rate | – | 4.8 | 5.0 | 5.0 | 5.0 | – | – | 5.0 | 5.0 | 5.0 |
Impact of the hedge relationship on the statement of financial position and the financial result | 31 December 2022 | 31 December 2021 |
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Hedging instruments | ||
Par value | 2,209 | 2,113 |
Carrying amount – assets | – | – |
Carrying amount – liabilities | 319 | 332 |
Change in the fair value of the hedging instrument, on the basis of which hedge inefficiency is estimated | 13 | (296) |
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 | (29) | (70) |
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 | (13) | 296 |
Balance of the hedge accounting capital item for relations, for which hedge accounting will be continued after the end of the reporting period | (127) | (169) |
Balance remaining in the hedge accounting capital item for those relations, to which hedge accounting is no longer applied | – | – |