Assets pledged as collateral for liabilities and transferred financial assets

Receivables covered by securitization of lease receivables

As at 31 December 2017, receivables covered by the securitization of lease receivables amounted to PLN 1,381 million. They are pledged as collateral for liabilities in respect of debt securities issued by the special vehicle ROOF Poland Leasing 2014 DAC. Securitized lease receivables are presented as the Group’s assets because they do not meet the derecognition criteria. In particular, the Group is not obliged to pay any amounts to final recipients until it has received the corresponding amounts from lessees. In addition, the criterion of an immediate transfer of cash flows from the securitized assets is not met. In the period from launching securitization in December 2014 to 31 December 2017, the Group was able to sell lease receivables not yet due as at the date of their sale, up to PLN 1,475 million when lease receivables had been repaid. In addition, the Group settles its liabilities to buyers of securities on a quarterly basis, while the typical settlement period for securitized lease agreements is one month.

Liabilities in respect of repurchase transactions

Financial assets which the Group does not derecognize include assets pledged as collateral for liabilities in respect of repurchase transactions (Treasury bonds).

CARRYING AMOUNT31.12.201731.12.2016
   
Debt securities48182
Repurchase agreements48206
   
Net balance-(24)

 

Liabilities from the negative valuation of derivative instruments

Cash deposits with banks include assets held as collateral for own liabilities, including settlements relating to the negative valuation of derivative instruments. As at 31 December 2017, such assets amounted to PLN 558 million (PLN 1 525 million as at 31 December 2016).

Preliminary settlement deposit of the National Depository for Securities (KDPW)

The Brokerage House of PKO Bank Polski SA holds bonds in the National Depository for Securities as collateral for the settlement of transactions with the Clearing House.

CARRYING AMOUNT / FAIR VALUE31.12.201731.12.2016
Value of deposit108
Nominal value of the collateral108
Type of collateralTreasury bondsTreasury bonds
Carrying amount of the collateral108

   

Bank Deposit Guarantee Fund

 31.12.201731.12.2016
   
Value of the fund1 1331 005
Nominal value of the collateral1 2001 060
Type of collateralTreasury bondsTreasury bonds
Maturity25.01.202425.01.2024
Carrying amount of the collateral1 1931 021

   

Assets include Treasury bonds with maturities sufficient to secure their carrying amount over the period defined by the Act. The Fund is increased or decreased on 1 July of each year, in proportion to the amount representing the basis for calculating the mandatory reserve deposits. These assets are treated as assets pledged as collateral for own liabilities.

Funds securing liabilities in respect of contributions to the Bank Guarantee Fund (BGF)

 31.12.2017
  
Contributions in the form of payment obligations120
Nominal value of assets in which funds corresponding to payment obligations are invested175
Type of collateralTreasury bonds
Maturity 25/01/2024
Carrying amount of the collateral174
 

Since 2017, the value of contributions in the form of payment commitments represents 30% of the contributions to the Bank Guarantee Fund (“the BGF”) for the Deposit Guarantee Fund or the Bank Resolution Fund. Assets securing payment commitments include Treasury bonds pledged for BGF in an amount which ensures maintaining the ratio of the value of property rights securing payment commitments to the amount of payment commitments of no less than 110%. For the purposes of establishing the minimum ratio of assets to the amount of payment commitment, the value of property rights securing payment commitments is determined at the amount specified based on the last fixing rate of the day in the electronic market for Treasury securities organized by the minister responsible for budgetary matters, plus interest due as at the valuation date, unless interest has already been included in the fixing rate.

Such assets funds are treated as assets pledged as collateral for own liabilities, they cannot be pledged or encumbered in any way, are excluded from judicial or administrative enforcement proceedings and do not form

part of the estate in bankruptcy. The amount of funds securing payment commitments relating to contributions to the BGF will be increased on the payment dates of contributions to the Deposit Guarantee Fund (quarterly) and the Bank Resolution Fund (in the third quarter of a given year) representing not more than 30% of the contribution established by the BGF. The amount of these funds may decrease if the Bank is called by the BGF to transfer in cash the amount corresponding to the value of payment commitments.

Legal limitations relating to the Group’s title

In the years ended 31 December 2017 and 31 December 2016, respectively, there were no intangible assets or property, plant and equipment items to which the Group’s legal title would be limited and pledged as collateral for the Bank’s liabilities.

Transferred financial assets

As at 31 December 2017 and 31 December 2016, the Group had no transferred financial assets fully derecognized in respect of which the Group maintains an exposure.