The allowance for expected credit losses is recognized in the financial statements in the following manner:
With regard to impairment, the Group applies the concept of expected losses.
The impairment model is applicable to financial assets that are not measured at fair value through profit or loss, comprising:
Expected credit losses are not recognized for equity instruments.
Impairment allowances for exposure reflect 12-month or lifetime expected credit losses on such exposures for a given financial asset.
The time horizon of an expected loss depends on whether a significant increase in credit risk occurred since the moment of initial recognition. Based on this criterion, financial assets are allocated to 3 stages:
Exposures in which the credit risk is not significantly higher than upon initial recognition and no evidence of impairment is found;
Exposures in which the credit risk is significantly higher than upon initial recognition, but no evidence of impairment is found;
Assets in respect of which evidence of impairment is recognized, including assets granted or purchased with evidence of impairment recognized (upon being granted or purchased).
A significant increase in credit risk is verified according to the likelihood of default and its changes with respect to the date of originating the loan.
The Group uses a model based on a marginal PD calculation, i.e. the probability of default in a given month, to assess a material increase in credit risk for mortgage exposures and other retail exposures. This probability depends on the time that has passed from originating the exposure. This enables reflecting the differences in credit quality that are typical of exposures to individuals over the lifetime of the exposure. The marginal PD curves were determined on the basis of historic data at the level of homogeneous portfolios, which are separated according to the type of product, the year of their origination, the loan currency and the credit quality at the time of origination. The marginal PD is attributed to individual exposures by scaling the curve at the level of the portfolio to the individual assessment of the exposure / customer using application models (using data from loan applications) and behavioural models. The Group identifies the premise of a material increase in credit risk for a given exposure by comparing individual PD curves over the exposure horizon as at the date of initial recognition and as at the reporting date. Only the parts of the original and current PD curves which correspond to the period from the reporting date to the date of maturity of the exposure are compared as at each reporting date. The comparison is based on the average probability of default over the life of the loan in the period under review adjusted for current and forecast macroeconomic indicators.
The result of this comparison, referred to as statistic α,, is referred to the threshold value above which an increase in credit risk is considered material. The threshold value is determined on the basis of the historical relationship between the values of the statistic α, and the default arising. In this process the following probabilities are minimized:
According to data that is applicable at the end of 2019, an increase in the PD parameter by at least 2.6 compared to the value at the time of its recognition in the Group’s accounts in respect of mortgage exposures and an increase by at least 2.5 in respect of other retail exposures constitutes a premise of a significant deterioration in credit quality (unchanged compared to end of 2018).
With respect to credit exposures for which the current risk of default does not exceed the level provided for in the price of the loan, the results of the comparison of the probability of default curves as at the date of initial recognition and as at the reporting date do not signify a material increase in credit risk.
The Group uses a model based on Markov chains to assess material increases in credit risk for institutional customers. Historical data is used to build matrices of probabilities of customers migrating between individual classes of risk that are determined on the basis of the Group’s rating and scoring models. These migrations are determined within homogeneous portfolios, classified using, inter alia, customer and customer segment assessment methodologies.
An individual highest acceptable value of the probability of default is set for each class of risk and portfolio on the date of the initial recognition of the credit exposure, which, if exceeded, is identified as a material increase in credit risk. This value is set on the basis of the average probability of default for classes of risk worse than that at initial recognition of the exposure, weighted by the probability of transition to those classes of risk in the given time horizon.
In accordance with the data as at the end of 2019 and 2018, the minimum deterioration in the class of risk which constitutes a premise of a material improvement of the credit presented compared to the current class of risk were as follows:
Risk category | PD range | the minimum range of the risk category deterioration indicating a significant increase in credit risk* |
---|---|---|
A-B | 0.0-0.90% | 3 categories |
C | 0.90-1.78% | 3 categories |
D | 1.78-3.55% | 2 categories |
E | 3.55-7.07% | 1 category |
F | 7.07-14.07% | 1 category |
G | 14.07-99.99% | not applicable** |
The Group uses all available qualitative and quantitative information to identify the remaining premises of a material increase in credit risk, including:
The premise for the impairment of a credit exposure is, in particular:
In accordance with the Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (“CRR”), the Group defines a state of default if it assesses that the debtor is unable to repay the loan liability without resorting to exercising the collateral or if the exposure is overdue more than 90 days. The premises of default are identical to the premises for impairment of the exposure.
The model for the calculation of the expected credit loss is based on applying detailed segmentation to the credit portfolio, taking into account the following characteristics at product and customer level:
The Group calculates expected credit losses on an individual and on a portfolio basis.
The individual basis is used in respect of individually significant exposures. The expected credit loss from the exposure is determined as the difference between its gross carrying amount (in the case of an off-balance sheet credit exposure – the value of its balance sheet equivalent) and the present value of the expected future cash flows, established by taking into account the possible scenarios regarding the performance of the contract and the management of credit exposure, weighted by the probability of their realization.
The portfolio method is applied to exposures that are not individually significant and in in the event of a failure to identify premises of impairment.
In the portfolio method, the expected loss is calculated as the product of the credit risk parameters: the probability of default (PD), the loss given default (LGD) and the value of the exposure at default (EAD); each of these parameters assumes the form of a vector representing the number of months covering the horizon of estimation of the credit loss.
The Group sets this horizon for retail exposures without a repayment schedule on the basis of behavioural data from historical observations. The loss expected both in the entire duration of the exposure and in a period of 12 months is the sum of expected losses in the individual periods discounted using the effective interest rate. The Group adjusts the parameter specifying the level of exposure at the time of default by the future repayments arising from the schedule and potential overpayments and underpayments to specify the value of the asset at the time of default in a given period.
The calculation of expected credit losses encompasses estimates of future macroeconomic conditions. In terms of portfolio analysis, the impact of macroeconomic scenarios is taken into account in the amount of the individual risk parameters. The methodology for calculating the risk parameters includes the study of the dependencies of these parameters on the macroeconomic conditions based on historical data. Three macroeconomic scenarios based on the Bank’s own forecasts are used for calculating the expected loss – a baseline forecast with a probability of 80% and two alternative scenarios, each with a probability of 10%. The scope of the forecast indicators includes the GDP growth index, the rate of unemployment, the WIBOR 3M rate, the LIBOR CHF 3M rate, the CHF/PLN exchange rate, the property price index and the NBP reference rate. The final expected loss is the weighted average probability of scenarios from expected losses corresponding to individual scenarios. The Group assures compliance of the macroeconomic scenarios used for the calculation of the risk parameters with macroeconomic scenarios used for the credit risk budgeting processes. The baseline scenario uses the base macroeconomic forecasts. The forecasts are prepared on the basis of the quantitative models, taking into account adjustments for the presence of one-off events.
The extreme scenarios apply to cases of so-called internal shock, as a result of which the so-called external variables (foreign interest rates) do not change with respect to the baseline scenario. The extreme scenarios are developed on the basis of a statistical and econometric analysis, i.e. they do not reflect the events described, but the forecast path. Two scenarios are identified, optimistic and pessimistic. The share of the scenarios for the GDP path that falls between the optimistic and the pessimistic scenario is referred to as the probability of the baseline scenario. Such an assumption is used to forecast GDP growth, using a potential rate of growth of the Polish economy that varies over time, calculated with the use of quarterly data provided by the Central Statistical Office. The values of other macroeconomic variables used in the scenarios (rate of unemployment, property price index) are estimated after the extreme paths of GDP growth are defined.
The rate of unemployment is calculated on the basis of the quantified dependence on the difference between GDP growth and the potential rate of economic growth. The result is adjusted for significant structural changes taking place in the Polish economy, which are not encompassed by the quantitative model, in particular:
The level of the property price index is set on the basis of changes in GDP, taking into account the conditions of supply and demand on the market based on the data and trends presented by the NBP in the publication “Information on housing prices and the situation on the residential and commercial property market in Poland” and the Group’s own analyses. The forecasts of WIBOR and LIBOR deposit rates are mainly prepared on the basis of assumptions regarding central bank interest rates. The CHF/PLN exchange rate is a cross rate of the EUR/PLN and EUR/CHF exchange rates. Its forecasts are a combination of the forecasts for these two rates. The EUR/PLN and EUR/CHF forecasts are prepared on the basis of a macroeconomic analysis (current and historical) based on econometric methods, as well as on a technical analysis of the financial markets.
Both the process of assessing a material increase in credit risk and the process of calculating the expected loss are conducted monthly at the level of individual exposures. They use a dedicated computing environment that allows for the distribution of the results to the Group’s internal units.
The Group has separated the portfolio of financial assets with low credit risk by classifying credit exposures for which the average long-term default rate does not exceed the probability of default specified by the rating agency for the worst class investment rating. This portfolio includes, in particular, credit exposures to banks, governments, local government entities and housing cooperatives and communities.
AGGREGATE INFORMATION ON FINANCIAL ASSETS BY STAGE OF IMPAIRMENT (excluding adjustments relating to fair value hedge accounting) |
31.12.2019 | 31.12.2018 | ||||
---|---|---|---|---|---|---|
Gross amount | Allowances for expected credit losses | Net amount | Gross amount | Allowances for expected credit losses |
Net amount | |
Measured at fair value through other comprehensive income | ||||||
Securities | 63 812 | (5) | 63 807 | 52 568 | (10) | 52 558 |
Stage 1 | 63 290 | – | 63 290 | 51 709 | – | 51 709 |
Stage 2 | 59 | – | 59 | 388 | – | 388 |
Stage 3 | 463 | (5) | 458 | 471 | (10) | 461 |
Loans and advances to customers | 1 | (1) | – | – | – | – |
Stage 3 | – | – | – | – | – | – |
Total | 63 813 | (6) | 63 807 | 52 568 | (10) | 52 558 |
Measured at amortized cost | ||||||
Amounts due from banks | 4 093 | (1) | 4 092 | 7 662 | (1) | 7 661 |
Stage 1 | 4 093 | (1) | 4 092 | 7 662 | (1) | 7 661 |
Securities | 13 474 | (20) | 13 454 | 8 499 | (26) | 8 473 |
Stage 1 | 13 450 | (16) | 13 434 | 8 437 | (15) | 8 422 |
Stage 2 | 20 | – | 20 | 59 | (8) | 51 |
Stage 3 | 4 | (4) | – | 3 | (3) | – |
Loans and advances to customers | 230 365 | (7 221) | 223 144 | 222 009 | (8 204) | 213 805 |
Stage 1 | 205 817 | (619) | 205 198 | 194 391 | (566) | 193 825 |
Stage 2 | 14 823 | (1 142) | 13 681 | 16 168 | (1 249) | 14 919 |
Stage 3 | 9 725 | (5 460) | 4 265 | 11 450 | (6 389) | 5 061 |
Other financial assets | 2 716 | (92) | 2 624 | 2 922 | (97) | 2 825 |
Stage 1 | 2 624 | – | 2 624 | 2 825 | – | 2 825 |
Stage 3 | 92 | (92) | – | 97 | (97) | – |
Total | 250 648 | (7 334) | 243 314 | 241 092 | (8 328) | 232 764 |
Financial assets by stage of impairment | ||||||
Stage 1 | 289 274 | (636) | 288 638 | 265 024 | (582) | 264 442 |
Stage 2 | 14 902 | (1 142) | 13 760 | 16 615 | (1 257) | 15 358 |
Stage 3 | 10 285 | (5 562) | 4 723 | 12 021 | (6 499) | 5 522 |
Total | 314 461 | (7 340) | 307 121 | 293 660 | (8 338) | 285 322 |
BY MEASUREMENT MODEL (excluding adjustments relating to fair value hedge accounting) 31.12.2019 |
Gross amount (stage 1) |
Allowances for expected credit losses (stage 1) |
Gross amount (stage 2) |
Allowances for expected credit losses (stage 2) |
Gross amount (stage 3) |
Allowances for expected credit losses (stage 3) |
Measured at fair value through other comprehensive income | ||||||
securities | 63 290 | – | 59 | – | 463 | (5) |
NBP money market bills | 1 000 | – | – | – | – | – |
Treasury bonds | 54 061 | – | – | – | – | – |
other | 8 229 | – | 59 | – | 463 | (5) |
bank loans | – | – | – | – | 1 | (1) |
consumer | – | – | – | – | 1 | (1) |
Total | 63 290 | – | 59 | – | 464 | (6) |
of which: purchased or originated credit-impaired financial assets – POCI | – | – | – | – | 464 | (6) |
Measured at amortized cost | ||||||
amounts due from banks | 4 093 | (1) | – | – | – | – |
securities | 13 450 | (16) | 20 | – | 4 | (4) |
Treasury bonds | 7 467 | (1) | – | – | – | – |
other | 5 983 | (15) | 20 | – | 4 | (4) |
loans and advances to customers | 205 817 | (619) | 14 823 | (1 142) | 9 725 | (5 460) |
bank loans | 191 147 | (584) | 12 446 | (1 072) | 8 903 | (5 101) |
housing | 112 528 | (55) | 5 806 | (527) | 2 110 | (1 384) |
business | 58 701 | (365) | 4 918 | (314) | 5 557 | (2 892) |
consumer | 19 918 | (164) | 1 722 | (231) | 1 236 | (825) |
receivables in respect of repurchase agreements | 1 081 | – | – | – | – | – |
finance lease receivables | 13 589 | (35) | 2 377 | (70) | 822 | (359) |
other financial assets | 2 624 | – | – | – | 92 | (92) |
Total | 225 984 | (636) | 14 843 | (1 142) | 9 821 | (5 556) |
of which: purchased or originated credit-impaired financial assets – POCI | – | – | – | – | 386 | (66) |
Total | 289 274 | (636) | 14 902 | (1 142) | 10 285 | (5 562) |
BY MEASUREMENT MODEL (excluding adjustments relating to fair value hedge accounting) 31.12.2018 | Gross amount (stage 1) |
Allowances for expected credit losses (stage 1) |
Gross amount (stage 2) |
Allowances for expected credit losses (stage 2) |
Gross amount (stage 3) |
of which: impaired assets, gross |
Allowances for expected credit losses (stage 3) |
---|---|---|---|---|---|---|---|
Measured at fair value through other comprehensive income | |||||||
securities | 51 709 | – | 388 | – | 471 | 471 | (10) |
NBP money market bills | 2 900 | – | – | – | – | – | – |
Treasury bonds | 40 363 | – | – | – | – | – | – |
other | 8 446 | – | 388 | – | 471 | 471 | (10) |
Total | 51 709 | – | 388 | – | 471 | 471 | (10) |
of which: purchased or originated credit-impaired financial assets – POC | – | – | – | – | 471 | 471 | (10) |
Measured at amortized cost | |||||||
amounts due from banks | 7 662 | (1) | – | – | – | – | – |
securities | 8 437 | (15) | 59 | (8) | 3 | 3 | (3) |
Treasury bonds | 2 361 | (3) | – | – | – | – | – |
other | 6 076 | (12) | 59 | (8) | 3 | 3 | (3) |
oans and advances to customers | 194 391 | (566) | 16 168 | (1 249) | 11450 | 11 111 | (6 389) |
bank loans | 182 863 | (532) | 13 449 | (1 169) | 10 660 | 10 436 | (6 014) |
housing | 106 561 | (54) | 5 960 | (538) | 2 260 | 2 201 | (1 420) |
business | 52 638 | (318) | 5 703 | (320) | 6 569 | 6 406 | (3 354) |
consumer | 23 664 | (160) | 1 786 | (311) | 1 831 | 1 829 | (1 240) |
receivables in respect of repurchase agreements | 51 | – | – | – | – | – | |
finance lease receivables | 11 477 | (34) | 2 719 | (80) | 790 | 675 | (375) |
other financial assets | 2 825 | – | – | – | 97 | 97 | (97) |
Total | 213 315 | (582) | 16 227 | (1 257) | 11 550 | 11 211 | (6 489) |
of which: purchased or originated credit-impaired financial assets – POCI | – | – | – | – | 674 | 674 | (131) |
Total | 265 024 | (582) | 16 615 | (1 257) | 12 021 | 11 682 | (6 499) |
LOAN QUALITY RATIOS (excluding adjustments relating to fair value hedge accounting) |
31.12.2019 | 31.12.2018 |
---|---|---|
Share of impaired loans* | 4.1% | 4.9% |
Coverage ratio of impaired loans** | 74.4% | 74.0% |
Udział kredytów opóźnionych w spłacie powyżej 90 dni w stosunku do wartości brutto kredytów i pożyczek | 2.6% | 3.2% |
The total write-offs and sale of loan receivables in 2019 had an impact on the decrease in the share of impaired exposures of 0.6 p.p. (a decrease of 0.7 p.p. in the share of impaired exposures in 2018).
With regard to exposures which changed stages several times, the movement was presented as a transfer from the stage in which they were as at 1 January 2019 or upon their initial recognition to the impairment stage as at and 31 December 2019 (as at 1 January 2018 and 31 December 2018, respectively).
Securities measured at fair value through other comprehensive income | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 51 709 | 388 | 471 | 52 568 |
Transfer from stage 2 and 3 to stage 1 | 295 | (295) | – | – |
Transfer from stage 1 and 3 to stage 2 | (10) | 10 | – | – |
Transfer from stage 1 and 2 to stage 3 | – | (26) | 26 | – |
Changes on financial instruments originated or purchased | 217 981 | 22 | – | 218 003 |
Increase due to utilization of a limit or disbursement of tranches | 315 | – | – | 315 |
Decrease due to repayment | (209 656) | (22) | (11) | (209 689) |
Changes due to derecognition of financial instruments, including sale | (196) | (17) | – | (213) |
Change due to write-off | – | 3 | 3 | |
Other changes, including foreign exchange differences | 2 852 | (1) | (26) | 2 825 |
Carrying amount, gross, as at 31.12.2019 | 63 290 | 59 | 463 | 63 812 |
Securities measured at fair value through other comprehensive income | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 46 765 | – | 473 | 47 238 |
Transfer from stage 1 and 3 to stage 2 | (384) | 384 | – | – |
Changes on financial instruments originated or purchased | 268 776 | 2 | – | 268 778 |
Increase due to utilization of a limit or disbursement of tranches | 426 | – | – | 426 |
Decrease due to repayment | (266 385) | – | – | (266 385) |
Changes due to modification without derecognition | 101 | 2 | – | 103 |
Change due to write-off | (3) | – | – | (3) |
Other changes, including foreign exchange differences | 2 413 | – | (2) | 2 411 |
Carrying amount, gross, as at 31.12.2018 | 51 709 | 388 | 471 | 52 568 |
Securities measured at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 8 437 | 59 | 3 | 8 499 |
Transfer from stage 2 and 3 to stage 1 | 48 | (48) | – | – |
Transfer from stage 1 and 3 to stage 2 | (18) | 18 | – | – |
Changes on financial instruments originated or purchased | 12 400 | 8 | – | 12 408 |
Increase due to utilization of a limit or disbursement of tranches | 25 | – | – | 25 |
Decrease due to repayment | (8 053) | (8) | – | (8 061) |
Changes due to modification without derecognition | 1 | – | – | 1 |
Changes due to derecognition of financial instruments, including sale | (116) | (8) | – | (124) |
Other changes, including foreign exchange differences | 726 | (1) | 1 | 726 |
Carrying amount, gross, as at 31.12.2019 | 13 450 | 20 | 4 | 13 474 |
Securities measured at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 6 194 | – | 3 | 6 197 |
Transfer from stage 1 and 3 to stage 2 | (21) | 21 | – | – |
Changes on financial instruments originated or purchased | 2 995 | 38 | – | 3 033 |
Decrease due to repayment | (925) | – | – | (925) |
Other changes, including foreign exchange differences | 194 | – | – | 194 |
Carrying amount, gross, as at 31.12.2018 | 8 437 | 59 | 3 | 8 499 |
Amounts due from banks | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 7 662 | 7 662 | ||
Changes on financial instruments originated or purchased | 2 372 | – | – | 2 372 |
Increase due to utilization of a limit or disbursement of tranches | 40 | – | – | 40 |
Decrease due to repayment | (6 177) | – | – | (6 177) |
Changes due to derecognition of financial instruments, including sale | (8) | – | – | (8) |
Other changes, including foreign exchange differences | 204 | – | – | 204 |
Carrying amount, gross, as at 31.12.2019 | 4 093 | – | – | 4 093 |
Amounts due from banks | Stage 1 | Stage 2 | Stage 3 | Razem |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 5 233 | – | – | 5 233 |
Changes on financial instruments originated or purchased | 6 006 | – | – | 6 006 |
Increase due to utilization of a limit or disbursement of tranches | 831 | – | – | 831 |
Decrease due to repayment | (4 415) | – | – | (4 415) |
Other changes, including foreign exchange differences | 7 | – | – | 7 |
Carrying amount, gross, as at 31.12.2018 | 7 662 | – | – | 7 662 |
Housing loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 106 561 | 5 960 | 2 260 | 114 781 |
Transfer from stage 2 and 3 to stage 1 | 2 434 | (2 427) | (7) | – |
Transfer from stage 1 and 3 to stage 2 | (2 858) | 2 955 | (97) | – |
Transfer from stage 1 and 2 to stage 3 | (89) | (254) | 343 | – |
Changes on financial instruments originated or purchased | 7 034 | 24 | 3 | 7 061 |
Increase due to utilization of a limit or disbursement of tranches | 10 226 | 210 | 114 | 10,550 |
Decrease due to repayment | (11 898) | (1 492) | (208) | (13 598) |
Changes due to modification without derecognition | 78 | (1) | (3) | 74 |
Changes due to derecognition of financial instruments, including sale | (290) | (19) | (122) | (431) |
Change due to write-off | (12) | (189) | (201) | |
Other changes, including foreign exchange differences | 1 330 | 862 | 16 | 2 208 |
Carrying amount, gross, as at 31.12.2019 | 112 528 | 5 806 | 2 110 | 120 444 |
Housing loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Razem |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 100 206 | 5 016 | 3 616 | 108 838 |
Transfer from stage 2 and 3 to stage 1 | 1 253 | (1 233) | (20) | – |
Transfer from stage 1 and 3 to stage 2 | (1 846) | 2 134 | (288) | – |
Transfer from stage 1 and 2 to stage 3 | (641) | 280 | 361 | – |
Changes on financial instruments originated or purchased | 14 131 | 20 | 43 | 14 194 |
Increase due to utilization of a limit or disbursement of tranches | 3 779 | 67 | 121 | 3 967 |
Decrease due to repayment | (14 626) | (395) | (1 208) | (16 229) |
Changes due to modification without derecognition | 86 | (2) | (4) | 80 |
Changes due to derecognition of financial instruments, including sale | (605) | (21) | (334) | (960) |
Change due to write-off | – | (4) | (1 077) | (1 081) |
Other changes, including foreign exchange differences | 4 824 | 98 | 1 050 | 5 972 |
Carrying amount, gross, as at 31.12.2018 | 106 561 | 5 960 | 2 260 | 114 781 |
Corporate loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 52 638 | 5 703 | 6 569 | 64 910 |
Transfer from stage 2 and 3 to stage 1 | 1 024 | (1 009) | (15) | – |
Transfer from stage 1 and 3 to stage 2 | (1 548) | 1 658 | (110) | – |
Transfer from stage 1 and 2 to stage 3 | (263) | (342) | 605 | – |
Changes on financial instruments originated or purchased | 11 968 | 371 | 535 | 12 874 |
Increase due to utilization of a limit or disbursement of tranches | 11 229 | 446 | 295 | 11 970 |
Decrease due to repayment | (15 909) | (1 858) | (1 226) | (18 993) |
Changes due to modification without derecognition | 10 | 2 | (1) | 11 |
Changes due to derecognition of financial instruments, including sale | (580) | (49) | (388) | (1 017) |
Change due to write-off | – | (7) | (714) | (721) |
Other changes, including foreign exchange differences | 132 | 3 | 7 | 142 |
Carrying amount, gross, as at 31.12.2019 | 58 701 | 4 918 | 5 557 | 69 176 |
Corporate loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 47 757 | 5 870 | 7 857 | 61 484 |
Transfer from stage 2 and 3 to stage 1 | 1 370 | (1 322) | (48) | – |
Transfer from stage 1 and 3 to stage 2 | (2 269) | 2 411 | (142) | – |
Transfer from stage 1 and 2 to stage 3 | (266) | (303) | 569 | – |
Changes on financial instruments originated or purchased | 14 028 | 399 | 645 | 15 072 |
Increase due to utilization of a limit or disbursement of tranches | 13 809 | 242 | 817 | 14 868 |
Decrease due to repayment | (20 172) | (1 418) | (982) | (22 572) |
Changes due to modification without derecognition | (19) | (7) | 7 | (19) |
Changes due to derecognition of financial instruments, including sale | (1 127) | (58) | (369) | (1 554) |
Change due to write-off | – | (2) | (1 742) | (1 744) |
Other changes, including foreign exchange differences | (473) | (109) | (43) | (625) |
Carrying amount, gross, as at 31.12.2018 | 52 638 | 5 703 | 6 569 | 64 910 |
Consumer loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 23 664 | 1 786 | 1 831 | 27 281 |
Transfer from stage 2 and 3 to stage 1 | 233 | (225) | (8) | – |
Transfer from stage 1 and 3 to stage 2 | (886) | 910 | (24) | – |
Transfer from stage 1 and 2 to stage 3 | (288) | (169) | 457 | – |
Changes on financial instruments originated or purchased | 11 931 | 456 | 104 | 12 491 |
Increase due to utilization of a limit or disbursement of tranches | 1 572 | 97 | 122 | 1 791 |
Decrease due to repayment | (9 093) | (384) | (172) | (9 649) |
Changes due to modification without derecognition | (6) | (2) | (7) | (15) |
Changes due to derecognition of financial instruments, including sale | (161) | (66) | (126) | (353) |
Change due to write-off | – | (10) | (383) | (393) |
Redasification from measured at fair value through profit or loss | (7 296) | (835) | (822) | (8 953) |
Other changes, including foreign exchange differences | 248 | 164 | 264 | 676 |
Carrying amount, gross, as at 31.12.2019 | 19 918 | 1 722 | 1 236 | 22 876 |
Consumer loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 21 660 | 1,608 | 2 391 | 25 659 |
Transfer from stage 2 and 3 to stage 1 | 475 | (450) | (25) | – |
Transfer from stage 1 and 3 to stage 2 | (922) | 993 | (71) | – |
Transfer from stage 1 and 2 to stage 3 | (340) | (221) | 561 | – |
Changes on financial instruments originated or purchased | 9 167 | 297 | 116 | 9 580 |
Increase due to utilization of a limit or disbursement of tranches | 2 217 | 158 | 131 | 2 506 |
Decrease due to repayment | (8 005) | (416) | (215) | (8 636) |
Changes due to modification without derecognition | 10 | 2 | 1 | 13 |
Changes due to derecognition of financial instruments, including sale | (567) | (19) | (199) | (785) |
Change due to write-off | – | (3) | (827) | (830) |
Other changes, including foreign exchange differences | (31) | (163) | (32) | (226) |
Carrying amount, gross, as at 31.12.2018 | 23 664 | 1 786 | 1 831 | 27 281 |
Receivables in respect of repurchase agreements | Stage 1 | Stage 2 | Stage 3 | Razem |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 51 | – | – | 51 |
Changes on financial instruments originated or purchased | 1 085 | – | – | 1 085 |
Increase due to utilization of a limit or disbursement of tranches | (51) | – | – | (51) |
Other changes, including foreign exchange differences | (4) | – | – | (4) |
Carrying amount, gross, as at 31.12.2019 | 1 081 | – | – | 1 081 |
Receivables in respect of repurchase agreements | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 902 | – | – | 902 |
Changes on financial instruments originated or purchased | 51 | – | – | 51 |
Decrease due to repayment | (902) | – | – | (902) |
Carrying amount, gross, as at 31.12.2018 | 51 | – | – | 51 |
Other financial assets | Stage 1 | Stage 2 | Stage 3 | Razem |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 2 825 | – | 97 | 2 922 |
Changes on financial instruments originated or purchased | 2 621 | – | – | 2 621 |
Decrease due to repayment/redemption | (2 825) | – | – | (2 825) |
Changes due to derecognition of financial instruments, including sale | – | – | (5) | (5) |
Change due to write-off | – | – | (3) | (3) |
Other changes, including foreign exchange differences | 3 | – | 3 | 6 |
Carrying amount, gross, as at 31.12.2019 | 2 624 | – | 92 | 2 716 |
Other financial assets | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 2 378 | – | 99 | 2 477 |
Changes on financial instruments originated or purchased | 2 826 | – | 97 | 2 923 |
Decrease due to repayment | (2 378) | – | (99) | (2 477) |
Other changes, including foreign exchange differences | (1) | – | 5 | 4 |
Carrying amount, gross, as at 31.12.2018 | 2 825 | – | 97 | 2 922 |
Finance lease receivables | Stage 1 | Stage 2 | Stage 3 | Razem |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2019 | 11 477 | 2 719 | 790 | 14 986 |
Transfer from stage 2 and 3 to stage 1 | 746 | (726) | (20) | – |
Transfer from stage 1 and 3 to stage 2 | (793) | 833 | (40) | – |
Transfer from stage 1 and 2 to stage 3 | 9 | (312) | 303 | – |
Changes on financial instruments originated or purchased | 6 599 | 745 | 109 | 7 453 |
Increase due to utilization of a limit or disbursement of tranches | 3 | – | – | 3 |
Decrease due to repayment | (2 749) | (630) | (140) | (3 519) |
Changes due to derecognition of financial instruments, including sale | (980) | (251) | (40) | (1 271) |
Change due to write-off | – | – | (126) | (126) |
Other changes, including foreign exchange differences | (720) | (1) | (14) | (735) |
Carrying amount, gross, as at 31.12.2019 | 13 589 | 2 377 | 822 | 16 788 |
Finance lease receivables | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
Carrying amount, gross, as at 01.01.2018 | 10 034 | 2 335 | 792 | 13 161 |
Transfer from stage 2 and 3 to stage 1 | 750 | – | (750) | – |
Transfer from stage 1 and 3 to stage 2 | (1) | 1 | – | – |
Transfer from stage 1 and 2 to stage 3 | (2 005) | – | 2 005 | – |
Changes on financial instruments originated or purchased | 6 467 | – | – | 6 467 |
Decrease due to repayment | (1 237) | (96) | (1 221) | (2 554) |
Changes due to modification without derecognition | (700) | – | – | (700) |
Changes due to derecognition of financial instruments, including sale | (1 834) | 479 | (22) | (1 377) |
Change due to write-off | – | – | (14) | (14) |
Other changes, including foreign exchange differences | 3 | – | – | 3 |
Carrying amount, gross, as at 31.12.2018 | 11 477 | 2 719 | 790 | 14 986 |
With regard to exposures which changed stages several times, the movement was presented as a transfer from the stage in which they were as at 1 January 2019 or upon their initial recognition to the impairment stage as at 31 December 2019 (as at 1 January 2018 and 31 December 2018, respectively).
Securities measured at fair value through other comprehensive income | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2019 | – | – | 10 | 10 |
Increase due to recognition and purchase | 12 | – | – | 12 |
Changes due to changes in credit risk (net) | (9) | 15 | (6) | – |
Decrease due to derecognition | (3) | – | – | (3) |
Change in allowances due to write-off | – | – | 3 | 3 |
Other adjustments | – | (15) | (2) | (17) |
As at 31.12.2019 | – | – | 5 | 5 |
Securities measured at fair value through other comprehensive income | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2018 | – | – | 15 | 15 |
Increase due to recognition and purchase | – | – | 4 | 4 |
Changes due to changes in credit risk (net) | – | – | 6 | 6 |
Decrease due to derecognition | – | – | (10) | (10) |
Change in allowances due to write-off | – | – | (3) | (3) |
Other adjustments | – | – | (2) | (2) |
As at 31.12.2018 | – | – | 10 | 10 |
Securities measured at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2019 | 15 | 8 | 3 | 26 |
Transfer from stage 2 and 3 to stage 1 | 8 | (8) | – | – |
Increase due to recognition and purchase | 4 | – | – | 4 |
Changes due to changes in credit risk (net) | (10) | – | – | (10) |
Other adjustments | (1) | – | 1 | – |
As at 31.12.2019 | 16 | – | 4 | 20 |
Securities measured at amortized cost | Stage 1 | Stage 2 | Stage 3 | Razem |
---|---|---|---|---|
As at 01.01.2018 | 14 | – | – | 14 |
Increase due to recognition and purchase | 4 | 3 | 3 | 10 |
Other adjustments | (3) | 5 | – | 2 |
As at 31.12.2018 | 15 | 8 | 3 | 26 |
Amounts due from banks | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2019 | 1 | – | – | 1 |
As at 31.12.2019 | 1 | – | – | 1 |
Amounts due from banks | Stage 1 | Stage 2 | Stage 3 | Razem |
---|---|---|---|---|
As at 01.01.2018 | – | – | – | – |
Other adjustments | 1 | – | – | 1 |
As at 31.12.2018 | 1 | – | – | 1 |
Consumer loans – measured at fair value through other comprehensive income | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2019 | – | – | – | – |
Decrease due to derecognition | – | – | (1) | (1) |
Other adjustments | – | – | 2 | 2 |
As at 31.12.2019 | – | – | 1 | 1 |
Housing loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2019 | 54 | 538 | 1 420 | 2 012 |
Transfer from stage 2 and 3 to stage 1 | 5 | (5) | – | – |
Transfer from stage 1 and 3 to stage 2 | (205) | 213 | (8) | – |
Transfer from stage 1 and 2 to stage 3 | (32) | (92) | 124 | – |
Increase due to recognition and purchase | 4 | – | 1 | 5 |
Changes due to changes in credit risk (net) | 189 | (126) | 39 | 102 |
Decrease due to derecognition | (2) | – | (2) | (4) |
Changes due to modification without derecognition (net) | – | 1 | – | 1 |
Change in allowances due to write-off | – | (12) | (189) | (201) |
Other adjustments | 42 | 10 | (1) | 51 |
As at 31.12.2019 | 55 | 527 | 1 384 | 1 966 |
Housing loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2018 | 53 | 430 | 2 547 | 3 030 |
Transfer from stage 2 and 3 to stage 1 | 8 | (8) | – | – |
Transfer from stage 1 and 3 to stage 2 | (81) | 139 | (58) | – |
Transfer from stage 1 and 2 to stage 3 | (41) | (98) | 139 | – |
Increase due to recognition and purchase | 4 | 4 | 27 | 35 |
Changes due to changes in credit risk (net) | 115 | 82 | (61) | 136 |
Decrease due to derecognition | – | (13) | (1) | (14) |
Changes due to modification without derecognition (net) | 1 | 1 | 6 | 8 |
Change in allowances due to write-off | – | (4) | (1 077) | (1 081) |
Other adjustments | (5) | 5 | (102) | (102) |
As at 31.12.2018 | 54 | 538 | 1 420 | 2 012 |
Corporate loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Razem |
---|---|---|---|---|
As at 01.01.2019 | 318 | 320 | 3 354 | 3 992 |
Transfer from stage 2 and 3 to stage 1 | 13 | (13) | – | – |
Transfer from stage 1 and 3 to stage 2 | (101) | 107 | (6) | – |
Transfer from stage 1 and 2 to stage 3 | (65) | (63) | 128 | – |
Increase due to recognition and purchase | 111 | 17 | 76 | 204 |
Changes due to changes in credit risk (net) | 62 | (55) | 178 | 185 |
Decrease due to derecognition | (22) | (2) | (30) | (54) |
Changes due to modification without derecognition (net) | 3 | 4 | 17 | 24 |
Changes resulting from updating the applied estimation method (net) | – | – | 3 | 3 |
Change in allowances due to write-off | – | (7) | (714) | (721) |
Other adjustments | 46 | 6 | (114) | (62) |
As at 31.12.2019 | 365 | 314 | 2 892 | 3 571 |
Corporate loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2018 | 296 | 368 | 4 480 | 5 144 |
Transfer from stage 2 and 3 to stage 1 | 308 | (115) | (193) | – |
Transfer from stage 1 and 3 to stage 2 | (28) | 75 | (47) | – |
Transfer from stage 1 and 2 to stage 3 | (2) | (44) | 46 | – |
Changes due to changes in credit risk (net) | 149 | 31 | 151 | 331 |
Changes due to changes in credit risk (net) | (388) | 11 | 531 | 154 |
Decrease due to derecognition | (13) | (6) | (12) | (31) |
Changes due to modification without derecognition (net) | 23 | 3 | 32 | 58 |
Change in allowances due to write-off | – | (2) | (1 742) | (1 744) |
Other adjustments | (27) | (1) | 108 | 80 |
As at 31.12.2018 | 318 | 320 | 3 354 | 3 992 |
Consumer loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2019 | 160 | 311 | 1 240 | 1 711 |
Transfer from stage 2 and 3 to stage 1 | 2 | (2) | – | – |
Transfer from stage 1 and 3 to stage 2 | (104) | 107 | (3) | – |
Transfer from stage 1 and 2 to stage 3 | (139) | (89) | 228 | – |
Increase due to recognition and purchase | 72 | 6 | 29 | 107 |
Changes due to changes in credit risk (net) | 205 | 90 | 201 | 496 |
Decrease due to derecognition | (6) | (23) | (10) | (39) |
Changes due to modification without derecognition (net) | – | 1 | (4) | (3) |
Changes resulting from updating the applied estimation method (net) | (2) | 1 | (1) | (2) |
Change in allowances due to write-off | – | (10) | (383) | (393) |
Reclasification from amortized cost to measured at fair value through profit or loss | (45) | (106) | (599) | (750) |
Other adjustments | 21 | (55) | 127 | 93 |
As at 31.12.2019 | 164 | 231 | 825 | 1 220 |
Consumer loans – at amortized cost | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2018 | 138 | 210 | 1 714 | 2 062 |
Transfer from stage 2 and 3 to stage 1 | 51 | (51) | – | – |
Transfer from stage 1 and 3 to stage 2 | (4) | 25 | (21) | – |
Transfer from stage 1 and 2 to stage 3 | (18) | (49) | 67 | – |
Increase due to recognition and purchase | 62 | 2 | 42 | 106 |
Changes due to changes in credit risk (net) | (99) | 190 | 381 | 472 |
Decrease due to derecognition | (5) | (11) | (5) | (21) |
Changes due to modification without derecognition (net) | – | 2 | 3 | 5 |
Change in allowances due to write-off | – | (3) | (827) | (830) |
Other adjustments | 35 | (4) | (114) | (83) |
As at 31.12.2018 | 160 | 311 | 1 240 | 1 711 |
Other financial assets | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2019 | – | – | 97 | 97 |
Decrease due to derecognition | – | – | (2) | (2) |
Change in impairment allowances due to write-off | – | – | (3) | (3) |
As at 31.12.2019 | – | – | 92 | 92 |
Other financial assets | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2018 | – | – | 99 | 99 |
Increase due to recognition and purchase | – | – | 1 | 1 |
Change in allowances due to write-off | – | – | (5) | (5) |
Other adjustments | – | – | 2 | 2 |
As at 31.12.2018 | – | – | 97 | 97 |
Finance lease receivables | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2019 | 34 | 80 | 375 | 489 |
Transfer from stage 2 and 3 to stage 1 | 20 | (16) | (4) | – |
Transfer from stage 1 and 3 to stage 2 | (4) | 12 | (8) | – |
Transfer from stage 1 and 2 to stage 3 | – | (24) | 24 | – |
Increase due to recognition and purchase | 25 | 35 | 67 | 127 |
Changes due to changes in credit risk (net) | (5) | (16) | 83 | 62 |
Decrease due to derecognition | (20) | (29) | (59) | (108) |
Changes resulting from updating the applied estimation method (net) | – | – | (1) | (1) |
Change in allowances due to write-off | – | – | (126) | (126) |
Other adjustments | (15) | 28 | 8 | 21 |
As at 31.12.2019 | 35 | 70 | 359 | 464 |
Finance lease receivables | Stage 1 | Stage 2 | Stage 3 | Total |
---|---|---|---|---|
As at 01.01.2018 | 22 | 64 | 332 | 418 |
Transfer from stage 2 and 3 to stage 1 | 51 | (53) | 2 | – |
Transfer from stage 1 and 3 to stage 2 | (144) | 166 | (22) | – |
Transfer from stage 1 and 2 to stage 3 | 57 | (162) | 105 | – |
Increase due to recognition and purchase | 24 | 44 | 78 | 146 |
Changes due to changes in credit risk (net) | 32 | 41 | (32) | 41 |
Decrease due to derecognition | (9) | (19) | (106) | (134) |
Change in allowances due to write-off | – | – | (14) | (14) |
Other adjustments | 1 | (1) | 32 | 32 |
As at 31.12.2018 | 34 | 80 | 375 | 489 |
Principles of classifying financial assets in POCI categories are described in note “Description of significant accounting policies”.
PURCHASED OR ORIGINATED CREDIT IMPAIRED FINANCIAL ASSETS (POCI) – 31.12.2019 | Gross amount | Impairment allowances |
Net amount |
Securities measured at fair value through other comprehensive income | 463 | (5) | 458 |
Loans and advances to customers | 387 | (67) | 320 |
measured at fair value through OCI | 1 | (1) | – |
measured at amortized cost | 386 | (66) | 320 |
Total | 850 | (72) | 778 |
PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS (POCI) – 31.12.2018 |
Gross amount | Impairment allowances |
Net amount |
Securities measured at fair value through other comprehensive income | 471 | (10) | 461 |
Loans and advances to customers measured at amortized cost | 674 | (131) | 543 |
Total | 1,145 | (141) | 1,004 |
CHANGES IN GROSS CARRYING AMOUNT OF PURCHASED OR ORIGINATED CREDIT IMPAIRED FINANCIAL ASSETS (POCI) IN 2019 |
As at the beginning of the period |
Changes due to granted or purchased financial instruments and limit utilisation or tranche payment |
Decrease due to derecognition /repayment |
Changes due to contractual modification of cash flows from financial assets which does not lead to derecognition of these financial assets |
Other adjustments |
As at the end of the period |
Securities | 471 | – | (8) | – | – | 463 |
measured at fair value through other comprehensive income | 471 | – | (8) | – | – | 463 |
Loans and advances to customers | 674 | 169 | (458) | 1 | 1 | 387 |
measured at fair value through OCI | – | 1 | – | – | – | 1 |
measured at amortized cost | 674 | 168 | (458) | 1 | 1 | 386 |
Total | 1 145 | 169 | (466) | 1 | 1 | 850 |
CHANGES IN GROSS CARRYING AMOUNT OF PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS (POCI) IN 2018 | As at the beginning of the period |
Changes due to granted or purchased financial instruments and limit utilisation or tranche payment |
Decrease due to derecognition /repayment |
Other adjustments |
As at the end of the period |
Securities | 473 | – | (2) | – | 471 |
measured at fair value through other comprehensive income | 473 | – | (2) | – | 471 |
Loans and advances to customers | 363 | 414 | (108) | 5 | 674 |
measured at amortized cost | 363 | 414 | (108) | 5 | 674 |
Total | 836 | 414 | (110) | 5 | 1 145 |
CHANGES IN IMPAIRMENT ALLOWANCES FOR PURCHASED OR ORIGINATED CREDIT IMPAIRED FINANCIAL ASSETS (POCI) IN 2019 |
As at the beginning of the period |
Increase due to recognition and purchase |
Decrease due to derecognition |
Changes due to changes in credit risk (net) |
Change in impairment allowances due to write-off |
Reclassification from amortized cost to at fair value through profit or loss |
Other adjustments |
As at the end of the period |
Securities | 10 | – | – | (5) | – | – | – | 5 |
measured at fair value through OCI | 10 | – | – | (5) | – | – | – | 5 |
Loans and advances to customers | 131 | 1 | (46) | (58) | 2 | (28) | 65 | 67 |
measured at fair value through OCI | – | – | – | 1 | – | – | – | 1 |
measured at amortized cost | 131 | 1 | (46) | (59) | 2 | (28) | 65 | 66 |
Total | 141 | 1 | (46) | (63) | 2 | (28) | 65 | 72 |
CHANGES IN IMPAIRMENT ALLOWANCES FOR PURCHASED OR ORIGINATED CREDIT-IMPAIRED FINANCIAL ASSETS (POCI) IN 2018 |
As at 01.01.2018 |
Increase due to recognition and purchase |
Decrease due to derecognition |
Changes due to changes in credit risk (net) |
Decrease in impairment allowances due to write-off |
Other adjustments | As at 31.12.2018 |
Securities | 15 | – | – | (3) | – | (2) | 10 |
measured at fair value through OCI | 15 | – | – | (3) | – | (2) | 10 |
Loans and advances to customers | 115 | 2 | (50) | 77 | (26) | 13 | 131 |
measured at amortized cost | 115 | 2 | (50) | 77 | (26) | 13 | 131 |
Total | 130 | 2 | (50) | 74 | (26) | 11 | 141 |
The impact of an increase/decrease in estimated cash flows for the Group’s loans and advances portfolio assessed for impairment on the basis of individual analysis of future cash flows arising both from own payments and foreclosure of collaterals, i.e. the exposures for which an individual method is applied and the impact of an increase/decrease in the portfolio parameters for the Group’s loans and advances portfolio assessed on a portfolio basis is presented in the table below:
ESTIMATED CHANGE IN EXPECTED CREDIT LOSSES ON LOANS AND ADVANCES RESULTING FROM MATERIALIZATION OF A SCENARIO OF THE RISK PARAMETERS DETERIORATION OR IMPROVEMENT, OF WHICH:* | 31.12.2019 | 31.12.2018 | ||
+10% scenario | -10% scenario | +10% scenario | -10% scenario | |
changes in the present value of estimated future cash flows for the Group’s portfolio of individually impaired loans and advances assessed on an individual basis | (235) | 308 | (262) | 360 |
changes in the probability of default | 157 | (164) | 156 | (165) |
change in recovery rates | (424) | 426 | (490) | 493 |