8%
Total capital ratio (TCR)
Bank in 2021
Capital adequacy
Bank Pekao S.A. Group and Bank Pekao S.A.
Capital ratios are the basic measure applied for the measurement of capital adequacy according to Regulation of the European Parliament and of the Council (EU) No 575/2013 of June 26, 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012, which entered into force since January 1, 2014 together with further amendments, in particular Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012, Regulation (EU) 2020/873 of the European Parliament and of the Council of 24 June 2020 amending Regulations (EU) No 575/2013 and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic, as well as Commission Implementing Regulations or Delegated Regulations (EU) (CRR Regulation).
Capital ratios, capital requirements and own funds have been calculated in accordance with the above mentioned CRR Regulation using national options defined in article 171a of The Banking Act, Act of 5 August 2015 on macro-prudential supervision over financial system and crisis management in financial system (Act on macro-prudential supervision), as well as regulations of minister in charge of the finance institutions.
According to law, the Group and the Bank are required to maintain minimal values of capital ratios resulting from Pillar I level (CRR Regulation), capital requirement of Pillar II resulting from The Banking Act and combined buffer requirement resulting from Act on macro-prudential supervision.
Minimal value of capital ratios on Pillar I level are:
6%
Tier I capital ratio (T1)
4.5%
Common Equity Tier I capital ratio (CET 1)
Combined buffer requirement as at 31 December 2021 consists of:
2.50%
Capital conservation buffer
0.00%
Countercyclical capital buffer in amount*
0.75%
Other systemically important institution buffer
0.00%
Systemic risk buffer**
* Countercyclical capital buffer was calculated as of December 31, 2021 at the level 0.0067% for Bank and 0.006% for Group.
** According to the Regulation of the Minister of Finance, the systemic risk buffer was abolished on March 19, 2020. The buffer value applicable until that date was 3% of the total risk exposure amount for all exposures located only in the territory of the Republic of Poland.
Capital requirement of Pillar II for Pekao Group, results from the recommendation of KNF regarding holding by the Group own funds to cover the additional capital requirement to secure the risk resulting from mortgage-secured foreign currency loans and credits to households, amounts to 0.008% for TCR, which should consist of at least 75% of Tier 1 (which corresponds to 0.006 pp) and at least 56% of the Common Equity Tier 1 (which corresponds to 0.004 pp)***.
*** On February 18, 2022 Bank received the decision of KNF stating that the recommendation to comply with this additional requirement is no longer valid.
On Pillar II, Bank has no additional capital requirement.
In total, Group is required to maintain:
11.26%
Total capital ratio (TCR)
9.26%
Capital ratio Tier I (T1)
7.76%
Common Equity Tier (CET 1)
In total, Bank is required to maintain:
11.25%
Total capital ratio (TCR)
9.25%
Capital ratio Tier I (T1)
7.75%
Common Equity Tier (CET 1)
The capital ratios of the Group and the Bank were significantly above the minimum required by the law.
Bank Pekao S.A. Group
As of December 31, 2021 Group total capital ratio amounted to 16.9% and common equity Tier I ratio amounted to 15.1%.
The table below presents the basic information concerning the Group capital adequacy as of December 31, 2021 and December 31, 2020.
| CAPITAL REQUIREMENT | 31.12.2021 | 31.12.2020(*) |
|---|---|---|
| Credit Risk | 10,817,277 | 10,103,020 |
| Market Risk | 112,121 | 99,400 |
| Counterparty credit risk including CVA | 253,317 | 173,859 |
| Operational risk | 848,430 | 699,703 |
| Total capital requirement | 12,031,145 | 11,075,982 |
| OWN FUNDS | ||
| Common Equity Tier I Capital | 22,693,271 | 23,769,613 |
| Tier II Capital | 2,750,000 | 2,750,000 |
| Own funds for total capital ratio | 25,443,271 | 26,519,613 |
| Common Equity Tier I Capital ratio (%) | 15.1% | 17.2% |
| Total capital ratio TCR (%) | 16.9% | 19.2% |
Data for December 31, 2020 have been recalculated taking into account the retrospective recognition of part of the profit for 2020 (confirmation of the financial results by the General Shareholders Meeting), in accordance with the EBA position expressed in Q&A 2018_3822 and Q&A 2018_4085
Total Capital Ratio of Pekao Group as at the end of December 2021 was lower by 2.3 p.p. compared to the end of December 2020, mainly due decrease of own funds by 4.1% and higher capital requirements by 8.6%. Common equity Tier I Capital Ratio of Pekao Group as at the end of December 2021 was lower by 2.1 p.p. compared to the end of December 2020.
Decrease of own funds for total capital ratio results mainly from decrease of HTC&S portfolio valuation
Increase of total capital requirement results mainly from higher credit risk capital requirement resulting mainly from increase of loan volumes, operational risk capital requirement mainly due to increase of provisions for loans denominated in foreign currencies and higher capital requirement for counterparty credit risk resulting from implementation of new Standardized Approach.
Bank Pekao S.A
As of December 31, 2021 Bank total capital ratio amounted to 18.8% and common equity Tier I ratio amounted to 16.7%.
The table below presents the basic information concerning the Bank capital adequacy as of December 31, 2021 and December 31, 2020.
| CAPITAL REQUIREMENT | 31.12.2021 | 31.12.2020(*) |
|---|---|---|
| Credit Risk | 9,793,023 | 9,122,418 |
| Market Risk | 110,737 | 99,495 |
| Counterparty credit risk including CVA | 253,177 | 173,728 |
| Operational risk | 741,877 | 597,848 |
| Total capital requirement | 10,898,814 | 9,993,489 |
| OWN FUNDS | ||
| UNDS Common Equity Tier I Capital | 22,803,010 | 23,827,624 |
| Tier II Capital | 2,750,000 | 2,750,000 |
| Own funds for total capital ratio | 25,553,010 | 26,577,624 |
| Common Equity Tier I Capital ratio (%) | 16.7% | 19.1% |
| Total capital ratio TCR (%) | 18.8% | 21.3% |
Data for December 31, 2020 have been recalculated taking into account the retrospective recognition of part of the profit for 2020 (confirmation of the financial results by the General Shareholders Meeting), in accordance with the EBA position expressed in Q&A 2018_3822 and Q&A 2018_4085.
Total Capital Ratio of the Bank as at the end of December 2021 was lower by 2.5 p.p. compared to the end of December 2020, mainly due decrease of own funds by 3.9% and higher capital requirements by 9.1%. Common equity Tier 1 Capital Ratio of Bank as at the end of December 2021 was lower by 2.4 p.p. compared to the end of December 2020.
Decrease of own funds for total capital ratio results mainly from decrease of HTC&S portfolio valuation.
Increase of total capital requirement results mainly from higher credit risk capital requirement resulting mainly from increase of loan volumes, operational risk capital requirement mainly due to increase of provisions for loans denominated in foreign currencies and higher capital requirement for counterparty credit risk resulting from implementation of new Standardized Approach.