On Pillar II, Pekao Group has no additional capital requirement (P2R). This is due to the KNF’s decision stating the expiration of the KNF’s decision based on which the KNF recommended compliance, at the consolidated level, with the additional own funds requirement above the value resulting from the requirements calculated in accordance with the rules set forth in Regulation (EU) No. 575/2013 of the European Parliament and of the Council on prudential requirements for credit institutions. Bank received the above mentioned decision on February 18, 2022.
Bank in 2022
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:
- Total capital ratio (TCR) in amount of 8%,
- Tier I capital ratio (T1) in amount of 6%,
- Common Equity Tier I capital ratio (CET 1) in amount of 4.5%.
* Countercyclical capital buffer was calculated as of December 31, 2022 at the level 0,0122% for Bank and 0,0112% 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.
Together, the Group and the Bank are obliged to maintain:
- Total capital ratio (TCR) in amount of 11.51%,
- Capital ratio Tier I (T1) in amount of 9.51%,
- Common Equity Tier (CET 1) in amount of 8.01%.
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, 2022 Group total capital ratio amounted to 17.4% and common equity Tier I ratio amounted to 15.6%.
The table below presents the basic information concerning the Group capital adequacy as of 31 December1, 2022 and 31 December, 2021.
| Capital requirement | 31.12.2021* | 31.12.2022 |
|---|---|---|
| Credit Risk | 10,756,386 | 10,168,122 |
| Market Risk | 112,121 | 105,618 |
| Counterparty credit risk including CVA | 253,316 | 228,395 |
| Operational risk | 848,430 | 1,359,528 |
| Total capital requirement | 11,970,253 | 11,861,663 |
| OWN FUNDS | ||
| Common Equity Tier I Capital | 23,659,934 | 23,119,666 |
| Tier II Capital | 2,750,000 | 2,706,873 |
| Own funds for total capital ratio | 26,409,934 | 25,826,539 |
| Common Equity Tier I Capital ratio (%) | 15.8% | 15.6% |
| Total capital ratio TCR (%) | 17.7% | 17.4% |
* Data for December 31, 2021 have been recalculated taking into account the retrospective recognition of part of the profit for 2021 (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 2022 was lower by 0.3 p.p. compared to the end of December 2021, mainly due decrease of own funds by 2.2%. Common equity Tier I Capital Ratio of Pekao Group as at the end of December 2022 was lower by 0.2 p.p. compared to the end of December 2021.
Decrease of own funds for total capital ratio results mainly from decrease of HTC&S portfolio valuation.
Bank Pekao S.A.
As of 31 December, 2022 Bank total capital ratio amounted to 19.5% and common equity Tier I ratio amounted to 17.5%.
The table below presents the basic information concerning the Bank capital adequacy as of 31 December, 2022 and 31 December, 2021.
| CAPITAL REQUIREMENT | 31.12.2021* | 31.12.2022 |
|---|---|---|
| Credit Risk | 9,745,018 | 9,082,837 |
| Market Risk | 110,737 | 106,333 |
| Counterparty credit risk including CVA | 253,177 | 228,395 |
| Operational risk | 741,877 | 1,242,816 |
| Total capital requirement | 10,850,809 | 10,660,381 |
| OWN FUNDS | ||
| Common Equity Tier I Capital | 23,787,500 | 23,255,239 |
| Tier II Capital | 2,750,000 | 2,706,873 |
| Own funds for total capital ratio | 26,537,500 | 25,962,112 |
| Common Equity Tier I Capital ratio (%) | 17.5% | 17.5% |
| Total capital ratio TCR (%) | 19.6% | 19.5% |
* Data for December 31, 2021 have been recalculated taking into account the retrospective recognition of part of the profit for 2021 (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 2022 was lower by 0.1 p.p. compared to the end of December 2021, mainly due decrease of own funds by 2.2%. Common equity Tier 1 Capital Ratio of Bank as at the end of December 2022 was at the same level as at the end of December 2021.
Decrease of own funds for total capital ratio results mainly from decrease of HTC&S portfolio valuation.