Integrated Report of KGHM Polska Miedź S.A.
and the KGHM Polska Miedź S.A. Group
for 2020 Credit risk related to derivative transactions

in PLN millions, unless otherwise stated


All entities with which derivative transactions (excluding embedded derivatives) are entered into by the Group operate in the financial sector.

The Group’s credit exposure related to derivatives by main counterparties is presented in the table below1.

As at
31 December 2020
As at
31 December 2019
Financial receivables Financial liabilities Fair value Exposure to credit risk Financial receivables Financial liabilities Fair value Exposure to credit risk
Counterparty 1 268 (195) 73 158 69 (20) 49 49
Counterparty 2 317 (431) (114) 124 60 (13) 47 47
Counterparty 3 137 (272) (135) 56 61 (36) 25 47
Counterparty 4 129 (359) (230) 40 54 (19) 35 44
Other 148 (395) (247) 60 197 (101) 96 138
Total 999 (1 652) (653) 438 441 (189) 252 325
Open derivatives 999 (1 610) (611) 417 (182) 235
Settled derivatives (42) (42) 24 (7) 17


Taking into consideration the fair value of open derivatives transactions entered into by the Group and receivables and liabilities due to settled derivatives, as at 31 December 2020 the maximum single entity share of the amount exposed to credit risk arising from these transactions amounted to 36%, or PLN 158 million (as at 31 December 2019: 15%, or PLN 49 million).

In order to reduce cash flows and at the same time to limit credit risk, the Parent Entity carries out net settlements (based on standard framework agreements entered into with its customers, regulating the trade of financial instruments, meaning ISDA or based on a formula of the Polish Bank Association). Moreover, the resulting credit risk is continuously monitored by reviewing the credit ratings and is limited by striving to diversify the portfolio while implementing hedging strategies.

Despite the concentration of credit risk associated with derivatives’ transactions, the Parent Entity has determined that, due to its cooperation solely with renowned financial institutions, as well as continuous monitoring of their ratings, it is not materially exposed to credit risk as a result of transactions concluded with them.

The following table presents the structure of ratings of the financial institutions with whom the Group had derivatives transactions, representing exposure to credit risk.

Rating level As at
31 December 2020
As at
31 December 2019
Highest from AAA to AA- according to S&P and Fitch, and from Aaa to Aa3 according to Moody’s 2%
Medium-high from A+ to A- according to S&P and Fitch, and from A1 to A3 according to Moody’s 95% 90%
Medium from BBB+ to BBB- according to S&P and Fitch, and from Baa1 to Baa3 according to Moody’s 5% 8%


[1] Pod uwagę brana jest dodatnia wartość godziwa netto (należności finansowe – zobowiązania finansowe) otwartych i rozliczonych instrumentów pochodnych z uwzględnieniem podziału na zabezpieczane czynniki ryzyka rynkowego.

Search results