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34.3 Quantitative data

Annual Report 2019 > 34.3 Quantitative data
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Derivatives as at 31 December 2019 Base amount by maturities Assets Liabilities
  Up to 3 months Over 3 months up to 1 year Over 1 year to 5 years Over 5 years Total    
Related to interest rates 27,485 76,367 125,874 40,309 270,035 2,402 2,483
Fair value hedging instruments – SWAP transactions - 471 1,522 955 2,948 1 161
Cash flow hedging instruments – SWAP transactions 768 3,994 16,385 7,192 28,339 459 479
Instruments carried as held for trading, including: 26,717 71,902 107,967 32,162 238,748 1,942 1,843
– FRA transactions 628 - - - 628 - -
– SWAP transactions 25,610 68,418 105,006 31,868 230,902 1,933 1,841
– call options (purchase) 252 241 2,406 267 3,166 2 1
– put options (sale) - 1,976 189 27 2,192 7 1
– cap floor options 227 1,267 366 - 1,860 - -
Related to exchange rates 40,008 21,368 9,341 42 70,759 540 420
Cash flow hedging instruments – SWAP transactions 3,113 2,550 - - 5,663 83 25
Instruments carried as held for trading, including: 36,895 18,818 9,341 42 65,096 457 395
– forward contracts 8,631 7,243 4,570 - 20,444 170 169
– SWAP transactions 23,067 4,445 1,393 42 28,947 192 133
– call options (purchase) 2,568 3,565 1,683 - 7,816 49 19
– put options (sale) 2,629 3,565 1,695 - 7,889 46 74
Related to prices of securities 439 2,859 2,376 - 5,674 119 72
– forward contracts 26 - 1 - 27 - -
– call options (purchase) 227 1,469 1,383 - 3,079 118 4
– put options (sale) 186 1,390 992 - 2,568 1 68
Related to commodity prices 1,064 1,408 693 - 3,165 46 43
– forward contracts 151 73 - - 224 7 5
– SWAP transactions 377 864 440 - 1,681 14 14
– call options (purchase) 324 471 253 - 1,048 21 4
– put options (sale) 212 - - - 212 4 20
Total 68,996 102,002 138,284 40,351 349,633 3,107 3,018
   
Derivatives as at 31 December 2018 Base amount by maturities Assets Liabilities
  Up to 3 months Over 3 months up to 1 year Over 1 year to 5 years Over 5 years Total    
Related to interest rates 21,889 70,485 111,548 32,426 236,348 1,971 2,933
Fair value hedging instruments – SWAP transactions 262 128 1,408 1,535 3,333 21 144
Cash flow hedging instruments – SWAP transactions 3,150 4,234 10,336 6,323 24,043 374 770
Instruments carried as held for trading, including: 18,477 66,123 99,804 24,568 208,972 1,576 2,019
– FRA transactions 7,609 7,100 300 - 15,009 2 2
– SWAP transactions 10,208 56,405 94,891 24,486 185,990 1,564 2,012
– call options (purchase) 330 1,719 2,883 54 4,986 6 2
– put options (sale) 330 899 1,730 28 2,987 4 3
Related to exchange rates 40,041 17,290 4,803 43 62,177 302 250
Fair value hedging instruments – SWAP transactions 2,438 688 - - 3,126 31 1
Instruments carried as held for trading, including: 37,603 16,602 4,803 43 59,051 271 249
– forward contracts 10,259 9,537 1,661 - 21,457 92 131
– SWAP transactions 24,792 2,351 952 43 28,138 115 54
– call options (purchase) 1,201 2,230 1,107 - 4,538 46 22
– put options (sale) 1,351 2,484 1,083 - 4,918 18 42
Related to prices of securities 2,108 1,186 2,149 - 5,443 78 49
– forward contracts 326 211 243 - 780 10 13
– call options (purchase) 353 590 1,906 - 2,849 66 2
– put options (sale) 1,429 385 - - 1,814 2 34
Related to commodity prices 1,752 2,295 620 - 4,667 136 133
– forward contracts 895 18 - - 913 35 34
– SWAP transactions 529 372 72 - 973 46 45
– call options (purchase) 205 1,084 324 - 1,613 21 5
– put options (sale) 123 821 224 - 1,168 34 49
Total 65,790 91,256 119,120 32,469 308,635 2,487 3,365