ZASADY DOTYCZĄCE COOKIES

Annual report 2021

47.6. Liquidity risk

The objective of liquidity risk management is to:

  • ensure and maintain the Group’s solvency with respect to current and future payables taking into account the cost of acquiring liquidity and return on the Group’s equity,
  • prevent the occurrance of crisis situations, and
  • provide solutions necessary to survive a crisis situation when such circumstances occur.

The Group has centralized liquidity risk management system covering current liquidity management and first level control performed by the responsible functions, the second level control carried out by a dedicated unit responsible for risk management and independent audit.

Managing the Group’s liquidity is carried out in intraday, short-term and long-term horizon. Analysing of intraday liquidity concerns flows realized during the day, through a short-term liquidity analysis is understood liquidity measurement system which refers to the time horizon shorter than one year, long-term analysis covers period above one year. Due to the specific tools and techniques used for liquidity risk management, the Group manages current and medium-term liquidity together with short-term liquidity

The liquidity control is performing as a continuous process of determining and analysing the levels of various indicators and measures related to intraday, short-term and long-term liquidity. Monitoring frequency is matched to the specific liquidity aspect – e.g. daily for short-term liquidity, monthly for long-term liquidity. Liquidity ratios and measures are subject to a formal limiting process. The limits’ utilisation is regularly monitored and presented to the Management of the Bank and subsidiaries. In case of exceeding, escalation process is running as to inform decision-makers and ultimately to restore the liquidity risk exposures to acceptable levels.

Scenario-based stress analyses, conducted on a monthly basis, constitute an integral part of the Group’s liquidity monitoring process. Within the scope of these analyses the Group’s liquidity is assessed under the conditions of crisis which is caused by financial markets or is caused by internal factors, specific to the Group.

Managing the liquidity, the Group pays special attention to the liquidity in foreign currencies through monitoring, limiting and controlling the liquidity individually for each currency, as well as monitoring demand for the current and future currency liquidity and in case of identification of such need the Group hedges using currency swaps. It is also monitored the potential influence on the liquidity of placing required collateral deposits for derivative transaction.

In order to define the principles of contingency liquidity management, Bank prepared ‘Contingency Liquidity Policy’ approved by the Management Board, which defines the contingency procedures in the event of crisis situations. This policy involves daily monitoring of the system and specific early-warning indicators for the Bank and the Group as well as three levels of liquidity risk states depending on the level of early-warning indicators, the Bank’s, the Group’s and market situation. It also defines the sources for covering the expected outflows from the Group. This document sets the procedures for monitoring the liquidity states, emergency action procedures, task forces dedicated for restoring the Group’s liquidity and the Management’s responsibilities for taking necessary decisions to restore the required liquidity level.

Below are presented basic quantitative information concerning the Bank’s liquidity at the end of 2021 year in comparison to the end of 2020. They cover the structure of financial liabilities by contractual maturity, supervisory measures of long-term liquidity and Liquidity Coverage Ratio (‘LCR’) adjusted liquidity gap and financial flows from derivative transactions.

Structure of financial liabilities by contractual maturity

31.12.2021 UP TO 1 MONTH BETWEEN 1 AND 3 MONTHS BETWEEN 3 MONTHS AND 1 YEAR BETWEEN 1 AND 5 YEARS OVER 5 YEARS TOTAL
BALANCE SHEET LIABILITIES (*)
Amounts due to banks (**) 3,884,009 37,718 1,372,067 2,253,881 873,321 8,420,996
Amounts due to customers 177,224,283 4,238,194 3,879,273 506,272 8,942,964 194,790,986
Lease liabilities 14,071 15,923 70,529 66,096 383,359 549,978
Debt securities issued 176,031 3,333,021 1,326,496 733,642 324,803 5,893,993
Subordinated liabilities 44,138 214,649 3,001,796 3,260,583
Financial liabilities held for trading 293,300 201,042 145,391 639,733
Total 181,298,394 7,624,856 6,985,803 3,975,582 13,671,634 213,556,269
OFF-BALANCE SHEET COMMITMENTS (*)
Off-balance sheet commitments Financial liabilities granted 43,225,325 43,225,325
Off-balance sheet commitments Guarantees liabilities granted 14,447,947 14,447,947
Total 57,673,272 57,673,272

 

*Exposure amounts from balance liabilities, financing-related off-balance sheet commitments granted and guarantee liabilities granted have been allocated to earliest tenors, for which an outflow of assets from the Group is possible based on contracts entered into by the Group. However, outflows expected by the Group are actually significantly lower than those indicated by the specification presented above. The above is a consequence of considerable diversification of amounts due to customers and stages of life of individual contracts. Risk monitoring and management in relation to the outflow of assets are provided by the Group on continuous basis. The Group estimates also more probable flows that are reflected in Tables ‘Adjusted liquidity gap’.
** Including Central Bank.
31.12.2020 UP TO 1 MONTH BETWEEN 1 AND 3 MONTHS BETWEEN 3 MONTHS AND 1 YEAR BETWEEN 1 AND 5 YEARS OVER 5 YEARS TOTAL
BALANCE SHEET LIABILITIES (*)
Amounts due to banks (**) 3,548,877 464,963 1,281,084 3,640,031 972,009 9,906,964
Amounts due to customers 164,064,365 5,850,085 7,450,384 305,334 163,990 177,834,158
Lease liabilities 15,588 18,442 77,759 154,968 395,794 662,551
Debt securities issued 659,405 3,052,040 1,584,486 880,832 6,176,763
Subordinated liabilities 44,138 214,649 3,001,796 3,260,583
Financial liabilities held for trading 14,209 279,152 449,443 742,804
Total 168,288,235 9,385,530 10,452,060 5,474,966 4,983,032 198,583,823
OFF-BALANCE SHEET COMMITMENTS (*)
Off-balance sheet commitments Financial liabilities granted 41,203,882 41,203,882
Off-balance sheet commitments Guarantees liabilities granted 13,618,285 13,618,285
Total 54,822,167 54,822,167

 

* Exposure amounts from balance liabilities, financing-related off-balance sheet commitments granted and guarantee liabilities granted have been allocated to earliest tenors, for which an outflow of assets from the Group is possible based on contracts entered into by the Group. However, outflows expected by the Group are actually significantly lower than those indicated by the specification presented above. The above is a consequence of considerable diversification of amounts due to customers and stages of life of individual contracts. Risk monitoring and management in relation to the outflow of assets are provided by the Group on continuous basis. The Group estimates also more probable flows that are reflected in Tables ‘Adjusted liquidity gap’.
** Including Central Bank.

Regulatory liquidity ratios LCR and NSFR (*)

SUPERVISORY LIQUIDTY NORMS LIMIT 31.12.2021 31.12.2020
LCR Liquidity coverage ratio 100% 190% 251%
NSFR Net stable funding ratio 100% 141% 141%
(*) The values of regulatory liquidity ratios have been determined in accordance with the principles set out by the Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation No. 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions.

 

Adjusted liquidity gap

The adjusted liquidity gaps presented below include, inter alia, the adjustments concerning the stability of core deposits and their maturities, adjustments of flows from granted off-balance sheet commitments arising from financing, guarantees and from assets without contractual repayment schedules. On top of that, included are also the adjusted flows stemming from the security portfolio and flows resulting from earlier repayment of mortgage loans portfolio. These are the main elements differentiating the adjusted gaps from unadjusted ones. Moreover, the gaps are of static nature, i.e. they do not take into consideration the impact of changes of balance sheet and off-balance sheet items volume (i.e. new deposits).

The tables below present adjusted liquidity gap:

31.12.2021 UP TO 1 MONTH BETWEEN
1 AND 3
MONTHS
BETWEEN 3 MONTHS AND 1 YEAR BETWEEN
1 AND 5
YEARS
OVER 5 YEARS  TOTAL
Assets 58,533,152 6,812,658 32,746,498 85,758,703 66,715,594 250,566,605
Equity and liabilities 18,992,088 16,235,633 30,475,107 42,857,218 142,006,559 250,566,605
Off-balance sheet assets/liabilities (net) -9,708,164 17,907 1,064,407 3,561,182 4,420,559 -644,109
Periodic gap 29,832,900 -9,405,068 3,335,798 46,462,667 -70,870,406 -644,109
Cumulated gap 20,427,832 23,763,630 70,226,297 -644,109
31.12.2020 UP TO 1 MONTH  BETWEEN 1 AND 3 MONTHS BETWEEN
3 MONTHS
AND 1 YEAR
BETWEEN
1 AND 5 YEARS
OVER 5 YEARS  TOTAL
Assets 69,513,131 7,196,796 25,085,033 72,392,852 59,029,370 233,217,182
Equity and liabilities 18,307,777 12,023,248 26,212,984 36,038,239 140,634,934 233,217,182
Off-balance sheet assets/liabilities (net) -9,377,774 -161,509 2,726,628 2,231,163 3,874,654 -706,838
Periodic gap 41,827,580 -4,987,961 1,598,677 38,585,776 -77,730,910 -706,838
Cumulated gap 36,839,619 38,438,296 77,024,072 -706,838

Off-balance derivative transactions

The following are the liabilities and financial cash flows associated with off-balance sheet derivative transactions, settled, respectively in net and gross amounts.

Off-balance sheet derivative transactions settled by the Group in net amounts include:

  • Interest Rate Swaps (IRS),
  • Forward Rate Agreements (FRA),
  • Foreign currency options,
  • Interest rate options (Cap/Floor),
  • Transactions based on equity securities and stock indexes,
  • Transactions based on commodities and precious metals.

Off-balance sheet derivative transactions settled by the Group in gross amounts include:

  • Cross-Currency Interest Rate Swaps (CIRS),
  • Foreign currency forward contracts,
  • Foreign currency swaps (FX-Swap),
  • Forward contracts based on securities.

Liabilities from off-balance transactions on derivatives recognized in net amounts.

UP TO 1 MONTH BETWEEN 1 AND 3 MONTHS BETWEEN 3 MONTHS AND 1 YEARU BETWEEN
1 AND 5 YEARS
OVER 5 YEARS TOTAL
31.12.2021 154,047 157,584 661,665 5,087,494 2,814,264 8,875,054
31.12.2020 76,233 108,754 361,910 2,660,575 1,247,183 4,454,655

Flows related to off-balance derivative transactions settled in gross amounts.

UP TO 1 MONTH BETWEEN 1 AND 3 MONTHS BETWEEN 3 MONTHS AND 1 YEAR BETWEEN 1 AND 5 YEARS OVER 5 YEARS TOTAL
31.12.2021
Inflows 24,028,005 12,412,897 15,114,627 14,079,632 564,263 66,199,424
Outflows 24,189,244 12,392,281 15,180,114 14,566,877 666,596 66,995,112
31.12.2020
Inflows 38,013,777 10,882,754 14,911,803 9,838,180 978,285 74,624,799
Outflows 38,098,689 10,939,427 14,957,181 10,173,970 1,187,983 75,357,250

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