46.5. Liquidity risk
[Financial notes are presented in PLN thousand]
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
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 Principles’ approved by the Management Board, which defines the contingency procedures in the event of crisis situations. This principles involve 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 Group’s liquidity at the end of 2022 year in comparison to the end of 2021. They cover the structure of financial liabilities by contractual maturity, supervisory measures of long-term liquidity and Liquidity Coverage Ratio (‘LCR’) and the net stable funding ratio (NSFR), adjusted liquidity gap and financial flows from derivative transactions.
Structure of financial liabilities by contractual maturity
31.12.2022 | 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 (**) | 3 033 936 | 256 162 | 425 204 | 2 900 705 | 1 381 149 | 7 997 156 |
Amounts due to customers | 172 672 401 | 12 235 618 | 17 854 936 | 3 397 325 | 5 467 969 | 211 628 249 |
Lease liabilities | 14 452 | 19 198 | 56 297 | 78 937 | 385 264 | 554 148 |
Debt securities issued | 932 414 | 5 156 840 | 3 682 670 | 841 210 | – | 10 613 134 |
Subordinated liabilities | – | – | 209 893 | 1 910 799 | 1 708 464 | 3 829 156 |
Financial liabilities held for trading | – | – | 44 080 | 668 724 | 161 787 | 874 591 |
Total | 176 653 203 | 17 667 818 | 22 273 080 | 9 797 700 | 9 104 633 | 235 496 434 |
OFF-BALANCE SHEET COMMITMENTS (*) | ||||||
Off-balance sheet commitments Financial liabilities granted | 57 208 658 | – | – | – | – | 57 208 658 |
Off-balance sheet commitments Guarantees liabilities granted | 12 080 369 | – | – | – | – | 12 080 369 |
Total | 69 289 027 | – | – | – | – | 69 289 027 |
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 |
Regulatory liquidity ratios LCR and NSFR (*)
SUPERVISORY LIQUIDTY NORMS | LIMIT | 31.12.2022 | 31.12.2021 | |
---|---|---|---|---|
LCR | Liquidity coverage ratio | 100% | 222% | 190% |
NSFR | Net stable funding ratio | 100% | 154% | 142% |
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:
31.12.2022 | 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 | 71 616 040 | 9 105 579 | 38 173 501 | 101 644 614 | 60 599 298 | 281 139 032 |
Equity and liabilities | 26 873 154 | 17 310 199 | 35 750 564 | 62 402 089 | 138 803 026 | 281 139 032 |
Off-balance sheet assets/liabilities (net) | -3 782 026 | -4 215 334 | 38 387 | 3 505 354 | 4 008 092 | -445 527 |
Periodic gap | 40 960 860 | -12 419 954 | 2 461 324 | 42 747 879 | -74 195 636 | -445 527 |
Cumulated gap | 28 540 906 | 31 002 230 | 73 750 109 | -445 527 | ||
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 |
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
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 YEAR | BETWEEN 1 AND 5 YEARS | OVER 5 YEARS | TOTAL | |
---|---|---|---|---|---|---|
31.12.2022 | 211 471 | 133 547 | 1 132 195 | 11 452 862 | 4 132 037 | 17 062 112 |
31.12.2021 | 154 047 | 157 584 | 661 665 | 5 087 494 | 2 814 264 | 8 875 054 |
Przepływy dotyczące pochodnych transakcji pozabilansowych rozliczanych w kwotach brutto
UP TO 1 MONTH | BETWEEN 1 AND 3 MONTHS | BETWEEN 3 MONTHS AND 1 YEAR | BETWEEN 1 AND 5 YEARS | OVER 5 YEARS | TOTAL | |
---|---|---|---|---|---|---|
31.12.2022 | ||||||
Inflows | 21 148 132 | 15 852 751 | 17 946 741 | 7 616 387 | 280 840 | 62 844 851 |
Outflows | 21 004 225 | 15 883 181 | 17 942 206 | 8 016 463 | 349 053 | 63 195 128 |
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 |