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Annual
Report 2022

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
(*) 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 Bank is possible based on contracts entered into by the Bank. However, outflows expected by the Bank 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 Bank on continuous basis. The Bank estimates also more probable flows that are reflected in Tables “Adjusted liquidity gap’.
(**) Including Central Bank.
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.

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%
(*) 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:

31.12.2022 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

 

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