PL
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2019 Financial
and Social Report

CRR scope of application and own funds

The scope of consolidation of the Capital Group of Bank Millennium SA as determined in accordance with the prudential regulations (Regulation CRR) is the same as the scope of consolidation made for the preparation of consolidated financial statements prepared by the Group in accordance with IAS/IFRS. The Group did not make any exclusions of consolidated entities in comparison to IFRS financial statements, based on possibility provided by article 19.1 of the CRR.

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XLS
Wartość bilansowa pozycji
ASSETS (PLN thous.) Carrying values as reported in published financial statements Carrying values under scope of regulatory consolidation Subject to the credit risk framework

Subject to the CCR framework

 Subject to the securitization framework Subject to the market risk framework Not subject to capital requirements or subject to deduction from capital
Cash, cash balances at central banks 2 203 444 2 203 445 2 203 508
Financial assets held for trading 986 728 986 728 874 345 109 734
Derivatives 112 485 112 485 109 734
Equity instruments 210 210 210,0695
Debt securities 874 033 874 033 874 135
Non-trading financial assets mandatorily at fair value through profit or loss, other than Loans and advances to customers 169 610 169 610 169 610
Equity instruments 66 609 66 609 66 609
Debt securities 103 001 103 001 103 001
Financial assets at fair value through other comprehensive income 21 870 164 21 870 165 21 872 235
Equity instruments 29 643 29 644 29 643
Debt securities 21 840 521 21 840 521 21 842 592
Loans and advances to customers 69 754 938 69 754 938 70 100 851
Mandatorily at fair value through profit or loss 1 498 195 1 498 195
Valued at amortised cost 68 256 743 68 256 743
Financial assets at amortised cost other than Loans and advances to customers 1 037 869 1 037 869 826 117 205 425
Debt securities 48 153 48 153 48 193
Deposits, loans and advances to banks and other monetary institutions 784 277 784 277 777 923
Repurchase agreements 205 439 205 439 205 425
Derivatives – Hedge accounting 43 159 43 159 55 000
Investments in subsidiaries, joint ventures and associates 0 0
Tangible assets 666 330 666 330 666 330
Intangible assets 342 653 342 653 342 653
Tax assets 541 828 541 828 533 129
Current tax assets 10 310 10 310
Deferred tax assets 531 518 531 518 533 129
Other assets 399 778 399 778 402 383
Non-current assets and disposal groups classified as held for sale 39 441 39 442 39 442
Total assets 98 055 942 98 055 945 98 030 602 370 158
XLS
LIABILITIES AND EQUITY (PLN thous.) Carrying values as reported in published financial statements Carrying values under scope of regulatory consolidation Subject to the credit risk framework Subject to the CCR framework Subject to the securitization framework Subject to the market risk framework nie podlegająca wymogom lub odejmowana od kapitału
LIABILITIES
Financial liabilities held for trading 353 000 353 000
Derivatives 150 735 150 735
Liabilities from short sale of securities 202 265 202 265
Financial liabilities measured at amortised cost 85 853 762 85 853 762
Liablities to banks and other monetary institutions 1 578 848 1 578 848
Liabilities to customers 81 454 765 81 454 765
Repurchase agreements 90 712 90 712
Debt securities issued 1 183 232 1 183 232
Subordinated debt 1 546 205 1 546 205
Derivatives – Hedge accounting 426 847 426 847
Provisions 304 726 304 726
Pending legal issues 251 333 251 333
Commitments and guarantees given 53 393 53 393
Tax liabilities 38 590 38 590
Current tax liabilities 38 590 38 590
Deferred tax liabilities 0 0
Other liabilities 2 137 498 2 137 498
Total Liabilities 89 114 423 89 114 423
EQUITY
Capital 1 213 117 1 213 117
Share premium 1 147 502 1 147 502
Accumulated other comprehensive income 70 093 70 093
Retained earnings 6 510 807 6 510 807
Total equity 8 941 519 8 941 519
Total equity and total liabilities 98 055 942 98 055 942

 

 

XLS
Positions
Total Subject to the credit risk framework Subject to the CCR framework Subject to the securitization framework Subject to the market risk framework
1 Assets carryiyng value amount under the scope of regulatory consolidation (as per template EU LI1) 98 055 942
2 Liabilities carryiyng value amount under the scope of regulatory consolidation (as per template EU LI1) 98 055 942
3 Total net amount under the regulatory scope of consolidation 98 055 942
4 Off-balance-sheet amounts 11 629 618
5 Differences (3+4-6) 60 231
6 Exposure amounts considered for regulatory purposes 109 745 791 109 375 633 370 158

Table EU LI3 – Outline of the differences in the scopes of consolidation (entity by entity)

Considering that used in the Group method of the accounting consolidation is the same as the method of regulatory consolidation, the Table EU LI3 (EBA/GL/2016/11) is not presented.

Table EU LIA –Explanations of differences between accounting and regulatory exposure amounts

Regarding Table 5, the aggregated amount of the difference between accounting and regulatory exposure amounts is insignificant and amounts to 0,05% of the amounts of accounting exposures, with amount of regulatory exposures higher by ca PLN 60 million.

The main difference between accounting and regulatory exposure amounts comes from the difference treatment of impairment. In financial statement an impairment amount is presented as at the closing date of 31st December, 2019. As for calculation of regulatory exposure amounts, art. 1 point 1 of Regulation (EU) No 183/2014 regarding specifying the calculation of specific and general credit risk adjustments was used. In accordance with that article, impairments and adjustments were included as at 30th June, 2019, that is on the day, when they reduced CET1 capital of the Group (the day of inclusion of first half of 2019 net profit into own funds). Other discrepancies result from solutions of an operational nature and / or are related to the finalized process of data integration after the merger with the former EB. Their significance and impact on reporting values is negligible and does not reduce the information value of the Disclosure.

Companies included in consolidation as at 31.12.2019 are presented in the following table:

XLS
Company

Activity domain

 Head office % of the Group’s capital share % of the Group’s voting share Recognition in financial statements
BANK MILLENNIUM SA banking services Warsaw Parent company
MILLENNIUM LEASING Sp. z o.o. leasing services Warsaw 100 100 full consolidation
MILLENNIUM DOM MAKLERSKI S.A. brokerage services Warsaw 100 100 full consolidation
MILLENNIUM TFI S.A. investment funds management Warsaw 100 100 full consolidation
MILLENNIUM SERVICE Sp. z o.o. rental and management of real estate, insurance and brokers activity Warsaw 100 100 full consolidation
MILLENNIUM GOODIE Sp. z o.o. web portals activity Warsaw 100 100 full consolidation
MILLENNIUM TELECOMMUNICATION SERVICES Sp. z o.o. financial operations on capital market, consulting services Warsaw 100 100 full consolidation
PIAST EXPERT Sp. z o.o. (in liquidation) marketing services Tychy 100 100 full consolidation
LUBUSKIE FABRYKI MEBLI S.A. (in liquidation) furniture manufacturer Świebodzin 50 (+1 akcja) 50 (+1 akcja) equity method valuation (*)
BG LEASING S.A. w bankrupcy leasing services Gdańsk 74 74 historical cost (*)
* Despite having a control over the companies Lubuskie Fabryki Mebli S.A. and BG Leasing S.A., due to insignificant nature of these companies from the realization of the primary goal of the consolidated financial statements point of view, which is the correct presentation of Group’s financial situation, the Group does not consolidate capital involvement in aforementioned enterpises.

As at 31 December 2019 none of the Group’s companies disclosed the capital shortage in relation to existing capital requirements.

Group considers that there are no current or foreseen material or legal impediment to the prompt transfer of own funds or repayment of liabilities among parent undertaking and its subsidiaries. (Art. 436.c)

Group did not receive from competent authorities waiver from application of prudential requirements on an individual basis, based on CRR art. 7. Group did not receive a permission of competent authorities, based on CRR art. 9. (art. 436.e)

The below table presents own funds components of Group as at 31.12.2019.

XLS
ID Item Amount
1 OWN FUNDS 9 668 540
1.1 TIER 1 CAPITAL 8 138 540
1.1.1 COMMON EQUITY TIER 1 CAPITAL 8 138 540
1.1.1.1 Capital instruments eligible as CET1 Capital 2 360 619
1.1.1.1.1 Paid up capital instruments 1 213 117
1.1.1.1.2 Memorandum item: Capital instruments not eligible 0
1.1.1.1.3 Share premium 1 147 502
1.1.1.1.4 (-) Own CET1 instruments 0
1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 0
1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 0
1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 0
1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 0
1.1.1.2 Retained earnings 333 623
1.1.1.2.1 Previous years retained earnings 0
1.1.1.2.2 Profit or loss eligible 333 623
1.1.1.2.2.1 Profit or loss attributable to owners of the parent 560 732
1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible -227 109
1.1.1.3 Accumulated other comprehensive income 70 093
1.1.1.4 Other reserves 5 721 172
1.1.1.5 Funds for general banking risk 228 902
1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 0
1.1.1.7 Minority interest given recognition in CET1 capital 0
1.1.1.8 Transitional adjustments due to additional minority interests 0
1.1.1.9 Adjustments to CET1 due to prudential filters -1 937
1.1.1.9.1 (-) Increases  in equity resulting from securitised assets 0
1.1.1.9.2 Cash flow hedge reserve 23 397
1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities 0
1.1.1.9.4 Fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities 0
1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation -25 334
1.1.1.10 (-) Goodwill -162 757
1.1.1.10.1 (-) Goodwill accounted for as intangible asset -162 757
1.1.1.10.2 (-) Goodwill included in the valuation of significant investments 0
1.1.1.10.3 Deferred tax liabilities associated to goodwill 0
1.1.1.11 (-) Other intangible assets -179 895
1.1.1.11.1 (-) Other intangible assets gross amount -179 895
1.1.1.11.2 Deferred tax liabilities associated to other intangible assets 0
1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities 0
1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses -351 983
1.1.1.14 (-) Defined benefit pension fund assets 0
1.1.1.14.1 (-) Defined benefit pension fund assets gross amount 0
1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets 0
1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use 0
1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital 0
1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital 0
1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250% risk weight 0
1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1250% risk weight 0
1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1250% risk weight 0
1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach. and can alternatively be subject to a 1250% risk weight 0
1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1250% risk weight 0
1.1.1.22 (-) CET1 instruments of financial sector entities where the institution does not have a significant investment 0
1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences 0
1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment 0
1.1.1.25 (-) Amount exceeding the 17.65% threshold 0
1.1.1.26 Other transitional adjustments to CET1 Capital 120 704
1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR 0
1.1.1.28 CET1 capital elements or deductions – other 0
1.1.2 ADDITIONAL TIER 1 CAPITAL 0
1.1.2.1 Capital instruments eligible as AT1 Capital 0
1.1.2.1.1 Paid up capital instruments 0
1.1.2.1.2 Memorandum item: Capital instruments not eligible 0
1.1.2.1.3 Share premium 0
1.1.2.1.4 (-) Own AT1 instruments 0
1.1.2.1.4.1 (-) Direct holdings of AT1 instruments 0
1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments 0
1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments 0
1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments 0
1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments 0
1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital 0
1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries 0
1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital 0
1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment 0
1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment 0
1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital 0
1.1.2.9 Other transitional adjustments to AT1 Capital 0
1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) 0
1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR 0
1.1.2.12 AT1 capital elements or deductions – other 0
1.2 TIER 2 CAPITAL 1 530 000
1.2.1 Capital instruments and subordinated loans eligible as T2 Capital 1 530 000
1.2.1.1 Paid up capital instruments and subordinated loans 1 530 000
1.2.1.2* Memorandum item: Capital instruments and subordinated loans not eligible 0
1.2.1.3 Share premium 0
1.2.1.4 (-) Own T2 instruments 0
1.2.1.4.1 (-) Direct holdings of T2 instruments 0
1.2.1.4.2 (-) Indirect holdings of T2 instruments 0
1.2.1.4.3 (-) Synthetic holdings of T2 instruments 0
1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments 0
1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans 0
1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital 0
1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries 0
1.2.5 IRB Excess of provisions over expected losses eligible 0
1.2.6 SA General credit risk adjustments 0
1.2.7 (-) Reciprocal cross holdings in T2 Capital 0
1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment 0
1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment 0
1.2.10 Other transitional adjustments to T2 Capital 0
1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) 0
1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR 0
1.2.13 T2 capital elements or deductions – other 0
Common Equity Tier1 Ratio (CET1) 16,91%
Total Capital Ratio (TCR) 20,09%

Table 8 Reconciliation of items of own funds and equity reported in the Yearly Financial Report (in PLN thous.)

XLS
Item Note of financial report Value in financial report Item in Table No. 7
Subordinated liabilities 35 1 546 205 1.2.1.1
Share capital 39 1 213 117 1.1.1.1.1
Capital from sale of shares over nominal value List of equity items page 10 1 147 502 1.1.1.1.3
Revaluation capital 39 70 093 1.1.1.3
Retained earnings 39 6 510 807 1.1.1.2
1.1.1.4
1.1.1.5
Total equity and subordinated liabilities reported in the audited financial report 10 487 724
Part of net result, which cannot be included in own funds as of reporting date for purposes of calculation of prudential standards -227 109 1.1.1.2.2.2
Goodwill -162 757 1.1.1.10
Gross amount of other intangible assets -179 895 1.1.1.11.1
Shortage of credit risk corrections in view of expected losses according to IRB approach -351 983 1.1.1.13
Transitional adjustments due to IFRS 9 120 704 1.1.1.26
Value correction due to requirements on prudential valuation -25 334 1.1.1.9.5
Correction by part of principal of subordinated liability. which cannot be included in own funds 0 1.2.1.1
Correction by interest accrued on subordinated liability -16 205 1.2.1.1
Provision for instruments hedging cash flows 23 397 1.1.1.9.2
Total own funds 9 668 540 1

Items non deducted from own funds

As at 31 December 2019 the Group did not make significant investments in financial sector entities, as mentioned in article 43 CRR.

In case of deferred tax assets, mentioned in article 38 CRR, their value constitutes 6.6% of adjusted Tier I and in consequence it is exempted from deductions in keeping with article 48 CRR. At the same time this amount was assigned a risk weight of 250% for purposes of calculation of capital requirements.

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