2019 Financial
and Social Report

Exposure to liquidity risk

In accordance with the Regulation of the European Parliament and of the Council (EU) No. 575/2013 on prudential requirements for credit institutions and investment firms (CRR), the Group sets a liquidity coverage requirement (LCR). The net outflow coverage ratio is determined individually by each entity of the Group subject to the requirement to determine this ratio and consolidated for the Group.

The minimum, supervisory level of the 100% LCR ratio, which was in force in 2019, was met by the Group on each reporting date (at the end of December 2019, the LCR ratio was 171%). The amount and main components of the net outflow coverage ratio for the Group in 2019 are presented in the below table, in accordance with the guidelines on disclosure of the net coverage ratio in addition to disclosing information on liquidity risk management pursuant to art. 435 of Regulation (EU) No 575/2013 (EBA/GL/2017/01). The data presented were designated as simple averages from observations at the end of each month in the twelve-month period preceding December 31, 2019.

The Group recognizes derivative transactions as material (the total nominal value of such transactions exceeded 10% of the net liquidity outflow of the LCR). The liquidity risk in the unfavorable market scenario results from the change in the market value of derivative instruments, which creates liquidity needs due to coverage of margins. Both in stress scenarios and in the LCR approach, this additional liquidity requirement is included as the largest absolute flow of net hedges realized over a 30-day period over 24 months.

Detailed information on the strategy, organizational model and liquidity risk management process in the Bank Millennium SA Group. presented in the Annual Financial Report, in the part concerning liquidity risk management (Art. 435).

Scope of consolidation (solo/consolidated) Total unweighted value
(simple average)
Total weighted value
(simple average)
Currency and units (PLN million)
Quarter ending on (DD Month YYY) 2019-12-31 2019-12-31
Number of data points used in the calculation of averages 12 12
1 Total high-quality liquid assets (HQLA) 22 384
2 Retail deposits and deposits from small business customers, of which: 49 220 3 379
3 Stable deposits 37 348 1 867
4 Less stable deposits 11 872 1 511
5 Unsecured wholesale funding 15 543 7 297
6 Operational deposits (all counterparties) and deposits in networks of cooperative banks 0 0
7 Non-operational deposits (all counterparties) 15 522 7 276
8 Unsecured debt 22 22
9 Secured wholesale funding 0
10 Additional requirements 9 650 1 650
11 Outflows related to derivative exposures and other collateral requirements 666 666
12 Outflows related to loss of funding on debt products 0 0
13 Credit and liquidity facilities 8 984 984
14 Other contractual funding obligations 983 979
15 Other contingent funding obligations 722 722
17 Secured lending (eg reverse repos) 556 18
18 Inflows from fully performing exposures 2 379 1 878
19 Other cash inflows 9 9
EU-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) 0
EU-19b (Excess inflows from a related specialised credit institution) 0
20 TOTAL CASH INFLOWS 2 944 1 905
EU-20a Fully exempt inflows 0 0
EU-20b Inflows Subject to 90% Cap 0 0
EU-20c Inflows Subject to 75% Cap 2 944 1 905
Information calculated as the consolidated LCR simple month-end observations over the twelve months in 2019 (EBA/GL/2017/01).
The LCR value as at 2019-12-31 was equal to 171%

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