Financial and
ESG report 2020

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).

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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 2020, the LCR ratio was 161%). The amount and main components of the net outflow coverage ratio for the Group in 2020 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, 2020.

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) 31 December 2020 31 December 2020
Number of data points used in the calculation of averages 12 12
HIGH-QUALITY LIQUID ASSETS
1 Total high-quality liquid assets (HQLA) 24 006
CASH-OUTFLOWS
2 Retail deposits and deposits from small business customers, of which: 65 126 3 784
3 Stable deposits 48 231 2 412
4 Less stable deposits 10 808 1 372
5 Unsecured wholesale funding 17 594 7 892
6 Operational deposits (all counterparties) and deposits in networks of cooperative banks 0 0
7 Non-operational deposits (all counterparties) 17 569 7 867
8 Unsecured debt 25 25
9 Secured wholesale funding 0
10 Additional requirements 11 983 2 032
11 Outflows related to derivative exposures and other collateral requirements 866 866
12 Outflows related to loss of funding on debt products 0 0
13 Credit and liquidity facilities 11 117 1 166
14 Other contractual funding obligations 423 409
15 Other contingent funding obligations 1 067 1 067
16 TOTAL CASH OUTFLOWS 15 185
CASH-INFLOWS
17 Secured lending (eg reverse repos) 468 15
18 Inflows from fully performing exposures 2 426 1 874
19 Other cash inflows 39 39
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 2 933 1 928
EU-20a Fully exempt inflows 0 0
EU-20b Inflows Subject to 90% Cap 0 0
EU-20c Inflows Subject to 75% Cap 2 933 1 928
21 LIQUIDITY BUFFER 24 006
22 TOTAL NET CASH OUTFLOWS 13 257
23 LIQUIDITY COVERAGE RATIO (%) 181%
Note: Information calculated as the consolidated LCR simple month-end observations over the twelve months in 2020 (EBA/GL/2017/01).

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