Financial and
ESG report 2020

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.

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 1 460 289 1 460 289 1 461 440
Financial assets held for trading 423 846 423 846 269 709 171 415
Derivatives 154 188 154 188 171 415
Equity instruments 245,1179 245,1179 245,11791
Debt securities 269 413 269 413 269 464
Non-trading financial assets mandatorily at fair value through profit or loss, other than Loans and advances to customers 251 107 251 107 251 107
Equity instruments 200 772 200 772 200 772
Debt securities 50 335 50 335 50 335
Financial assets at fair value through other comprehensive income 18 642 615 18 642 615 18 645 168
Equity instruments 29 538 29 538 29 539
Debt securities 18 613 077 18 613 077 18 615 629
Loans and advances to customers 74 088 342 74 088 342 75 083 367
Mandatorily at fair value through profit or loss 1 615 753 1 615 753
Valued at amortised cost 72 472 589 72 472 589
Financial assets at amortised cost other than Loans and advances to customers 730 598 730 598 673 791 66 351
Debt securities 38 818 38 818 38 829
Deposits, loans and advances to banks and other monetary institutions 625 430 625 430 634 962
Repurchase agreements 66 350 66 350 66 351
Derivatives – Hedge accounting 21 795 21 795 21 795
Investments in subsidiaries, joint ventures and associates 0 0
Tangible assets 571 813 571 813 571 813
Intangible assets 384 781 384 781 384 780
Tax assets 665 939 665 939 662 058
Current tax assets 3 882 3 882
Deferred tax assets 662 057 662 057 662 058
Other assets 508 269 508 269 521 143
Non-current assets and disposal groups classified as held for sale 22 390 22 390 22 390
Total assets 97 771 785 97 771 785 98 546 765 259 560

 

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 Not subject to capital requirements or subject to deduction from capital
LIABILITIES
Financial liabilities held for trading 168 553 168 553
Derivatives 103 775 103 775
Liabilities from short sale of securities 64 778 64 778
Financial liabilities measured at amortised cost 84 915 527 84 915 527
Liablities to banks and other monetary institutions 1 057 652 1 057 652
Liabilities to customers 81 510 540 81 510 540
Repurchase agreements 248 566 248 566
Debt securities issued 558 560 558 560
Subordinated debt 1 540 209 1 540 209
Derivatives – Hedge accounting 738 850 738 850
Provisions 607 650 607 650
Pending legal issues 555 922 555 922
Commitments and guarantees given 51 728 51 728
Risk of COVID-19 0 0
Tax liabilities 30 843 30 843
Current tax liabilities 30 843 30 843
Deferred tax liabilities 0 0
Other liabilities 2 219 386 2 219 386
Total Liabilities 88 680 809 88 680 809
EQUITY
Capital 1 213 117 1 213 117
Own shares -21 -21
Share premium 1 147 502 1 147 502
Accumulated other comprehensive income 199 857 199 857
Retained earnings 6 530 521 6 530 521
Total equity 9 090 976 9 090 976
Total equity and total liabilities 97 771 785 97 771 785

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) 97 771 785
2 Liabilities carryiyng value amount under the scope of regulatory consolidation (as per template EU LI1) 97 771 785
3 Total net amount under the regulatory scope of consolidation 97 771 785
4 Off-balance-sheet amounts 14 177 193
5 Differences (3+4-6) (672 100)
6 Exposure amounts considered for regulatory purposes 112 621 078 112 361 517 259 560

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.

The main differences between accounting and regulatory exposure are as follow:

  • amounts comes from the difference treatment of impairment. In financial statement an impairment amount is presented as at the closing date of 31st December, 2020. 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 31st December, 2019, that is on the day, when they reduced CET1 own funds of the Group (inclusion of impairments and adjustments as at 31st December, 2020 will decrease the regulatory exposure by ca PLN 780 million);
  • not including a decrease of gross regulatory exposure of loans by part of provisions for legal risk of FX mortgage loans (that inclusion will reduce the regulatory exposure by ca PLN 196 million);
  • not including in off-balance sheet regulatory exposure an amount of ca PLN 324 million connected to mortgage loans, for which a positive credit decision has been made, but a loan account has not been opened yet (that inclusion will increase the regulatory exposure by ca PLN 324 million).

Companies included in consolidation as at 31.12.2020 are presented in the following table:

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 full consolidation
MILLENNIUM BANK HIPOTECZNY S.A. mortgage bank activities Warsaw 100 100 full consolidation
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 share) 50 (+1 share) equity method valuation(*)
* Despite having a control over the company Lubuskie Fabryki Mebli S.A., due to insignificant nature of this company 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 enterpise.

As at 31 December 2020 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 31.12.2020.

ID Item Amount
1 OWN FUNDS 9 968 996
1.1 TIER 1 CAPITAL 8 438 996
1.1.1 COMMON EQUITY TIER 1 CAPITAL 8 438 996
1.1.1.1 Capital instruments eligible as CET1 Capital 2 333 722
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 (21)
1.1.1.1.4.1 (-) Direct holdings of CET1 instruments (21)
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 (26 876)
1.1.1.2 Retained earnings 0
1.1.1.2.1 Previous years retained earnings 0
1.1.1.2.2 Profit or loss eligible 0
1.1.1.2.2.1 Profit or loss attributable to owners of the parent 22 817
1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible (22 817)
1.1.1.3 Accumulated other comprehensive income 199 857
1.1.1.4 Other reserves 6 278 804
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 14 116
1.1.1.9.1 (-) Increases in equity resulting from securitised assets 0
1.1.1.9.2 Cash flow hedge reserve 35 981
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 (21 863)
1.1.1.10 (-) Goodwill (192 126)
1.1.1.10.1 (-) Goodwill accounted for as intangible asset (192 126)
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 (192 655)
1.1.1.11.1 (-) Other intangible assets gross amount (192 655)
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 (443 087)
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 211 463
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
01.01.2002 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) 16.50%
Total Capital Ratio (TCR) 19.49%

Reconciliation of items of own funds and equity reported in the audited financial report

Item Note of financial report Value in financial report Item in Table No. 7
Subordinated liabilities 35 1 540 209 1.2.1.1
Share capital 39 1 213 117 1.1.1.1.1
Own shares (21)
Capital from sale of shares over nominal value List of equity items page 10 1 147 502 1.1.1.1.3
Revaluation capital 39 199 857 1.1.1.3
Retained earnings 39 6 530 521 1.1.1.2
1.1.1.4
1.1.1.5
Total equity and subordinated liabilities reported in the audited financial report 10 631 185
Obligations to purchase own CET1 instruments (26 876) 1.1.1.1.5
Part of net result, which cannot be included in own funds as of reporting date for purposes of calculation of prudential standards (22 817) 1.1.1.2.2.2
Goodwill (192 126) 1.1.1.10
Gross amount of other intangible assets (192 655) 1.1.1.11.1
Shortage of credit risk corrections in view of expected losses according to IRB approach (443 087) 1.1.1.13
Transitional adjustments due to IFRS 9 211 463 1.1.1.26
Value correction due to requirements on prudential valuation (21 863) 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 (10 209) 1.2.1.1
Provision for instruments hedging cash flows 35 981 1.1.1.9.2
Total own funds 9 968 996 1

Items non deducted from own funds

As at 31 December 2020 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 7.8% 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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