.
FINANCIAL HIGHLIGHTS |
PLN k |
EUR k |
|||
|
|
31.12.2023 |
31.12.2022* restated |
31.12.2023 |
31.12.2022* restated |
Separate financial statement |
|||||
I |
Net interest income |
11 439 587 |
8 040 542 |
2 526 187 |
1 715 023 |
II |
Net fee and commission income |
2 385 799 |
2 277 921 |
526 853 |
485 874 |
III |
Profit before tax |
6 396 302 |
3 598 278 |
1 412 486 |
767 502 |
IV |
Profit for the period |
4 672 978 |
2 449 043 |
1 031 927 |
522 373 |
V |
Total net cash flows |
(791 936) |
16 460 847 |
(174 882) |
3 511 048 |
VI |
Total assets |
252 401 201 |
236 448 051 |
58 049 954 |
50 416 438 |
VII |
Deposits from banks |
2 668 293 |
2 245 128 |
613 683 |
478 716 |
VIII |
Deposits from customers |
195 365 937 |
185 655 260 |
44 932 368 |
39 586 187 |
IX |
Total liabilities |
222 915 704 |
211 802 781 |
51 268 561 |
45 161 471 |
X |
Total equity |
29 485 497 |
24 645 270 |
6 781 393 |
5 254 967 |
XI |
Number of shares |
102 189 314 |
102 189 314 |
|
|
XII |
Net book value per share in PLN/EUR |
288,54 |
241,17 |
66,36 |
51,42 |
XIII |
Capital ratio |
21,24% |
22,32%** |
|
|
XIV |
Profit per share in PLN/EUR |
45,73 |
23,97 |
10,10 |
5,11 |
XV |
Diluted earnings per share in PLN/EUR |
45,73 |
23,97 |
10,10 |
5,11 |
XVI |
Declared or paid dividend per share in PLN/EUR** |
23,25*** |
2,68 |
5,13 |
0,57 |
*Details in Note 2.5
**The data includes profits included in own funds, taking into account the applicable EBA guidelines
**Detailed information are described in Note 55.
The following rates were applied to determine the key EUR amounts for selected financial statements line items:
· for balance sheet items – average NBP exchange rate as at 31.12.2023: EUR 1 = PLN 4,3480 and as at 31.12.2022: EUR 1 = PLN 4,6899
· for profit and loss items – as at 31.12.2023 - the rate is calculated as the average of NBP exchange rates prevailing as at the last day of each month in 2023: EUR 1 = PLN 4,5284; as at 31.12.2022 - the rate is calculated as the average of NBP exchange rates prevailing as at the last day of each month in 2022: EUR 1 = PLN 4,6883
As at 31.12.2023, FX denominated balance sheet positions were converted into PLN in line with the NBP FX table no. 251/A/NBP/2023 dd. 29.12.2023
Separate Financial Statements of Santander Bank Polska for 2023
|
II. Separate statement of comprehensive income7
III. Separate statement of financial position8
IV. Separate statement of changes in equity9
V. Separate statement of cash flows10
VI. Additional notes to financial statements11
1. General information about issuer11
2. Basis of preparation of financial statements12
6. Net fee and commission income72
8. Net trading income and revaluation73
9. Gains (losses) from other financial securities73
11. Impairment allowances for expected credit losses74
13. General and administrative expenses75
14. Other operating expenses75
17. Cash and balances with central banks76
18. Loans and advances to banks77
19. Financial assets and liabilities held for trading78
21. Loans and advances to customers80
22. Securitisation of assets86
24. Investments in subsidiaries and associates89
Separate Financial Statements of Santander Bank Polska for 2023
|
34. Subordinated liabilities99
35. Debt securities in issue99
36. Provisions for financial liabilities and guarantees granted100
43. Sale and reverse sale and repurchase agreements111
44. Offsetting financial assets and financial liabilities112
46. Legal risk connected with CHF mortgage loans118
48. Assets and liabilities pledged as collateral125
49. Information about leases126
50. Statement of cash flows - additional information126
52. Acquisitions and disposals of investments in subsidiaries and associates130
54. Share based incentive scheme132
56. Operating segments reporting135
57. Events which occurred subsequently to the end of the reporting period135
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
for the period |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022* restated |
|
Interest income and similar to interest |
|
15 604 018 |
10 189 968 |
Interest income on financial assets measured at amortised cost |
|
13 240 163 |
8 151 748 |
Interest income on financial assets measured at fair value through other comprehensive income |
|
2 300 743 |
1 962 341 |
Income similar to interest on financial assets measured at fair value through profit or loss |
|
63 112 |
75 879 |
Interest expense |
|
(4 164 431) |
(2 149 426) |
Net interest income |
Note 5 |
11 439 587 |
8 040 542 |
Fee and commission income |
2 829 144 |
2 699 737 |
|
Fee and commission expense |
(443 345) |
(421 816) |
|
Net fee and commission income |
Note 6 |
2 385 799 |
2 277 921 |
Dividend income |
Note 7 |
241 567 |
172 181 |
Net trading income and revaluation |
Note 8 |
298 573 |
109 912 |
Gains (losses) from other financial securities |
Note 9 |
(12 363) |
(19 820) |
Gain/loss on derecognition of financial instruments measured at amortised cost |
Note 46 |
(316 773) |
(169 235) |
Other operating income |
Note 10 |
74 836 |
74 552 |
Impairment allowances for expected credit losses |
Note 11 |
(945 710) |
(798 605) |
Cost of legal risk associated with foreign currency mortgage loans |
Note 46 |
(2 081 557) |
(1 428 333) |
Operating expenses incl.: |
(3 936 495) |
(3 908 534) |
|
-Staff, operating expenses and management costs |
Note 12 and 13 |
(3 309 013) |
(3 378 652) |
-Amortisation of property, plant and equipment and Intangible assets |
(350 702) |
(321 549) |
|
-Amortisation of right of use asset |
(126 784) |
(125 382) |
|
-Other operating expenses |
Note 14 |
(149 996) |
(82 951) |
Tax on financial institutions |
(751 162) |
(752 303) |
|
Profit before tax |
6 396 302 |
3 598 278 |
|
Corporate income tax |
Note 15 |
(1 723 324) |
(1 149 235) |
Profit for the period |
4 672 978 |
2 449 043 |
|
Net earnings per share |
Note 16 |
|
|
Basic earnings per share (PLN/share) |
|
45,73 |
23,97 |
Diluted earnings per share (PLN/share) |
|
45,73 |
23,97 |
* details are described in Note 2.5
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
|
for the period: |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022* restated |
Net profit for the period |
|
4 672 978 |
2 449 043 |
Items that will be reclassified subsequently to profit or loss: |
|
2 347 063 |
(1 363 397) |
Revaluation and sales of debt financial assets measured at fair value through other comprehensive income gross |
Note 23 and 41 |
1 832 301 |
(1 332 664) |
Deferred tax |
|
(348 137) |
253 206 |
Revaluation of cash flow hedging instruments gross |
Note 41 and 48 |
1 065 307 |
(350 542) |
Deferred tax |
|
(202 408) |
66 603 |
Items that will not be reclassified subsequently to profit or loss: |
|
46 076 |
6 139 |
Revaluation of equity financial assets measured at fair value through other comprehensive income gross |
Note 23 and 41 |
72 166 |
8 050 |
Deferred and current tax |
|
(13 712) |
(1 529) |
Provision for retirement benefits – actuarial gains/losses gross |
Note 41 and 54 |
(15 282) |
(472) |
Deferred tax |
|
2 904 |
90 |
Total other comprehensive income, net |
2 393 139 |
(1 357 258) |
|
TOTAL COMPREHENSIVE INCOME FOR THE PERIOD |
|
7 066 117 |
1 091 785 |
* Details in note 2.5
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
|
as at: |
31.12.2023 |
31.12.2022* restated |
ASSETS |
|
|
|
Cash and balances with central banks |
Note 17 |
8 275 110 |
10 135 099 |
Loans and advances to banks |
Note 18 |
9 048 400 |
9 709 800 |
Financial assets held for trading |
Note 19 |
8 941 960 |
6 879 751 |
Hedging derivatives |
Note 20 |
1 559 374 |
537 924 |
Loans and advances to customers incl.: |
Note 21 |
140 903 101 |
134 842 828 |
- measured at amortised cost |
|
138 093 756 |
132 062 037 |
- measured at fair value through other comprehensive income |
|
2 798 234 |
2 628 660 |
- measured at fair value through profit and loss |
|
11 111 |
152 131 |
Reverse sale and repurchase agreements |
Note 43 |
12 676 594 |
13 824 606 |
Investment securities incl.: |
Note 23 |
62 952 586 |
50 086 938 |
- debt securities measured at fair value through other comprehensive income |
|
44 814 032 |
46 609 817 |
- debt securities measured at fair value through profit and loss |
|
- |
62 907 |
- debt investment securities measured at amortised cost |
|
17 866 218 |
3 156 009 |
- equity securities measured at fair value through other comprehensive income |
|
272 336 |
200 170 |
- equity securities measured at fair value through profit and loss |
|
- |
58 035 |
Assets pledged as collateral |
Note 48 |
271 933 |
2 157 372 |
Investments in subsidiaries and associates |
Note 24 |
2 377 407 |
2 377 407 |
Intangible assets |
Note 25 |
730 461 |
625 519 |
Goodwill |
Note 26 |
1 688 516 |
1 688 516 |
Property, plant and equipment |
Note 27 |
472 100 |
497 686 |
Right of use asset |
Note 28 |
449 610 |
437 342 |
Deferred tax assets |
Note 29 |
986 915 |
1 718 293 |
Fixed assets classified as held for sale |
Note 30 |
4 308 |
4 308 |
Other assets |
Note 31 |
1 062 826 |
924 662 |
Total assets |
252 401 201 |
236 448 051 |
|
LIABILITIES AND EQUITY |
|
|
|
Deposits from banks |
Note 32 |
2 668 293 |
2 245 128 |
Hedging derivatives |
Note 20 |
829 565 |
1 872 039 |
Financial liabilities held for trading |
Note 19 |
8 834 034 |
7 117 867 |
Deposits from customers |
Note 33 |
195 365 937 |
185 655 260 |
Sale and repurchase agreements |
Note 43 |
273 547 |
2 158 520 |
Subordinated liabilities |
Note 34 |
2 585 476 |
2 705 885 |
Debt securities in issue |
Note 35 |
5 929 056 |
5 899 300 |
Lease liabilities |
Note 49 |
484 012 |
516 881 |
Current income tax liabilities |
|
1 127 618 |
85 412 |
Provisions for financial liabilities and guarantees granted |
Note 36 |
151 294 |
74 012 |
Other provisions |
Note 37 |
741 677 |
463 657 |
Other liabilities |
Note 38 |
3 925 195 |
3 008 820 |
Total liabilities |
222 915 704 |
211 802 781 |
|
Equity |
|
|
|
Share capital |
Note 39 |
1 021 893 |
1 021 893 |
Other reserve capital |
Note 40 |
23 369 548 |
22 305 509 |
Revaluation reserve |
Note 41 |
(275 166) |
(2 668 305) |
Retained earnings |
|
696 244 |
1 537 130 |
Profit for the period |
|
4 672 978 |
2 449 043 |
Total equity |
29 485 497 |
24 645 270 |
|
Total liabilities and equity |
|
252 401 201 |
236 448 051 |
* details in note 2.5
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Statement of changes in equity |
Share capital |
Own shares |
Other reserve capital |
Revaluation reserve |
Retained earnings and profit for the period |
Total |
Note |
39 |
|
40 |
41 |
|
|
As at the beginning of the period as previously reported |
1 021 893 |
- |
22 305 509 |
(1 018 315) |
3 986 173 |
26 295 260 |
Reclassification of specific bonds portfolio as at the beginning of the period* |
- |
- |
- |
(1 649 990) |
- |
(1 649 990) |
As at the beginning of the period as restated |
1 021 893 |
- |
22 305 509 |
(2 668 305) |
3 986 173 |
24 645 270 |
Total comprehensive income |
- |
- |
- |
2 393 139 |
4 672 978 |
7 066 117 |
Profit for the period |
- |
- |
- |
- |
4 672 978 |
4 672 978 |
Other comprehensive income |
- |
- |
- |
2 393 139 |
- |
2 393 139 |
Inclusion of share based incentive scheme |
- |
- |
198 912 |
- |
- |
198 912 |
Purchase of own shares |
- |
(48 884) |
- |
- |
- |
(48 884) |
Settlement of the purchase of own shares under share based incentive scheme |
- |
48 884 |
(48 249) |
- |
- |
635 |
Profit allocation to other reserve capital |
- |
- |
3 289 929 |
- |
(3 289 929) |
- |
Interim dividend |
- |
- |
(2 375 902) |
- |
- |
(2 375 902) |
Other changes |
- |
- |
(651) |
- |
- |
(651) |
As at the end of the period |
1 021 893 |
- |
23 369 548 |
(275 166) |
5 369 222 |
29 485 497 |
* Details in note 2.5
Statement of changes in equity |
Share capital |
Own shares |
Other reserve capital |
Revaluation reserve |
Retained earnings and profit for the period |
Total |
Note |
39 |
|
40 |
41 |
|
|
As at the beginning of the period |
1 021 893 |
- |
20 790 808 |
(1 311 047) |
3 325 698 |
23 827 352 |
Total comprehensive income |
- |
- |
- |
(1 357 258) |
2 449 043 |
1 091 785 |
Profit for the period |
- |
- |
- |
- |
2 449 043 |
2 449 043 |
Other comprehensive income* |
- |
- |
- |
(1 357 258) |
- |
(1 357 258) |
Profit allocation to other reserve capital |
- |
- |
1 514 701 |
- |
(1 514 701) |
- |
Profit allocation to dividends |
- |
- |
- |
- |
(273 867) |
(273 867) |
As at the end of the period |
1 021 893 |
- |
22 305 509 |
(2 668 305) |
3 986 173 |
24 645 270 |
* Details in note 2.5
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
for the period |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022* |
Cash flows from operating activities |
|
|
Profit before tax |
6 396 302 |
3 598 278 |
Adjustments for: |
|
|
Depreciation/amortisation |
477 486 |
446 931 |
Net gains on investing activities |
6 769 |
18 291 |
Interest accrued excluded from operating activities |
(2 011 345) |
(1 584 492) |
Dividends |
(240 269) |
(171 242) |
Impairment losses (reversal) |
4 390 |
12 158 |
Changes in: |
|
|
Provisions |
355 302 |
124 632 |
Financial assets / liabilities held for trading |
(416 804) |
338 496 |
Assets pledged as collateral |
(110 353) |
21 462 |
Hedging derivatives |
(1 285 031) |
(175 256) |
Loans and advances to banks |
1 644 598 |
(3 005 112) |
Loans and advances to customers |
(17 751 486) |
(18 141 728) |
Deposits from banks |
524 521 |
993 419 |
Deposits from customers |
13 301 911 |
12 203 847 |
Buy-sell/ Sell-buy-back transactions |
(3 976 188) |
2 177 770 |
Other assets and liabilities |
1 269 265 |
455 901 |
Interest received on operating activities |
12 438 286 |
7 898 958 |
Interests paid on operating activities |
(4 101 274) |
(2 243 194) |
Paid income tax |
(511 093) |
(683 462) |
Net cash flows from operating activities |
6 014 987 |
2 285 657 |
Cash flows from investing activities |
|
|
Inflows |
14 663 141 |
17 712 343 |
Sale/maturity of investment securities |
12 259 146 |
16 255 502 |
Sale of intangible assets and property, plant and equipment |
13 048 |
35 821 |
Dividends received |
240 269 |
171 242 |
Interest received |
2 150 678 |
1 249 778 |
Outflows |
(18 883 143) |
(3 978 441) |
Purchase of investment securities |
(18 433 175) |
(3 625 654) |
Purchase of intangible assets and property, plant and equipment |
(449 968) |
(352 787) |
Net cash flows from investing activities |
(4 220 002) |
13 733 902 |
Cash flows from financing activities |
|
|
Inflows |
6 032 802 |
2 325 350 |
Debt securities in issue |
5 865 760 |
2 325 350 |
Drawing of loans |
167 042 |
- |
Outflows |
(8 619 723) |
(1 884 062) |
Debt securities buy out |
(5 605 700) |
(1 219 340) |
Repayment of loans and advances |
(87 560) |
(75 149) |
Repayment of lease liabilities |
(154 407) |
(152 101) |
Dividends to shareholders |
(2 375 902) |
(273 867) |
Purchase of own shares |
(48 884) |
- |
Interest paid |
(347 270) |
(163 605) |
Net cash flows from financing activities |
(2 586 921) |
441 288 |
Total net cash flows |
(791 936) |
16 460 847 |
- including change resulting from FX differences |
(964 375) |
302 120 |
Cash and cash equivalents at the beginning of the accounting period |
34 490 824 |
18 029 977 |
Cash and cash equivalents at the end of the accounting period |
33 698 888 |
34 490 824 |
* Details in note 2.5
Information regarding liabilities arising from financing activities relating to loans received, subordinated liabilities and the issue of debt securities were presented respectively in notes 32-35.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Santander Bank Polska SA is a bank located in Poland, 00-854 Warszawa, al. Jana Pawła II 17, National Court Registry identification number is 0000008723, TIN os 896-000-56-73, National Official Business Register number (REGON) is 930041341.
On 7.09.2018, the District Court for Wrocław-Fabryczna in Wrocław, VI Economic Unit of the National Court Register, entered into the register of entrepreneurs changes in the Bank’s statute resulting in, among others, the change of the Bank's name from the Bank Zachodni WBK SA to Santander Bank Polska SA.
The immediate and ultimate parent entity of Santander Bank Polska SA is Banco Santander, having its registered office in Santander, Spain.
Santander Bank Polska SA offers a wide range of banking services to individual and business customers and operates in domestic and interbank foreign markets. It also offers the following services:
· intermediation in trading in securities,
· leasing,
· factoring,
· asset/ fund management,
· insurance distribution services,
· trading in shares of commercial companies,
· brokerage services.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
2.1. Statement of compliance
These standalone financial statements of Santander Bank Polska S.A. were prepared in accordance with the International Financial Reporting Standards (IFRS) as adopted by the European Union, which are applied on a consistent basis, as at 31 December 2023, and in the case of matters not governed by the above Standards, in accordance with the provisions of the Accounting Act of 29 September 1994 (consolidated text: Journal of Law 2023, item 120) and related implementing acts as well as the requirements imposed on issuers whose securities are admitted to trading on regulated markets or issuers who have applied to have securities admitted to trading on regulated markets outlined in the Act of 29 July 2005 on Public Offering, on Conditions for the Introduction of Financial Instruments to the Organized Trading System and on Public Companies.
These financial statements have been approved for publication by the Management Board of Santander Bank Polska S.A. on 15.02.2024.
The separate financial statements of Santander Bank Polska SA are published on the same date as the consolidated financial statements of the Santander Bank Polska SA Group and are required by law.
2.2. Basis of preparation of financial statements
These standalone financial statements have been prepared on the assumption that the Bank will continue as going concern in the foreseeable future, i.e. for a period of at least 12 months from the date on which these financial statements were prepared.
In its assessment, the Management Board considered, inter alia, the impact of current situation in Ukraine and has determined that it does not create material uncertainty about the Bank's ability to continue as a going concern.
Standalone financial statements are presented in PLN, rounded to the nearest thousand.
These financial statements of Santander Bank Polska S.A. have been prepared in accordance with the International Financial Reporting Standards (IFRS) adopted by the European Union and in accordance with following measurement rules:
Item |
Balance sheet valuation rules |
Held-for-trading financial instruments |
Fair value through profit or loss |
Loans and advances to customers which meet the contractual cash flows test |
Amortized cost |
Loans and advances to customers which do not meet the contractual cash flows test |
Fair value through profit or loss |
Financial instruments measured at fair value through other comprehensive income |
Fair value through other comprehensive income |
Share-based payment transactions |
According to IFRS 2 "Share-based payment" requirements |
Equity investment financial assets |
Fair value through other comprehensive income – an option |
Equity financial assets-trading |
Fair value through profit or loss |
Debt securities measured at fair value through profit or loss |
Fair value through profit or loss |
Non-current assets |
The purchase price or production cost reduced by total depreciation charges and total impairment losses |
Right of use assets (IFRS 16) |
Initial measurement reduced by total depreciation charges and total impairment losses |
Non-current assets held for sale and groups of non-current assets designated as held for sale |
Are recognised at the lower of their carrying amount and their fair value less costs of disposal. |
The same accounting principles were applied as in the case of the standalone financial statements for the period ending 31 December 2022, except for changes in accounting standards p. 2.4.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
2.3. New standards and interpretations or changes to existing standards or interpretations which can be applicable to Santander Bank Polska S.A. and are not yet effective and have not been early adopted.
.
IFRS |
Nature of changes |
Effective from |
Influence on Santander Bank Polska S.A. |
Amendments to IAS 1 |
The amendments affect requirements for the presentation of liabilities. Specifically, they clarify one of the criteria for classifying a liability as non-current. |
1 January 2024 |
The amendment will not have a significant impact on financial statements. |
Amendments to IFRS 16 |
Change in the calculation of the lease liability in sale and leaseback transactions. |
1 January 2024 |
The amendment will not have a significant impact on financial statements. |
Amendments to IAS 7/ IFRS 7: Supplier Finance Agreements |
Amendments require an entity to disclose qualitative and quantitative information about its supplier finance programs, such as terms and conditions – including, for example, extended payment terms and security or guarantees provided. |
1 January 2024 |
The amendment will not have a significant impact on financial statements.* |
Amendments to IAS 21: Lack of Exchangeability |
Amendments require disclosure of information that enables users of financial statements to understand the impact of a currency not being exchangeable. |
1 January 2025 |
The amendment will not have a significant impact on financial statements.* |
*New standards and amendments to the existing standards issued by the IASB, but not yet adopted by EU.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
2.4. Standards and interpretations or changes to existing standards or interpretations which were applied for the first time in the accounting year 2023
IFRS |
Nature of changes |
Effective from |
Influence on Santander Bank Polska S.A. |
IFRS 17 Insurance Contracts |
IFRS 17 defines a new approach to the recognition, valuation, presentation and disclosure of insurance contracts. The main purpose of IFRS 17 is to guarantee the transparency and comparability of insurers’ financial statements. In order to meet this requirement the entity will disclose a lot of quantitative and qualitative information enabling the users of financial statements to assess the effect that insurance contracts have on the financial position, financial performance and cash flows of the entity. IFRS 17 introduces a number of significant changes in relation to the existing requirements of IFRS 4. They concern, among others: aggregation levels at which the calculations are made, methods for the valuation of insurance liabilities, recognition a profit or loss over the period , reassurance recognition, separation of the investment component and presentation of particular items of the balance sheet and profit and loss account of reporting units including the separate presentation of insurance revenues, insurance service expenses and insurance finance income or expenses. |
1 January 2023 |
The Bank does not identify contracts that meet the definition of an insurance contract under IFRS 17, therefore IFRS 17 does not affect financial statements. |
Amendments to IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors |
Amendments to IAS 8 include definition of accounting estimates, which should help to distinguish between accounting policies and accounting estimates. |
1 January 2023 |
The amendment does not have a significant impact on financial statements. |
Amendments to IAS 12 |
Amendments clarify how companies account for deferred tax on transactions such as leases and decommissioning obligations. |
1 January 2023 |
The amendment does not have a significant impact on financial statements. |
Amendments to IAS 1 |
The amendment concern accounting policy disclosures with regard to the scope of such disclosures. |
1 January 2023 |
The amendment does not have a significant impact on financial statements. The Bank conducted an analysis of its accounting policies and some of the disclosures were removed. |
2.5. Comparability of previous periods
Change in the classification of the specific bond portfolio – error correction
In Q1 2022, the Bank’s Management Board reviewed the assets and liabilities management policy and changed the classification of the specific bond portfolio.
On 1 April 2022, debt securities measured at fair value through other comprehensive income of PLN 10,521.72m were reclassified and the related fair value adjustment was reversed. Additionally, the related deferred tax asset of PLN 353.11m was derecognised. Debt investment securities measured at amortised cost of PLN 12,380.19m were recognised. The changes resulted in an increase of PLN 1,505.36m in net other comprehensive income.
Detailed information about the reclassification was presented in the condensed consolidated financial statements for H1 2022 and the consolidated financial statements for 2022.
In Q4 2023, the Bank received a letter from the Polish Financial Supervision Authority (KNF) recommending that:
1. when preparing subsequent consolidated and separate financial statements and condensed consolidated and separate financial statements, the Bank should:
· classify the bond portfolio as financial assets measured at fair value through other comprehensive income;
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
· reverse the effects of the reclassification made in 2022; and
2. when preparing the consolidated and separate financial statements for 2023, the Bank should correct the comparative amounts for 2022 to account for the recommendation referred to in point I in accordance with paragraph 42(a) of IAS 8.
The Bank’s Management Board thoroughly analysed the regulatory recommendation and decided to implement it when preparing the financial statements for 2023. Accordingly, the Bank made a retrospective correction in these separate financial statements and classified again the portfolio of selected bonds as financial assets measured at fair value through other comprehensive income. The impact of the above correction on the published financial statements as at 31 December 2022 is presented below.
Items in the separate income statement
|
for the period: 1.01.2022 - 31.12.2022 |
||
|
before |
adjustment |
after |
Interest income and similar to income |
10 189 968 |
- |
10 189 968 |
Interest income on financial assets measured at amortised cost |
8 305 893 |
(154 145) |
8 151 748 |
Interest income on financial assets measured at fair value through other comprehensive income |
1 808 196 |
154 145 |
1 962 341 |
Income similar to interest on financial assets measured at fair value through profit or loss |
75 879 |
- |
75 879 |
Items in the separate statement of comprehensive income
for the period: 1.01.2022-31.12.2022 |
|||
|
before |
adjustment |
after |
Net profit for the period |
2 449 043 |
- |
2 449 043 |
Items that will be reclassified subsequently to profit or loss: |
286 593 |
(1 649 990) |
(1 363 397) |
Revaluation and sales of debt financial assets measured at fair value through other comprehensive income gross |
704 361 |
(2 037 025) |
(1 332 664) |
Deferred tax |
(133 829) |
387 035 |
253 206 |
Revaluation of cash flow hedging instruments gross |
(350 542) |
- |
(350 542) |
Deferred tax |
66 603 |
- |
66 603 |
Items that will not be reclassified subsequently to profit or loss |
6 139 |
- |
6 139 |
Total other comprehensive income, net |
292 732 |
(1 649 990) |
(1 357 258) |
TOTAL COMPREHENSIVE INCOME FOR THE PERIOD |
2 741 775 |
(1 649 990) |
1 091 785 |
Items in the separate statement of financial position
as at: 31.12.2022 |
|||
|
before |
adjustment |
after |
Investment securities incl.: |
52 123 963 |
(2 037 025) |
50 086 938 |
- debt securities measured at fair value through other comprehensive income |
36 303 503 |
10 306 314 |
46 609 817 |
- debt investment securities measured at amortised cost |
15 499 348 |
(12 343 339) |
3 156 009 |
Deferred tax assets |
1 331 258 |
387 035 |
1 718 293 |
Total assets |
238 098 041 |
(1 649 990) |
236 448 051 |
Revaluation reserve |
(1 018 315) |
(1 649 990) |
(2 668 305) |
Total equity |
26 295 260 |
(1 649 990) |
24 645 270 |
Total liabilities and equity |
238 098 041 |
(1 649 990) |
236 448 051 |
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Items in the separate statement of changes in equity
|
for the period: 1.01.2022-31.12.2022 |
|
||||
Revaluation reserve |
Total |
Revaluation reserve |
Total |
|||
|
before |
before |
adjustment |
after |
after |
|
As at the beginning of the period |
(1 311 047) |
23 827 352 |
- |
(1 311 047) |
23 827 352 |
|
Total comprehensive income |
292 732 |
2 741 775 |
(1 649 990) |
(1 357 258) |
1 091 785 |
|
Other comprehensive income |
292 732 |
292 732 |
(1 649 990)* |
(1 357 258) |
(1 357 258) |
|
As at the end of the period |
(1 018 315) |
26 295 260 |
(1 649 990) |
(2 668 305) |
24 645 270 |
|
*Item includes revaluation and sales of debt financial assets measured at fair value through other comprehensive income gross in the amount of PLN (2,037,025)k and deferred tax in the mount of PLN 387,035k.
.
2.6 Use of estimates
Preparation of financial statement in accordance with the IFRS requires the management to make subjective judgements and assumptions, which affects the applied accounting principles as well as presented assets, liabilities, revenues and expenses.
The estimates and assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which form the basis of making the judgments about carrying amounts of assets and liabilities that are not readily apparent from other sources.
The estimates and assumptions are reviewed on an ongoing basis. Changes to estimates are recognised in the period in which the estimate is changed if the change affects only that period, or in the period of the change and future periods if the change affects both current and future periods.
Key estimates include:
· Allowances for expected credit losses
· Fair value of financial instruments
· Estimates for legal claims
· Estimates of risk arising from mortgage loans in foreign currencies
· Estimates of commission reimbursement for mortgage loans in the event of early repayment
The IFRS 9 approach is based on estimation of the expected credit loss (ECL). ECL allowances reflect an unbiased and probability-weighted amount that is determined by evaluating a range of possible outcomes, the time value of money; and reasonable and supportable information that is available without undue cost or effort at the reporting date about past events, current conditions and forecasts of future economic conditions. ECL allowances are measured at an amount equal to a 12-month ECL or the lifetime ECL, when it is deemed there has been a significant increase in credit risk since initial recognition (Stage 2) or impairment (Stage 3). Accordingly, the ECL model gives rise to measurement uncertainty, especially in relation to:
· measurement of a 12-month ECL or the lifetime ECL;
· determination of whether/when a significant increase in credit risk occurred;
· determination of any forward-looking information reflected in ECL estimation, and their likelihood.
As a result, ECL allowances are estimated using the adopted model developed using many inputs and statistical techniques. Structure of the models that are used for the purpose of ECL estimation consider models for the following parameters:
· PD - Probability of Default, i.e. the estimate of the likelihood of default over a given time horizon (12-month or lifetime);
· LGD - Loss Given Default, i.e. the part of the exposure amount that would be lost in the event of default;
· EAD – Exposure at Default, i.e. expectation for the amount of exposure in case of default event in a given horizon 12-month or lifetime.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Changes in these estimates and the structure of the models may have a significant impact on ECL allowances.
In accordance with IFRS 9, the recognition of expected credit losses depends on changes in credit risk level which occur after initial recognition of the exposure. The standard defines three main stages for recognising expected credit losses:
· Stage 1 – exposures with no significant increase in credit risk since initial recognition, i.e. the likelihood of the exposure being downgraded to the impaired portfolio (Stage 3 exposures) has not increased. For such exposures, 12-month expected credit losses are recognised.
· Stage 2 – exposures with a significant increase in credit risk since initial recognition, but with no objective evidence of impairment. For such exposures, lifetime expected credit losses are recognised.
· Stage 3: exposures for which the risk of default has materialised (objective evidence of impairment has been identified). For such exposures, lifetime expected credit losses are recognised.
For the purpose of the collective evaluation of ECL, financial assets are grouped on the basis of similar credit risk characteristics that indicate the debtors' ability to pay all amounts due according to the contractual terms (for example, on the basis of the Bank’s credit risk evaluation or the rating process that considers asset type, industry, geographical location, collateral type, past-due status and other relevant factors). The characteristics chosen are relevant to the estimation of future cash flows for groups of such assets by being indicative of the debtors' ability to pay all amounts due according to the contractual terms of the assets being evaluated. The rating/scoring systems have been internally developed and are continually being enhanced, e.g through external analysis that helps to underpin the aforementioned factors which determine the estimates of impairment charges.
In the individual approach, the ECL charge was determined based on the calculation of the total probability-weighted impairment charges estimated for all the possible recovery scenarios, depending on the recovery strategy currently expected for the customer.
In the scenario analysis, the key strategies / scenarios used were as follows:
· Recovery from the operating cash flows / refinancing / capital support;
· Recovery through the voluntary liquidation of collateral;
· Recovery through debt enforcement;
· Recovery through systemic bankruptcy/recovery proceeding/liquidation bankruptcy;
· Recovery by take-over of the debt / assets / sale of receivables
· Recovery as part of legal restructuring.
In addition, for exposures classified as POCI (purchased or originated credit impaired) - i.e. purchased or orginated financial assets that are impaired due to credit risk upon initial recognition, expected credit losses are recognized over the remaining life horizon. Such an asset is created when impaired assets are initially recognized and the POCI classification is maintained over the life of the asset.
A credit-impaired assets
Credit-impaired assets are classified as Stage 3 or POCI. A financial asset or a group of financial assets are impaired if, and only if, there was objective evidence of impairment as a result of one or more events that occurred after the initial recognition of the asset or asset was recognized as POCI and that impairment event (or events) had an impact on the estimated future cash flows of the financial asset or group of financial assets that could be reliably estimated. It may not be possible to identify a single event that caused the impairment, rather the combined effect of several events may have caused the impairment. Objective evidence that a financial asset or group of assets was impaired includes observable data:
· significant financial difficulty of the issuer or debtor;
· a breach of contract, e.g. delay in repayment of interest or principal over 90 days in an amount exceeding the materiality threshold (PLN 400 for individual and small and medium-sized enterprises and PLN 2,000 for business and corporate clients) and at the same time relative thresholds (above 1% of the amount past due in relation to the balance sheet amount);
· the Santander Bank Polska S.A., for economic or legal reasons relating to the debtor's financial difficulty, granting to the debtor a concession that the Santander Bank Polska S.A. would not otherwise consider, which fulfil below criteria:
(1) restructuring transactions classified in the Stage 3 category (before restructuring decision),
(2) transactions restructured in the contingency period that meet the criteria for reclassification to the Stage 3 (quantitative and/or qualitative),
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
(3) transactions restructured during the contingency period previously classified as non-performing due to observed customer financial difficulties, have been restructured again or are more than 30 days past due,
(4) restructured transactions, where contractual clauses have been applied that defer payments through a grace period for repayment of the principal for a period longer than two years,
(5) restructured transactions including debt write-off, interest grace periods or repaid in installments without contractual interest,
(6) restructured transactions, where there was a decrease in the net present value of cash flows (NPV) of at least 1% compared to the NPV before the application of the forbearance measures,
(7) transactions where there is a repeated failure to comply with the established payment plan of previous forbearances that has led to successive forbearances of the same exposure (transaction),
(8) transactions where:
· inadeguate rerepayment schedules were applied, which are related to, inter alia, repeated situations of non-compliance with the schedule, changes in the repayment schedule in order to avoid situations of non-compliance with it, or
· a rep ayment schedule that is based on expectations, unsupported by macroeconomic forecasts or credible assumptions about the borrower's ability or willingness to repay was applied
(9) transactions for which the Bank has reasonable doubts as to the probability of payment by the customer.
· it becoming probable that the debtor will enter bankruptcy, recovery proceedings, arrangement or other financial reorganisation;
· the disappearance of an active market for that financial asset because of financial difficulties;
· exposures subject to the statutory moratorium, the so-called Shield 4.0 (Act of 19 June 2020 on interest subsidies for bank loans granted to entrepreneurs affected by COVID-19) - application of a moratorium on the basis of a declaration of loss of source of income.
Impaired exposures (Stage 3) can be reclassified to Stage 2 or Stage 1 if the reasons for their classification to Stage 3 have ceased to apply (particularly if the borrower’s economic and financial standing has improved) and a probation period has been completed (i.e. a period of good payment behaviour meaning the lack of arrears above 30 days), subject to the following:
· In the case of individual customers, the probation period is 180 days.
· In the case of SME customers, the probation period is 180 days, and assessment of the customer’s financial standing and repayment capacity is required in some cases. However, the exposure cannot be reclassified to Stage 1 or 2 in the case of fraud, client`s death, discontinuation of business, bankruptcy, or pending restructuring/ liquidation proceedings.
· In the case of business and corporate customers, the probation period is 92 days, and positive assessment of the financial standing is required (the Bank assesses all remaining payments as likely to be repaid as scheduled in the agreement). The exposure cannot be reclassified to Stage 1 or 2 in the case of fraud, discontinuation of business, or pending restructuring/ insolvency/ liquidation proceedings.
Additionally, if the customer is in Stage 3 and subject to the forbearance process ( incl. so-called Shield 4.0 moratoria), they may be reclassified to Stage 2 not earlier than after 365 days (from the start of forbearance or from the downgrade to the NPL portfolio, whichever is later) of regular payments, repayment by the client of the amount previously overdue / written off (if any) and after finding that there are no concerns as to the further repayment of the entire debt in accordance with the agreed terms of restructuring.
A significant increases in credit risk
One of the key elements of IFRS 9 is the identification of a significant increase in credit risk which determines the classification to Stage 2. The Bank has developed detailed criteria for the definition of a significant increase in credit risk based on the following main assumptions:
· Qualitative assumptions:
· Implementing dedicated monitoring strategies for the customer following the identification of early warning signals that indicate a significant increase in credit risk
· Restructuring actions connected with making concessions to the customers as a result of their difficult financial standing
· Delay in payment as defined by the applicable standard, i.e. 30 days past due combined with the materiality threshold
· Quantitative assumptions:
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
· A risk buffer method based on the comparison of curves illustrating the probability of default over the currently remaining lifetime of the exposure based on the risk level assessment at exposure recognition and at reporting date. Risk buffer is set in relative terms for every single exposure based on its risk assessment resulting from internal models and other parameters of exposure impacting assessment of the Bank whether the increase might have significantly increased since initial recognition of the exposure (such parameters considered types of the products, term structure as well as profitability). Risk buffer methodology was prepared internally and is based on the information gathered in the course of the decision process as well as in the process of transactions structuring.
Fact that the exposure is supported by the Borrowers' Support Fund is reported as a forborne and a significant increase in credit risk (Stage 2), and in justified cases (previously identified impairment, a delay in repayment over 30 days, subsequent forbearance, no possibility to service the debt according to the current schedule) exposure is classified in Stage 3.
Thresholds (determining the maximum permissible value of the probability of default (PD) as at the reporting date after the change in relation to the PD value at the moment of initial recognition) for classification into stage 2 are specified individually for each exposure. The table presents the average annual values of the PD thresholds, taking into account the time to maturity of the exposure.
Average threshold (annualized) of the probability of default |
|
|||
mortgage loans |
|
|
|
3,18% |
consumer loans |
|
|
|
13,52% |
Bussines loans |
|
|
|
7,23% |
Exposure in Stage 2 may be re-classified into Stage 1 without probation period as soon as significant increase in credit risk indicators after its initial recognition end e.g. when the following conditions are met: client`s current situation does not require constant monitoring, no restructuring actions towards exposure are taken, exposure has no payment delay over 30 days for significant amounts, no suspension of the contact due to Shield 4.0, and according to risk buffer method no risk increase occurs.
Santander Bank Polska S.A. does not identify low credit risk exposures under IFRS 9 standard rules, which allows to recognize 12-month expected loss even in case of significant increase of credit risk since initial recognition.
ECL measurement
Another key feature required by IFRS 9 is the approach to the estimation of risk parameters. For the purpose of estimating allowances for expected losses, Santander Bank Polska S.A. uses its own estimates of risk parameters that are based on internal models. Expected credit losses are the sum of individual products for each exposure of the estimated values of PD, LGD and EAD parameters in particular periods (depending on the stage either in the horizon of 12 months or in lifetime) discounted using the effective interest rate.
The estimated parameters are adjusted for macroeconomic scenarios in accordance with the assumptions of IFRS 9. To this end, the Bank determines the factors which affect individual asset classes to estimate an appropriate evolution of risk parameters. The Bank uses scenarios developed internally by the analytical team, which are updated on a monthly basis at least every six months. The models and parameters generated for the needs of IFRS 9 are subject to model management process and periodic calibration and validation. These tools are also used in the financial planning process.
Determination of forward-looking information and their likelihood
Forward-looking events are reflected both in the process of estimating ECL and when determining a significant increase in credit risk, by developing appropriate macroeconomic scenarios and then reflecting them in the estimation of parameters for each scenario. The final parameter value and the ECL is the weighted average of the parameters weighted by the likelihood of each scenario. Bank uses three scenario types: the baseline scenario and two alternative scenarios, which reflect the probable alternative options of the baseline scenario: upside and downside scenario. Scenario weights are determined using the expected GDP path and the confidence intervals for this forecast in such a way that the weights reflect the uncertainty about the future development of this factor.
The Bank's models most often indicate the dependence of the quality of loan portfolios on the market situation in terms of the level of deposits, loans, as well as the levels of measures related to interest rates.
Baseline scenario
The economy entered 2023 with low momentum, very high inflation and high interest rates. We are expecting the economy to gradually be shaking off the negative effect of shocks suffered in 2022 related to war, and started reviving in the second half of 2023. Inflation is expected to slow the downward trend in 2024 and then to continue decreasing, yet remaining above the official target 2.5% for an extended time. In the baseline scenario, Poland’s GDP growth is expected to accelerate to 3.3% in 2024, and to stabilise near this level (close to the potential rate of growth) in the following years. CPI is to remain elevated, with 7.3% average growth in 2024.
The government responded to rising inflation with more fiscal stimulus (cuts in taxes, new social benefits) and this is one of factors increasing the inflation’s persistence. 2023 was an election year in Poland and this was also likely to favour accommodative fiscal policy.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The scenario assumes that a decline in observed inflation will encourage the central bank to continue gradual monetary policy, that started in 3rd quarter of 2023, bringing the NBP reference rate to 3.75% in 1Q25, from 6.75% at the beginning of 2023.
In 2023 EURPLN was supported by declining risk of energy crisis in Europe, better sentiment in international financial markets, weaker US dollar, and rapid improvement in Polish balance of payments. The scenario assumes a stabilisation of EURPLN exchange rate near 4.50, caused on the one hand by economic growth re-acceleration, on the other hand by decline in interest rates and still high inflation gap between Poland and the euro zone.
High interest rates have undermined demand for loans in 2022 and 2023, especially on the mortgage and consumer market. In general, however, loan growth is expected to gradually regain strength together with rebounding economy. Deposit growth recorded a high momentum, driven by an uptick in banking sectors’ net foreign assets, but is expected to converge towards growth rate of loans.
Best case scenario
The upside scenario was built under an assumption on swift disbursement of EU funds, especially of Recovery Funds, and strong inflow of workers into economy, enabling it to record higher long-term growth rates.
The economy is expected to accelerate to 5.7% in 2024 and 6.2% in 2025. Higher growth will be conducive to higher CPI inflation, averaging 8.5% in 2024 and 6.9% in 2025.
Strong economic growth and elevated CPI rate will encourage the NBP to start a hiking cycle in 3rd quarter of 2024, bringing the reference rate to 7.50% in the 1st quarter of 2025. Monetary easing will appear again in 2026.
The Polish currency is expected to appreciate in the upcoming quarters, yet its pace will be limited by high inflation rate in Poland. EURPLN is expected to go down to 4.42 in 2024 and 4.41 in 2025.
Accelerating economic activity will be positive for the demand for loans in the banking system, which will also be supportive for money creation and rise in deposits.
Worst case scenario
The downside scenario was built under an assumption of weaker inflow of EU funds, translating into lower investment outlays in the economy as well as on weaker inflow of workers from abroad, undermining the long-term growth potential in Poland.
In 2024 the economy is expected to grow by 1.1%, followed by 1.2% in 2025. Slower growth will translate into faster disinflation, with CPI going down from 11.8% in 2023 to 6.8% in 2024 and 3.5% in 2025.
Weaker growth prospects will encourage the NBP to cut interest rates further starting in 1Q24, and bring the NBP reference rate down to 1.50% in 3rd quarter of 2024.
Less optimistic economic performance and low NBP interest rates will be undermining the zloty leading the rate to 4.63 in 2024 and 4.62 in 2025.
Lower economic activity will negatively affect the demand for loans in the banking system, especially in the household sector, as companies could be in need of liquidity loans. Deposits will also be slowing down
The tables below present the key economic indicators arising from the respective scenarios..
Scenario as at 31.12.2023 |
baseline |
best case |
worst case |
|||||
likelihood |
60% |
20% |
20% |
|||||
|
|
|
2024 |
average, next 3 years |
2024 |
average, next 3 years |
2024 |
average, next 3 years |
GDP |
YoY |
3,3% |
3,3% |
5,7% |
5,7% |
1,1% |
1,1% |
|
WIBOR 3M |
average |
4,5% |
4,0% |
6,5% |
6,1% |
2,9% |
1,7% |
|
unemployment rate |
% active |
3,5% |
3,3% |
3,3% |
2,8% |
3,7% |
3,8% |
|
CPI |
YoY |
7,3% |
3,6% |
8,5% |
5,1% |
6,2% |
2,3% |
|
EURPLN |
period-end |
4,54 |
4,51 |
4,42 |
4,4 |
4,63 |
4,61 |
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Scenario as at 31.12.2022 |
baseline |
best case |
worst case |
|||||
likelihood |
60% |
20% |
20% |
|||||
|
|
|
2023 |
average, next 3 years |
2023 |
average, next 3 years |
2023 |
average, next 3 years |
GDP |
YoY |
0,7% |
3,4% |
2,9% |
4,6% |
-1,8% |
1,8% |
|
WIBOR 3M |
average |
6,8% |
5,8% |
9,2% |
6,7% |
7,8% |
4,3% |
|
unemployment rate |
% active |
3,6% |
3,7% |
3,0% |
2,8% |
3,8% |
4,9% |
|
CPI |
YoY |
11,7% |
5,9% |
15,6% |
5,4% |
13,9% |
4,4% |
|
EURPLN |
period-end |
4,69 |
4,62 |
4,6 |
4,48 |
4,81 |
4,81 |
Management ECL adjustments
In the fourth quarter of 2023, in addition to ECL write-offs resulting from the complex calculation model implemented in the system, Santander Bank Polska S.A. reviewed management adjustments updating the risk level with current and expected future events, as a result of which:
· the management adjustment was maintained at the same level in the amount of PLN 19,600 k on the portfolio of mortgage-secured retail loans, the risk of which may increase after the cessation of assistance activities – payment holidays,
· management adjustment has been released in the amount of PLN 46,300 k on the corporate performing loan portfolio due to the observed LGD underestimation, in connection with the verification of the impact of changes and the creation of a new management adjustment in its place,
· management adjustment has been released in the amount of PLN 20,250 k on the corporate Property portfolio due to increased ECB interest rates, where the risk has been reflected directly in the assessment and parameters. Adjustment was released in accordance with its validity period.
· management adjustment has been released in the amount of PLN 10,690 k on the portfolio of corporate loans due to risk of overestimation in the LGD model of expected recovery from collateral in the form of guarantees of Bank Gospodarstwa Krajowego, control and corrective actions were taken to mitigate the above-mentioned risk and the model parameters were re-estimated,
· management adjustment has been released in the amount of PLN 15,000 k due to the negative impact of macroeconomic factors and the deterioration of the financial situation of entities managed in the Global Relations Model operating in the sector of production/distribution and sale of household goods, due to the adjustment validity period and the lack of premise for extending the adjustment,
· management adjustment has been created in the amount of PLN 27,520 k PLN on the corporate portfolio to cover the underestimation of the LGD parameter.
Potential variability of ECL
Significant volatility for the income statement may be reclassifications to Stage 2 from Stage 1. The theoretical reclassification of given percentage of exposures from Stage 1 with the highest risk level to Stage 2 for each type of exposure would result in an increase in write-offs according to below table. The below estimates show expected variability of loss allowances as a result of transfers between Stage 1 and Stage 2, resulting in material changes in the degree to which exposures are covered with allowances in respect of different ECL horizons.
|
additional expected credit loss (PLN m) |
||||
reclassification from stage 1 to stage 2 |
individual |
mortgage loans |
business |
Total 31.12.2023 |
Total 31.12.2022 |
1% |
6,7 |
7,8 |
6,0 |
20,5 |
16,8 |
5% |
35,3 |
36,8 |
25,8 |
97,9 |
91,0 |
10% |
67,0 |
56,0 |
49,7 |
172,7 |
159,9 |
Changes in forecasts of macroeconomic indicators may result in significant effects affecting the level of created provisions. Adoption of macroeconomic parameter estimates at only one scenario level (pessimistic or optimistic) will result in a one-off change in ECL at the level below.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
in PLN m |
|
change in ECL level |
|
|
|
|
scenario |
|
|
|
31.12.2023 |
31.12.2022 |
|
|
individuals |
housing loans |
business |
Total |
Total |
|
pessimistic |
36,7 |
2,8 |
20,9 |
60,4 |
72,1 |
|
optimistic |
(37,2) |
(3,1) |
(25,3) |
(65,6) |
(67,9) |
|
Based on the GDP indicator as the main factor determining the condition of the economy, Santander Bank Polska S.A. estimates that if the target level of gross domestic production will be reduced by 1% in 2024, this would translate into an increase in expected credit losses in the amount of PLN 29 637 k. The above analysis was made assuming the preservation of the relationship between macroeconomic factors.
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
Santander Bank Polska S.A. applies a methodology for measuring the fair value of credit exposures and debt instruments.
In the case of the instruments with distinguishable on-balance sheet and off-balance sheet components, the extent of fair value measurement will depend on the nature of the underlying exposure, and:
· the on-balance sheet portion always will be measured at fair value;
· the off-balance sheet portion will be measured at fair value only if at least one of the following conditions is met:
· condition 1: the exposure has been designated as measured at fair value (option) or
· condition 2: the exposure may be settled net in cash or through another instrument or
· condition 3: Santander Bank Polska S.A. sells the obligation immediately after its granting or
· condition 4: the obligation was granted below the market conditions.
The fair value is measured with the use of valuation techniques appropriate in the circumstances and for which sufficient data are available, maximising the use of relevant observable inputs and minimising the use of unobservable inputs.
The Bank applies following valuation techniques:
· market approach – uses prices and other relevant information generated by market transactions involving identical or comparable (similar) assets, liabilities, or a group of assets and liabilities (e.g. a business unit)
· income approach – converts future amounts (cash flows or income and expenses) to a single current (discounted) date. When the income approach is used, the fair value measurement reflects the current market expectations as to the future amounts.
Santander Bank Polska S.A. uses the income approach for fair value measurement relating to debt financial instruments which do not meet contractual cash flows test.
In the case of credit exposures and debt instruments, the present value method within income approach is typically used. In this method, the expected future cash flows are estimated and discounted using a relevant interest rate. In the case of the present value method, Santander Bank Polska S.A. uses the following elements in the valuation:
· expectations as to the future cash flows;
· expectations as to potential changes in cash flow amounts and timing (uncertainties are inherent in cash flow estimates);
· the time value of money, estimated using risk-free market rates;
· the price of uncertainty risk inherent in cash flows (risk premium) and
· other factors that market participants would take into account in the circumstances.
The present value measurement approach used by Santander Bank Polska S.A. is based on the following key assumptions:
· cash flows and discount rates reflect the assumptions that market participants would adopt in the measurement of an asset;
· cash flows and discount rates reflect only the factors allocated to the asset which was subject to measurement;
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
· discount rates reflect the assumptions which are in line with the cash flow assumptions;
· discount rates are consistent with the key economic factors relating to the currency in which the cash flows are denominated.
The fair value determination methodology developed by Santander Bank Polska S.A. provides for adaptation of the fair value measurement model to the characteristics of the financial asset subject to measurement. When determining the need for adaptation of the model to the features of the asset subject to measurement, Santander Bank Polska S.A. takes into account the following factors:
· approach to the measurement (individual/collective) given the characteristics of the instrument subject to measurement;
· whether a schedule of payments is available;
· whether the asset subject to measurement is still offered by Santander Bank Polska S.A. and whether the products recently provided to customers can be a reference group for that asset.
Other significant groups of financial instruments measured at fair value are all derivatives, financial assets held within a residual business model, debt investment financial assets held within a business model whose objective is achieved by both collecting contractual cash flows and selling financial assets, and equity investment financial assets. These financial instruments are either measured with reference to a quoted market price for that instrument or by using a respective measurement model.
Where the fair value is calculated using financial-markets pricing models, the methodology is to calculate the expected cash flows under the terms of each specific contract and then discount these values back to a present value. These models use as their basis independently sourced market parameters including, for example, interest rate yield curves, securities and commodities prices, option volatilities and currency rates. Most market parameters are either directly observable or are implied from instrument prices.
In justified cases, for financial instruments whose carrying amount is based on current prices or valuation models, Santander Bank Polska S.A. takes into account the need to identify additional adjustments to the fair value of the counterparty credit risk.
The fair value measurement models are reviewed periodically.
A summary of the carrying amounts and fair values of the individual groups of assets and liabilities is presented in Note 45.
Santander Bank Polska S.A. raises provisions for legal claims in accordance with IAS 37. The provisions have been estimated considering the likelihood of unfavourable verdict and amount to be paid, and their impact is presented in other operating income and cost.
Details on the value of the provisions and the assumptions made for their calculation are provided in Notes 37, 46 and 47.
Due to their specific nature, estimates related to legal claims of mortgage loans in foreign currencies are described below.
Due to the revolving legal situation related to mortgage loans portfolio denominated and indexed to foreign currencies, and inability to recover all contractual cash flows risk materialisation, Bank estimates impact of legal risk on future cash flows.
Gross book value adjustment resulting from legal risk is estimated based on a number of assumptions, taking into account:a specific time horizon and a number of probabilities such as:
· the probability of possible settlements and
· the probability of submitting claims by borrowers,and
· the probability in terms of the number of disputes
which are described in more details in Note 46.
In mid-2022, the Bank prepared a settlement scenario which reflects the level of losses for future settlements.
Legal risk is estimated individually for each exposure in the event of litigation and in terms of portfolio in the absence of such.
As explained in the accounting policies, Santander Bank Polska S.A. accounts for the impact of legal risk as an adjustment to the gross book value of the mortgage loans portfolio. If there is no credit exposure or its value is insufficient, the impact of legal risk is presented as a provision according to IAS 37.
The result on legal risk is presented in a separate position in income statement “Cost of legal risk associated with foreign currency mortgage loans” and “Gain/loss on derecognition of financial instruments measured at amortised cost”.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
In 2023, the Bank recognized PLN 2,081,557 k as cost of legal risk related to mortgage loans in foreign currencies and PLN 324,072 k as a cost of signed settlements.
Detailed information about the portfolio of loans denominated in and indexed to CHF is presented in Note 46. As at 31 December 2023, the Bank also had PLN loans which used to be denominated in or indexed to CHF. Their total gross amount is PLN 262,416k before adjustment to the gross carrying amount at PLN 124,684k reducing contractual cash flows in respect of legal risk. The cost of legal risk connected with that portfolio is calculated using an approach corresponding to the general model described in Note 46.
Santander Bank Polska S.A. will continue to monitor this risk in subsequent reporting periods.
Details presenting the impact of the above-mentioned risk on financial statement, assumptions adopted for their calculation, scenario description and sensitivity analysis are contained in notes 46 and 47, respectively.
Due to lower than expected quantity of client`s claims, the Bank decided to decrease liability for the reimbursement of commission in the amount who already repaid the loan by PLN 24,200 k. The remaining liability as at 31 December 2023 amounts to PLN 16,300 k.
2.7. Judgements that may significantly affect the amounts recognized in the financial statements
When applying the accounting principles, the management of Santander Bank Polska S.A. makes various judgements that may significantly affect the amounts recognized in financial statements.
Assessment whether contractual cash flows are solely payments of principal and interest
The key issue for Santander Bank Polska S.A.'s business, is to assess whether the contractual terms of financial assets indicate the existence of certain cash flow dates, which are only the repayment of the nominal value and interest on the outstanding nominal value.
For the purposes of this assessment, ‘principal’ is defined as the fair value of the financial asset on initial recognition and ‘interest’ is defined as consideration for the time value of money, for the credit risk associated with the principal amount outstanding during a particular period of time and for other basic lending risks and costs (e.g. liquidity risk and administrative costs), as well as a profit margin.
In assessing whether the contractual cash flows are solely payments of principal and interest, Santander Bank Polska S.A. considers the contractual terms of the instrument. This includes assessing whether the financial assets contain a contractual term that could change the timing or amount of contractual cash flows such that it would not meet this condition. In making the assessment the Santander Bank Polska S.A. considers:
· contingent events that would change the amount and timing of cash flows,
· leverage features,
· prepayment and extension terms,
· terms that limit Santander Bank Polska S.A.’s claim to cash flows from specified assets (e.g. non-recourse asset arrangements),
· features that modify consideration for the time value of money.
A prepayment feature is consistent with the SPPI criterion if the prepayment amount substantially represents unpaid amounts of principal and interest on the principal amount outstanding, which may include reasonable compensation for early termination of the contract.
In addition, a prepayment feature is treated as consistent with this criterion if a financial asset is acquired or originated at a premium or discount to its contractual par amount, the prepayment amount substantially represents the contractual par amount plus accrued (but unpaid) contractual interest (which may also include reasonable compensation for early termination), and the fair value of the prepayment feature is insignificant on initial recognition.
Business Model Assessment
Business models at Santander Bank Polska S.A. are determined at a level that reflects how groups of financial assets are managed together to achieve a particular business objective. The business model does not depend on the intentions of the Santander Bank Polska S.A. management regarding a particular instrument, which is why the model is assessed at a higher level of aggregation.
All business models, quantitative and qualitative criteria used for business model assessment are described in p.2.8 regarding financial asset classification.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
2.8. Material accounting policy information
With the exception of the changes described in point 2.3, the Santander Bank Polska S.A. consistently applied the adopted accounting principles both for the reporting period for which the statement is prepared and for the comparative period.
Foreign currency
Foreign currency transactions
The Polish zloty (PLN) is the functional currency of Santander Bank Polska S.A.
Transactions in foreign currencies are translated at the foreign exchange rate ruling at the date of the transaction. Resulting from these transactions monetary assets and liabilities denominated in foreign currencies, are translated at the foreign exchange rate ruling at the balance sheet date. Non-monetary assets and liabilities denominated in foreign currencies, which are stated at historical cost, are translated at the foreign exchange rate ruling at the date of the transaction. Non-monetary assets and liabilities denominated in foreign currencies that are stated at fair value are translated to the reporting currency at the foreign exchange rates ruling at the dates that the fair values were determined. Foreign exchange differences arising on translation are recognised in profit or loss except for differences arising on retranslation of instruments of other entities measured at fair value through other comprehensive income, which are recognised in other comprehensive income.
Financial assets and liabilities
Recognition and derecognition
Initial recognition
Santander Bank Polska S.A. recognises a financial asset or a financial liability in its statement of financial position when, and only when, it becomes bound by contractual provisions of the instrument.
A regular way purchase or sale of financial assets is recognised and derecognised, as applicable, at the settlement date.
Derecognition of financial assets
Santander Bank Polska S.A. derecognises a financial asset when and only when, if:
· contractual rights to the cash flows from that financial asset have expired, or
· Santander Bank Polska S.A. transfers a financial asset, and such operation meets the derecognition criteria.
The Bank excludes financial assets from the statement of financial position, inter alia, if they are invalidated, settled, written off, overdue, materially modified or uncollectible as a result of a final court judgment. The above-mentioned components are excluded from the statement of financial position as a result of the provisions recognised for them for expected credit losses or losses due to legal risk (in the case of cancellations of CHF loans).
Derecognition of financial liabilities
Santander Bank Polska S.A. shall remove a financial liability (or a part of a financial liability) from its statement of financial position when, and only when, it is extinguished — i.e. when the obligation specified in the contract is discharged or cancelled or expires.
Classification of financial assets and financial liabilities
Classification of financial assets
Classification of financial assets which are not equity instruments
Santander Bank Polska S.A. classifies financial asset that are not an equity instrument as subsequently measured at amortised cost or at fair value through other comprehensive income or fair value through profit or loss on the basis of both:
· the business model of Santander Bank Polska S.A. for managing the financial assets and
· the contractual cash flow characteristics of the financial asset (described in point 2.7).
A financial asset is measured at amortised cost if both of the following conditions are fulfilled:
· the financial asset is held in a business model whose purpose is to hold financial assets to collect contractual cash flows, and
· the contractual terms of a financial asset give rise on specified dates to cash flows that are solely payments of principal and interest on the principal amount outstanding.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
A financial asset is measured at fair value through other comprehensive income if both of the following conditions are fulfilled:
· the financial asset is held in a business model whose objective is achieved by both collecting contractual cash flows and selling financial assets, and
· the contractual terms of a financial asset give rise on specified dates to cash flows that are solely payments of principal and interest on the principal amount outstanding.
If a financial asset is not measured at amortised cost or at fair value through other comprehensive income, it is measured at fair value through profit or loss.
Classification of financial assets which are equity instruments
Santander Bank Polska S.A. measures the financial asset that is an equity instrument at fair value through profit or loss, unless Santander Bank Polska S.A. made an irrevocable election at initial recognition for particular investments in equity instruments to present subsequent changes in fair value in other comprehensive income.
Business models
Business models at Santander Bank Polska S.A. are determined at a level that reflects how groups of financial assets are managed together to achieve a particular business objective. The business model does not depend on the intentions of the Santander Bank Polska S.A. key management regarding a particular instrument.
The business model refers to how Santander Bank Polska S.A. manages its financial assets in order to generate cash flows. That is, the business model determines whether cash flows will result from:
· collecting contractual cash flows
· selling financial assets
· or both.
Consequently, the business model assessment is not performed on the basis of scenarios that Santander Bank Polska S.A. does not reasonably expect to occur, such as so-called “worst case” or “stress case” scenarios.
Santander Bank Polska S.A. determines the business model on the basis of the assessment of qualitative and quantitative criteria.
The qualitative criteria include, m.in, how the risks associated with these assets are managed and the principles of remunerating the persons managing these portfolios.
The quantitative criteria are intended to determine whether the sale of financial assets during the analysed period does not exceed the threshold values set in the internal regulations set in percentage terms. The frequency, value, timing of the sale of assets and reasons for the sale are analysed.
Business model types
The analysis of qualitative and quantitative criteria makes it possible to identify three basic business models applied in the operations of Santander Bank Polska S.A.:
· the business model whose objective is to hold assets in order to collect contractual cash flows (hold to collect),
· the business model whose objective is achieved by both collecting contractual cash flows and selling financial assets (hold to collect and sell),
· the other/ residual business model (the business model whose objective is achieved by selling assets).
The predominant business model in the Santander Bank Polska S.A. is a business model that involves holding assets for the purpose of generating contractual cash flows, with the exception of:
· debt instruments measured at fair value through other comprehensive income held in the ALM segment and loans and advances subject to the underwriting process described below, for which a business model has been established, the purpose of which is achieved both by generating cash flows arising from the agreement, as well as through the sale of financial assets,
· instruments held for trading, including debt instruments and derivatives, for which hedge accounting is not used – the appropriate business model is a different/residual business model.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
A business model whose objective is to hold assets in order to collect contractual cash flows
In the hold-to-maturity model, incidental sales are possible. Such sales are each time analyzed in terms of frequency, value and distribution of sales in earlier periods, reasons for these sales and expectations as to future sales operations.
A business model whose objective is to hold assets in order to collect contractual cash flows spans the entire spectrum of credit activity, including but not limited to corporate loans, mortgage and consumer loans, credit cards, loans granted and debt instruments (e.g. treasury bonds, corporate bonds), which are not held for liquidity management purposes. Financial assets on account of trading settlements are substantially also recognised under this model. Such assets are recognised in the books of Santander Bank Polska S.A. on the basis of an invoice issued payable within maximum one year.
A business model whose objective is achieved by both collecting contractual cash flows and selling financial assets
A business model whose objective is achieved by both collecting contractual cash flows and selling financial assets includes:
· financial assets acquired for the purpose of liquidity management, such as State Treasury bonds or NBP bond and
· loans and advances subject to underwriting, i.e. portion of credit exposures that are planned to be sold before maturity for reasons other than increase in credit risk.
Other/ residual business model
Other, residual, model is used for classifying assets held by Santander Bank Polska S.A. but not covered by the first or second category of the business model. They include assets from the “held for trading” category in the financial statements, such as listed equity instruments, commercial bonds acquired for trading purposes and derivatives (e.g. options, IRS, FRA, CIRS, FX Swap contracts) which are not embedded derivatives.
Changing the business model
Santander Bank Polska S.A. reclassifies all affected financial assets when, and only when, it changes its business model for managing financial assets.
If Santander Bank Polska S.A. reclassifies a financial asset, it applies the reclassification prospectively from the reclassification date.
If Santander Bank Polska S.A. reclassifies a financial asset out of the amortised cost measurement category and into the fair value through profit or loss measurement category, its fair value is established at the reclassification date. Any gain or loss arising from a difference between the previous amortised cost of the financial asset and fair value is recognised in profit or loss.
Classification of financial liabilities
Santander Bank Polska S.A. classifies all financial liabilities as subsequently measured at amortised cost, except for:
· financial liabilities measured at fair value through profit or loss. Such liabilities, including derivatives that are liabilities, shall be subsequently measured at fair value.
· financial liabilities that arise when a transfer of a financial asset does not qualify for derecognition or when the continuing involvement approach applies;
· financial guarantee contracts. After initial recognition , the issuer shall measure contract at the higher of:
(1) amount of the expected credit loss allowance,
(2) initial recognised amount, less respective accumulated income recognised as per IFRS 15;
· commitments to provide a loan at a below-market interest rate. If the liability is not measured at fair value through profit or loss, the issuer shall subsequently measure it at the higher of:
1. amount of the expected credit loss allowance,
2. initial recognised amount, less respective accumulated income recognised as per IFRS 15;
· contingent consideration recognised by the acquire under the business combination arrangement governed by IFRS 3. Such contingent consideration shall subsequently be measured at fair value with changes recognised in profit or loss.
Embedded derivatives
For financial assets, that meet the definition of hybrid contracts with an embedded derivative, a derivative that is a component of such a contract is not separated from the host contract which is not a derivative, the entire contract is assessed in terms of the contractual cash flow characteristics.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Measurement of financial assets and financial liabilities
Initial measurement
At initial recognition, Santander Bank Polska S.A. measures a financial asset or financial liability at its fair value plus or minus, in the case of a financial asset or financial liability not at fair value through profit or loss, transaction costs that are directly attributable to the acquisition or issue of the financial asset or financial liability.
However, if the fair value of the financial asset or financial liability at initial recognition differs from the transaction price, Santander Bank Polska S.A. recognises this instrument on that date as follows:
· when the fair value is evidenced by a quoted price in an active market for an identical asset or liability (i.e. a Level 1 input) or based on a valuation technique that uses only data from observable markets, then Santander Bank Polska S.A. recognises the difference between the transaction price and the fair value at initial recognition as a gain or loss.
· in all other cases, at the measurement adjusted to defer the difference between the fair value at initial recognition and the transaction price. After initial recognition, Santander Bank Polska S.A. recognises that deferred difference as a gain or loss only to the extent that it arises from a change in a factor (including time) that market participants would take into account when pricing the asset or liability.
At initial recognition, Santander Bank Polska S.A. shall measure trade receivables that do not have a significant financing component (determined in accordance with IFRS 15) at their transaction price (as defined in IFRS 15).
Subsequent measurement of financial assets
After initial recognition, Santander Bank Polska S.A. recognises a financial asset:
· at amortised cost, or
· fair value through other comprehensive income, or
· at fair value through profit or loss.
Allowances for expected credit losses are not calculated for financial assets measured at fair value through profit or loss.
Subsequent measurement of financial liabilities
After initial recognition, Santander Bank Polska S.A. recognises a financial liability:
· at amortised cost, or
· at fair value through profit or loss.
Liabilities measured at amortised costs include: deposits from banks, deposits from customers, liabilities due to repo transactions, loans and advances obtained, issued debt instruments and subordinated liabilities.
Liabilities are recognised as subordinated liabilities which in the event of liquidation or bankruptcy of Santander Bank Polska S.A. are repaid after satisfaction of claims of all other Santander Bank Polska S.A.’s creditors. Financial liabilities are classified as subordinated liabilities by the decision of the Polish Financial Supervision Authority issued at the request of Santander Bank Polska S.A..
Amortised cost measurement
Financial assets
Effective interest method
Interest revenue is calculated by applying the effective interest rate to the gross carrying amount of financial assets and presented in “Net interest income”, except for credit-impaired financial assets. At the time a financial asset or a group of similar financial assets is reclassified to stage 3, interest revenue is calculated on the basis of a net value of a financial asset and presented at the interest rate used for the purpose of discounting the future cash flows for the purpose of measurement of impairment.
This does not apply to POCI assets, in the case of which the interest revenue is calculated on the basis of the net carrying amount, applying the effective interest rate adjusted for credit risk over the lifetime of the asset. The credit-adjusted effective interest rate is calculated by taking into account the future cash flows adjusted for the effect of credit risk over the lifetime of the asset.
The gross carrying amount of a financial asset is its amortised cost, before adjusting for any expected credit loss allowances.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Purchased or originated credit-impaired assets (POCI)
Santander Bank Polska S.A. distinguished the category of purchased or originated credit-risk assets. POCI are assets that are credit-impaired on initial recognition. Financial asset that were classified as POCI at initial recognition should be treated as POCI in all subsequent periods until they are derecognized.
At initial recognition, POCI assets are recognized at their fair value. After initial recognition POCI assets are measured at amortized costs.
Valuation of POCI assets is based on the effective interest rate adjusted for the effect of credit risk .
For POCI assets (purchased or originated credit impaired) expected credit losses are recognised over the lifetime of the asset.
Portfolio of mortgage loans denominated/indexed to foreign currencies
Santander Bank Polska S.A. reduces the gross carrying amount of mortgage loans denominated/indexed to foreign currencies in accordance with IFRS 9 by the impact of legal risk for potential and existing disputes. In the absence of gross carrying amount or its insufficient value to cover, it records a provision in accordance with IAS 37.
Modification of contractual cash flows
The concept of modification
Changes to the contractual cash flows in respect of the financial asset are regarded by Santander Bank Polska S.A. as modification if made in the form of an annex. Changes to the contractual cash flows arising from performance of the contractual obligations are not considered to be a modification.
If the terms of the financial asset agreement change, the Santander Bank Polska S.A. assesses whether the cash flows generated by the modified asset differ significantly from cash flows generated by financial asset before modification of the terms of the asset agreement.
Modification criteria
When assessing whether a modification is substantial or minor, Santander Bank Polska S.A. takes into account both quantitative and qualitative criteria. Both criteria groups are each time analyzed together.
Quantitative criteria
To determine the significance of the impact of modifications, the so-called "10% test" is carried out which is based on a comparison of discounted cash flows of the modified financial instrument (using the original effective interest rate) with discounted (also with the original effective interest rate) cash flows of the financial instrument before modification, whose value should correspond to the value of undue capital, increased by the value of undue interest and adjusted for the amount of unsettled commission.
Qualitative criteria
During the qualitative analysis, Santander Bank Polska S.A. takes into account the following aspects:
· adding / removing a feature that violates the contractual cash flow test result,
· currency conversion - except for currency conversions resulting from the transfer of the contract for collection,
· change of the main debtor - change of the contractor results in a significant modification of contractual terms and
· consolidation of several exposures into one under an annex.
Substantial modification
Identification of substantial modification resulting in the exclusion of a financial instrument from the statement of financial position is based on qualitative and quantitative criteria described above.
The occurrence of at least one of these quality criteria results in a significant modification. In the case of quantitative criteria, exceeding the "10% test" also indicates a significant modification.
As a result of a significant modification, the existing financial instrument is derecognized. The new instrument is recognized at fair value.
Minor modification
If neither the qualitative criteria, not the quantitative are met (eg. “10% test” exceeded), the modification is regarded by Santander Bank Polska S.A. as insignificant.
The change in the gross carrying amount is recognized in interest income/expense as a modification gain or loss.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Write-off
Santander Bank Polska S.A. directly reduces the gross carrying amount of a financial asset when the entity has no reasonable expectations of recovering a financial asset in its entirety or a portion thereof. A write-off constitutes a derecognition event. Financial asset can be written off partially or in its entirety.
Santander Bank Polska S.A. writes off financial assets if at least one of the following conditions apply:
· Santander Bank Polska S.A. has documented the irrecoverability of the debt;
· there are no reasonable expectations of recovering the financial asset in full or in part;
· the debt is due and payable in its entirety and the value of the credit loss allowance corresponds to the gross value of the exposure, while the expected debt recovery proceeds are nil;
· the asset originated as a result of a crime and the perpetrators have not been identified or
· Santander Bank Polska S.A. has received:
· a decision on discontinuation of debt enforcement proceedings due to irrecoverability of the debt (in relation to all obligors), issued by a relevant enforcement authority pursuant to Article 824 § 1 (3) of the Polish Code of Civil Procedure, which is recognised by the creditor (Santander Bank Polska S.A.) as corresponding to the facts; or
· a court decision:
- dismissing a bankruptcy petition, if the insolvent debtor's assets are insufficient to cover the cost of the proceedings or suffice to cover this cost only; or
- discontinuing the bankruptcy proceedings or
- closing the bankruptcy proceedings.
Financial assets written off are then recorded off balance sheet.
Impairment
General approach
Santander Bank Polska S.A. recognises allowances for expected credit losses on a financial asset in respect of:
· financial assets measured at amortised cost or at fair value through other comprehensive income;
· lease receivables;
· contract assets, i.e. the consideration to which Santander Bank Polska S.A. is entitled in exchange for the goods or services transferred to the customer in accordance with IFRS 15 Revenue from Contracts with Customers;
· loan commitments and
· off-balance sheet credit liabilities and financial guarantees.
Details regarding the calculation are described in point 2.6 "Allowances for expected credit losses"
Santander Bank Polska S.A. recognises in profit or loss, as an impairment gain or loss, the amount of expected credit losses that is required to adjust the loss allowance at the reporting date to the amount that is required to be recognised.
Santander Bank Polska S.A. charges interest on exposures classified in Stage 3 on the net exposure value.
Simplified approach for trade receivables and contract assets
In the case of trade receivables and contract assets, Santander Bank Polska S.A. always measures the loss allowance at an amount equal to lifetime expected credit losses for trade receivables or contract assets that result from transactions that are within the scope of IFRS 15, and that do not contain a significant financing component.
Contingent liabilities
Santander Bank Polska S.A. creates provisions for impairment risk-bearing irrevocable contingent liabilities (irrevocable credit lines, financial guarantees, letters of credit, etc.). The value of the provision is determined as the difference between the estimated amount of available contingent exposure set using the Credit Conversion Factor (CCF) and the current value of expected future cash flows under this exposure.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Santander Bank Polska S.A. raises provisions for off-balance sheet liabilities subject to credit risk, broken down into 3 stages.
Gains and losses
Financial instruments in amortized cost
A gain or loss on a financial asset that is measured at amortised cost and is not part of a hedging relationship is recognised in profit or loss through the amortisation process or in order to recognise impairment gains or losses. A gain or loss on a financial liability that is measured at amortised cost and is not part of a hedging relationship is recognised in profit or loss when the financial liability is derecognised and through the amortisation process.
With regard to the financial assets recognised by Santander Bank Polska S.A. at the settlement date, any change in the fair value of the asset to be received during the period between the trade date and the settlement date is not recognised for assets measured at amortised cost. For assets measured at fair value, however, the change in fair value is recognised in profit or loss or in other comprehensive income. The trade date means the date of initial recognition for the purposes of applying the impairment requirements.
A gain or loss on a financial asset or liability measured at fair value is recognised in profit or loss unless the asset or liability is:
· a part of a hedging relationship,
· an investment into an equity instrument and Santander Bank Polska S.A. has decided to present gains and losses on that investment in other comprehensive income,
· a financial liability designated as measured at fair value through profit or loss and Santander Bank Polska S.A. is required to present the effects of changes in the liability's credit risk in other comprehensive income; or
· is a financial asset measured at fair value through other comprehensive income and Santander Bank Polska S.A. is required to recognise some changes in fair value in other comprehensive income.
Investments in equity instruments
Investments in equity instruments are measured at fair value through profit or loss unless at their initial recognition Santander Bank Polska S.A. makes an irrevocable election to present in other comprehensive income subsequent changes in the fair value of an investment in an equity instrument within the scope of this policy that is neither held for trading nor contingent consideration recognised by an acquirer in a business combination to which IFRS 3 applies.
If Santander Bank Polska S.A. has elected to measure equity instruments at fair value through other comprehensive income , dividends from that investment are recognised in profit or loss.
Liabilities designated as measured at fair value through profit or loss
Santander Bank Polska S.A. presents a gain or loss on a financial liability that is designated as measured at fair value through profit or loss as follows:
· the amount of change in the fair value of the financial liability that is attributable to changes in the credit risk of that liability is presented in other comprehensive income, and
· the remaining amount of change in the fair value of the liability is presented in profit or loss unless the treatment of the effects of changes in the liability's credit risk described in (a) would create or enlarge an accounting mismatch in the profit or loss of Santander Bank Polska S.A.
If the requirements specified above would create or enlarge an accounting mismatch in the profit or loss of Santander Bank Polska S.A., Santander Bank Polska S.A. presents all gains or losses on that liability (including the effects of changes in the credit risk of that liability) in profit or loss.
Santander Bank Polska S.A. presents in profit or loss all gains and losses on loan commitments and financial guarantee contracts that are designated as measured at fair value through profit or loss.
Assets measured at fair value through other comprehensive income
A gain or loss on a financial asset measured at fair value through other comprehensive income is recognised in other comprehensive income, except for impairment gains or losses and foreign exchange gains and losses, until the financial asset is derecognized. If the financial asset is derecognised, Santander Bank Polska S.A. accounts for the cumulative gain or loss that was previously recognised in other comprehensive income in profit or loss. Interest calculated using the effective interest method is recognised in profit or loss.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Financial instruments held for trading
Derivative financial instruments are recognised at fair value without any deduction for transactions costs to be incurred on sale. The best evidence of the fair value of a financial instrument at initial recognition is the transaction price i.e. the fair value of the consideration given or received.
If a hybrid contract contains a host contract that is not an asset within the scope of this IFRS 9, Santander Bank Polska S.A. separates the embedded derivative from the host contract and accounts for it as other derivatives if the economic characteristics and risks of the embedded derivative are not closely related to the economic characteristics and risks of the host contract and the host contract is not carried at fair value through profit or loss. Embedded derivatives are measured at fair value with changes recognised in the profit and loss account.
Hedge accounting
Pursuant to paragraph 7.2.21 of IFRS 9, Santander Bank Polska S.A. chose to continue to apply the hedge accounting requirements and hedging relationships arising from IAS 39.
The Santander Bank Polska S.A. uses derivative financial instruments among others to hedge its exposure to interest rate risks arising from Santander Bank Polska S.A. operational, financing and investment activities.
The Santander Bank Polska S.A. discontinues hedge accounting when:
· it is determined that a derivative is not, or has ceased to be, highly effective as a hedge;
· the derivative expires, or is sold, terminated, or exercised;
· the hedged item matures or is sold, or repaid,
· the hedging relationship ceases.
Fair value hedge
A fair value hedge is accounted for as follows: the gain or loss from remeasuring the hedging instrument at fair value (for a derivative hedging instrument) shall be recognised in profit or loss; and the gain or loss on the hedged item attributable to the hedged risk shall adjust the carrying amount of the hedged item and be recognised in profit or loss. This rule applies if the hedged item is otherwise measured at amortised cost or is a financial asset measured at fair value through other comprehensive income.
Cash flow hedge
A cash flow hedge is accounted for as follows: the portion of the gain or loss on the hedging instrument that is determined to be an effective hedge shall be recognised directly in other comprehensive income and the ineffective portion of the gain or loss on the hedging instrument shall be recognised in income statement.
Interest income and expenses on hedged and hedging instruments are recognised as net interest income.
Amounts recognised in ‘Other comprehensive income’ are reclassified to profit or loss during the period of time in which the hedged item affects the income statement.
If the hedging instrument expires or is sold or the hedge accounting relationship is terminated, Santander Bank Polska S.A. discontinues hedge accounting. All profits or losses on the hedging instrument pertaining to the effective hedge recognised in other comprehensive income remains an element of equity until the forecast transaction occurs, when it is recognised in income statement.
If the transaction is no longer expected to occur, the cumulative gain or loss relating to the hedging instrument recognised in other comprehensive income is reclassified to profit or loss.
Repurchase and reverse repurchase transactions
The Santander Bank Polska S.A. also generates/invests funds by selling/purchasing financial instruments under repurchase/reverse repurchase agreements whereby the instruments must be repurchased/resold at the previously agreed price.
Securities sold subject to repurchase agreements (“repo and sell-buy-back transaction”) are not derecognised from the statement of financial position at the end of the reporting period. The difference between sale and repurchase price is treated as interest cost and accrued over the life of the agreement.
Securities purchased subject to resale agreements (“reverse repo and buy-sell-back transactions”) are not recognised in the statement of financial position at the end of the reporting period. The difference between purchase and resale price is treated as interest income and accrued over the life of the agreement.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The principles described above are also applied by Santander Bank Polska S.A. to transaction concluded as separate transaction of sale and repurchase of financial instruments but having the economic nature of repurchased and reverse repurchase transactions.
Property, plant and equipment
Owned fixed assets
Property, plant and equipment including those under operating leases, are stated at cost or deemed cost less accumulated depreciation and impairment losses.
Subsequent expenditure
Santander Bank Polska S.A. recognises in the carrying amount of property, plant and equipment the cost of replacing part of such an asset when that cost is incurred if it is probable that the future economic benefits embodied with the item will flow to Santander Bank Polska S.A. and the cost of the item can be measured reliably. All other costs are recognised in the income statement as an expense as incurred.
Depreciation
Depreciation is charged to the income statement on a straight-line basis over the estimated economic useful lives of each part of an item of property, plant and equipment.
The estimated economic useful lives are as follows:
· buildings: 22-40 years
· IT equipment: 3-5 years
· transportation means: 3-4 years
· other fixed assets: 3-14 years.
Right-of-use assets are depreciated on a straight basis overt the assets’s useful life.
Depreciation rates are verified annually. On the basis of this verification, depreciation periods might be changed.
Goodwill and Intangible assets
Goodwill
Goodwill as of the acquisition date measured as the excess of the consideration transferred over the net of the acquisition-date amounts of the identifiable assets acquired and the liabilities, contingent liabilities less impairment. Goodwill value is tested for impairment annually.
Licenses, patents, concessions and similar assets
Acquired computer software licenses are recognized on the basis of the costs incurred to acquire and bring to use the specific software.
Expenditures that are directly associated with the production of identifiable and unique software products controlled by Santander Bank Polska S.A., and that will probably generate economic benefits exceeding expenditures beyond one year, are recognised as intangible assets.
Amortisation
Amortisation is charged to the income statement on a straight-line or degressive method (for intangible assets resulting from business combinations) over the estimated economic useful lives of intangible assets, which for the majority of intangibles equals to three years.
Amortisation rates are verified annually. On the basis of this verification, amortisation periods might be changed.
Leasing
Separating elements of the leasing contract
Lessee
Santander Bank Polska S.A. (the lessee) does not separate non-lease components from lease components, and instead accounts for each lease component and any associated non-lease components as a single lease component for each underlying asset class where it is not possible and where the share of non-lease components is not significant compared to total net lease payments.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Lease term
Santander Bank Polska S.A. determines the lease term as the non-cancellable period of a lease, together with both:
· periods covered by an option to extend the lease if the Santander Bank Polska S.A. (the lessee) is reasonably certain to exercise that option; and
· periods covered by an option to terminate the lease if the Santander Bank Polska S.A. (the lessee) is reasonably certain not to exercise that option.
The lease term is updated upon the occurrence of either a significant event or a significant change in circumstances.
Santander Bank Polska S.A.as the lessee
Recognition
At the commencement date, Santander Bank Polska S.A. (the lessee) recognises a right-of-use asset and a lease liability.
Recognition exemptions
Santander Bank Polska S.A. (the lessee) does not apply the recognition and measurement requirements arising from the accounting policy to:
· leases that have a leasing period of no more than 12 months at the start date; and
· leases for which the underlying asset is of low value (i.e. if the net value of a new asset is lower or equal to PLN 20,000).
In the case of short-term leases or leases for which the underlying asset is of low value, the Santander Bank Polska S.A. (the lessee) recognises the lease payments associated with those leases as an expense on a straight-line basis over the lease term.
Other items of the statement of financial position
Other trade and other receivables
Trade receivables and other receivables payable within 12 months from the origination are measured at the initial recognition at par due to the immaterial effect of discounting. Trade receivables and other receivables payable within 12 months are at the balance sheet day recognised in the amount of the required payment less impairment loss.
Trade payables and other liabilities
Other liabilities payable within 12 months from the initial recognition are measured at par due to the immaterial effect of discounting. Like other liabilities payable within 12 months, trade payables are recognised at the balance sheet day in the amount of the payment due.
Equity
Equity comprises capital and funds created in accordance with applicable law, acts and the Articles of Association. Equity also includes retained earnings and prior year losses carried forward.
Share capital is stated at its nominal value in accordance with the Articles of Association and the entry in the court register.
Supplementary capital is created from profit allocations and share issue premiums.
Reserve capital is created from profit allocations and may be earmarked for covering balance sheet losses or dividend payment.
The result of valuation of management share-based incentive program is included in reserve capital (IFRS 2.53).
The supplementary, reserve, general banking risk fund and share premium are presented jointly under category “Other reserve funds”.
Revaluation reserve is comprised of adjustments relating to the valuation of financial assets measured at fair value through other comprehensive income and adjustments relating to the valuation of effective cash flow hedges taking into account deferred tax and actuarial gains from estimating provision for retirement. The revaluation reserve is not distributable.
Except for own equity, non-controlling interests are also recognised in Santander Bank Polska S.A. capital.
On derecognition of all or part of financial assets measured at fair value through other comprehensive income the total effects of periodical change in the fair value reflected in the revaluation reserve are reversed. The value of a given financial asset measured at fair value through other comprehensive income is increased or decreased by the whole amount or an adequate portion of the impairment allowance made previously. The effects of the fair value changes are removed from the revaluation reserve with a corresponding change in the income statement.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The net financial result for the accounting year is the profit disclosed in the income statement of the current year adjusted by the corporate income tax charge.
Custody services
Income from custody services is an element of the fee and commission income. The corresponding customer assets do not form part of Santander Bank Polska S.A.’s assets and as such are not disclosed in the standalone statement of financial position.
Capital payments (Dividends)
Own dividends for a particular year, which have been approved by the General Meeting of Shareholders but not paid at the at the end of the reporting period are recognised as dividend liabilities in “other liabilities” item.
Provisions
A provision is recognised when Santander Bank Polska S.A. has a present legal or constructive obligation as a result of a past event, and it is probable that an outflow of economic benefits will be required to settle the obligation. If the amount is material, provisions are determined by discounting the expected future cash flows at a pre-tax rate that reflects current market assessments of the time value of money and the risks specific to the liability.
Santander Bank Polska S.A. recognizes provisions for legal risk in accordance with IAS 37 Provisions, Contingent Liabilities and Contingent Assets, where the estimated legal risk loss exceeds the gross value of the loan, and for settled loans,
Income statement
Net interest income
Santander Bank Polska S.A. presents the interest income recognised at the effective interest rate and credit-adjusted effective interest rate in separate lines of the income statement: “Interest income from financial assets measured at amortised cost” and “Interest income from assets measured at fair value through other comprehensive income”.
In turn, the interest income from financial assets which do not meet the contractual cash flows test is presented in line “Income similar to interest - financial assets measured at fair value through profit or loss”.
Net fee and commission income
Santander Bank Polska S.A. recognizes the fee and commission income that is not accounted for using the effective interest rate in such a manner so as to reflect the transfer of the goods or services promised to a customer in an amount reflecting the consideration to which it will be entitled in return for the goods or services in accordance with the 5 -stage model for recognizing income .
The Bank identifies separate obligations to perform the service to which it assigns a transaction price. If the amount of remuneration is variable, the transaction price includes part or all of the variable remuneration to the extent that there is a high probability that there will be no refund of previously recognized revenues. Revenues equal to the transaction price are recognized when the service is performed or when it is performed by providing the customer with the promised good or service.
The costs leading to the conclusion of the contract and the costs of performing the contract are activated and then systematically depreciated by the Bank taking into account the period of transferring goods or services to the customer.
The significant commission income of the Santander Bank Polska S.A. includes:
1. Fee and commission income from loans includes fees charged by Santander Bank Polska S.A. in respect of reminders, certificates, guarantees, debt collection activities as well as commitment fees. Due to its nature, the majority of such income is taken to profit or loss on a one-off basis, i.e. when a specific operation is performed for a customer. Other income, such as a guarantee fee, is settled over time during the term of an agreement with a customer.
2. Fee and commission income from credit cards includes fees in respect of card issuance, ATM withdrawals, issuance of a new card, generation of a credit card statement or activation of optional credit card-related services. The vast majority of income is recognised at a specific point in time, i.e. when a specific operation is performed for a customer. Fees in respect of additional services related to credit cards are recognised over time.
3. Income from asset management is recognised in accordance with a 5-step model based on the value of assets provided to Santander Bank Polska S.A. for management. Pursuant to the agreements in place, Santander Bank Polska S.A. does not receive any upfront fees or additional commissions calculated after the end of the accounting year on the basis of factors beyond the Santander Bank Polska S.A.’s control.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Gain/loss on derecognition of financial instruments measured at amortised cost
In the event of derecognition of an asset measured at amortized cost, Santander Bank Polska S.A. in this position presents the difference in value between financial instruments. The value of this item for 2023 relates almost entirely to settlements concluded for the portfolio of mortgage loans in foreign currencies. Upon concluding a settlement with a customer, the Bank loses its rights to the foreign currency instrument and a new PLN instrument is created. In addition to settlements for the mortgage portfolio, this item presents significant modifications to other instruments like individual and corporate loans.
Costs of legal risk of mortgage loans in foreign currencies
This income statement line presents the total impact of the legal risk of mortgage loans denominated/indexed to foreign currencies and concerns mainly changes in the amount of the adjustment for legal risk reducing the gross carrying amount of the exposure and/or changes in the amount of the provision for legal risk, and court judgments.
Net income on bancassurance
For the selected loan products, where linkage to the insurance product has been identified, the Santander Bank Polska S.A. splits realised income into a portion recognised as interest income according to effective interest rate method and a portion recognised as fee income. The Santander Bank Polska S.A. qualifies distributed insurance products as linked to loans in particular if the insurance product influences contractual provisions of a loan.
To determine what part of income is an integral part of the credit agreement recognised as interest income using effective interest rate, the Santander Bank Polska S.A. separates the fair value of the financial instrument offered and the fair value of the intermediation service of insurance product sold together with such instrument. The portion that represents an element of the amortised cost of the financial instrument and the portion that represents remuneration for the agency services are split in proportion to the fair value of the financial instrument and the fair value of the agency service cost, respectively, relative to the sum of the two values.
The portion of income that is considered an agency fee for sales of an insurance product linked to a loan agreement is recognised by the Santander Bank Polska S.A. as fee income when the fee is charged for sales of an insurance product.
The Santander Bank Polska S.A. verifies the accuracy of the assumed allocation of different types of income at least annually.
Employee benefits
Short-term employee benefits
The Santander Bank Polska S.A.’s short-term employment benefits which include wages, bonuses, holiday pay and social insurance payments are recognised as an expense as incurred.
Long-term employee benefits
The Santander Bank Polska S.A.’s obligation in respect of long-term employee benefits is the amount of future benefits that employees have earned in return for their service in the current and prior periods. The accrual for retirement bonus is estimated using actuarial valuation method. The valuation of those provisions is updated at least once a year.
Equity-settled share-based payment transactions
For equity-settled share-based payment transactions, the entity measures the goods or services received, and the corresponding increase in equity, directly, at the fair value of the goods or services received, unless that fair value cannot be estimated reliably. If the Santander Bank Polska S.A. cannot estimate reliably the fair value of the goods or services received, the Santander Bank Polska S.A. measures their value, and the corresponding increase in equity, indirectly, by reference to the fair value of the equity instruments granted.
Vesting conditions included in the terms of the grant are not taken into account in estimating fair value except where those terms are dependent on market conditions. Non-market vesting conditions are taken into account by adjusting the number of awards included in the measurement of the cost of employee services so that ultimately, the amount recognised in the income statement reflects the number of vested awards.
The expense related to share based payments is credited to shareholder’s equity. Where the share based payment arrangements give rise to the issue of new shares, the proceeds of issue of the shares are credited to share capital (nominal amount) and share premium (if any) when awards are exercised.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Cash-settled share-based payment transactions
For cash-settled share-based payment transactions, the Santander Bank Polska S.A. measures the goods or services acquired and the liability incurred at the fair value of the liability. Until the liability is settled, the Santander Bank Polska S.A. remeasures the fair value of the liability at each reporting date and at the date of settlement, with any changes in fair value recognised in profit or loss for the period. The Santander Bank Polska S.A. recognises the services received, and a liability to pay for those services, as the employees render the service. The liability is measured, initially and at each reporting date until settled, at the fair value of the share appreciation rights, by applying an option pricing model, taking into account the terms and conditions on which the share appreciation rights were granted, and the extent to which the employees have rendered the service to that date.
Net trading income and revaluation
Net trading income and revaluation include profits and losses resulting from changes in fair value of financial assets and liabilities classified as held for trading that are measured at fair value through profit and loss. Interest cost and income related to the debt instruments are also reflected in the net interest income.
Dividend income
Dividends are taken to the income statement at the moment of acquiring rights to them by shareholders provided that it is probable that the economic benefits will flow to the Santander Bank Polska S.A. and the amount of income can be measured reliably.
Gain on disposal of subsidiaries, associates and joint ventures
Gain or loss on the sale of shares in subsidiaries is determined as the difference between the subsidiary’s net asset value adjusted for unwritten-off portion of goodwill and the sale price.
Profit on the sale of interests in associates and joint ventures is the difference between the carrying amount and their sale price.
Gains or loss on other financial instruments
Gains or loss on other financial instruments include:
· gains and losses on disposal of equity instruments and debt instruments classified to the portfolio of financial assets measured at fair value through other comprehensive income; and
· changes in the fair value of hedged and hedging instruments, including ineffective portion of cash flow hedges.
Santander Bank Polska S.A. uses fair value hedge accounting and cash flow hedge accounting. Details are presented in Note 44 “Hedge accounting”.
Other operating income and other operating costs
Other operating income and cost include the cost of provisions for legal risk, as well as operating cost and income not directly related to the statutory activity of Santander Bank Polska S.A., including i.e. revenues and cost from the sale and liquidation of fixed assets, revenues from the sale of other services, received and paid damages, penalties and fines.
Impairment losses on loans and advances
The line item “Net impairment losses on loans and advances” presents impairment losses on balance sheet and off-balance sheet exposures and the gains/losses on the sale of credit receivables.
Staff and general and administrative expenses
The “Staff expenses” line item presents the following costs:
· remuneration and social insurance (including pension benefit contributions);
· provisions for unused leaves;
· pension provisions;
· bonus provisions;
· the programme for variable components of remuneration paid to individuals holding managerial positions, a part of which is recognised as an obligation on account of share-based payment in cash, in accordance with IFRS 2 Share-Based Payment; and
· employee training and other salary and non-salary benefits for employees.
The line item “General and administrative expenses” presents the following costs:
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
· maintenance and lease of fixed assets;
· IT and telecommunication services;
· administrative activity;
· promotion and advertising;
· property protection;
· short term lease costs and low-value assets lease cost
· charges paid to the Bank Guarantee Fund, the Financial Supervision Authority, the National Depository of Securities;
· taxes and fees (property tax, payments to the National Fund for the Rehabilitation of the Disabled, municipal and administrative fees, perpetual usufruct fees);
· insurance;
· repairs not classified as fixed asset improvements.
Tax on financial institutions
Introduced by an act implemented on 1 February 2016, the tax on financial institutions is calculated on the excess of the entity’s total assets over the PLN 4 billion level; in the case of banks the excess results from the statement of turnover and balances at the end of each month. Banks are permitted to reduce the tax base by e.g. the value of own funds and the value of treasury securities. In addition, banks reduce the tax base by the value of assets purchased from the National Bank of Poland held as collateral for a refinancing credit facility granted by the latter. The tax rate for all tax payers is 0.0366% per month, and the tax is paid monthly by the 25th day of the month following the month it relates to.
Santander Bank Polska S.A. reports the tax charge under “Tax on financial institutions”, separately from the income tax charge.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Santander Bank Polska S.A. is exposed to a variety of risks in its ordinary business activities. The objective of risk management is to ensure that the Bank takes risk in a responsible and controlled manner when maximising the value for shareholders. Risk is a possibility of materialisation of events impacting the achievement of the Bank’s strategic goals.
Risk management policies are designed to identify and measure risk, define the most profitable return within the accepted risk level (risk-reward), and to continually set appropriate risk mitigation limits. Santander Bank Polska S.A. modifies and develops risk management methods on an ongoing basis, taking into consideration changes in the Group’s risk profile, economic environment, regulatory requirements and best market practice.
The Management Board and Supervisory Board set the business direction and actively support the risk management strategies. This is achieved by defining the risk management and risk appetite strategy, as well as approving the key risk management policies, participation of the Management Board Members in the risk management committees, reviewing and signing off on the key risks and risk reports.
The Supervisory Board continuously oversees the risk management system. The Supervisory Board approves the strategy, key risk management policies and risk appetite, and monitors the use of internal limits in relation to the current business strategy and macroeconomic environment. It conducts the reviews of the key risk areas, the identification of threats and the process of defining and monitoring remedial actions. The Supervisory Board assesses if the control activities performed by the Management Board are effective and aligned with the Supervisory Board’s policy. The assessment also includes the risk management system.
The Audit and Compliance Committee supports the Supervisory Board in fulfilment of its oversight obligations. The Committee performs annual reviews of the Bank’s financial controls, and receives reports from the independent audit function and the compliance function. The Committee also receives quarterly reports on the degree of implementation of post-audit recommendations, and on that basis evaluates the quality of the actions taken. The Committee assesses the effectiveness of internal control system and risk management system. Moreover, the Committee monitors financial audits, in particular inspections carried out by the audit company, controls, monitors and assesses independence of the chartered auditor and audit company, and reports the outcomes of inspections to the Supervisory Board. In addition, the Committee develops the policy and procedure for selecting the audit company and presents to the Supervisory Board the recommendations on election, re-election and recalling of External Auditor and on the External Auditor’s fee.
The Risk Committee supports the Supervisory Board in assessing the effectiveness of the internal control and risk management systems and measures adopted and planned to ensure an effective management of material risks.
Moreover,in the Bank the Supervisory Board is also supported by the Remuneration Committee and the Nominations Committee, however outside the risk management area.
The Management Board is responsible for the effectiveness of risk management. In particular, it introduces the organisational structure aligned with the level and profile of the risk being undertaken, split of the responsibilities providing the separation of the risk measurement and control function from the operational activity, implements and updates the written risk management strategies, and ensures transparency of the activities. The Management Board reviews the financial results of the Bank. It established a number of committees which are directly responsible for the development of the risk management methodology and monitoring of risks in particular areas.
The Management Board fulfils its risk management role also through the following committees: Risk Management Committee and Risk Control Committee, where the Management Board members are supported by key risk management officers.
The Risk Management Committee approves the key decisions taken by the lower-level risk committees (above established limits), approves annual limits for securities transactions as well as ALCO limits and plans for risk assessing models.
The Risk Control Committee monitors the risk level across different areas of the bank’s operations and supervises the activities of lower-level risk management committees set up by the Management Board. These committees, acting within the respective remits defined by the Management Board, are directly responsible for developing risk management methods and monitoring risk levels in specific areas.
The Risk Control Committee supervises the activities of the below-listed committees operating in the risk management field:
Credit Risk Committee, which approves and supervises the risk management policy and risk measurement methodology as well as monitors credit risk of cpnsolidated credit portfolio or in cases pertaining to more than one business segment;
Credit Policy Forum for Retail Portfolios/ SME Portfolios/ Business and Corporate Loans Portfolios, which are authorised to approve and supervise the the risk measurement policy and methodology, and monitoring credit risk only in relation to their respective business segments.
The Credit Committee takes credit decisions within the assigned lending discretions.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The Provisions Committee takes decisions on impairment charges in an individual and collective approach, for credit exposures, as well as other financial instruments and assets and on legal risk provisions. Moreover, the Committee formulates the methodology, reviews and verifies the adequacy of parameters applied when setting the impairment in an individual and collective approach for Santander Bank Polska SA, excluding Santander Consumer Bank, and takes decisions about debts sales.
The Recovery Committee takes decisions regarding corporate clients with financial difficulties, including with respect to the relationship management strategy, approval of the causes of loss analysis and monitoring of the portfolio and effectiveness of recovery processes.
Market and Investment Risk Committee, which approves and supervises the risk management policy and risk measurement methodology as well as monitors market risk in the banking book, market risk in the trading book, structural risk for the balance sheet, liquidity risk and investment risk;
Model Risk Management Committee, which is responsible for model risk management as well as supervises the methodology of models used in Santander Bank Polska S.A.;
The Information Management Committee is responsible for the quality and organisation of data related to risk management and other
areas of the bank’s operations.
The Operational Risk Management Committee (ORMCo) monitors the level, sets the direction for strategic operational risk actions in Santander Bank Polska SAin the area of business continuity, information security and fraud prevention.
CyberTechRisk Forum is responsible for the evaluation and proposing changes to the IT, cybersecurity and operations strategy as well as for the monitoring of key issues related to IT, cybersecurity and operations. The Committee is also a forum for discussion on operational risk with focus on technological risk, including cyber risk;
Suppliers Panel establishes standards and carries out monitoring regarding providers and services, incl. outsourcing; main forum for discussion on risk resulting from the cooperation with suppliers.
The Assets and Liabilities Management Committee supervises the activity on the bank’s and the Group’s banking book, manages liquidity and interest rate risk in the banking book and is responsible for the funding and balance sheet management, including for the pricing policy.
Liquidity Forum monitors liquidity position of the Bank, with a special focus on the dynamics of deposit and credit volumes, the Bank’s needs for financing and the general market situation.
The Capital Committee is responsible for capital management, in particular the ICAAP.
The Disclosure Committee verifies if the financial information published by Santander Bank Polska SA meets the legal and regulatory requirements.
The Local Marketing and Monitoring Committee approves new products and services to be implemented in the market, taking into account the reputation risk analysis.
The General Compliance Committee is responsible for setting standards with respect to the management of compliance risk and the codes of conduct adopted in the Bank.
The Regulatory and Reputational Risk Committee is responsible for monitoring and taking decisions on cases relating to the compliance with law, regulatory guidelines and market/ industry standards relating to the business.
The Anti-Money Laundering and Counter-Terrorism Financing Committee approves the bank’s policy on prevention of money laundering and the financing of terrorism. It approves and monitors the Group’s activities in this area.
The Responsible Banking and Corporate Culture Committee is the main forum to discuss issues concerning responsible banking, sustainable development, ESG and corporate culture. It sets the direction of strategic activities and monitors the related objectives. As part of the Committee, the ESG Forum has been established to analyse challenges, opportunities and risks related to the EU Sustainable Finance agenda, including ESG risks, plan activities and coordinate their implementation at the Bank, and to submit regular reports to the Responsible Banking and Corporate Culture Committee and the Bank’s Management Board.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The chart below presents the corporate governance in relation to the risk management process.
The Bank has dedicated committees which are convened in crisis situations:
Gold Committee, which takes decisions in crisis situations affecting Santander Bank Polska Group: it recommends the Management Board to activate the Recovery Plan, activates liquidity and capital contingency plans, and activates business continuity plans and the communication plan (if not already implemented).
Silver Committee, the main special situations governance body following the activation of the contingency situation, which assesses the impact of that situation and coordinates activities as part of the special situation management, activates action plans (e.g. business continuity plans) and BAU restoration procedures, and draws lessons learned after the special situation is resolved.
Bronze Group, which is responsible for the identification of and prompt response to threats or events that may pose a risk to the normal functioning of the Subsidiary and/or the Group. It identifies new threats in cooperation with the committees which manage risks on a daily basis.
Risk management is in line with the risk profile resulting from risk appetite. At Santander Bank Polska risk appetite is expressed as quantitative limits and captured in the “Risk Appetite Statement” adopted by the Management Board and approved by the Supervisory Board. Global limits are used to set watch limits and shape risk management policies.
Bank continuously analyses the risks to which it is exposed in its operations, identifies their sources, creates the relevant risk management mechanisms including among others the measurement, control, mitigation and reporting. The key risks include:
· credit risk
· concentration risk
· market risk in the banking book and trading book
· liquidity risk
· operational risk,
· compliance risk.
The key rules, roles and responsibilities of the Group companies are set out in relevant internal policies relating to the management of individual risk types.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Santander Bank Polska SA pays special attention to the consistency of risk management processes across the Group, which ensures adequate control of the risk exposure. The subsidiaries implement risk management policies and procedures reflecting the principles adopted by Santander Bank Polska SA.
Acting under the applicable law, the bank exercises oversight of risk management in Santander Consumer Bank in line with the same oversight rules as applied to other Santander Bank Polska Group companies. The bank’s representatives on the Supervisory Board of Santander Consumer Bank are: the Management Board member in charge of the Risk Management Division and the Management Board member in charge of the Retail Banking Division. they are responsible for supervision over Santander Consumer Bank S.A. and they ensure, together with the company’s Supervisory Board, that the company operates in line with adopted plans and operational security procedures. The bank monitors the profile and level of Santander Consumer Bank S.A. risk via risk management committees of Santander Bank Polska S.A.
From the point of view of negative impact of those risks on society, environment, employees, human rights and anti-corruption measures, particular importance is attached to operational risk, compliance risk and reputational risk. In addition, the bank has identified social and environmental risks (including climate risks) related to financing customers from sensitive sectors.
Credit risk
Santander Bank Polska S.A. credit activities focus on growing of a loan portfolio while guaranteeing its high quality, a good yield and customer satisfaction.
Credit activity includes all products subject to credit risk (credit facilities), originated by the Bank or its leasing and factoring subsidiaries.
Credit risk is defined as the possibility of suffering a loss as a result that a borrower will fail to meet its credit obligation, including interest and fees. Credit risk arises from the impairment of credit assets and contingent liabilities, resulting from worsening of the borrower’s credit quality. Credit risk measurement is based on the estimation of credit risk weighted assets, with the relevant risk weights representing both the probability of default and the potential loss given default of the borrower.
Bank’s credit risk arises mainly from lending activities on the retail, SME, business, corporate and interbank markets. This risk is manager as part of the policy approved by the Management Board on the basis of the adopted credit procedures as well as on the basis of discretionary limits allocated to individual credit officers based on their knowledge and experience. The internal monitoring system and credit classification used by the Bank allows for an early identification of situations threatening the deterioration of the quality of the loan portfolio. Additionally the bank uses large set of credit risk mitigation tools, both collaterals (financial and non-financial) and specific credit provisions and clauses (covenants).
The bank continues to develop and implement risk based methods of grading loans, allocating capital and effectiveness measurement. Risk valuation models are used for all credit portfolios.
The bank regularly reviews processes and procedures for measurement, management and monitoring of the Bank’s credit portfolio risk, adjusting them to the amended laws and regulatory requirements, especially to the KNF recommendations and the EBA guidelines.
.Impact of the geopolitical situation (including the conflict in Ukraine) on credit risk measurement
In 2023, the bank continued to thoroughly analysed developments in the macroeconomic environment and monitored credit exposures in individual customer segments and sectors in order to promptly and duly align the credit policy parameters where required.
In 2023, the bank focused on the analysis of potential impact of the geopolitical situation and the changing macroeconomic environment on customers’ standing. The analysis of macroeconomic factors covered in particular inflation and interest rates, exchange rates, as well as gas and energy prices. The bank closely monitored risk indicators of individual credit portfolios and analysed the sensitivity of customers’ risk profile to changes in the economic and geopolitical environment. In addition, credit portfolios were stress tested in terms of the impact of individual factors and their combination. The bank reviewed the portfolio of customers doing business in Ukraine, Russia, Belarus and Israeli and/or cooperating with companies from those countries, and identified customers with high exposure to negative impact of higher energy prices on the company’s standing.
These risks were reflected by modifications of ratings of entities, which directly translated into the level of provisions for expected credit losses and an additional management adjustment (described in the section Management provision of the level of allowances for expected credit losses of these financial statements). This portfolio is monitored on an ongoing basis. Specific strategies were developed with respect to such customers.
As at the date of preparation of the financial statements, the deteriorating quality of the cash loan portfolio is also observed, it remains at an increased level, the improvement of which is expected from 2024 due to the improvement in the quality of newly sold loans. The risk of mortgage loan portfolio is mitigated by the state payment deferral programme. However, high interest rates and lower real value of salaries due to high inflation have an increasingly negative impact on that portfolio. The impact of the above factors on the level of impairment losses are reflected by the Bank using scoring models, as well as through an additionally created management adjustment for mortgage loans (described in the section Management provision of the level of allowances for expected credit losses of these financial statements).
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The overall quality of the credit portfolio is still assessed as satisfactory.
As part of regular reviews of ECL parameter models, the Bank takes into account the latest macroeconomic projections, using its predictive models based on historical observations of relationships between those variables and risk parameters. ECL parameters were last updated in Q4 2022 to account for the impact of the geopolitical situation on the current economic situation and macroeconomic projections. The values of macroeconomic indicators included in the calculation of ECLs are presented in section ‘Allowances for expected credit losses in respect of financial assets’.
Credit risk management committees
Consolidated credit risk oversight at Santander Bank Polska is performed by the Credit Risk Committee (CRC). Its key responsibilities include development and approval of the best sectoral practice, industry analyses, credit policies, individual credit discretion systems and risks grading systems. The CRC also receives advanced credit portfolio analyses and recommends to the Management Board credit risk appetite limits to ensure balanced and safe growth of the credit portfolio.
The Bank also has three committees referred to as Credit Policy Forums, which deal with the key customer segments: retail segment, SME segment and the business/ corporate segment. These committees are responsible for shaping the credit policy and processes within their respective segments. If needed, their decisions may be escalated to the Credit Risk Committee.
In turn, oversight over credit risk models and the risk valuation methodology is the responsibility of the Models Risk Management Committee.
Risk Management Division
The Risk Management Division is responsible for a consolidated credit risk management process, including management and supervision of credit delivery, defining credit policies, providing decision-making tools and credit risk measurement tools, quality assurance of the credit portfolio and provision of reliable management information on the credit portfolio.
Credit Policies
Credit policies refer to particular business segments, loan portfolios and banking products. They contain guidelines for the identification of the areas where specific types of risks manifest themselves, specifying the methods of their measurement and mitigation to the level acceptable to the bank (e.g. “Loan-to-Value” ratios, FX risk in the case of foreign currency loans).
The bank reviews and updates its credit policies on a regular basis, aiming to bring them in line with the bank’s strategy, current macroeconomic situation, legal developments and changes in regulatory requirements.
Credit Decision Making Process
The credit decision-making process as a part of the risk management policy is based upon Individual Credit Discretions vested in credit officers, commensurate with their knowledge and experience within the business segments. Credit exposures in excess of PLN 50m are referred to the Credit Committee composed of senior management and top executives. Transactions above established thresholds (from PLN 48.75m to PLN 195m, depending on the transaction type) are additionally ratified by Risk Management Committee.
Bank continually strives to ensure best quality credit service while satisfying the borrowers’ expectations and ensuring security of the credit portfolio. To this end, the existing system of credit discretions ensures segregation of the credit risk approval function from the sales function.
Credit Grading
Santander Bank Polska S.A. dynamically developes credit risk assessment tools adapting them to the KNF’s guidelines, International Accounting Standards/ International Financial Reporting Standards (IAS/IFRS) and best market practice.
Bank uses credit risk grading models for its key credit portfolios, including corporate customers, SMEs, mortgage loans, property loan, cash loans, credit cards and personal overdrafts.
The bank regularly monitors its credit grading using the rules specified in its Lending Manuals. Additionally, for selected models, automated process of credit grade verification is carried out based on the number of overdue days or an analysis of the customer’s behavioural data. Credit grade is also verified at subsequent credit assessments.
Credit Reviews
The bank performs regular reviews to determine the actual quality of the credit portfolio, confirm that adequate credit grading and provisioning processes are in place, verify compliance with the procedures and credit decisions and to objectively assess professionalism in credit management. The reviews are performed by the two specialised units: Credit Review Department and the Control Department, which are independent of the risk-taking units.
Collateral
In the Santander Bank Polska S.A. security model, the Collateral and Credit Agreements Department is the central unit responsible for creation and maintenance of securities. The Security Manual as a procedure describing legal standards for the application of collateral
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
security is managed by the Legal and Compliance Division. The Collateral and Credit Agreements Department is the owner of the security contract templates.
The role of the department is to ensure that security covers are duly established and held effective in line with the lending policy for all business segments. The unit is also responsible for developing standardised internal procedures with respect to perfecting and maintaining validity of collateral as well as ensuring that establishment, monitoring and release of security covers is duly effected.
Furthermore, the Collateral and Credit Agreements Department provides assistance to credit units in credit decision making and development of credit policies with respect to collateral. The unit gathers data on collateral and ensures appropriate management information. The tables below show types of collateral that can be used to secure loans and advances to customers from non-banking sector.
Retail customers
Type of loan/receivables |
Type of collateral |
Cash loan |
bills, guarantees, credit insurance |
Credit on liquid assets |
guaranty deposit, amounts frozen on account, investment funds |
Student loan |
sureties |
Housing loan |
mortgage, credit insurance, transfer of claim |
Leasing |
bills, guarantees, transfer of rights to bank’s account; court registered pledge on movables; transfer of ownership, mortgage, obligation of the leased asset supplier to buy the asset back (buy-back guarantee) |
Business customers
Type of loan/receivables |
Type of collateral |
Commercial credit |
guaranty deposit, registered pledge, bills |
Revolving credit |
assignment of credit, bills, guarantees, registered pledge |
Building credit |
mortgage |
Investment credit |
mortgage, sureties, warranty |
Granted and with supplements |
guarantees, warranty |
Leasing |
bills, guarantees, transfer of rights to bank’s account; court registered pledge on movables; transfer of ownership, mortgage, obligation of the leased asset supplier to buy the asset back (buy-back guarantee) |
Collateral management process
Before a credit decision is approved, in the situations provided for in internal regulations, the Collateral and Credit Agreements Department assesses the collateral quality and value, a process that includes:
· verification of the security valuation prepared by external valuers, and assessment of the security value for business loans,
· assessment of the legal status of the security for business loans,,
· assessment of the investment process for the properties,
· seeking legal advises on the proposed securities.
The Collateral and Credit Agreements Department actively participates in credit processes, executing tasks including:
· verification of signed collateral documentation received from law firms, whether complete and compliant with the Bank’s internal procedures (verification carried out before or immediately after disbursement);
· registration and verification of the data in information systems,
· collateral monitoring and reporting,
· reporting on the status of collateral by segments,
· releasing of the collateral.
In managing its receivables, Bank carries out the process of collateral execution. Selection of proper action towards execution of specific collateral depends on the type of the collateral (personal or tangible). In principle the Bank aims at voluntary proceedings in the course of collateral execution. When there is no evidence of cooperation with a collateral provider, the bank’s rights are fulfilled in compliance with the law and internal regulations in the bankruptcy and enforcement proceedings.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Financial effect of the accepted collateral
The financial effect of the accepted collateral was calculated as a change in the credit loss allowance as a result of exclusion of the cash flow from collateral (non-performing exposures are assessed on an case-by-case basis). For other portfolios (mortgage, SME and corporate loans), this effect was calculated by adjusting the LGD parameter to the level observed for particular clients on unsecured products.
The table below present financial effect of collateral of Santander Bank Polska S.A. as at 31.12.2023:
31.12.2023 |
|
|
|
Financial effect of collateral |
Gross Amount |
Allowance for impairment |
Financial effect of collateral |
Loans and advances to customers |
|
|
|
individuals |
19 565 389 |
(1 095 436) |
- |
housing loans |
51 006 587 |
(518 343) |
( 658 594) |
business |
70 314 319 |
(2 089 326) |
(1 175 965) |
Total balance sheet |
140 886 295 |
(3 703 105) |
(1 834 559) |
Total off-balance sheet |
34 479 042 |
(151 294) |
( 43 769) |
The table below present financial effect of collateral of Santander Bank Polska S.A. as at 31.12.2022:
31.12.2022 |
|
|
|
Financial effect of collateral |
Gross Amount |
Allowance for impairment |
Financial effect of collateral |
Loans and advances to customers |
|
|
|
individuals |
17 949 015 |
(1 029 170) |
- |
housing loans |
50 611 667 |
( 551 866) |
(546 663) |
business |
66 481 615 |
(2 284 645) |
(1 052 832) |
Total balance sheet |
135 042 297 |
(3 865 681) |
(1 599 495) |
Total off-balance sheet |
28 898 402 |
(74 012) |
(10 471) |
Credit risk stress testing
Stress testing is a part of the credit risk management process used to evaluate potential effects of specific events or movement of a set of financial and macroeconomic variables or change in risk profile on Santander Bank Polska condition. Stress tests are composed of assessment of potential changes in credit portfolio quality when faced with adverse conditions. The process also delivers management information about adequacy of agreed limit and internal capital allocation.
Impairment calculation
Santander Bank Polska posts impairment for expected losses in accordance with International Financial Reporting Standard 9 (IFRS 9). IFRS 9 introduced a new approach to the estimation of allowances for credit losses. The approach is based on estimation of the expected credit loss (ECL). ECL allowances reflect an unbiased and probability-weighted amount that is determined by evaluating a range of possible outcomes, the time value of money; and reasonable and supportable information that is available without undue cost or effort at the reporting date about past events, current conditions and forecasts of future economic conditions. ECL allowances are measured at an amount equal to a 12-month ECL or the lifetime ECL, when it is deemed there has been a significant increase in credit risk since initial recognition. Accordingly, the ECL model gives rise to measurement uncertainty, especially in relation to:
· measurement of a 12-month ECL or the lifetime ECL;
· determination of when a significant increase in credit risk occurred;
· determination of any forward-looking events reflected in ECL estimation, and their likelihood.
In accordance with IFRS 9, the recognition of expected credit losses will depend on changes in risk after recognition of the exposure. The standard introduces three main stages for recognising expected credit losses:
· Stage 1 – exposures with no significant increase in risk since initial recognition, i.e. the likelihood of the exposure being downgraded to the impaired portfolio (Stage 3 exposures) has not increased. For such exposures, 12-month expected credit losses will be recognised.
· Stage 2 – exposures with a significant increase in risk since initial recognition, but with no objective evidence of default. For such exposures, lifetime expected credit losses will be recognised.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
· Stage 3: exposures for which the risk of default has materialised (indications of impairment have been identified). For such exposures, lifetime expected credit losses will be recognised.
Lifetime expected losses are recognised also for the exposures classified as POCI (purchased or originated credit-impaired). Such an asset is created when an impaired asset is recognized, and the POCI classification is maintained throughout the life of the asset.
In the case of classification into stage 3, the Bank applies objective indications of impairment, as defined in accordance with the Basel Committee’s recommendations and Recommendation R from KNF and EBA.
The bank estimates ECL using both an individual approach (for individually significant exposures with objectively evidenced impairment [stage 3]) and collective approach (individually insignificant exposures with objectively evidenced impairment, and incurred but not reported losses).
The Bank on a regular basis recalibrates its models and updates the forward-looking information used for estimating ECL, taking into account the impact of changes in economic conditions, modifications of the Bank’s credit policies and recovery strategies, which is designed to ensure appropriate level of impairment allowances.
The tables below present Santander Bank Polska SA exposure to credit risk.
Assets have been classified into respective risk grades based on the one-year probability of default arising from current credit rating (business customers) or score (personal customers) used for the purpose of business processes or, if not available, based on the one-year probability of default used for calculation of expected credit losses.
The tables below present the quality of financial assets of Santander Bank Polska broken down into risk groups as at 31.12.2023 and in the comparative period. The portfolio consisis of loans and advances to clients measured at amortised cost.
31.12.2023 |
|
Loans and advances to individuals |
Loans and advances to individuals- mortgage loans |
Loans and advances to enterprises |
|||
|
PD range |
Balance sheet exposures gross |
Off-balance sheet exposures |
Balance sheet exposures gross |
Off-balance sheet exposures |
Balance sheet exposures gross |
Off-balance sheet exposures |
Stage 1 |
from 0,00% to <0,15% |
1 144 010 |
2 552 715 |
35 934 917 |
798 710 |
22 530 649 |
8 253 803 |
from 0,15% to <0,25% |
652 421 |
643 573 |
1 504 114 |
70 |
4 473 319 |
3 008 143 |
|
from 0,25% to <0,50% |
190 201 |
0 |
6 875 330 |
116 796 |
13 617 382 |
8 740 118 |
|
from 0,50% to <0,75% |
2 522 703 |
347 901 |
1 731 851 |
56 034 |
6 391 699 |
5 838 993 |
|
from 0,75% to <2,50% |
8 891 730 |
412 375 |
1 991 544 |
37 048 |
12 157 647 |
8 094 311 |
|
from 2,50% to <10,0% |
3 384 316 |
122 771 |
552 343 |
23 627 |
3 925 830 |
999 234 |
|
from 10,0% to <45,0% |
358 392 |
15 033 |
319 |
- |
223 391 |
8 456 |
|
|
from 45,0% to <100,0% |
2 732 |
- |
- |
- |
328 |
- |
Total Stage 1 |
17 146 505 |
4 094 369 |
48 590 418 |
1 032 285 |
63 320 245 |
34 943 059 |
|
Stage 2 |
from 0,00% to <0,15% |
23 114 |
19 |
569 271 |
- |
8 484 |
0 |
from 0,15% to <0,25% |
27 311 |
595 |
66 665 |
- |
220 192 |
442 |
|
from 0,25% to <0,50% |
9 893 |
496 |
312 401 |
- |
285 897 |
0 |
|
from 0,50% to <0,75% |
85 250 |
2 953 |
60 715 |
- |
570 564 |
45 873 |
|
from 0,75% to <2,50% |
316 480 |
12 143 |
189 969 |
1 755 |
947 788 |
140 617 |
|
from 2,50% to <10,0% |
473 559 |
26 356 |
148 416 |
7 391 |
1 105 290 |
326 919 |
|
from 10,0% to <45,0% |
211 835 |
153 |
5 127 |
72 |
663 231 |
59 035 |
|
|
from 45,0% to <100,0% |
11 930 |
- |
115 |
- |
51 826 |
- |
Total Stage 2 |
1 159 371 |
42 716 |
1 352 680 |
9 219 |
3 853 273 |
572 887 |
.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Default period |
EAD after credit risk mitigation and credit conversion factor applied |
|
|||
|
Loans and advances to individuals |
Loans and advances to individuals- mortgage loans |
Loans and advances to enterprises |
||
Stage 3 |
up to 12 months |
860 091 |
335 486 |
970 855 |
|
from 13 to 24 months |
238 630 |
206 911 |
545 552 |
||
from 25 to 36 months |
96 495 |
92 947 |
267 626 |
||
from 37 to 48 months |
40 255 |
49 981 |
213 042 |
||
from 49 to 60 months |
30 786 |
64 515 |
240 203 |
||
from 61 to 84 months |
26 043 |
75 561 |
108 026 |
||
|
above 84 months |
10 895 |
47 896 |
350 249 |
|
POCI |
up to 12 months |
54 126 |
10 711 |
78 115 |
|
from 13 to 24 months |
46 544 |
38 809 |
239 739 |
||
from 25 to 36 months |
13 269 |
16 165 |
64 252 |
||
from 37 to 48 months |
4 465 |
4 027 |
24 462 |
||
from 49 to 60 months |
2 080 |
5 143 |
126 528 |
||
from 61 to 84 months |
19 026 |
13 982 |
42 858 |
||
|
above 84 months |
13 893 |
32 710 |
37 963 |
|
..
31.12.2022 |
|
Loans and advances to individuals |
Loans and advances to individuals- mortgage loans |
Loans and advances to enterprises |
|||
|
PD range |
Balance sheet exposures gross |
Off-balance sheet exposures |
Balance sheet exposures gross |
Off-balance sheet exposures |
Balance sheet exposures gross |
Off-balance sheet exposures |
Stage 1 |
from 0,00% to <0,15% |
705 728 |
2 552 715 |
33 906 152 |
798 710 |
18 958 027 |
8 253 803 |
from 0,15% to <0,25% |
780 511 |
643 573 |
2 319 464 |
70 |
3 972 926 |
3 008 143 |
|
from 0,25% to <0,50% |
355 622 |
- |
7 396 105 |
116 796 |
13 461 463 |
8 740 118 |
|
from 0,50% to <0,75% |
4 061 684 |
347 901 |
1 762 887 |
56 034 |
6 716 054 |
5 838 993 |
|
from 0,75% to <2,50% |
5 862 988 |
412 375 |
2 249 423 |
37 048 |
11 673 403 |
8 094 311 |
|
from 2,50% to <10,0% |
3 616 094 |
122 771 |
619 596 |
23 627 |
4 110 850 |
999 234 |
|
from 10,0% to <45,0% |
390 784 |
15 033 |
168 |
- |
293 405 |
8 456 |
|
|
from 45,0% to <100,0% |
4 094 |
- |
- |
- |
371 |
- |
Total Stage 1 |
15 777 505 |
4 094 369 |
48 253 795 |
1 032 285 |
59 186 498 |
34 943 059 |
|
Stage 2 |
from 0,00% to <0,15% |
18 666 |
19 |
490 961 |
- |
17 293 |
- |
from 0,15% to <0,25% |
28 801 |
595 |
74 931 |
- |
92 319 |
442 |
|
from 0,25% to <0,50% |
13 999 |
496 |
279 813 |
- |
244 399 |
- |
|
from 0,50% to <0,75% |
136 196 |
2 953 |
59 798 |
- |
363 938 |
45 873 |
|
from 0,75% to <2,50% |
233 533 |
12 143 |
147 998 |
1 755 |
1 397 861 |
140 617 |
|
from 2,50% to <10,0% |
387 682 |
26 356 |
185 030 |
7 391 |
1 277 514 |
326 919 |
|
from 10,0% to <45,0% |
123 366 |
153 |
5 377 |
72 |
586 712 |
59 035 |
|
|
from 45,0% to <100,0% |
14 344 |
- |
761 |
- |
7 824 |
- |
Total Stage 2 |
956 586 |
42 716 |
1 244 670 |
9 219 |
3 987 860 |
572 887 |
…
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Default period |
EAD after credit risk mitigation and credit conversion factor applied |
|
|||
|
Loans and advances to individuals |
Loans and advances to individuals- mortgage loans |
Loans and advances to enterprises |
||
Stage 3 |
up to 12 months |
743 127 |
389 586 |
851 145 |
|
from 13 to 24 months |
296 448 |
149 277 |
409 389 |
||
from 25 to 36 months |
120 644 |
73 923 |
332 435 |
||
from 37 to 48 months |
61 851 |
85 224 |
337 989 |
||
from 49 to 60 months |
26 097 |
62 245 |
102 776 |
||
from 61 to 84 months |
20 086 |
80 151 |
364 944 |
||
|
above 84 months |
7 742 |
42 817 |
444 965 |
|
POCI |
up to 12 months |
94 486 |
55 126 |
85 029 |
|
from 13 to 24 months |
24 572 |
13 317 |
38 832 |
||
from 25 to 36 months |
12 049 |
5 943 |
23 941 |
||
from 37 to 48 months |
4 681 |
7 070 |
164 663 |
||
from 49 to 60 months |
21 415 |
15 048 |
49 376 |
||
from 61 to 84 months |
17 405 |
16 438 |
14 821 |
||
|
above 84 months |
13 216 |
43 968 |
53 623 |
|
The tables below present the quality of ‘Loans and advances to business customers measured at fait value through other comprehensive income’ broken down into stages as at 31.12.2023 and in the comparative period:
Loans and advances to customers measured at fair value through OCI |
||||||
31.12.2023 |
PD |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
|
|
|
|
|
|
|
|
|
od 0,00 do <0,15% |
445 835 |
- |
- |
445 835 |
|
|
od 0,15 do <0,25% |
151 691 |
- |
- |
151 691 |
|
|
od 0,25 do <0,50% |
878 181 |
139 881 |
- |
1 018 062 |
|
|
od 0,50 do <0,75% |
346 910 |
150 493 |
- |
497 403 |
|
|
od 0,75 do <2,50% |
777 218 |
- |
- |
777 218 |
|
Gross amount |
|
2 599 835 |
290 374 |
- |
2 890 209 |
|
|
|
|
|
|
|
|
Impairment |
|
(10 551) |
(81 464) |
- |
(91 975) |
|
Net amount |
|
2 589 324 |
208 910 |
- |
2 798 234 |
|
.
.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Loans and advances to customers measured at fair value through OCI |
||||||
31.12.2022 |
PD |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
|
|
|
|
|
|
|
|
|
od 0,00 do <0,15% |
447 891 |
- |
- |
447 891 |
|
|
od 0,15 do <0,25% |
248 454 |
- |
- |
248 454 |
|
|
od 0,25 do <0,50% |
708 403 |
- |
- |
708 403 |
|
|
od 0,50 do <0,75% |
407 772 |
- |
- |
407 772 |
|
|
od 0,75 do <2,50% |
822 880 |
- |
- |
822 881 |
|
Gross amount |
|
2 635 400 |
- |
- |
2 635 400 |
|
|
|
|
|
|
|
|
Impairment |
|
(6 740) |
- |
- |
(6 740) |
|
Net amount |
|
2 628 660 |
- |
- |
2 628 660 |
|
The tables below present the quality of financial assets of Santander Bank Polska broken down into stages and by ratings as at December 31, 2023 and in the comparative period:
Stage 1 |
|
|
|
|
|
31.12.2023 |
Loans and advances to banks |
Debt and equity securities measured at fair value through other comprehensive income |
Debt investment securities measured at amortised cost |
Debt and equity securities measured at fair value through profit or loss |
Debt and equity instruments held for trading |
Credit quality level * |
|
|
|
|
|
1 (AAA to AA-) |
418 664 |
1 738 349 |
861 400 |
- |
- |
2(A+ to A-) |
8 507 926 |
43 075 289 |
17 004 818 |
|
1 517 533 |
3 (BBB+ to BBB-) |
92 159 |
- |
- |
- |
- |
4(BB+ to BB-) |
2 020 |
- |
- |
- |
- |
5(B+ to B-) |
132 |
- |
- |
- |
- |
6 (<B-) |
- |
- |
- |
- |
- |
no external rating |
27 499 |
- |
- |
- |
1 658 |
Total Stage 1 |
9 048 400 |
44 813 638 |
17 866 218 |
- |
1 519 191 |
* according to Fitch;
There are no instruments classified to Stage 2 as at 31.12.2023.
.
Stage 3 |
|
|
|
|
|
31.12.2023 |
Loans and advances to banks |
Debt and equity securities measured at fair value through other comprehensive income |
Debt investment securities measured at amortised cost |
Debt and equity securities measured at fair value through profit or loss |
Debt and equity instruments held for trading |
Credit quality level * |
|
|
|
|
|
1 (AAA to AA-) |
- |
- |
- |
- |
- |
2(A+ to A-) |
- |
- |
- |
- |
- |
3 (BBB+ to BBB-) |
- |
- |
- |
- |
- |
4(BB+ to BB-) |
- |
- |
- |
- |
- |
5(B+ to B-) |
- |
- |
- |
- |
- |
6 (<B-) |
- |
- |
- |
- |
- |
no external rating |
- |
394 |
- |
- |
- |
Total Stage 3 |
- |
394 |
- |
- |
- |
* according to Fitch |
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Stage 1 |
|
|
|
|
|
|
31.12.2022 |
Loans and advances to banks |
Loans and advances to customers - Debt securities measured at amortised cost |
Debt and equity securities measured at fair value through other comprehensive income |
Debt investment securities measured at amortised cost |
Debt and equity securities measured at fair value through profit or loss |
Debt and equity instruments held for trading |
Credit quality level * |
|
|
|
|
|
|
1 (AAA to AA-) |
247 909 |
- |
1 308 713 |
- |
62 907 |
- |
2(A+ to A-) |
8 846 209 |
- |
45 298 694 |
3 156 009 |
- |
227 167 |
3 (BBB+ to BBB-) |
351 459 |
- |
- |
- |
- |
- |
4(BB+ to BB-) |
71 219 |
93 898 |
- |
- |
- |
- |
5(B+ to B-) |
21 |
- |
- |
- |
- |
- |
6 (<B-) |
- |
- |
- |
- |
- |
- |
no external rating |
192 983 |
722 998 |
- |
- |
- |
2 123 |
Total Stage 1 |
9 709 800 |
816 896 |
46 607 407 |
3 156 009 |
62 907 |
229 290 |
Stage 2 |
|
|
|
|
|
|
31.12.2022 |
Loans and advances to banks |
Loans and advances to customers - Debt securities measured at amortised cost |
Debt and equity securities measured at fair value through other comprehensive income |
Debt investment securities measured at amortised cost |
Debt and equity securities measured at fair value through profit or loss |
Debt and equity instruments held for trading |
Credit quality level * |
|
|
|
|
|
|
1 (AAA to AA-) |
- |
- |
- |
- |
- |
- |
2(A+ to A-) |
- |
- |
- |
- |
- |
- |
3 (BBB+ to BBB-) |
- |
- |
- |
- |
- |
- |
4(BB+ to BB-) |
- |
- |
- |
- |
- |
- |
5(B+ to B-) |
- |
- |
- |
- |
- |
- |
6 (<B-) |
- |
- |
- |
- |
- |
- |
no external rating |
- |
63 324 |
- |
- |
- |
- |
Total Stage 2 |
- |
63 324 |
- |
- |
- |
- |
* according to Fitch |
Stage 3 |
|
|
|
|
|
|
31.12.2022 |
Loans and advances to banks |
Loans and advances to customers - Debt securities measured at amortised cost |
Debt and equity securities measured at fair value through other comprehensive income |
Debt investment securities measured at amortised cost |
Debt and equity securities measured at fair value through profit or loss |
Debt and equity instruments held for trading |
Credit quality level * |
|
|
|
|
|
|
1 (AAA to AA-) |
- |
- |
- |
- |
- |
- |
2(A+ to A-) |
- |
- |
- |
- |
- |
- |
3 (BBB+ to BBB-) |
- |
- |
- |
- |
- |
- |
4(BB+ to BB-) |
- |
- |
- |
- |
- |
- |
5(B+ to B-) |
- |
- |
- |
- |
- |
- |
6 (<B-) |
- |
- |
- |
- |
- |
- |
no external rating |
- |
143 615 |
2 410 |
- |
- |
- |
Total Stage 3 |
- |
143 615 |
2 410- |
- |
- |
- |
* according to Fitch |
.Loans and advances to banks are assessed using ratings. The assessment method was set out in the Bank’s internal regulations. Each institutional client (exposure) is assigned a rating by one of the reputable rating agencies (Fitch, Moody’s, S&P), in accordance with the CRR. Then, a relevant grade is allocated to the client. There are no overdue or impaired loans and advances to banks.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Financial instruments from the investment securities measured at fair value and held-for-trading portfolio are assessed in accordance with the sovereign rating (treasury bonds, securities issued by the National Bank of Poland [NBP], Bank Gospodarstwa Krajowego [BGK] debt instruments). The sovereign rating is the same as the NBP/BGK rating. All have the same rating as Poland, according to Fitch it is A.
For all instruments classified to Stage 1 (including also loans and advances to customers measured at fair value through other comprehensive income), there is no overdue or impairment, therefore they are classified to Stage 1. In accordance with its definition- as exposures with no significant increase in risk since initial recognition, i.e. the likelihood of the exposure being downgraded to the impaired portfolio (Stage 3) has not increased. For such exposures, 12-month expected credit losses will be recognized.
Credit risk concentration
Santander Bank Polska adheres to the standards provided for in the Banking Law with regard to the concentration of risk bearing exposures to a single entity or a group of entities connected in terms of capital or organisation. As at 31.12.2023, pursuant to art. 71 of the Banking Law Act, the maximum limits for the Bank amounted to:
· PLN 5 908 265 k (25% of Bank’s own funds).
As at 31.12.2022, pursuant to art. 71 of the Banking Law Act, the maximum limits for the Bank amounted to:
· PLN 6 078 848 k (25% of Bank’s own funds).
The policy pursued by the Bank aims at minimising the credit concentration risk, by for example applying more rigorous than regulatory rules in this respect. The effect of this policy is maintenance of high level of diversification of exposures towards individual customers.
The analysis of the Bank’s exposures in terms of sector concentrations, proved that the bank does not have any exposures in excess of the limits imposed by the regulator in 2023.
A list of the 20 largest borrowers (or capital-related group of borrowers) of Santander Bank Polska S.A. (performing loans) as at 31.12.2023:
Industry code (PKD) |
Industry description |
Total credit exposure |
Balance sheet exposure |
Committed credit lines, guarantees, treasury limits and capital investments |
64 |
OTHER FINANCIAL SERVICES |
14 905 800 |
11 498 459 |
3 407 341 |
64 |
OTHER FINANCIAL SERVICES |
8 028 796 |
1 600 356 |
6 428 440 |
64 |
OTHER FINANCIAL SERVICES |
7 220 069 |
6 623 802 |
596 267 |
84 |
PUBLIC ADMINISTRATION |
3 252 671 |
- |
3 252 671 |
19 |
RAFINERY |
2 149 725 |
222 615 |
1 927 110 |
64 |
OTHER FINANCIAL SERVICES |
2 104 833 |
- |
2 104 833 |
64 |
OTHER FINANCIAL SERVICES |
1 496 560 |
1 444 461 |
52 099 |
61 |
TELECOMMUNICATION |
1 307 634 |
420 688 |
886 946 |
35 |
POWER INDUSTRY |
1 299 494 |
257 475 |
1 042 019 |
06 |
MINING |
1 264 590 |
- |
1 264 590 |
64 |
OTHER FINANCIAL SERVICES |
1 254 499 |
- |
1 254 499 |
35 |
POWER INDUSTRY |
1 225 378 |
270 001 |
955 377 |
64 |
OTHER FINANCIAL SERVICES |
1 196 880 |
1 196 880 |
- |
64 |
OTHER FINANCIAL SERVICES |
1 014 895 |
497 699 |
517 196 |
64 |
OTHER FINANCIAL SERVICES |
997 676 |
- |
997 676 |
64 |
OTHER FINANCIAL SERVICES |
850 000 |
- |
850 000 |
61 |
TELECOMMUNICATION |
849 844 |
828 346 |
21 498 |
47 |
RETAIL SALES |
799 264 |
635 999 |
163 265 |
64 |
OTHER FINANCIAL SERVICES |
779 051 |
- |
779 051 |
68 |
REAL ESTATE SERVICES |
758 232 |
757 498 |
734 |
Total gross exposure |
52 755 891 |
26 254 279 |
26 501 612 |
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
A list of the 20 largest borrowers (or capital-related group of borrowers) of Santander Bank Polska S.A. (performing loans) as at 31.12.2022:
Industry code (PKD) |
Industry description |
Total credit exposure |
Balance sheet exposure |
Committed credit lines, guarantees, treasury limits and capital investments |
64 |
OTHER FINANCIAL SERVICES |
13 233 090 |
10 613 400 |
2 619 690 |
64 |
OTHER FINANCIAL SERVICES |
5 907 120 |
5 316 940 |
590 180 |
64 |
OTHER FINANCIAL SERVICES |
3 838 200 |
1 400 330 |
2 437 870 |
19 |
RAFINERY |
1 688 810 |
280 020 |
1 408 790 |
64 |
OTHER FINANCIAL SERVICES |
1 456 580 |
1 447 310 |
9 270 |
06 |
MINING |
1 288 810 |
250 020 |
1 038 790 |
61 |
TELECOMMUNICATION |
1 144 390 |
974 380 |
170 010 |
64 |
OTHER FINANCIAL SERVICES |
1 049 730 |
1 049 730 |
- |
68 |
REAL ESTATE SERVICES |
976 990 |
933 330 |
43 660 |
61 |
TELECOMMUNICATION |
959 000 |
937 870 |
21 130 |
64 |
OTHER FINANCIAL SERVICES |
875 510 |
665 090 |
210 420 |
68 |
REAL ESTATE SERVICES |
773 070 |
699 020 |
74 050 |
61 |
TELECOMMUNICATION |
753 410 |
489 480 |
263 930 |
20 |
CHEMICAL INDUSTRY |
712 830 |
569 920 |
142 910 |
35 |
POWER INDUSTRY |
600 245 |
309 375 |
290 870 |
20 |
CHEMICAL INDUSTRY |
520 470 |
161 380 |
359 090 |
41 |
CONSTRUCTION |
515 180 |
502 410 |
12 770 |
64 |
OTHER FINANCIAL SERVICES |
442 900 |
411 380 |
31 520 |
64 |
OTHER FINANCIAL SERVICES |
421 220 |
- |
421 220 |
41 |
CONSTRUCTION |
412 830 |
- |
412 830 |
Total gross exposure |
37 570 385 |
27 011 385 |
10 559 000 |
Industry concentration
The credit policy of Santander Bank Polska S.A. assumes diversification of credit exposures. Risk of particular industry affects value of the exposure limit. In order to ensure adequate portfolio diversification and control the risk of overexposure to a single industry, the Group provides funding to sectors and groups or capital units representing a variety of industries.
As at 31.12.2023, the highest concentration level was recorded in the “Financial sector (14% of the Santander Bank Polska exposure), “manufacturing” sector (7%) and “real estate activities” (6%).
Breakdown of non-trading business loans and advances by NACE codes:
NACE sector |
Gross exposure |
||
31.12.2023 |
31.12.2022 |
||
|
Agriculture, forestry and fishing |
1 740 247 |
1 374 441 |
|
Mining and quarrying |
63 046 |
318 010 |
|
Manufacturing |
10 088 001 |
10 460 761 |
|
Electricity, gas, steam and air conditioningsupply |
1 899 131 |
1 716 225 |
|
Water supply |
181 000 |
260 760 |
|
Construction |
1 891 141 |
1 700 553 |
|
Wholesale and retail trade |
8 048 029 |
8 532 301 |
|
Transport and storage |
1 996 237 |
1 755 333 |
|
Accomodation and food service activities |
1 682 173 |
1 818 110 |
|
Information and communication |
2 503 946 |
2 584 425 |
|
Financial and insurance activities |
20 821 535 |
18 323 804 |
|
Real estate activities |
9 197 386 |
9 471 541 |
|
Professional, scientific and technical activities |
4 765 863 |
3 618 634 |
|
Administrative and support service activities |
2 443 282 |
2 202 169 |
|
Public administration and defence, .compulsory social security |
366 |
433 |
|
Education |
200 573 |
182 193 |
|
Human health services and social work activities |
817 975 |
851 405 |
|
Arts, entertainment and recreation |
320 855 |
269 576 |
|
Other services |
4 294 008 |
3 387 115 |
A |
Total Business Loans |
72 954 794 |
68 827 789 |
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
B |
Retail (including mortgage loans) |
70 583 087 |
68 673 608 |
C |
Loans to public sector |
1 222 497 |
1 279 122 |
A+B+C |
Santander Bank Polska SA portfolio |
144 760 378 |
138 780 519 |
D |
Other receivables |
67 091 |
69 739 |
A+B+C+D |
Total Santander Bank Polska SA |
144 827 469 |
138 850 258 |
Climate related risk
At Santander Bank Polska S.A. environmental matters are embedded in decision-making processes. The ESG (environmental, social, governance) guidelines are used for evaluating the assets to be financed by the Bank.
More broadly, issues related to climate goals, climate policy as well as initiatives and actions taken by the Bank and the Group are described in the Management Board Report on Santander Bank Polska Group Performance in 2023 (including Report on Santander Bank Polska Performance) chapter XIV “Statement on Non-Financial Information for 2023”. This document also includes quantitative disclosures.
The Bank and the Group entities considered the climate-related risks when preparing the financial statements in accordance with International Financial Reporting Standards, and where necessary, the Standards were applied in a manner that takes this into account.
The subject of the considerations was, in particular, the impact of environmental issues on the Bank in the context of the application of:
- IAS 1: Presentation of Financial Statements
- IAS 12: Income Taxes
- IAS 36: Impairment of Assets
- IFRS 9: Financial Instruments
- IFRS 13: Fair Value
- IAS 37: Provisions, Contingent Liabilities and Contingent Assets
At the same time, based on the conducted analysis, no significant impact of environmental issues on the financial statements as a whole was found.
The Bank and the Group entities conducted an analysis of the main transformational and physical risks, and thanks to the identification of key risks for our latitude, the risk in the sectors most affected by climate change was evaluated. This allowed for the improvement of the risk assessment process for individual business clients in these aspects. Today, this process is carried out mainly by field experts, while for the segment of the largest corporate clients, the most important ESG factors are already included in the rating assessment. At the same time, the Bank is embarking on a project that will introduce these elements into the structured process of business client risk rating assessment.
At the same time, the Group launched projects aimed at identifying transformational and physical risks in a systemic and quantitative manner at the customer level. By estimating the emissivity of all business entities and retail mortgage products, the Group will be able to assess transformational risks and deliberate actions in key parts of the portfolio. It will also allow for the inclusion of environmental aspects in standard portfolio analysis processes, setting targets and limits at appropriate levels.
ESG risk management as part of the risk management framework
Effective identification of risks and opportunities related to climate change allows Santander Bank Polska S.A. to take measures to ensure reliance to key threats, accelerate growth, improve financial results, and build reputation.
Risks related to social and environmental issues, including climate, are taken into account in the risk management system developed and implemented by the Management Board. This system operates on the basis of three lines of defense, covers all significant types of risk and the interdependencies of individual risks.
In accordance with the recommendations of TCFD, the Bank performs analyzes of physical and transformational risk, including them in the taxonomy of risks typical for the Bank.
In 2023, the Bank carried out an analysis of the portfolio's sensitivity to climate risks, taking into account the sensitivity assessment of the most exposed sectors included in it. The analysis was carried out in three time horizons - short (2030), medium (2040) and long (2050). Unlike the analysis carried out in previous years, it was decided to use climate scenarios defined by a group of central banks and supervisory institutions, which brings together over 130 institutions (including the largest ones, such as the European Central Bank, the Bank of England and the United States Federal Reserve System) determined to act for better understanding and management of climate risks (Network for Greening the Financial System, NGFS).
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The development of physical and transformation risks was analyzed in 11 sectors most sensitive to climate risks in which Banco Santander clients are active. 9 of these 11 sectors are significantly represented in Santander Bank Polska S.A.
In accordance with the approach recommended by TCFD, the analysis took into account the main types of risks from both categories: physical risks (RF) and transformation risks (RT). In 2023, the methodology for assessing climate risks was improved (a description of the methodology for analyzing the materiality of risks for sectors is presented in the section on risk management, analysis of the materiality of risks). Risk assessment was on a scale of 1 to 5 (where 1 means very low risk and 5 means very high risk). The analysis was qualitative in nature, but was carried out taking into account the perspective of double materiality, i.e. considering the channels of the Bank's impact on climate change and climate change on the Bank's results. The methodology and scope of this analysis are constantly being developed to increasingly more accurately reflect the impact of climate risks on the Bank's portfolio.
Physical risks
In the medium and long term, physical risks have been identified related to the deteriorating hydrological situation in Poland and the threat of drought. The lack of appropriate water retention systems and water shortages may have a number of negative effects, affecting other sectors of the economy, including the energy sector. For example, power plants whose cooling systems use water from rivers may have to reduce energy production during periods of drought. There was also a fire hazard in the soft commodities sector, which could potentially cause losses, among others. in wood production.
Transition risks
The most sensitive sectors in the context of transition to a green economy are the sectors based on coal and other fossil fuels that dominate the Polish energy mix. There are regulatory and legal risks connected with higher costs of CO2 emissions, more stringent data reporting and gathering requirements as well as regulatory changes that may limit the operations of some high-emission businesses.
Regulatory risks also involve law amendments imposing more climate-friendly solutions, which may result in higher operating costs for some companies. For example, in the automotive sector, decreasing costs of electric cars and the expected EU regulations may result in stranded assets in the petrol car supply chain. Market competition may force companies from the Bank’s portfolio to invest in more innovative vehicles.
The Bank also identified market risks resulting from the impact of climate change on market variables, including consumer choice, changing interest rates and commodity prices. Reputational risks connected with an increased consumer awareness are important too. All the above risks may affect the Bank’s position, both directly and through its customers.
The same exercise was conducted with respect to climate-related opportunities. The transition to a green economy enables Santander Bank Polska S.A. to help existing and future customers as well as to support economic transformation by providing relevant financing solutions. The Bank intends to continue to develop new products and services (including advisory services for customers) and earn a reputation of a trusted partner. As part of the analysis, opportunities for Santander Bank Polska S.A. were identified.
The climate-related opportunities and risks identified by Santander Bank Polska S.A. have an impact on financial instruments and are included in the Bank’s main risk management processes. The impact of climate change on the business of Santander Bank Polska S.A. has been defined on a high level and further analysis will be made to quantify the influence of those risks and opportunities in more detail.
Responsibility for ESG risk management
The responsibility for managing climate risk and leveraging climate-related opportunities rests with the Management Board and the Supervisory Board. They support risk management strategies by approving key policies, sitting on dedicated committees, participating in reviews and approving risks and reports.
The Bank’s Management Board is responsible for defining long-term action plans and approving the responsible banking strategy, including the climate strategy and its main objectives (in a short, medium and/or long term), and as part of the risk management framework.
When taking decisions, the Management Board considers assessments, information and analyses of the risk management unit. Based on that, it adopts the Risk Appetite Statement, which is then approved by the Supervisory Board. Specific limits are used to set watch limits and define risk management policies. The Management Board member in charge of risk management provides the Supervisory Board members with relevant information about risk to ensure they have a full picture of the Bank’s risk profile and can make informed decisions in this respect.
The Supervisory Board verifies the Bank’s management strategy and ESG risk management strategy, also in terms of the Bank’s long-term interest. When taking decisions, the Supervisory Board also considers assessments, information and analyses of the risk management unit.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
There is also the Responsible Banking and Corporate Culture Committee, which provides support to the Bank’s Management Board in the performance of oversight over the responsible banking and sustainability strategy both locally and at the level of Santander Bank Polska Group. The Committee, which is chaired by the President of the Management Board, defines the strategy and annual goals related to ESG and ensures compliance with environmental and social policies of Santander Bank Polska S.A. The Committee is supported by the ESG Forum composed of senior managers representing all Divisions. The Forum analyses challenges, opportunities and risks related to the EU Sustainable Finance agenda (including ESG risks), plans activities and coordinates their implementation at the Bank, and submits regular reports to the Responsible Banking and Corporate Culture Committee and the Bank’s Management Board.
The Bank does not separate ESG risk as a separate material risk, but indicates its transmission channels into: credit, market and liquidity, compliance, reputation, business and operational risks. At the same time, the analysis of risk transmission channels is constantly being deepened and the perspective of the analyzed impact is now expanded to include market risk in the trading book and liquidity risk. The use of such an approach affects the process of estimating and quantifying significant risks.
A methodology was introduced for assessing the level of climate risks - physical and transition for individual climate and real estate sectors, which allowed for a portfolio analysis of the significance of climate risks for the loan portfolio. The reports in question are already presented to the appropriate committees. The development of this methodology is planned for next year based on more accurate data obtained and their use in assessing the credit risk of customers and transactions.
The process of accepting sustainable financing for all segments of the Bank's operations was formalized, both at the level of transactions and loan products. In 2023, the ESG Panel was established within the Risk Management Division, whose responsibility is to certify sustainable financing in relation to internal and external regulations, thereby contributing to reducing the risk of greenwashing.
The Bank started the project of calculating the carbon intensity of loan portfolios in accordance with the PCAF methodology in order to be able to analyze the carbon intensity structure in all sectors and business segments with greater accuracy. As part of this project, a series of 6 training sessions was held for all interested units of the Bank, presenting the topic of emission intensity and the methodology of its calculation in all 3 scopes. The Group is currently working to increase the accuracy of these calculations to continue work on identifying and implementing decarbonization levers.
The Bank has Environmental, Social and Climate Change Risk Management Policy, approved by the Management Board. It specifies the criteria consistent with best practice and standards applicable in Santander Group and worldwide which have to be met by customers from the following sectors: oil and gas, energy production and transmission, mining and metals and soft commodities sectors in order to establish a relationship with the Bank. The activities in the above sectors have been divided into two categories: prohibited activities and activities subject to additional analysis. Specific regulations, such as the environmental and social risk analysis procedure for customers from the Corporate and Investment Banking (SCIB) segment and the Business and Corporate Banking (BCB) segment, set out implementing rules and provide a detailed description of processes for individual segments.
The risk assessment of SCIB customers is performed in accordance with the solutions applied by Santander Group. ESCC (Environmental, Social and Climate Change) risk of customers/ transactions from the sectors defined in the relevant policy is analysed on a case-by-case basis using dedicated assessment questionnaires. Based on that, the local ESG risk analyst issues an opinion and recommendation, which can be positive, conditionally positive or negative. An analyst and a credit partner include the ESCC risk analysis and recommendation in a credit application for a particular customer. The assessment process is expanded to include ESCC analyses of new sensitive sectors, including: automotive, food and chemical – in particular production of plastics and agricultural chemistry. In addition, a structured analysis of plans for transition into lower emissions is carried out for customers from high-emission industries such as energy production based on fossil fuels, coal mining, airlines, and steelmaking.
In 2023, the ESG risk assessment process for financed projects was formalized. The analysis used here is consistent with the Equator Principles, i.e. the market standard and common language for assessing environmental and social risk in projects among large financial institutions around the world. This assessment is made in cooperation with the business line and dedicated ESCC analysts. In the first step, it results in determining the project category depending on the potential impact on environmental and social issues, and then conducting an analysis, the detail of which depends on the category assigned. The recommendation resulting from the analysis becomes an element of the loan application. a dedicated position of ESG Risk Director was established, whose main responsibility is to ensure the adequacy of ESG risk assessment by managing the collection and analysis of field data using Business Intelligence tools, as well as initiating, supporting and coordinating ESG tasks. Policies and procedures in force in ESG areas were also analyzed and the missing elements are to be addedd.
As part of the assessment process for other corporate clients, an automatic algorithm was used, enabling pre-selection of environmental and social risk. As part of that process, customers are assigned environmental flags indicating the level of risk based on the characteristics of individual companies (including their business codes). There are four types of flags: an interim one (“To be verified”) and three final ones (“Approved”, “Higher risk”, “Prohibited activity”). The Bank is in the process of developing an approach on how to introduce these elements into the structured client risk assessment process.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Market risk
Introduction
Market risk is defined as an adverse earnings impact of changes in interest rates, FX rates, share quotations, stock exchange indices, etc. It arises both in trading and banking activity (FX products, interest rate products, equity linked trackers).
Santander Bank Polska is exposed to market risk arising from its activity in money and capital markets and services provided to customers. Additionally, the bank undertakes the market risk related to the active management of balance sheet structure (assets and liabilities management).
The activity and strategies on market risk management are directly supervised by the the Market and Investment Risk Committee and are pursued in accordance with the framework set out in the Market Risk Policy and the Structural Risk Policy approved by the Management Board and the Supervisory Board.
Risk management structure and organisation
The key objective of the market risk policy pursued by the Bank is to reduce the impact of variable market factors on the bank’s profitability and to grow income within the strictly defined risk limits while ensuring the bank’s liquidity and market value.
The market risk policies of Santander Bank Polska establish a number of risk measurement and mitigation parameters in the form of limits and metrics. Risk limits are periodically reviewed to align them with the bank’s strategy.
Interest rate and FX risks linked to the banking business are managed centrally by the Financial Management Division. The Division is also responsible for acquiring funding, managing liquidity and making transactions on behalf of ALCO. This activity is controlled by the measures and limits approved by the Market and Investment Risk Committee, the bank’s Management Board and the Supervisory Board.
The debt securities and the interest rate and FX hedging portfolio is managed by ALCO, which takes all decisions on the portfolio’s value and structure.
The market risk on the trading portfolio is managed by the Corporate and Investment Banking Department, which is also responsible for the activities of Santander Brokerage Poland. The Group’s trading activity is subject to a system of measures and limits, including Value at Risk, stop loss, position limits and sensitivity limits. These limits are approved by the Market and Investment Risk Committee, the bank’s Management Board and the Supervisory Board.
The Financial Risk Department within the Risk Management Division is responsible for ongoing risk measurement, implementation of control procedures and risk monitoring and reporting. The Department is also responsible for shaping the market risk policy, proposing risk measurement methodologies and ensuring consistency of the risk management process across the Group. Owing to the fact that the Department is a part of the Risk Management Division, the risk measurement and monitoring processes are separate from the risk-taking units.
The market risk of equity instruments held by Santander Brokerage Poland (shares, index-linked securities) is managed by Santander Brokerage Poland itself and supervised by the Market and Investment Risk Committee of Santander Bank Polska S.A.
The bank’s Market and Investment Risk Committee, chaired by the Management Board member in charge of the Risk Management Division, is responsible for independent control and monitoring of market risk in the Bank’s banking and trading books.
Risk identification and measurement
The trading book of Santander Bank Polska contains securities and derivatives held by the Corporate and Investment Banking Division for trading purposes. The instruments are marked to market each day, and any changes in their value are reflected in the profit and loss. Market risk in the trading book includes interest rate risk, currency risk and repricing risk.
The interest rate risk in the bank’s banking book is the risk of adverse impact of interest rate changes on the Group’s income and the value of its assets and liabilities. Interest rate risk arises primarily on transactions entered in the bank’s branches and in the business and corporate centres, as well as the transactions made in the wholesale market by the Financial Management Division. Additionally, interest rate risk can be generated by transactions concluded by other units, e.g. through acquisition of municipal/ commercial bonds or the bank’s borrowings from other sources than the interbank market.
Santander Bank Polska uses several methods to measure its market risk exposure. The methods employed for the banking portfolio are the MVE and NII sensitivity measures, stress tests and Value at Risk (VaR), while the methods used for the trading portfolio include: VaR and stressed VaR, stop loss, sensitivity measures (PV01) and stress tests. The risk measurement methodology is subject to an independent initial and periodic validation, the results of which are presented for approval to the Market and Investment Risk Committee.
At Santander Bank Polska, the VaR in the trading portfolio is determined using a historical method as a difference between the mark-to-market value of positions and the market values based on the most severe movements in market rates from a determined observation window. VaR is calculated separately for interest rate risk, FX risk and the two risks at the same time. VaR is also calculated for the repricing risk of the equity instruments portfolio of Santander Brokerage Poland.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Due to the limitations of the VaR methodology, the bank additionally performs sensitivity measurement (showing how position values change in reaction to price/profitability movements), Stressed VaR measurement and stress tests.
Risk reporting
The responsibility for reporting liquidity risk rests with the Risk Management Division, specifically the Financial Risk Department.
Each day, the Financial Risk Department controls the market risk exposure of the trading book in accordance with the methodology laid down in the Market Risk Policy. It verifies the use of risk limits and reports risk levels to units responsible for risk management in the trading book, to Santander Group and to the Market and Investment Risk Committee.
Once a month, the Financial Risk Department provides information about the risk exposure of the trading book and selected measures to the Market and Investment Risk Committee and prepares the Risk Dashboard (in cooperation with other units of the Risk Management Division), which is presented to the Market and Investment Risk Committee.
The results of market risk measurement with regard to the banking book are reported by the Financial Risk Department to persons responsible for operational management of the bank’s balance sheet structure and to persons in charge of structural risk management on a daily basis (information about the ALCO portfolio) or on a monthly basis (interest rate gap, NII and MVE sensitivity measures, stress test results, VaR). This information is also reported each month to the bank’s senior executives (the Market and Investment Risk Committee, ALCO). The selected key interest rate risk measures, including risk appetite measures defined for the bank’s banking book, are reported to the bank’s Management Board and Supervisory Board.
Risk prevention and mitigation
The Bank has adopted a conservative approach to risk-taking both in terms of the size of exposures and the types of products. A large portion of the Financial Market Area activity revolves around mitigating the risk related to customer transactions at the retail and corporate level. In addition, flows from customer transactions are generally for non-market amounts and tenors non-quoted directly at the market and thus risk capacity is required to manage these mismatches with wholesale transactions.
In the opinion of the Management Board, the market risk limits are at a safe and relatively low level in relation to the scale of the Bank's core business and are in place to allow sufficient capacity and time to neutralise interest rate and foreign exchange risks, while at the same time allowing the Financial Market Area to hold some of portfolio positions opened to add value to the organisation.
As part of the activities of the Financial Markets Area, the activity is focused on hedging the risk arising from customer transactions and on the role of a market maker, which is directly reflected in the level of limits and budgetary targets of the Financial Markets Area.
The combination of transactions made by the Financial Market Area and positions transferred from the bank arising from customers’ FX and derivative activity create the overall interest rate and currency risk profilesin the bank’s trading portfolio, which are managed under the market risk policy and operational limits in place. The Financial Market Area subsequently decides either to close these positions or keep them open in line with approved strategy, market view and within the approved limits. The return earned is a mix of flow management and market making. However, there is no intention to keep aggressive trading positions.
The interest rate and currency risk of the Financial Market Area is managed via the trading book in accordance with the Market Risk Policy approved by the Management Board. Accounting and risk systems help to ensure allocation of each position into appropriate books. The relevant desks are responsible for suitable risk activity (interest rate or currency risk).
To ensure that the trading book positions are marketable, the bank controls the gross value of the positions (separately long and short positions) versus the entire market. This is to check if it is technically possible to close an open position one way, without taking into account other closings. The control is performed by the Financial Risk Department separately for currency positions and interest rate positions. The control results are reported to the Financial Market Area.
As regards market risk in the banking book, all positions that generate repricing risk are transferred for management to the Financial Management Division, responsible for shaping the bank’s balance sheet structure, including by entering into transactions in the interbank market so as to manage the interest rate risk profile according to the approved risk strategy and in compliance with the allocated risk limits.
The interest rate risk in the banking book is managed based on the following limits:
· NII sensitivity limit (the sensitivity of net interest income to a parallel shift of the yield curve by 100 bp);
· MVE sensitivity limit (the sensitivity of the market value of equity to a parallel shift of the yield curve by 100 bp).
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The sensitivity measures for 2023 and 2022 are shown in the table below. It presents the results of scenarios, in which the impact of changes in interest rates on interest income and the economic value of capital would be negative (in PLN m).
|
NII Sensitivity |
MVE Sensitivity |
||
1 day holding period |
31.12.2023 |
31.12.2022 |
31.12.2023 |
31.12.2022 |
Maximum |
(342) |
(426) |
(722) |
(595) |
Average |
(280) |
(358) |
(380) |
(488) |
as at the end of the period |
(147) |
(334) |
(644) |
(494) |
Limit |
(500) |
(900) |
(925) |
(800) |
In 2023, the levels of use of the interest rate risk limit for the sensitivity of interest income (NII) were lower, and for MVE (economic value of capital) increased, compared to 2022. No RED exceeses of operational limits were observed. The increase in exposure to MVE was caused by the implementation of the strategy of hedging the sensitivity of interest income, which consequently increased the duration of the banking book portfolio. Implementation of the above hedging strategy was based mainly on concluding cash-flow hedge transactions and expanding the ALCO portfolio with fixed-coupon debt securities.
In 2023, operational limits for the sensitivity of MVE in PLN and Total items were increased.
VaR in the banking portfolio is calculated separately as a combined effect of EaR (Earnings-at-Risk) and EVE VaR (value at risk of the economic value of equity).
The key methods of measurement of the interest rate risk in the trading book include the VaR methodology, stop loss, PV01 sensitivity measurement and stress tests.
The VaR is set for open positions of the Financial Market Area using the historical simulations method. Under this method the bank estimates the portfolio value of 520 scenarios generated on the basis of historically observable changes in market parameters. VaR is then estimated as the difference between the current valuation and the valuation of the 99th percentile of the lowest valuations.
The stop-loss mechanism is used to manage the risk of loss on positions subject to fair value measurement through profit or loss.
Stress tests are used in addition to these measures by providing an estimate of the potential losses in the event of materialisation of the stressed conditions in the market. The assumptions of stress scenarios are based on sensitivity reports and on extreme market rate movement scenarios set using the highest daily and monthly changes in interest rates.
The table below shows risk measures at the end of 2023 and 2022 for 1-day position holding period (in PLN k):
Interest rate risk |
VAR |
|
1 day holding period |
31.12.2023 |
31.12.2022 |
Average |
7 443 |
5 321 |
Maximum |
14 049 |
14 622 |
Minimum |
3 258 |
960 |
as at the end of the period |
6 952 |
9 550 |
Limit |
13 812 |
13 205 |
In 2023, VaR limits were exceeded. The excesses were recorded in the total VaR and VaR of interest rate risk in the Bank's trading book. A total of three excesses occurred in the fourth quarter. The excesses were caused by current operating activities and the activity of the Bank's clients on debt and interest rate instruments, their amount was immaterial and they were closed on the day of their identification in accordance with the assumptions of the risk management processes in the Bank's trading book. The observed average values of the VaR measure in 2023 compared to 2022 were higher, which is due to the increased variability of the observed risk factors continuing in 2023, as well as the natural increase in the scale of the Bank's business activities. In terms of the maximum level of interest rate market risk in the Bank's trading book, there are no significant changes compared to the previous year.
FX risk is the risk that adverse movements in foreign exchange rates will have an impact on performance (and result in losses). This risk is managed on the basis of the VaR limit for the open currency positions in the Group’s trading portfolio and the portfolio of Santander Brokerage Poland which manages open positions linked to the market maker activity. Stress tests are used in addition to this measure by providing an estimate of the potential losses in the event of materialisation of the stressed conditions in the market. Stress tests use the currency exposure and the scenarios of extreme movements in currency rates based on historical data. Furthermore, the stop-loss mechanism is used for managing the risk of losses on trading positions.
In accordance with its policy, the Bank does not maintain open positions on currency options. Transactions made with customers are immediately closed in the interbank market thus limiting the Group’s exposure to the market risk on the currency options portfolio.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Open FX positions of subsidiaries are negligible and are not included in the daily risk estimation. In the case of Santander Consumer Bank S.A., it has a separate banking license and independently manages risk, which management is controlled by the Market and Investment Risk Committee of Santander Bank Polska.
The table below illustrates the risk measures at the end of December 2023 and 2022 (in PLN k).
FX risk |
VAR |
|
1 day holding period |
31.12.2023 |
31.12.2022 |
Average |
749 |
1 021 |
Maximum |
2 411 |
2 346 |
Minimum |
81 |
68 |
as at the end of the period |
648 |
1 144 |
Limit |
3 542 |
3 301 |
In 2023, the VaR limit for currency risk was not exceeded.
The tables below present the bank’s key FX positions as at 31 December 2023 and in the comparable period.
31.12.2023 |
PLN |
EUR |
CHF |
USD |
Other |
Total |
ASSETS |
|
|||||
Cash and balances with central banks |
6 814 584 |
977 508 |
58 997 |
146 384 |
277 637 |
8 275 110 |
Loans and advances to banks |
787 831 |
7 206 043 |
26 333 |
801 394 |
226 799 |
9 048 400 |
Loans and advances to customers |
114 746 054 |
23 012 437 |
1 449 638 |
1 588 206 |
106 766 |
140 903 101 |
Investment securities |
58 671 423 |
3 214 968 |
- |
1 066 195 |
- |
62 952 586 |
Selected assets |
181 019 892 |
34 410 956 |
1 534 968 |
3 602 179 |
611 202 |
221 179 197 |
LIABILITIES |
|
|
|
|
|
|
Deposits from banks |
1 386 837 |
1 254 190 |
5 588 |
19 668 |
2 010 |
2 668 293 |
Deposits from customers |
152 097 054 |
30 897 821 |
986 876 |
9 502 806 |
1 881 380 |
195 365 937 |
Subordinated liabilities |
1 017 383 |
1 568 093 |
- |
- |
- |
2 585 476 |
Selected liabilities |
154 501 274 |
33 720 104 |
992 464 |
9 522 474 |
1 883 390 |
200 619 706 |
31.12.2022 |
PLN |
EUR |
CHF |
USD |
Other |
Total |
ASSETS |
|
|||||
Cash and balances with central banks |
8 679 447 |
852 099 |
71 968 |
390 655 |
140 930 |
10 135 099 |
Loans and advances to banks |
1 005 531 |
8 323 293 |
14 193 |
249 235 |
117 548 |
9 709 800 |
Loans and advances to customers |
107 851 164 |
22 085 511 |
3 983 222 |
899 059 |
23 872 |
134 842 828 |
Investment securities |
47 040 401 |
1 755 829 |
- |
1 290 708 |
- |
50 086 938 |
Selected assets |
164 576 543 |
33 016 732 |
4 069 383 |
2 829 657 |
282 350 |
204 774 665 |
LIABILITIES |
|
|
|
|
|
|
Deposits from banks |
1 052 315 |
1 092 755 |
67 858 |
29 418 |
2 782 |
2 245 128 |
Deposits from customers |
143 382 094 |
29 110 865 |
1 076 970 |
10 115 954 |
1 969 377 |
185 655 260 |
Subordinated liabilities |
1 021 723 |
1 684 162 |
- |
- |
- |
2 705 885 |
Selected liabilities |
145 456 132 |
31 887 782 |
1 144 828 |
10 145 372 |
1 972 159 |
190 606 273 |
The gap in the currency position in CHF results from the surplus of mortgage loans in CHF over deposits in this currency. It is gradually decreasing due to the repayment of the mortgage portfolio. CHF loans are now largely financed using CIRS transactions. On the liabilities side, significat level of foreign currency deposits, mainly in EUR is observed.
The risk attached to the prices of equity instruments listed in active markets is managed by Santander Brokerage Poland, which operates within the Corporate and Investment Banking Division. This risk is generated by own trades of Santander Brokerage Poland concluded in regulated markets (spot market instruments and futures).
It is measured using a Value at Risk model based on the historical analysis method.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The market risk management in Santander Brokerage Poland is supervised by the Market and Investment Risk Committee of Santander Bank Polska S.A. The Committee sets the VaR limit for Santander Brokerage Poland, approves changes in the risk measurement methodology and oversees the risk management process.
The table below presents the risk measures in 2023 and 2022 (in PLN k).
Equity risk |
VAR |
|
1 day holding period |
31.12.2023 |
31.12.2022 |
Average |
379 |
261 |
Maximum |
759 |
532 |
Minimum |
112 |
98 |
as at end of the period |
424 |
258 |
Limit |
1 574 |
2 135 |
In 2023, the VaR limit for equity risk was not exceeded.
Interest Rate Benchmark reform
In connection with the Regulation (EU) of 2016 of the European Parliament and of the Council (2016/1011) and the decisions of ICE Benchmark Administration Limited on the gradual phasing out of the calculation and publication of reference indices from the LIBOR family, Santander Bank Polska ran the IBOR Program from 2020 to mid-2023 aimed at preparing the Bank for changes resulting from these decisions.
The IBOR Program focused on changes necessary to introduce new products based on interest rate indices compliant with the BMR Regulation, in particular indices replacing the interim LIBOR (mainly GBP, EUR, CHF and USD). In the fourth quarter of 2022, the IBOR Program Steering Committee extended the scope of work to include changes resulting from the initiated reform of indicators in Poland.
The reform of indicators in Poland has accelerated since the adoption of the Act of July 7, 2022 on crowdfunding of business ventures and assistance to borrowers (Journal of Laws of 2022, item 1488), which in Art. 85 regulates the procedure for discontinuing the development of the WIBOR indicator or its liquidation. Then, the National Working Group for the reform of benchmarks in Poland was established, which included, among others: introduction of a new indicator whose input data would be only one-day transactions. On September 27, 2022, the Road Map for the process of replacing the WIBID and WIBOR indicators with the WIRON indicator was published. On October 25, 2023, the assumptions of the Road Map were modified to postpone the date of conversion of the historical portfolio of contracts and instruments from WIBOR to WIRON to the end of 2027.
Work at the Bank implementing the assumptions of the National Working Group is carried out as part of the WIBOR Project by a wide group of experts representing all business lines of the Bank, supported by experts from renowned consulting companies, under the supervision of the Steering Committee consisting of members of the Management Board and top-level staff. The Bank is working to introduce products based on the WIRON index to its offer in accordance with the assumptions of the Road Map.
Work in Santander Bank Polska S.A. is coordinated with ongoing preparations both in subsidiaries and at the level of the entire Santander Group.
The table presents break down of assets and liabilities of Santander Bank Polska as at 31 December 2023:
31.12.2023 |
Nominal value |
||
Assets |
Liabilities |
||
Assets and liabilities exposed to PLN WIBOR |
|||
Cash and balances at central banks |
- |
- |
|
Loans and advances to/deposits from banks |
200 000 |
192 000 |
|
Loans and advances to/deposits from customers |
76 034 100 |
11 278 000 |
|
Reverse repurchase/repurchase agreements |
846 300 |
111 200 |
|
Debt securities/ in issue |
17 466 000 |
6 386 000 |
|
Lease receivables/liabilities |
- |
- |
|
Total value of assets and liabilities exposed to PLN WIBOR |
94 546 400 |
17 967 200 |
|
Trading Derivatives (notional) |
437 292 000 |
387 549 000 |
|
Hedging Derivatives (notional) |
11 383 000 |
30 102 000 |
|
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
The table presents break down of assets and liabilities of Santander Bank Polska as at 31 December 2022:
31.12.2022 |
Nominal value |
||
Assets |
Liabilities |
||
Assets and liabilities exposed to PLN WIBOR |
|||
Cash and balances at central banks |
- |
- |
|
Loans and advances to/deposits from banks |
100 000 |
411 636 |
|
Loans and advances to/deposits from customers |
78 980 876 |
9 536 291 |
|
Reverse repurchase/repurchase agreements |
380 200 |
240 000 |
|
Debt securities/ in issue |
16 894 000 |
1 482 000 |
|
Lease receivables/liabilities |
- |
- |
|
Total value of assets and liabilities exposed to PLN WIBOR |
111 912 076 |
22 260 927 |
|
Trading Derivatives (notional) |
291 114 000 |
279 756 000 |
|
Hedging Derivatives (notional) |
15 557 000 |
10 591 000 |
|
In connection with the IBOR and WIBOR Reform, the Bank is exposed to the following risks:
Business Risk:
Switching to alternative benchmarks may lead to a risk of abuse or misconduct towards clients, resulting in customer complaints, penalties or reputational damage. Possible risks include: risk of misleading customers, risk of market abuse (including insider dealing and market manipulation), risk of anti-competitive practices, both during and after the transition (e.g. collusion and exchange of information) and risks caused by conflicts of interest. The Group has strong transition management structures in place to ensure risk mitigation.
Price risk:
The transition to alternative benchmarks and the discontinuation of the use of interest rate benchmarks may affect the pricing mechanisms applied by the Group for certain transactions, including the establishment of a Standard Variable Rate applicable to mortgage loans. For some financial instruments, it will be necessary to develop new pricing models.
Risk associated with the interest rate base:
This risk consists of two components:
– if bilateral negotiations with the Group's counterparties are not successful before the IBOR ceases to apply, there is significant uncertainty as to the future interest rate. This situation leads to additional interest rate risk, which was not taken into account at the time of entering into contracts and is not the subject of our interest rate risk management strategy. For example, in some cases, provisions on the use of other indicators in contracts where the IBOR rate is applied, may result in the remaining period maintaining a fixed interest rate at the level of the last IBOR rate The Group works closely with all counterparties to avoid such a situation, but if it occurs, the interest rate risk management policy applied in the Group will be applied as standard and may result in liquidation of the interest rate swaps or the conclusion of new swaps to maintain the combination of variable and fixed interest rates for the debt held.
– interest rate risk may also arise where the transition to alternative benchmarks for non-derivatives and derivatives held to manage the interest rate risk associated with the non-derivative occurs at different times. This risk may also occur if you switch to different rates for back-to-back derivatives at different times. The Group will monitor that the risk management referred to above is carried out in accordance with the applicable risk management principles, updated to allow for a temporary mismatch not exceeding 12 months and to establish an additional basis for interest rate swaps, if required.
Hedge Accounting:
If the transition to alternative benchmarks for certain contracts does not allow the application of the exemptions provided for by the Phase 2 amendments, then the effect may be to terminate the hedging relationship and, consequently, increased volatility in the income statement. This may happen if the newly designated hedging relationships are not carried out or if the non-derivative financial instruments are amended or removed from the financial statements.
The Bank did not decide to change the existing hedging relationships with WIBOR. However, due to the expected replacement of the benchmark, the Bank identifies that hedging relationships in which this benchmark is present may be exposed to the risk described above related to the effectiveness of the relationship.
In the case of loan agreements related to the LIBOR CHF rate, the Bank switched to RFR ratios in accordance with the decision of the European Commission, and in the case of derivatives that hedge this portfolio, the LIBOR CHF rate will change in accordance with the ISDA Protocol standard.
Based on the effectiveness test based on new CHF rates - both for the loan portfolio and for the hedging instrument - the Bank assessed that there is a high probability that the effectiveness requirement of the established hedging relationships will be met in the future.
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Therefore, in the case of the strategies hedging the CHF loan portfolio, the Bank decided to continue the established hedging relationships based on the existing instruments.
Risk of legal proceedings:
In the absence of agreement on the implementation of the Interest Rate Benchmark Reform for existing contracts (e.g. due to different interpretations of the applicable provisions on the use of other benchmarks), there is a risk of litigation and protracted disputes with counterparties, which may result in additional costs, e.g. legal costs. The Group works closely with all contractors to avoid such a situation.
Regulatory risk:
Regulatory models and methodologies are currently being updated (e.g. to take account of new market data). There is a risk that full updates, testing and acceptance of models by regulators will not take place on time.
Operational risk:
We are updating our IT systems to fully manage the transition to alternative benchmarks. There is a risk that such updates will not be fully on time, resulting in additional manual procedures involving operational risk.
Liquidity risk
Introduction
Liquidity risk is the risk that the bank fails to meet its contingent and non-contingent obligations towards customers and counterparties as a result of a mismatch of financial cash flows.
The activity and strategies on liquidity risk management are directly supervised by the Market and Investment Risk Committee and are pursued in accordance with the framework set out in the Liquidity Risk Policy approved by the Management Board and the Supervisory Board.
Risk management structure and organisation
The objective of the Liquidity Risk Policy of Santander Bank Polska is to:
· ensure the ability to finance assets and satisfy claims, both current and future, in a timely manner and at an economic price;
· manage the maturity mismatch between assets and liabilities, including the intraday mismatch of cash flows; under normal and stress conditions;
· set a scale of the liquidity risk in the form of various internal limits;
· ensure proper organisation of the liquidity management process within the whole Santander Bank Polska;
· prepare the organisation for emergence of adverse factors, either external or internal;
· ensure compliance with regulatory requirements, both qualitative and quantitative.
The general principle adopted by Santander Bank Polska in its liquidity management process is that all expected outflows occurring within one month in respect of deposits, current account balances, loan drawdowns, guarantee payments and transaction settlements should be at least fully covered by the anticipated inflows or available High Quality Liquid Assets (HQLA) assuming normal or predictable conditions for the Group’s operations. The HQLA category substantially includes: cash on hand, funds held in the nostro account with the NBP (National Bank of Poland) in excess of the minimum reserve requirement and securities which may be sold or pledged under repo transactions or NBP lombard loans. As at 31 December 2023, the value of the HQLA buffer was PLN 78.3 bn for the Bank and PLN 82.9 bn for the Group.
The purpose of this policy is also to ensure an adequate structure of funding in relation to the growing scale of the bank’s business by maintaining structural liquidity ratios at pre-defined levels.
The bank uses a suite of additional watch limits and thresholds with respect to the following:
· loan-to-deposit ratio;
· ratios of reliance on wholesale funding, which are used to assess the concentration of foreign currency funding from the wholesale market;
· concentration of deposit;
· level of encumbered assets;
· ratios laid down in CRD IV/CRR – LCR and NSFR;
· survival horizon under stressed conditions;
· the HQLA buffer;
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
· the buffer of assets which might be liquidated over an intraday horizon.
The internal liquidity limits, including the limits established in the Risk Appetite Statement, are set on the basis of both historical values of the selected liquidity ratios as well as their future values which are estimated against a financial plan. The limits also take into account the results of stress tests.
At least once a year, Santander Bank Polska carries out the Internal Liquidity Adequacy Assessment Process (ILAAP), which is designed to ensure that the bank can effectively control and manage liquidity risk. In particular, the ILAAP ensures that the bank:
· maintains sufficient capacity to meet its obligations as they fall due;
· reviews the key liquidity risk drivers and ensures that stress testing reflects these drivers and that they are appropriately controlled;
· provides a record of both the liquidity risk management and governance processes;
· carries out assessment of counterbalancing capacity.
The ILAAP results are subject to approval by the Management Board and the Supervisory Board to confirm adequacy of the liquidity level of Santander Bank Polska in terms of liquid assets, prudent funding profile and the Group’s liquidity risk management and control mechanisms.
Risk identification and measurement
The responsibility for identification and measurement of liquidity risk rests with the Risk Management Division, specifically the Financial Risk Department.
The role of the Department is to draft liquidity risk management policies, carry out stress tests and to measure and report on risk on an ongoing basis.
Liquidity is measured by means of the modified liquidity gap, which is designed separately for the PLN and currency positions. The reported future contractual cash flows are subject to modifications based on: statistical analyses of the deposit and credit base behaviour and assessment of product/ market liquidity – in the context of evaluation of the possibility to liquidate Treasury securities by selling or pledging them in repo transactions or using liquidity support instruments with NBP, as well as the possibility of transaction rolling in the interbank market.
When measuring liquidity risk, the bank additionally analyses the degree of liquidity outflows arising from potential margin calls due to changes in the value of derivative transactions and collateral needs related to secured financing transactions resulting from the downgrade of the bank’s credit rating, among other things.
Concurrently, liquidity is measured in accordance with the requirements laid down in the CRD IV/ CRR package and in their implementing provisions.
In order to establish a detailed risk profile, the bank conducts stress tests using the eight following scenarios:
· baseline scenario, which assumes non-renewability of wholesale funding;
· idiosyncratic liquidity crisis scenarios (specific to the bank);
· local systemic liquidity crisis scenario;
· global systemic liquidity crisis scenario;
· combined liquidity crisis scenario (idiosyncratic crisis and local and global systemic crisis);
· deposit outflows in a one-month horizon;
· scenario of accelerated deposit withdrawals via electronic channels.
For each of the above scenarios, the bank estimates the minimum survival horizon. For selected scenarios, the bank sets survival horizon limits which are subsequently included in the liquidity risk appetite.
In addition, the bank performs stress tests for intraday liquidity as well as reverse stress tests.
Risk reporting
The responsibility for reporting liquidity risk rests with the Risk Management Division, specifically the Financial Risk Department.
The results of liquidity risk measurement are reported by the Financial Risk Department on a daily basis to persons in charge of operational management of the bank’s liquidity and to persons responsible for liquidity risk management (information about intraday and current liquidity, including FX funding ratios and LCR) and – on a monthly basis – to senior executives (other liquidity ratios, including regulatory ratios).
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
Risk prevention and mitigation
The responsibility for supervision over the liquidity risk management process rests with the Assets and Liabilities Committee (ALCO), which also provides advice to the Management Board. ALCO prepares management strategies and recommends to the Management Board appropriate actions with regard to strategic liquidity management, including strategies of funding the bank’s activity. Day-to-day management of liquidity is delegated to the Financial Management Division. The Assets and Liabilities Management Department, which is a part of the Division, is responsible for developing and updating the relevant liquidity management strategies.
The bank has a liquidity contingency plan approved by the Management Board and Supervisory Board to cater for unexpected liquidity problems, whether caused by external or internal factors. The plan, accompanied by stress tests, includes different types of scenarios and enables the bank to take adequate and effective actions in response to unexpected external or internal liquidity pressure through:
· identification of threats to the bank’s liquidity on the basis of a set of early warning ratios which are subject to ongoing monitoring;
· effective management of liquidity/ funding, using a set of possible remedial actions and the management structure adjusted to the stressed conditions;
· communication with customers, key market counterparties, shareholders and regulators.
In 2022, Santander Bank Polska focused on maintaining an optimal financing structure. The increase in the required reserve rate and the increase in market interest rates resulted in a tougher competition for customer deposits in the banking sector. As at 31 December 2023, the loan-to-deposit ratio was 72% compared to 78% as at 31 December 2022, the Liquidity Coverage Ratio was 201%, and 163% as at 31 December 2022. In 2023 and in the comparable period, all key regulatory ratios applicable to the bank and Group were maintained at the required levels.
The tables below show the cumulated liquidity gap on the standalone level (for Santander Bank Polska S.A.) as at 31 December 2023 and in the comparable period (by nominal value).
31.12.2023 |
A'vista |
up to 1 month |
from 1 to 3 months |
from 3 to 6 months |
from 6 to 12 months |
from 1 to 2 years |
from 2 to 5 years |
above 5 years |
Assets |
31 731 453 |
20 940 317 |
13 890 830 |
15 353 533 |
12 806 784 |
30 234 789 |
55 910 376 |
61 614 191 |
Liabilities |
144 192 367 |
23 934 806 |
21 563 763 |
6 601 005 |
2 563 393 |
4 605 329 |
2 257 670 |
5 047 |
including: |
|
|
|
|
|
|
|
|
- Sell-buy-back transactions |
- |
273 388 |
- |
- |
- |
- |
- |
- |
- Deposits from banks |
2 890 791 |
- |
- |
- |
- |
- |
- |
- |
- Deposits from customers |
142 553 488 |
23 661 419 |
21 563 763 |
4 701 005 |
2 563 393 |
200 929 |
139 799 |
5 047 |
- Debt securities in issue |
- |
|
|
1 900 000 |
|
3 969 600 |
- |
|
- Subordinated liabilities |
|
|
|
|
|
434 800 |
2 117 871 |
- |
- Lease liabilities |
- |
10 112 |
22 001 |
30 968 |
59 122 |
88 015 |
105 570 |
168 224 |
Contractual liquidity gap |
(112 460 914) |
(2 994 489) |
(7 672 933) |
8 752 528 |
10 243 391 |
25 629 460 |
53 652 706 |
61 609 144 |
Cummulated contractual liquidity gap |
(112 460 914) |
(115 455 403) |
(123 128 336) |
(114 375 808) |
(104 132 417) |
(78 502 957) |
(24 850 251) |
36 758 893 |
Net derivatives |
|
|
|
|
|
|
|
|
Gross asset derivatives |
- |
49 566 646 |
27 474 784 |
12 162 859 |
19 106 106 |
9 342 500 |
16 601 989 |
8 469 903 |
Gross liabilities derivatives |
- |
49 740 638 |
27 240 637 |
12 173 600 |
19 026 232 |
9 723 619 |
17 084 146 |
8 512 279 |
Off Balance positions Total |
51 209 834 |
41 909 |
452 365 |
305 685 |
411 334 |
493 731 |
423 367 |
23 |
-guarantees & letters of credits |
16 719 678 |
- |
- |
- |
- |
- |
- |
- |
-credit lines |
8 329 973 |
- |
- |
- |
- |
- |
- |
- |
* The vast majority of other financial liabilities are within the range of 1 month |
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
31.12.2022 |
A'vista |
up to 1 month |
from 1 to 3 months |
from 3 to 6 months |
from 6 to 12 months |
from 1 to 2 years |
from 2 to 5 years |
above 5 years |
Assets |
31 412 580 |
22 572 667 |
10 477 992 |
15 455 954 |
11 601 486 |
25 715 751 |
50 890 044 |
60 320 609 |
Liabilities |
140 694 270 |
28 030 436 |
14 825 189 |
4 863 880 |
7 469 785 |
339 719 |
1 896 164 |
1 180 110 |
including: |
- |
- |
- |
- |
- |
- |
- |
- |
- Sell-buy-back transactions |
- |
2 155 066 |
- |
- |
- |
- |
- |
- |
- Deposits from banks |
2 232 441 |
- |
- |
- |
- |
- |
- |
- |
- Deposits from customers |
138 461 829 |
25 863 461 |
12 455 302 |
4 828 661 |
3 882 590 |
249 100 |
102 683 |
14 401 |
- Debt securities in issue |
- |
- |
2 344 950 |
- |
3 517 425 |
- |
- |
- |
- Subordinated liabilities |
- |
- |
- |
- |
- |
- |
1 674 763 |
1 000 000 |
- Lease liabilities |
- |
11 909 |
24 937 |
35 219 |
69 770 |
90 619 |
118 718 |
165 709 |
Contractual liquidity gap |
(109 281 690) |
(5 457 769) |
(4 347 197) |
10 592 074 |
4 131 701 |
25 376 032 |
48 993 880 |
59 140 499 |
Cummulated contractual liquidity gap |
(109 281 690) |
(114 739 459) |
(119 086 656) |
(108 494 582) |
(104 362 881) |
(78 986 849) |
(29 992 969) |
29 147 530 |
Net derivatives |
- |
- |
- |
- |
- |
- |
- |
- |
Gross asset derivatives |
- |
36 464 864 |
29 237 784 |
10 305 577 |
18 283 306 |
9 198 349 |
12 127 523 |
1 810 158 |
Gross liabilities derivatives |
- |
36 611 513 |
29 043 129 |
10 504 596 |
17 807 468 |
9 178 467 |
13 039 363 |
1 930 353 |
Off Balance positions Total |
40 302 947 |
40 636 |
235 441 |
207 874 |
372 736 |
159 911 |
40 150 |
6 123 |
-guarantees & letters of credits |
11 311 673 |
- |
- |
- |
- |
- |
- |
- |
-credit lines |
7 912 022 |
- |
- |
- |
- |
- |
- |
- |
* The vast majority of other financial liabilities are within the range of 1 month |
The tables below show maturity analysis of financial liabilities and receivables on the standalone level (for Santander Bank Polska S.A.) as at 31 December 2023 and in the comparable period (the undiscounted cash flow – capital and interests).
31.12.2023 |
A'vista |
up to 1 month |
from 1 to 3 months |
from 3 to 6 months |
from 6 to 12 months |
from 1 to 2 years |
from 2 to 5 years |
above 5 years |
Assets |
31 738 427 |
21 721 070 |
15 679 771 |
18 380 642 |
17 393 994 |
37 709 864 |
70 931 564 |
92 804 892 |
Liabilities |
144 401 336 |
24 182 826 |
21 918 885 |
6 971 840 |
2 878 647 |
4 978 351 |
2 490 110 |
5 119 |
including: |
|
|
|
|
|
|
|
|
- Sell-buy-back transactions |
- |
273 607 |
- |
- |
- |
- |
- |
- |
- Deposits from banks |
2 881 155 |
- |
- |
- |
- |
- |
- |
- |
- Deposits from customers |
143 313 364 |
23 909 219 |
21 889 171 |
4 820 098 |
2 640 588 |
206 683 |
158 761 |
5 119 |
- Debt securities in issue |
|
|
- |
2 089 613 |
152 535 |
4 200 401 |
- |
|
- Subordinated liabilities |
|
|
29 714 |
62 129 |
85 524 |
571 267 |
2 331 350 |
|
- Lease liabilities |
- |
11 046 |
23 182 |
31 924 |
60 891 |
98 365 |
115 096 |
179 268 |
Contractual liquidity gap |
(112 662 909) |
(2 461 756) |
(6 239 114) |
11 408 802 |
14 515 347 |
32 731 513 |
68 441 454 |
92 799 773 |
Cummulated contractual liquidity gap |
(112 662 909) |
(115 124 665) |
(121 363 779) |
(109 954 977) |
(95 439 630) |
(62 708 117) |
5 733 337 |
98 533 110 |
Net derivatives |
- |
12 174 |
( 340 336) |
( 326 437) |
530 339 |
440 466 |
892 622 |
108 757 |
Gross asset derivatives |
- |
49 698 730 |
27 733 806 |
12 632 545 |
19 783 474 |
10 346 933 |
18 317 289 |
10 148 472 |
Gross liabilities derivatives |
- |
49 861 251 |
27 472 682 |
12 647 854 |
19 682 053 |
10 676 852 |
18 717 522 |
10 166 980 |
Off Balance positions Total |
51 209 834 |
41 909 |
452 365 |
305 685 |
411 334 |
493 731 |
423 367 |
23 |
-guarantees & letters of credits |
16 719 678 |
- |
- |
- |
- |
- |
- |
- |
-credit lines |
8 329 973 |
- |
- |
- |
- |
- |
- |
- |
* The vast majority of other financial liabilities are within the range of 1 month |
Separate Financial Statements of Santander Bank Polska for 2023 In thousands of PLN |
31.12.2022 |
A'vista |
up to 1 month |
from 1 to 3 months |
from 3 to 6 months |
from 6 to 12 months |
from 1 to 2 years |
from 2 to 5 years |
above 5 years |
Assets |
31 419 274 |
23 454 971 |
11 901 455 |
18 693 229 |
16 675 192 |
33 755 847 |
66 679 048 |
101 286 987 |
Liabilities |
140 888 599 |
28 223 382 |
15 083 262 |
5 046 108 |
7 792 454 |
553 242 |
2 347 710 |
1 241 540 |
including: |
|
|
|
|
|
|
|
|
- Sell-buy-back transactions |
- |
2 159 469 |
- |
- |
- |
- |
- |
- |
- Deposits from banks |
2 245 112 |
- |
- |
- |
- |
- |
- |
- |
- Deposits from customers |
138 643 487 |
26 051 081 |
12 642 924 |
4 942 197 |
4 090 878 |
255 909 |
127 233 |
22 513 |
- Debt securities in issue |
- |
- |
2 392 646 |
- |
3 525 480 |
- |
- |
- |
- Subordinated liabilities |
- |
- |
21 758 |
67 069 |
101 108 |
193 917 |
2 083 093 |
1 036 423 |
- Lease liabilities |
|
12 832 |
25 934 |
36 842 |
74 988 |
103 416 |
137 384 |
182 604 |
Contractual liquidity gap |
(109 469 325) |
(4 768 411) |
(3 181 807) |
13 647 121 |
8 882 738 |
33 202 605 |
64 331 338 |
100 045 447 |
Cummulated contractual liquidity gap |
(109 469 325) |
(114 237 736) |
(117 419 543) |
(103 772 422) |
(94 889 684) |
(61 687 079) |
2 644 259 |
102 689 706 |
Net derivatives |
- |
162 092 |
( 52 198) |
( 79 221) |
212 843 |
110 706 |
61 085 |
20 799 |
Gross asset derivatives |
- |
36 569 237 |
29 406 219 |
10 533 038 |
18 744 547 |
9 913 497 |
13 012 746 |
1 975 034 |
Gross liabilities derivatives |
- |
36 684 731 |
29 248 320 |
10 767 018 |
18 333 971 |
9 762 493 |
13 770 409 |
2 073 586 |
Off Balance positions Total |
40 302 947 |
40 636 |
235 441 |
207 874 |
372 736 |
159 911 |
40 150 |
6 123 |
-guarantees & letters of credits |
11 311 673 |
- |
- |
- |
- |
- |
- |
- |
-credit lines |
7 912 022 |
- |
- |
- |
- |
- |
- |
- |
* The vast majority of other financial liabilities are within the range of 1 month |
In the tables above, the liquidity gap analysis does not take into account the effect of uncertainty related to flows related to CHF-indexed mortgage loans. Due to the risks described in note 46, cash flows may occur in terms, currencies and amounts other than currently included in In the opinion of the bank, however, this will not cause problems related to compliance with the liquidity regulations in force at the bank.
The Bank uses secured instruments to fund its activity to a limited degree only. However, in accordance with the existing contractual provisions, if the Group’s rating is reduced by three notches, the maximum potential additional security on account of those instruments would be PLN 70,75 m. At the same time, it should be noted that this potential obligation is not unconditional and its final value would depend on negotiations between the bank and its counterparty concerning the transactions.
Separate Financial Statements of Santander Bank Polska for 2023
|
Introduction
It is the policy of Santander Bank Polska to maintain a level of capital adequate to the type and scale of operations and the level of risk.
The level of own funds required to ensure safe operations of the bank and Santander Bank Polska Group and capital requirements estimated for unexpected losses is determined in accordance with:
· The so-called CRD IV / CRR package, which consists of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (CRR) and Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (CRD IV), which became effective on 1 January 2014 by the decision of the European Parliament and the European Banking Authority (EBA).
· Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012.
· Regulation (EU) 2019/630 of the European Parliament and of the Council of 17 April 2019 amending Regulation (EU) No 575/2013 as regards minimum loss coverage for non-performing exposures,
· Regulation (EU) 2020/873 of the European Parliament and of the Council of 24 June 2020 amending Regulations (EU) No 575/2013 and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic,
· These requirements include the recommendations of the KNF regarding the use of national options and higher risk weight for exposures secured by real estate mortgages, including: residential real estate, for which the amount of principal or interest installment depends on changes in exchange rates or currencies other than the currencies of revenue achieved by the debtor, where a risk weight of 150% is assigned, and office premises or other commercial real estate located in the Republic of Poland, where a risk weight of 100% is assigned, except for exposures secured on commercial real estates which are used by borrower to conduct his own business and do not generate income by rent or proceeds from their sale where a risk weight of 50% is assigned.
· The Act of 5 August 2015 on macroprudential supervision over the financial system and crisis management in the financial system (“Macroprudential Supervision Act”), implementing CRD IV into the Polish law with regard to, among other things, additional capital buffers to be maintained by banks.
· Recommendations of the KNF regarding an additional capital requirement relating to the portfolio of FX mortgage loans for households.
The Management Board is accountable for capital management, calculation and maintenance processes, including the assessment of capital adequacy in different economic conditions and the evaluation of stress test results and their impact on internal and regulatory capital and capital ratios. Responsibility for the general oversight of internal capital estimation rests with the Supervisory Board.
The Management Board has delegated ongoing capital management to the Capital Committee which conducts a regular assessment of the capital adequacy of the bank and Santander Bank Polska Group, including in extreme conditions, the monitoring of the actual and required capital levels and the initiation of transactions affecting these levels (e.g. by recommending the value of dividends to be paid). The Capital Committee is the first body that defines the capital policy, principles of capital management and principles of capital adequacy assessment. All decisions regarding any increase or decrease in capital are taken ultimately by relevant authorities within the bank in accordance with the applicable law and the bank’s Statutes.
Pursuant to the bank’s information strategy, details about the level of own funds and capital requirements are presented in the separate report entitled “Information on capital adequacy of Santander Bank Polska Group as at 31 December 2023”.
In 2023, the Bank and Santander Bank Polska Group met all regulatory requirements regarding capital management.
Separate Financial Statements of Santander Bank Polska for 2023
|
Capital Policy
As at 31 December 2023, the minimum capital ratios satisfying the provisions of the CRR and the Macroprudential Supervision Act as well as regulatory recommendations regarding additional own funds requirements under Pillar 2 at the level of Santander Bank Polska S.A. were as follows:
· Tier 1 capital ratio of 9.87%;
· total capital ratio of 11.87%;
for Santander Bank Polska Group, those ratios were as follows:
· Tier 1 capital ratio of 9.880%;
· total capital ratio of 11.883%.
To mitigate the risk of credit crunch arising from the Covid-19 pandemic, on 18 March 2020 the Minister of Finance, issued a regulation based on the recommendation of the Financial Stability Committee removing banks’ obligation to keep the systemic risk buffer of 3%. The released funds may be used by banks to support their lending activity and cover potential losses in the upcoming quarters.
The aforementioned capital ratios take into account:
· The minimum capital ratios as required by the CRR: Common Equity Tier 1 ratio at 4.5%, Tier 1 capital ratio at 6.0% and total capital ratio at 8.0%.
·
The KNF’s decision of 5 November 2019, under which the previous
recommendations issued on 15 October 2018 and
28 November 2018 regarding an additional capital requirement for Santander Bank
Polska S.A. relating to the portfolio of FX mortgage loans for households have
expired: the decision followed the process of annual identification of banks
with material exposure in respect of FX mortgage-backed loans which concluded
that Santander Bank Polska S.A. had not reached the materiality threshold in
relation to such loans. Accordingly, the KNF did not impose an additional
buffer at the bank level to mitigate the risk arising from mortgage loans for
individuals.
·
The capital buffer for Santander Bank Polska S.A. as other systemically
important institution: according to the letter of
19 December 2017, the KNF identified Santander Bank Polska S.A. as other
systemically important institution and imposed on it an additional capital
buffer. Pursuant to the KNF’s decision of 16 December 2022 Santander Bank
Polska S.A. maintains additional own funds of 1 p.p. Santander Bank Polska
Group keeps the capital buffer at the same level.
· The capital conservation buffer maintained in accordance with the Macroprudential Supervision Act: following adaptation to the CRR requirements, in 2019 the buffer reached the maximum level of 2.50 p.p.
· The countercyclical buffer implemented by the Macroprudential Supervision Act and amended by the Minister of Finance by a way of regulation: since 1 January 2016, the countercyclical buffer has been set at 0 p.p. for credit exposures in Poland.
· On 11 February 2022 the Bank received a letter from the Polish Financial Supervision Authority regarding the recommendation to reduce the risk in the Bank's operations by maintaining, both at the individual and consolidated level, the Bank's own funds to cover the additional capital charge in order to absorb potential losses resulting from from the occurrence of stress conditions (P2G recommendation). In accordance with the letter of the Polish Financial Supervision Authority of December 13, 2023 P2G capital charges of 0.37 p.p. apply both at the Bank and at the consolidated level based on supervisory stress tests carried out by the Polish Financial Supervision Authority in 2023.
Components of the minimum capital requirement |
31.12.2023 |
31.12.2022 |
|
Minimal capital ratios |
Common Equity Tier 1 capital ratio |
4.5% |
4.5% |
Tier 1 capital ratio |
6% |
6% |
|
Total capital ratio |
8% |
8% |
|
Additional capital requirement for Santander Bank Polska relating to the portfolio of FX mortgage loans for households |
no requirement |
no requirement |
|
The capital buffer for Santander Bank Polska as other systemically important institution |
ü 1 p.p. |
ü 1 p.p. |
|
The capital conservation buffer maintained in accordance with the Macroprudential Supervision Act |
ü 2.5 p.p. |
ü 2.5 p.p. |
|
The countercyclical buffer (BRS) |
ü 0 p.p. |
ü 0 p.p. |
|
The bank's sensitivity to an unfavorable macroeconomic scenario measured using the supervisory stress tests results (P2G) |
ü 0.37 p.p. |
ü 0.26 p.p. |
Separate Financial Statements of Santander Bank Polska for 2023
|
Regulatory Capital
The capital requirement for Santander Bank Polska is determined in accordance with Part 3 of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (CRR), as amended, inter alia, by Regulation (EU) 2020/873 of the European Parliament and of the Council of 24 June 2020 amending Regulations (EU) No 575/2013 and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic, which was the official legal basis as at the reporting date, i.e. 31 December 2021.
Santander Bank Polska uses the standardised approach to calculate the capital requirement for credit risk, market risk and operational risk. According to this approach, the total capital requirement for credit risk is calculated as the sum of risk-weighted exposures multiplied by 8%. The exposure value for these assets is equal to the carrying amount, while the value of off-balance sheet liabilities corresponds to their balance sheet equivalent. Risk-weighted exposures are calculated by means of applying risk weights to all exposures in accordance with the CRR.
The table below presents the calculation of the capital ratio for Santander Bank Polska SA as at 31 December 2023 and in the comparative period.
|
|
31.12.2023 |
31.12.2022* restated |
I |
Total Capital requirement (Ia+Ib+Ic+Id), of which: |
8 903 375 |
8 716 938 |
Ia |
- due to credit risk & counterparty credit risk |
7 567 011 |
7 513 911 |
Ib |
- due to market risk |
154 424 |
158 477 |
Ic |
- due to credit valuation ajdustment risk |
51 931 |
45 175 |
Id |
- due to operational risk |
1 105 873 |
975 335 |
Ie |
- due to securitisation |
24 136 |
24 040 |
II |
Total own funds* |
26 607 963 |
26 880 381 |
III |
Reductions |
2 974 903 |
2 564 989 |
IV |
Own funds after reductions (II-III) |
23 633 060 |
24 315 392 |
V |
CAD [IV/(I*12.5)] |
21,24% |
22,32% |
VI |
Tier I ratio |
19,62% |
20,26% |
* as described in Note 2.5
Internal Capital
Notwithstanding the regulatory methods for measuring capital requirements, Santander Bank Polska S.A. carries out an independent assessment of current and future capital adequacy as part of the internal capital adequacy assessment process (ICAAP). The purpose of the process is to ensure that the level and nature of own funds guarantee the solvency and stability of the bank’s and the Group’s operations.
The capital adequacy assessment is one of the fundamental elements of the bank’s strategy, the process of defining risk appetite and the process of planning.
In the ICAAP the Bank uses assessment models based on the statistical loss estimation for measurable risks, such as credit risk, market risk and operational risk, plus its own assessment of capital requirements for other material risks not covered by the model, e.g. reputational risk and compliance risk.
The internal capital is estimated on the basis of risk parameters including the probability of default (PD) by Santander Bank Polska S.A. customers and the loss given default (LGD).
The Bank performs an internal assessment of capital requirements, including under stressed conditions, taking into account different macroeconomic scenarios.
Internal capital estimation models are assessed and reviewed annually to adjust them to the scale and profile of the business of Santander Bank Polska S.A. and to take account of any new risks and the management’s judgement.
The review and assessment is the responsibility of the bank’s risk management committees, including: the Capital Committee.
Subordinated Liabilities
In 2016, the bank amended the agreement under which subordinated registered bonds were issued on 5 August 2010 and taken up by the European Bank for Reconstruction and Development. Under the new issue conditions, the maturity of the bonds has been extended
Separate Financial Statements of Santander Bank Polska for 2023
|
to 5 August 2025. Pursuant to the KNF’s decision of 18 May 2017, the bank was authorised to allocate EUR 100m of the new issue to Tier 2 capital. Since 5 August 2020, it is subject to amortization due to the final 5 years of the loan maturity according to Art. 64 CRR.
As part of the strategy to increase the Tier 2 capital, on 2 December 2016 Santander Bank Polska issued own bonds of EUR 120m, allocating them to Tier 2 in accordance with the KNF’s decision of 24 February 2017. Since 3 December 2021, it is subject to amortization due to the final 5 years of the loan maturity according to Art. 64 CRR.
On 22 May 2017, the bank issued additional subordinated bonds with a nominal value of EUR 137.1m and by the KNF’s decision of 19 October 2017 was authorised to allocate them to the Tier 2 capital. Since 22 May 2022, it is subject to amortization due to the final 5 years of the loan maturity according to Art. 64 CRR.
On 12 June 2018, Santander Bank Polska S.A. obtained the KNF’s approval for allocating series F subordinated bonds with a total nominal value of PLN 1bn, issued on 5 April 2018, to Tier 2 capital instruments. Since 5 April 2023, it is subject to amortization due to the final 5 years of the loan maturity according to Art. 64 CRR.
For more information on subordinated liabilities, see Note 34.
Separate Financial Statements of Santander Bank Polska for 2023
|
Interest income and similar to interest |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022* restated |
Interest income on financial assets measured at amortised cost |
13 240 163 |
8 151 748 |
Loans and advances to enterprises and leasing agreements |
4 883 998 |
3 522 776 |
Loans and advances to individuals, of which: |
6 523 007 |
3 863 785 |
Home mortgage loans |
4 003 064 |
1 743 984 |
Loans and advances to banks |
799 055 |
409 553 |
Loans and advances to public sector |
87 298 |
51 951 |
Reverse repo transactions |
605 690 |
202 644 |
Debt securities |
391 422 |
77 971 |
Interest recorded on hedging IRS |
(50 307) |
23 068 |
Interest income on financial assets measured at fair value through other comprehensive income |
2 300 743 |
1 962 341 |
Loans and advances to enterprises |
224 159 |
136 346 |
Loans and advances to public sector |
24 846 |
13 821 |
Debt securities |
2 051 738 |
1 812 174 |
Income similar to interest - financial assets measured at fair value through profit or loss |
63 112 |
75 879 |
Loans and advances to enterprises |
1 420 |
4 316 |
Loans and advances to individuals |
7 203 |
30 118 |
Debt securities |
54 489 |
41 445 |
Total income |
15 604 018 |
10 189 968 |
The impact of payment deferrals on the Bank’s net interest income in 2023 totalled PLN 49,298k and PLN 1,538,000k respectively. It was recognised as an adjustment to the gross carrying amount of mortgage loans due to the change of expected cash flows and a decrease in interest income.
|
||
Interest expenses |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Interest expenses on financial liabilities measured at amortised cost |
(4 164 431) |
(2 149 426) |
Liabilities to individuals |
(1 783 136) |
(640 691) |
Liabilities to enterprises |
(1 372 931) |
(716 177) |
Repo transactions |
(230 299) |
(310 759) |
Liabilities to public sector |
(315 095) |
(187 113) |
Liabilities to banks |
(97 025) |
(75 475) |
Lease liability |
(17 901) |
(14 998) |
Subordinated liabilities and issue of securities |
(348 044) |
(204 213) |
Total costs |
(4 164 431) |
(2 149 426) |
Net interest income |
11 439 587 |
8 040 542 |
Separate Financial Statements of Santander Bank Polska for 2023
|
Fee and commission income |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
eBusiness & payments |
286 174 |
268 375 |
Current accounts and money transfer |
389 445 |
419 960 |
Foreign exchange commissions |
761 219 |
730 413 |
Credit commissions incl. factoring commissions and other |
365 039 |
364 671 |
Insurance commissions |
135 820 |
108 130 |
Commissions from brokerage activities |
139 975 |
130 153 |
Credit cards |
90 732 |
90 565 |
Debit cards |
435 219 |
399 671 |
Off-balance sheet guarantee commissions |
134 477 |
114 287 |
Issue arrangement fees |
21 427 |
14 728 |
Distribution fees |
69 617 |
58 784 |
Total |
2 829 144 |
2 699 737 |
Fee and commission expenses |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
eBusiness & payments |
(82 659) |
(74 143) |
Commissions from brokerage activities |
(13 666) |
(14 722) |
Credit cards |
(9 187) |
(9 742) |
Debit cards |
(119 362) |
(116 676) |
Credit commissions paid |
(39 035) |
(36 805) |
Insurance commissions |
(13 899) |
(16 907) |
Finance lease commissions |
(564) |
(631) |
Off-balance sheet guarantee commissions |
(35 404) |
(35 707) |
Other |
(129 569) |
(116 483) |
Total |
(443 345) |
(421 816) |
Net fee and commission income |
2 385 799 |
2 277 921 |
Included above is fee and commission income on credits, credit cards, off-balance sheet guarantees and leases of PLN 590,248 k (31.12.2022: PLN 569,524 k) and fee and commission expenses on credit cards, leases and paid to credit agents of PLN (48,222) k (31.12.2022: PLN (46,547) k) other than fees included in determining the effective interest rate, relating to financial assets and liabilities not carried at fair value through profit and loss.
Dividend income |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Dividends income from subsidiaries and associates |
230 455 |
161 907 |
Dividends income from investment securities measured at fair value through other comprehensive income |
9 334 |
8 297 |
Dividends income from investment securities measured at fair value through profit or loss |
480 |
1 038 |
Dividends income from equity financial assets held for trading |
1 298 |
939 |
Total |
241 567 |
172 181 |
Separate Financial Statements of Santander Bank Polska for 2023
|
Net trading income and revaluation |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Derivative instruments |
(8 763) |
(192 139) |
Interbank fx transactions |
219 380 |
264 417 |
Net gains on sale of equity securities measured at fair value through profit or loss |
21 870 |
9 775 |
Net gains on sale of debt securities measured at fair value through profit or loss |
52 575 |
21 064 |
Change in fair value of loans and advances mandatorily measured at fair value through profit or loss |
13 511 |
6 795 |
Total |
298 573 |
109 912 |
The amounts included CVA and DVA adjustments which in 2022 and 2021 totaled PLN (6,800) k and PLN (6,917) k respectively.
Gains (losses) from other financial securities |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Net gains on sale of debt securities measured at fair value through other comprehensive income |
2 428 |
(6 303) |
Net gains on sale of equity securities measured at fair value through profit and loss |
2 887 |
- |
Change in fair value of financial securities measured at fair value through profit or loss |
11 037 |
(2 810) |
Impairment losses on securities |
(2 016) |
(1 066) |
Total gains (losses) on financial instruments |
14 336 |
(10 179) |
Change in fair value of hedging instruments |
(421 094) |
348 586 |
Change in fair value of underlying hedged positions* |
394 395 |
(358 227) |
Total gains (losses) on hedging and hedged instruments |
(26 699) |
(9 641) |
Total |
(12 363) |
(19 820) |
* details are described in Note 42
Other operating income |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Income from services rendered |
37 065 |
33 459 |
Release of provision for legal cases and other assets |
7 264 |
10 743 |
Recovery of other receivables (expired, cancelled and uncollectable) |
140 |
41 |
Settlements of leasing agreements/ Income from claims received from the insurer |
160 |
1 000 |
Received compensations, penalties and fines |
6 759 |
1 908 |
Gains on lease modifications |
9 174 |
9 203 |
Other |
14 274 |
18 198 |
Total |
74 836 |
74 552 |
Separate Financial Statements of Santander Bank Polska for 2023
|
Impairment allowances for expected credit losses on loans and advances measured at amortised cost |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Charge for loans and advances to banks |
(76) |
(24) |
Stage 1 |
(76) |
(24) |
Stage 2 |
- |
- |
Stage 3 |
- |
- |
POCI |
- |
- |
Charge for loans and advances to customers |
(871 357) |
(793 795) |
Stage 1 |
(126 588) |
(146 267) |
Stage 2 |
(297 142) |
(259 567) |
Stage 3 |
(511 744) |
(449 398) |
POCI |
64 117 |
61 437 |
Recoveries of loans previously written off |
5 182 |
(4 245) |
Stage 1 |
- |
- |
Stage 2 |
- |
- |
Stage 3 |
5 182 |
(4 245) |
POCI |
- |
- |
Off-balance sheet credit related facilities |
(79 459) |
(541) |
Stage 1 |
(9 640) |
3 947 |
Stage 2 |
(39 987) |
(1 042) |
Stage 3 |
(29 832) |
(3 446) |
POCI |
- |
- |
Total |
(945 710) |
(798 605) |
Employee costs |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Salaries and bonuses |
(1 600 721) |
(1 262 824) |
Salary related costs |
(265 106) |
(217 592) |
Cost of contributions to Employee Capital Plans |
(11 796) |
(8 108) |
Staff benefits costs |
(39 106) |
(30 638) |
Professional trainings |
(8 712) |
(7 119) |
Retirement fund, holiday provisions and other employee costs |
(7 678) |
(4 157) |
Restructuring provision* |
10 488 |
35 815 |
Total |
(1 922 631) |
(1 494 623) |
* Given that the collective redundancies process was completed, Santander Bank Polska S.A. released the unused portion of the restructuring provision.
Separate Financial Statements of Santander Bank Polska for 2023
|
General and administrative expenses |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Maintenance of premises |
(118 712) |
(104 246) |
Short-term lease costs |
(8 995) |
(8 116) |
Low-value assets lease costs |
(1 253) |
(1 213) |
Costs of variable lease payments not included in the measurement of the lease liability |
(362) |
(702) |
Non-tax deductible VAT |
(29 698) |
(24 278) |
Marketing and representation |
(146 042) |
(128 188) |
IT systems costs |
(409 456) |
(336 272) |
Cost of BFG, KNF and KDPW |
(192 059) |
(275 458) |
Cost of payment to protection system (IPS) |
(275) |
(445 704) |
Postal and telecommunication costs |
(49 402) |
(47 993) |
Consulting and advisory fees |
(46 056) |
(53 140) |
Cars, transport expenses, carriage of cash |
(54 828) |
(58 880) |
Other external services |
(180 044) |
(128 577) |
Stationery, cards, cheques etc. |
(17 846) |
(16 195) |
Sundry taxes and charges |
(32 766) |
(31 732) |
Data transmission |
(27 678) |
(15 825) |
KIR, SWIFT settlements |
(27 752) |
(29 012) |
Security costs |
(15 024) |
(18 979) |
Costs of repairs |
(4 745) |
(5 548) |
Cost of payment to the Borrowers Support Fund |
- |
(139 608) |
Other |
(23 389) |
(14 363) |
Total |
(1 386 382) |
(1 884 029) |
Other operating expenses |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Charge of provisions for legal cases and other assets |
(38 408) |
(18 995) |
Impairment loss on property, plant, equipment, intangible assets covered by financial lease agreements and other fixed assets |
(4 097) |
(11 092) |
Gain on sales or liquidation of fixed assets, intangible assets and assets for disposal |
(9 197) |
(11 988) |
Costs of purchased services |
(13 640) |
(15 044) |
Other membership fees |
(1 286) |
(1 071) |
Paid compensations, penalties and fines |
(50) |
(219) |
Donations paid |
(6 287) |
(5 969) |
Other |
(77 031) |
(18 573) |
Total |
(149 996) |
(82 951) |
Corporate income tax |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Current tax charge in the income statement |
(1 571 462) |
(974 196) |
Deferred tax charge in the income statement |
(170 025) |
(168 157) |
Adjustments from previous years for current and deferred tax |
18 163 |
(6 882) |
Total tax on gross profit |
(1 723 324) |
(1 149 235) |
Separate Financial Statements of Santander Bank Polska for 2023
|
Corporate total tax charge information |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Profit before tax |
6 396 302 |
3 598 278 |
Tax rate |
19% |
19% |
Tax calculated at the tax rate |
(1 215 297) |
(683 673) |
Non-tax-deductible expenses |
(30 139) |
(15 789) |
Provisions for legal claims regarding fx loans |
(332 296) |
(234 336) |
The fee to the Bank Guarantee Fund |
(30 210) |
(46 575) |
The Borrowers Support Fund |
- |
(26 526) |
Tax on financial institutions |
(142 721) |
(142 937) |
Non-taxable income |
45 804 |
32 513 |
Non-tax deductible bad debt provisions |
(23 370) |
(18 266) |
Adjustment of prior years tax |
18 162 |
(6 882) |
Other |
(13 257) |
(6 764) |
Total tax on gross profit |
(1 723 324) |
(1 149 235) |
Deferred tax recognised in other comprehensive income |
31.12.2023 |
31.12.2022* restated |
Relating to valuation of debt investments measured at fair value through other comprehensive income |
241 997 |
590 134 |
Relating to valuation of equity investments measured at fair value through other comprehensive income |
(46 882) |
(33 170) |
Relating to cash flow hedging activity |
(130 716) |
71 692 |
Relating to valuation of defined benefit plans |
145 |
(2 759) |
Total |
64 544 |
625 897 |
*details in note 2.5
Earnings per share |
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
Profit for the period attributable to ordinary shares |
4 672 978 |
2 449 043 |
Weighted average number of ordinary shares |
102 189 314 |
102 189 314 |
Earnings per share (PLN) |
45,73 |
23,97 |
Profit for the period attributable to ordinary shares |
4 672 978 |
2 449 043 |
Weighted average number of ordinary shares |
102 189 314 |
102 189 314 |
Diluted earnings per share (PLN) |
45,73 |
23,97 |
Cash and balances with central banks |
31.12.2023 |
31.12.2022 |
Cash |
2 603 728 |
3 191 056 |
Current accounts in central banks |
5 606 355 |
6 846 009 |
Term deposits |
65 028 |
98 034 |
Total |
8 275 111 |
10 135 099 |
Santander Bank Polska SA hold an obligatory reserve in a current account in the National Bank of Poland. The figure is calculated at a fixed percentage of minimal statutory reserve of the monthly average balanceof the customers’ deposits, which was 3.5% as at 31 December 2023 and 31 December 2022.
In accordance with the applicable regulations, the amount of the calculated provision is reduced by the equivalent of EUR 500 k.
Separate Financial Statements of Santander Bank Polska for 2023
|
Loans and advances to banks |
31.12.2023 |
31.12.2022 |
Loans and advances |
5 853 899 |
6 556 202 |
Current accounts |
3 194 673 |
3 153 694 |
Gross receivables |
9 048 572 |
9 709 896 |
Allowance for impairment |
(172) |
(96) |
Total |
9 048 400 |
9 709 800 |
Fair value of loans and advances to banks is presented in Note 45.
Loans
and advances to banks |
|
|
|
|
|
Gross carrying amount |
Stage 1 |
Stage 2 |
Stage 3 |
POCI |
Total |
As at the beginning of the period |
9 709 896 |
- |
- |
- |
9 709 896 |
Transfers |
|
|
|
|
|
Transfer to Stage 1 |
- |
- |
- |
- |
- |
Transfer to Stage 2 |
- |
- |
- |
- |
- |
Transfer to Stage 3 |
- |
- |
- |
- |
- |
New financial assets originated |
6 447 923 |
- |
- |
- |
6 447 923 |
Changes in existing financial assets |
- |
- |
|
|
- |
Financial assets derecognised that are not write-offs |
(7 078 386) |
- |
- |
- |
(7 078 386) |
Write-offs |
- |
- |
- |
- |
- |
Other movements incl. FX differences |
(30 861) |
- |
- |
- |
(30 861) |
As at the end of the period |
9 048 572 |
- |
- |
- |
9 048 572 |
.
Loans and
advances to banks |
|
|
|||
Gross carrying amount |
Stage 1 |
Stage 2 |
Stage 3 |
POCI |
Total |
As at the beginning of the period |
2 744 066 |
- |
- |
- |
2 744 066 |
Transfers |
|
|
|
|
|
Transfer to Stage 1 |
- |
- |
- |
- |
- |
Transfer to Stage 2 |
- |
- |
- |
- |
- |
Transfer to Stage 3 |
- |
- |
- |
- |
- |
New financial assets originated |
6 940 987 |
- |
- |
- |
6 940 987 |
Changes in existing financial assets |
- |
- |
- |
- |
- |
Financial assets derecognised that are not write-offs |
(198 824) |
- |
- |
- |
(198 824) |
Write-offs |
- |
- |
- |
- |
- |
Other movements incl. FX differences |
223 667 |
- |
- |
- |
223 667 |
As at the end of the period |
9 709 896 |
- |
- |
- |
9 709 896 |
Separate Financial Statements of Santander Bank Polska for 2023
|
31.12.2023 |
31.12.2022 |
|||
Financial assets and liabilities held for trading |
Assets |
Liabilities |
Assets |
Liabilities |
Trading derivatives |
7 393 837 |
8 009 913 |
6 635 204 |
6 922 307 |
Interest rate operations |
4 044 042 |
4 325 534 |
4 675 684 |
4 634 007 |
Forward |
43 |
363 |
5 |
- |
Options |
115 647 |
115 692 |
204 525 |
187 359 |
IRS |
3 786 161 |
4 083 830 |
4 404 362 |
4 415 502 |
FRA |
142 191 |
125 649 |
66 792 |
31 146 |
FX operations |
3 349 795 |
3 684 379 |
1 959 520 |
2 288 300 |
CIRS |
690 771 |
941 591 |
332 765 |
425 211 |
Forward |
550 798 |
710 062 |
264 172 |
198 268 |
FX Swap |
1 878 873 |
1 822 326 |
1 094 440 |
1 401 172 |
Spot |
6 792 |
5 257 |
500 |
971 |
Options |
222 561 |
205 143 |
267 643 |
262 678 |
Debt and equity securities |
1 548 123 |
- |
244 547 |
- |
Debt securities |
1 519 191 |
- |
229 290 |
- |
Government securities: |
1 508 969 |
- |
213 206 |
- |
- bonds |
1 508 969 |
- |
213 206 |
- |
Commercial securities: |
10 222 |
- |
16 084 |
- |
- bonds |
10 222 |
- |
16 084 |
- |
Equity securities: |
28 932 |
- |
15 257 |
- |
- listed |
28 932 |
- |
15 257 |
- |
Short sale |
- |
824 121 |
- |
195 560 |
Total |
8 941 960 |
8 834 034 |
6 879 751 |
7 117 867 |
Financial assets and liabilities held for trading - trading derivatives include the change in the value of counterparty risk in the amount of PLN (1,923) k as at 31.12.2023 and PLN 1,242 k as at 31.12.2022.
Separate Financial Statements of Santander Bank Polska for 2023
|
The table below presents derivatives’ nominal values:
Derivatives’ nominal values |
31.12.2023 |
31.12.2022 |
Term derivatives (hedging) |
55 400 529 |
39 296 968 |
Single-currency interest rate swap |
9 832 583 |
11 647 671 |
Macro cash flow hedge -purchased (IRS) |
39 604 600 |
4 798 700 |
Macro cash flow hedge -purchased (CIRS) |
2 662 038 |
10 681 594 |
Macro cash flow hedge -sold (CIRS) |
3 301 308 |
12 169 003 |
Term derivatives (trading) |
1 027 896 528 |
776 940 525 |
Interest rate operations |
706 322 363 |
508 540 765 |
-Single-currency interest rate swap |
529 071 747 |
426 207 912 |
-FRA - purchased amounts |
170 872 879 |
75 832 500 |
-Options |
6 158 437 |
6 486 353 |
-Forward- purchased amounts |
200 000 |
9 000 |
-Forward- sold amounts |
19 300 |
5 000 |
FX operations |
321 574 165 |
268 399 760 |
-FX swap – purchased amounts |
90 827 744 |
77 701 126 |
-FX swap – sold amounts |
90 785 153 |
78 149 123 |
-Forward- purchased amounts |
21 215 474 |
17 076 145 |
-Forward- sold amounts |
21 318 730 |
16 855 581 |
-Non-Deliverable Forward (NDF) - purchased amounts |
86 960 |
515 889 |
-Non-Deliverable Forward (NDF) - sold amounts |
104 761 |
540 017 |
-Window Forward – purchased amounts |
4 622 |
49 196 |
-Window Forward – sold amounts |
4 620 |
48 973 |
-Cross-currency interest rate swap – purchased amounts |
35 295 518 |
17 194 355 |
-Cross-currency interest rate swap – sold amounts |
35 535 294 |
17 252 483 |
-FX options -purchased CALL |
6 252 857 |
10 407 548 |
-FX options -purchased PUT |
6 944 788 |
11 100 888 |
-FX options -sold CALL |
6 235 056 |
10 383 420 |
-FX options -sold PUT |
6 962 588 |
11 125 016 |
Currency transactions- spot |
7 686 201 |
1 684 133 |
Spot-purchased |
3 843 696 |
841 940 |
Spot-sold |
3 842 505 |
842 193 |
Transactions on equity financial instruments |
26 363 |
16 309 |
Derivatives contract - purchased |
231 |
700 |
Derivatives contract - sold |
26 132 |
15 609 |
Total |
1 091 009 621 |
817 937 935 |
In the case of single-currency transactions (IRS, FRA, non-FX options) only purchased amounts are presented.
31.12.2023 |
31.12.2022 |
|||
Hedging derivatives |
Assets |
Liabilities |
Assets |
Liabilities |
Derivatives hedging fair value |
228 401 |
157 437 |
487 292 |
25 508 |
Derivatives hedging cash flow |
1 330 973 |
672 128 |
50 632 |
1 846 531 |
Total |
1 559 374 |
829 565 |
537 924 |
1 872 039 |
As at 31.12.2023, the line item: hedging derivatives – derivatives hedging cash flows reflects a change in the first-day valuation of forward-starting CIRS transactions of PLN (444) k and PLN (4,353) k as at 31.12.2022.
Separate Financial Statements of Santander Bank Polska for 2023
|
31.12.2023 |
||||
Loans and advances to customers |
Measured at amortised cost |
Measured at fair value through other comprehensive income |
Measured at fair value through profit or loss |
Total |
Loans and advances to enterprises |
70 314 319 |
2 640 475 |
- |
72 954 794 |
Loans and advances to individuals, of which: |
70 571 976 |
- |
11 111 |
70 583 087 |
Home mortgage loans* |
51 006 587 |
- |
- |
51 006 587 |
Loans and advances to public sector |
972 763 |
249 734 |
- |
1 222 497 |
Other receivables |
67 091 |
- |
- |
67 091 |
Gross receivables |
141 926 149 |
2 890 209 |
11 111 |
144 827 469 |
Allowance for impairment |
(3 832 393) |
(91 975) |
- |
(3 924 368) |
Total |
138 093 756 |
2 798 234 |
11 111 |
140 903 101 |
* Includes changes in gross book value described in note 46 Legal risk connected with CHF mortgage loans and impact of the payment deferrals
31.12.2022 |
||||
Loans and advances to customers |
Measured at amortised cost |
Measured at fair value through other comprehensive income |
Measured at fair value through profit or loss |
Total |
Loans and advances to enterprises |
66 481 615 |
2 306 972 |
39 205 |
68 827 792 |
Loans and advances to individuals, of which: |
68 560 682 |
- |
112 926 |
68 673 608 |
Home mortgage loans* |
50 611 667 |
- |
- |
50 611 667 |
Loans and advances to public sector |
950 694 |
328 428 |
- |
1 279 122 |
Other receivables |
69 739 |
- |
- |
69 739 |
Gross receivables |
136 062 730 |
2 635 400 |
152 131 |
138 850 261 |
Allowance for impairment |
(4 000 693) |
(6 740) |
- |
(4 007 433) |
Total |
132 062 037 |
2 628 660 |
152 131 |
134 842 828 |
* Includes changes in gross book value described in note 46 Legal risk connected with CHF mortgage loans and impact of the payment deferrals
Separate Financial Statements of Santander Bank Polska for 2023
|
Impact of the legal risk of mortgage loans in foreign currency |
Gross carrying amount of mortgage loans in foreign currency before adjustment due to legal risk costs |
Impact of the legal risk of mortgage loans in foreign currency |
Gross carrying amount of mortgage loans in foreign currency after adjustment due to legal risk costs* |
31.12.2023 |
|
|
|
Mortgage loans in foreign currency - adjustment to gross carrying amount |
4 877 094 |
3 414 431** |
1 462 663 |
Provision in respect of legal risk connected with foreign currency mortgage loans |
|
624 354 |
|
Total |
|
4 038 785 |
|
31.12.2022 |
|
|
|
Mortgage loans in foreign currency - adjustment to gross carrying amount |
6 524 486 |
2 491 692 |
4 032 794 |
Provision in respect of legal risk connected with foreign currency mortgage loans |
|
318 683 |
|
Total |
|
2 810 375 |
|
* Includes changes in gross book value described in note 46 Legal risk connected with CHF mortgage loans
**of which the amount of PLN 3,289,747 k refers to loans denominated in and indexed to CHF, and the amount of PLN 124,684 k to loans in PLN subject to debt enforcement
As at 31.12.2023 the fair value adjustment due to hedged risk on loans was PLN 4,563 k.
Santander Bank Polska may write-off financial assets that are still subject to enforcement activity. The outstanding contractual amount of such assets written off during the year ended 31.12.2023 was PLN 207,573 k and as at 31.12.2022– PLN 72,532 k.
Fair value of loans and advances to customers is presented in Note 45.
Loans and
advances to customers |
|
|
|||
Gross carrying amount |
Stage 1 |
Stage 2 |
Stage 3 |
POCI |
Total |
As at the beginning of the period |
124 238 235 |
6 140 652 |
4 945 930 |
737 913 |
136 062 730 |
Transfers |
|
|
|
|
|
Transfer to Stage 1 |
5 738 476 |
(5 613 619) |
(124 857) |
- |
- |
Transfer to Stage 2 |
(8 794 585) |
9 182 498 |
(387 913) |
- |
- |
Transfer to Stage 3 |
(340 189) |
(1 996 474) |
2 336 663 |
- |
- |
New financial assets originated |
19 725 354 |
- |
- |
- |
19 725 354 |
Changes in existing financial assets |
4 310 741 |
(824 145) |
(632 786) |
135 605 |
2 989 415 |
Financial assets derecognised that are not write-offs |
(12 692 907) |
(413 785) |
(483 671) |
(148 591) |
(13 738 954) |
Write-offs |
- |
- |
(861 515) |
- |
(861 515) |
FX and others movements |
(2 100 803) |
(101 026) |
(49 052) |
- |
(2 250 881) |
As at the end of the period |
130 084 322 |
6 374 101 |
4 742 799 |
724 927 |
141 926 149 |
.
Separate Financial Statements of Santander Bank Polska for 2023
|
Movements
on impairment losses on loans and advances to customers measured at amortised
cost for reporting period |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
As at the beginning of the period |
(433 116) |
(534 300) |
(2 898 264) |
(3 865 680) |
Transfers |
|
|
|
|
Transfer to Stage 1 |
(762 465) |
709 425 |
53 040 |
- |
Transfer to Stage 2 |
345 852 |
(474 638) |
128 786 |
- |
Transfer to Stage 3 |
12 942 |
392 300 |
(405 242) |
- |
New financial assets originated |
(170 101) |
- |
- |
(170 101) |
Changes in credit risk of existing financial assets |
382 348 |
(577 708) |
(741 633) |
(936 993) |
Changes in models and risk parameters |
41 030 |
(126 390) |
- |
(85 360) |
Financial assets derecognised that are not write-offs |
114 823 |
40 565 |
315 204 |
470 592 |
Write-offs |
- |
- |
861 515 |
861 515 |
FX and others movements |
18 350 |
8 662 |
(4 090) |
22 922 |
As at the end of the period |
(450 337) |
(562 084) |
(2 690 684) |
(3 703 105) |
.
Reconciliation to Note 11: Impairment allowances for expected credit losses measured at amortised cost |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
|
Movements on allowances for expected credit losses on loans and advances to customers measured at amortised cost for reporting period 1.01.2023 - 31.12.2023 |
(17 222) |
(27 783) |
207 580 |
162 575 |
|
Transfers that do not go through profit and loss |
(91 758) |
(193 228) |
157 243 |
(127 743) |
|
Write-offs |
- |
- |
(861 515) |
(861 515) |
|
Impairment allowances for expected credit losses on loans measured at fair value through other comprehensive income |
(14 622) |
(72 060) |
- |
(86 682) |
|
FX differences |
(2 986) |
(4 071) |
(15 052) |
(22 109) |
|
Total |
(126 588) |
(297 142) |
(511 744) |
(935 474) |
|
Movements on impairment losses on purchased or originated credit-impaired loans (POCI) |
|
|
1.01.2023-31.12.2023 |
1.01.2022-31.12.2022 |
|
As at the beginning of the period |
|
|
(135 014) |
(119 928) |
|
Charge/write back of current period |
|
|
4 837 |
(14 452) |
|
FX differences |
|
|
544 |
(627) |
|
Other |
|
|
345 |
(7) |
|
As at the end of the period |
|
|
(129 288) |
(135 014) |
|
Loans and
advances to customers |
|
|
|
|
|
Gross carrying amount |
Stage 1 |
Stage 2 |
Stage 3 |
POCI |
Total |
As at the beginning of the period |
114 640 236 |
5 513 716 |
4 863 261 |
521 983 |
125 539 196 |
Transfers |
|
|
|
|
|
Transfer to Stage 1 |
6 249 388 |
(6 138 748) |
(110 640) |
- |
- |
Transfer to Stage 2 |
(9 343 692) |
9 765 638 |
(421 946) |
- |
- |
Transfer to Stage 3 |
(437 732) |
(1 959 730) |
2 397 462 |
- |
- |
New financial assets originated |
24 683 564 |
- |
- |
- |
24 683 564 |
Changes in existing financial assets |
8 822 814 |
(356 279) |
(350 498) |
248 083 |
8 364 120 |
Financial assets derecognised that are not write-offs |
(21 328 177) |
(1 061 037) |
(265 999) |
(163 709) |
(22 818 922) |
Write-offs |
- |
- |
(637 769) |
- |
(637 769) |
FX and others movements |
951 835 |
377 092 |
(527 941) |
131 556 |
932 542 |
As at the end of the period |
124 238 236 |
6 140 652 |
4 945 930 |
737 913 |
136 062 731 |
.
Separate Financial Statements of Santander Bank Polska for 2023
|
Movements
on impairment losses on loans and advances to customers measured at amortised
cost for reporting period |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
As at the beginning of the period |
(359 024) |
(401 685) |
(2 859 561) |
(3 620 270) |
Transfers |
|
|
|
|
Transfer to Stage 1 |
(148 356) |
424 308 |
42 583 |
318 535 |
Transfer to Stage 2 |
206 317 |
(747 549) |
159 311 |
(381 921) |
Transfer to Stage 3 |
11 812 |
231 776 |
(810 980) |
(567 392) |
New financial assets originated |
(135 548) |
- |
- |
(135 548) |
Changes in credit risk of existing financial assets |
(82 624) |
33 460 |
(147 900) |
(197 064) |
Changes in models and risk parameters |
(19 360) |
(117 400) |
(1 940) |
(138 700) |
Financial assets derecognised that are not write-offs |
88 450 |
36 480 |
128 344 |
253 274 |
Write-offs |
- |
- |
567 476 |
567 476 |
FX and others movements |
5 217 |
6 310 |
24 403 |
35 930 |
As at the end of the period |
(433 116) |
(534 300) |
(2 898 264) |
(3 865 680) |
.
Reconciliation to Note 11: Impairment allowances for expected credit losses measured at amortised cost |
Stage 1 |
Stage 2 |
Stage 3 |
Total |
|
Movements on allowances for expected credit losses on loans and advances to customers measured at amortised cost for reporting period 1.01.2022 - 31.12.2022 |
(74 090) |
(132 616) |
(38 703) |
(245 409) |
|
Transfers that do not go through profit and loss |
(69 321) |
(129 460) |
75 009 |
(123 772) |
|
Write-offs |
- |
- |
(498 325) |
(498 325) |
|
Impairment allowances for expected credit losses on loans measured at fair value through other comprehensive income |
(3 694) |
- |
- |
(3 694) |
|
FX differences |
837 |
2 511 |
12 620 |
15 968 |
|
Total |
(146 268) |
(259 565) |
(449 399) |
(855 232) |
|
Loans and
advances to enterprises |
|
|
|||
Gross carrying amount |
Stage 1 |
Stage 2 |
Stage 3 |
POCI |
Total |
As at the beginning of the period |
59 186 499 |
3 936 740 |
2 946 387 |
411 989 |
66 481 615 |
Transfers |
|
|
|
|
|
Transfer to Stage 1 |
2 196 861 |
(2 181 306) |
|