SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
TABLE OF CONTENTS
SELECTED SEPARATE FINANCIAL DATA ..................................................................................................................... 5
SEPARATE STATEMENT OF PROFIT OR LOSS ............................................................................................................ 6
SEPARATE STATEMENT OF OTHER COMPREHENSIVE INCOME .............................................................................. 7
SEPARATE STATEMENT OF FINANCIAL POSITION ..................................................................................................... 8
SEPARATE STATEMENT OF CHANGES IN EQUITY ..................................................................................................... 9
SEPARATE STATEMENT OF CASH FLOWS ................................................................................................................ 10
1. GENERAL INFORMATION ABOUT THE BANK ..................................................................................................... 12
2. ACCOUNTING PRINCIPLES APPLIED FOR THE PURPOSE OF PREPARATION OF THE SEPARATE FINANCIAL
STATEMENTS ................................................................................................................................................................. 14
2.1. Basis for preparation of the separate financial statements ...................................................................................................... 14
2.2. Going concern ......................................................................................................................................................................... 14
2.3. Statement of compliance with IFRS ........................................................................................................................................ 14
2.4. Recognition of transactions under common control ................................................................................................................. 17
2.5. Business combinations ............................................................................................................................................................ 17
2.6. Changes in accounting policies and changes in presentation of financial data ....................................................................... 18
2.7. Measurement of items denominated in foreign currencies ...................................................................................................... 18
2.8. Interest income and expenses ................................................................................................................................................. 18
2.9. Net fee and commission income ............................................................................................................................................. 18
2.10. Dividend income ...................................................................................................................................................................... 20
2.11. Net trading income .................................................................................................................................................................. 20
2.12. Result on investment activities ................................................................................................................................................ 20
2.13. Result from derecognition of financial assets measured at amortized cost due to material modification ................................ 20
2.14. Result from provisions for legal risk related to foreign currency loans ..................................................................................... 20
2.15. Other operating income and expenses .................................................................................................................................... 20
2.16. Income tax expense ................................................................................................................................................................ 21
2.17. Classification and measurement of financial assets and liabilities .......................................................................................... 21
2.18. Fixed assets held for sale ........................................................................................................................................................ 24
2.19. Investment properties .............................................................................................................................................................. 25
2.20. Intangible assets...................................................................................................................................................................... 25
2.21. Property, plant and equipment ................................................................................................................................................ 25
2.22. Hedge accounting.................................................................................................................................................................... 26
2.23. Provisions ................................................................................................................................................................................ 27
2.24. Leases ..................................................................................................................................................................................... 27
2.25. Financial guarantees ............................................................................................................................................................... 28
2.26. Employee benefits ................................................................................................................................................................... 28
2.27. Capital ..................................................................................................................................................................................... 29
2.28. Custody operations.................................................................................................................................................................. 30
2.29. Cash and cash equivalents ..................................................................................................................................................... 30
3. ESTIMATES ............................................................................................................................................................. 30
4. NET INTEREST INCOME ........................................................................................................................................ 43
5. NET FEE AND COMMISSION INCOME .................................................................................................................. 44
6. DIVIDEND INCOME ................................................................................................................................................. 45
7. NET TRADING INCOME (INCLUDING RESULT ON FOREIGN EXCHANGE) ....................................................... 45
8. RESULT ON INVESTMENT ACTIVITIES ................................................................................................................ 45
9. NET ALLOWANCES ON EXPECTED FINANCIAL ASSETS AND PROVISION ON CONTINGENT LIABILITIES 45
10. GENERAL ADMINISTRATIVE COSTS ................................................................................................................... 46
11. PERSONNEL EXPENSES ....................................................................................................................................... 47
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
12. DEPRECIATION AND AMORTISATION ................................................................................................................. 47
13. OTHER OPERATING INCOME ............................................................................................................................... 47
14. OTHER OPERATING EXPENSES .......................................................................................................................... 47
15. INCOME TAX EXPENSE ......................................................................................................................................... 48
16. EARNINGS PER SHARE ......................................................................................................................................... 48
17. CASH AND CASH BALANCES AT CENTRAL BANK ............................................................................................ 49
18. AMOUNTS DUE FROM OTHER BANKS ................................................................................................................ 49
19. DERIVATIVE FINANCIAL INSTRUMENTS ............................................................................................................. 50
20. HEDGE ACCOUNTING............................................................................................................................................ 53
21. LOANS AND ADVANCES TO CUSTOMERS MEASURED AT AMORTISED COST ............................................. 56
22. LOANS AND ADVANCES TO CUSTOMERS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS ...... 61
23. SECURITIES MEASURED AT AMORTISED COST................................................................................................ 62
24. SECURITIES MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS ........................................................ 64
25. SECURITIES MEASURED AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME .......................... 65
26. INVESTMENTS IN SUBSIDIARIES ......................................................................................................................... 66
27. INTANGIBLE ASSETS ............................................................................................................................................ 66
28. PROPERTY, PLANT AND EQUIPMENT ................................................................................................................. 68
29. LEASES ................................................................................................................................................................... 72
30. OTHER ASSETS ...................................................................................................................................................... 73
31. AMOUNTS DUE TO CENTRAL BANK .................................................................................................................... 73
32. AMOUNTS DUE TO OTHER BANKS ...................................................................................................................... 74
33. AMOUNTS DUE TO CUSTOMERS ......................................................................................................................... 74
34. SUBORDINATED LIABILITIES ............................................................................................................................... 75
35. OTHER LIABILITIES ............................................................................................................................................... 75
36. PROVISIONS ........................................................................................................................................................... 75
37. DEFERRED INCOME TAX ...................................................................................................................................... 77
38. DISCONTINUED OPERATIONS .............................................................................................................................. 78
39. SHARE-BASED PAYMENTS .................................................................................................................................. 78
40. CONTINGENT LIABILITIES .................................................................................................................................... 81
41. COLLATERALS ....................................................................................................................................................... 81
42. FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES .................................................................................... 82
43. LOAN PORTFOLIO SALE ....................................................................................................................................... 87
44. SECURITIZATION ................................................................................................................................................... 87
45. CUSTODY OPERATIONS ....................................................................................................................................... 87
46. THE SHAREHOLDER’S STRUCTURE OF BNP PARIBAS BANK POLSKA S.A. ................................................. 88
47. SUPPLEMENTARY CAPITAL AND OTHER CAPITALS ........................................................................................ 89
48. DIVIDENDS PAID .................................................................................................................................................... 90
49. DISTRIBUTION OF RETAINED EARNINGS ........................................................................................................... 90
50. CASH AND CASH EQUIVALENTS ......................................................................................................................... 90
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
51. ADDITIONAL INFORMATION REGARDING THE STATEMENT OF CASH FLOWS ............................................. 91
52. RELATED PARTY TRANSACTIONS ...................................................................................................................... 92
53. OPERATING SEGMENTS ....................................................................................................................................... 94
54. LITIGATION AND CLAIMS ...................................................................................................................................... 99
55. FINANCIAL RISK MANAGEMENT ........................................................................................................................ 105
55.1. Financial instrument strategy ................................................................................................................................................. 105
55.2. Credit risk .............................................................................................................................................................................. 105
55.3. Counterparty risk ................................................................................................................................................................... 117
55.4. Market risk (interest rate risk in the trading book and currency risk) ..................................................................................... 118
55.5. Interest rate risk in the banking portfolio (ALM Treasury) ...................................................................................................... 120
55.6. Liquidity risk ........................................................................................................................................................................... 124
55.7. Operational risk ..................................................................................................................................................................... 127
56. CAPITAL ADEQUACY MANAGEMENT ................................................................................................................ 130
57. MAJOR EVENTS IN BNP PARIBAS BANK POLSKA S.A. IN 2022 ..................................................................... 133
58. SUBSEQUENT EVENTS ....................................................................................................................................... 134
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
SELECTED SEPARATE FINANCIAL DATA
Selected separate financial data
in PLN’000
in EUR’000
Statement of profit or loss
Note
For the
period from
1.01.2022 to
31.12.2022
For the
period from
1.01.2021 to
31.12.2021
For the
period from
1.01.2022 to
31.12.2022
For the
period from
1.01.2021 to
31.12.2021
Net interest income
4
3,397,742
3,067,580
724,728
670,143
Net fee and commission income
5
1,079,235
1,002,050
230,198
218,908
Profit before tax
788,176
621,904
168,116
135,861
Profit after tax
370,892
184,526
79,110
40,312
Total comprehensive income
(183,401)
(667,068)
(39,119)
(145,728)
Statement of cash flows
For the
period from
1.01.2022 to
31.12.2022
For the
period from
1.01.2021 to
31.12.2021
For the
period from
1.01.2022 to
31.12.2022
For the
period from
1.01.2021 to
31.12.2021
Total net cash flows
7,974,387
1,666,345
1,700,912
364,029
Ratios
31.12.2022
31.12.2021
31.12.2022
31.12.2021
Number of shares (items)
46
147,593,150
147,518,782
147,593,150
147,518,782
Earnings per share
16
2.51
1.25
0.54
0.27
Statement of financial position
31.12.2022
31.12.2021
31.12.2022
31.12.2021
Total assets
146,108,498
126,361,260
31,153,862
27,473,423
Loans and advances to customers measured at
amortised cost
21
83,893,270
80,124,751
17,888,072
17,420,696
Loans and advances to customers measured at
fair value through profit or loss
22
949,298
1,219,027
202,413
265,040
Total liabilities
134,893,224
114,968,617
28,762,495
24,996,438
Amounts due to customers
33
120,429,051
101,823,600
25,678,384
22,138,453
Share capital
46
147,593
147,519
31,470
32,074
Total equity
11,215,274
11,392,643
2,391,367
2,476,985
Capital adequacy
31.12.2022
31.12.2021
31.12.2022
31.12.2021
Total own funds
14,874,946
15,528,874
3,171,698
3,376,283
Total risk exposure
91,512,357
87,410,438
19,512,646
19,004,748
Total capital ratio
16.25%
17.77%
16.25%
17.77%
Tier 1 capital ratio
11.80%
12.96%
11.80%
12.96%
For purposes of data conversion into EUR, the following exchange rates are used by the Bank:
For items of the statement of financial position, rates of the National Bank of Poland are applied:
- as at 31.12.2022 - EUR 1 = PLN 4.6899
- as at 31.12.2021 - EUR 1 = PLN 4.5994
For items of the statement of profit or loss and the statement of cash flows, the EUR exchange rate is calculated as
the arithmetic mean of the rates published by the National Bank of Poland as at the last day of each month in the period:
- for the period from 1.01.2022 to 31.12.2022 - EUR 1 = PLN 4.6883
- for the period from 1.01.2021 to 31.12.2021 - EUR 1 = PLN 4.5775
Calculation of earnings (loss) per share was described in Note 16.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
SEPARATE STATEMENT OF PROFIT OR LOSS
Note
12 months to
31.12.2022
12 months to
31.12.2021
Interest income
4
6,147,662
3,305,185
Interest income calculated with the use of effective interest rate
method
5,851,275
3,087,129
interest income on financial instruments measured at
amortised cost
5,527,158
2,896,476
interest income on financial instruments measured at fair
value through other comprehensive income
324,117
190,653
Income of a similar nature to interest on instruments measured
at fair value through profit or loss
296,387
218,056
Interest expense
4
(2,749,920)
(237,605)
Net interest income
3,397,742
3,067,580
Fee and commission income
5
1,353,291
1,245,346
Fee and commission expenses
5
(274,056)
(243,296)
Net fee and commission income
1,079,235
1,002,050
Dividend income
6
10,817
9,528
Net trading income (of which exchange result)
7
754,384
633,658
Result on investment activities
8
9,612
(8,741)
Result on hedge accounting
20
13,267
50,369
Result on derecognition of financial assets measured at amortized
cost due to significant modification
(2,159)
-
Net allowances on expected credit losses of financial assets and
provisions for contingent liabilities
9
(282,717)
(236,963)
Result on provisions for legal risk related to foreign currency
loans
54
(740,000)
(1,045,304)
General administrative expenses
10
(2,524,065)
(2,044,754)
Depreciation and amortization
12
(411,923)
(398,319)
Other operating income
13
160,392
196,945
Other operating expenses
14
(249,856)
(266,035)
Operating result
1,214,729
960,014
Tax on financial institutions
(426,553)
(338,110)
Profit before tax
788,176
621,904
Income tax expenses
15
(417,284)
(437,378)
Net profit
370,892
184,526
attributable to equity holders of the Group
370,892
184,526
Earnings (loss) per share (in PLN per one share)
Basic
16
2.51
1.25
Diluted
16
2.51
1.25
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
SEPARATE STATEMENT OF OTHER COMPREHENSIVE
INCOME
Note
12 months ended
31.12.2022
12 months ended
31.12.2021
Net profit for the period
370,892
184,526
Other comprehensive income
Items that may be reclassified subsequently to profit or
loss upon fulfilment of certain conditions
(553,251)
(854,322)
Measurement of financial assets measured at fair value through
other comprehensive income, gross
25
(599,039)
(969,416)
Deferred income tax on the valuation of gross financial assets
measured through other comprehensive income
37
113,817
184,189
Measurement of cash flow hedge accounting derivatives
20
(83,987)
(85,303)
Deferred income tax on valuation of gross derivatives hedging
cash flows
37
15,958
16,208
Items that will not be reclassified to profit or loss
(1,042)
2,728
Actuary valuation of employee benefits
3f
(1,287)
3,368
Deferred income tax on actuarial valuation of gross personnel
expenses
37
245
(640)
Other comprehensive income (net)
(554,293)
(851,594)
Total comprehensive income
(183,401)
(667,068)
attributable to equity holders of the Bank
(183,401)
(667,068)
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
SEPARATE STATEMENT OF FINANCIAL POSITION
ASSETS
Note
31.12.2022
31.12.2021
Cash and balances at Central Bank
17
2,718,242
4,631,410
Amounts due from banks
18
11,709,582
2,254,621
Derivative financial instruments
19
3,224,272
1,901,919
Differences from hedge accounting
20
33,025
65,465
Loans and advances to customers measured at amortised cost
21
83,893,270
80,124,751
Loans and advances to customers measured at fair value through profit or
loss
22
949,298
1,219,027
Securities measured at amortised cost
23
22,167,261
23,268,041
Securities measured at fair value through profit or loss
24
311,236
320,216
Securities measured at fair value through other comprehensive income
25
17,384,793
9,143,353
Investments in subsidiaries
26
93,119
122,033
Intangible assets
27
825,196
744,169
Property, plant and equipment
28
1,059,703
1,233,221
Deferred tax assets
822,122
719,650
Other assets
30
917,379
613,384
Total assets
146,108,498
126,361,260
LIABILITIES
Note
31.12.2022
31.12.2021
Amounts due to the Central Bank
31
8,713
-
Amounts due to other banks
32
1,805,219
2,621,155
Derivative financial instruments
19
3,147,855
1,918,032
Differences from hedge accounting
20
(451,646)
44,107
Amounts due to customers
33
120,429,051
101,823,600
Subordinated liabilities
34
4,416,887
4,334,572
Leasing liabilities
29
718,724
860,009
Other liabilities
35
2,371,804
1,504,486
Current tax liabilities
223,326
164,660
Provisions
36
2,223,291
1,697,996
Total liabilities
134,893,224
114,968,617
EQUITY
Note
31.12.2022
31.12.2021
Share capital
46
147,593
147,519
Supplementary capital
47
9,110,976
9,110,976
Other reserve capital
47
3,136,599
2,946,115
Revaluation reserve
47
(1,150,000)
(595,707)
Retained earnings
(29,894)
(216,260)
retained profit
(400,786)
(400,786)
net profit for the period
370,892
184,526
Total equity
11,215,274
11,392,643
Total liabilities and equity
146,108,498
126,361,260
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
Bank
zmieniającego się
świata
9
SEPARATE STATEMENT OF CHANGES IN EQUITY
Retained earnings
Share capital
Supplementary
capital
Other reserve
capital
Revaluation
reserve
Retained profit
Net profit for the
period
Total
Balance as at 1 January 2022
147,519
9,110,976
2,946,115
(595,707)
(400,786)
184,526
11,392,643
Total comprehensive income for the
period
-
-
-
(554,293)
-
370,892
(183,401)
Net profit for the period
-
-
-
-
-
370,892
370,892
Other comprehensive income for the period
-
-
-
(554,293)
-
-
(554,293)
Distribution of retained earnings
-
-
184,526
-
-
(184,526)
-
Distribution of retained earnings intended
for capital
-
-
184,526
-
-
(184,526)
-
Share issue
74
-
-
-
-
-
74
Management stock options*
-
-
5,958
-
-
-
5,958
Balance as at 31 December 2022
147,593
9,110,976
3,136,599
(1,150,000)
(400,786)
370,892
11,215,274
* the management stock option programme is described in detail in Note 39
Retained earnings
Share capital
Supplementary
capital
Other reserve
capital
Revaluation
reserve
Retained profit
Net profit for the
period
Share capital
Balance as at 1 January 2021
147,419
9,110,976
2,208,982
255,887
(400,786)
731,060
12,053,538
Total comprehensive income for the
period
-
-
-
(851,594)
-
184,526
(667,068)
Net profit for the period
-
-
-
-
-
184,526
184,526
Other comprehensive income for the period
-
-
-
(851,594)
-
-
(851,594)
Distribution of retained earnings
-
-
731,060
-
-
(731,060)
-
Distribution of retained earnings intended
for capital
-
-
731,060
-
-
(731,060)
-
Share issue
100
-
-
-
-
-
100
Management stock options*
-
-
6,073
-
-
-
6,073
Balance as at 31 December 2021
147,519
9,110,976
2,946,115
(595,707)
(400,786)
184,526
11,392,643
* the management stock option programme is described in detail in Note 39
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
SEPARATE STATEMENT OF CASH FLOWS
CASH FLOWS FROM OPERATING ACTIVITIES:
Note
12 months ended
31.12.2022
12 months ended
31.12.2021
Net profit (loss)
370,892
184,526
Adjustments for:
15,815,034
1,801,018
Income tax expenses
417,284
437,378
Depreciation and amortization
411,923
398,319
Dividend income
(10,817)
(9,528)
Interest income
(6,147,662)
(3,305,185)
Interest expense
2,749,920
237,605
Change in provisions
524,008
1,042,671
Change in amounts due from banks
51
437,452
(1,243,712)
Change in assets due to derivative financial instruments
(1,289,913)
96,026
Change in loans and advances to customers measured at amortised
cost
(3,450,235)
(9,778,564)
Change in loans and advances to customers measured at fair value
through profit or loss
269,729
320,821
Change in amounts due to banks
51
(810,125)
(291,168)
Change in liabilities due to derivative financial instruments
650,083
(187,031)
Change in amounts due to customers
51
18,316,478
10,366,786
Change in receivables due to current income tax
(332,749)
213,242
Change in other liabilities and provisions due to deferred tax
542,205
97,346
Other adjustments
51
110,742
188,499
Interest received
5,869,563
3,463,300
Interest paid
(2,441,755)
(244,516)
Leasing fees for short-term leases not included in the valuation of the
liability
(1,097)
(1,271)
Net cash flows from operating activities
16,185,926
1,985,544
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
CASH FLOWS FROM INVESTING ACTIVITIES:
Note
12 months ended
31.12.2022
12 months ended
31.12.2021
Inflows
73,377,035
87,470,941
Sale of debt securities
73,350,640
87,414,933
Sale of intangible assets and property, plant and equipment
15,578
46,480
Dividends received and other inflows from investing activities
10,817
9,528
Outflows
(81,472,262)
(87,679,842)
Purchase of shares in subsidiaries
(6,000)
(1,000)
Purchase of debt securities
(81,119,825)
(87,320,963)
Purchase of intangible assets and property, plant and equipment
(346,437)
(357,879)
Net cash flows from investing activities
(8,095,227)
(208,901)
CASH FLOWS FROM FINANCING ACTIVITIES:
Note
12 months ended
31.12.2022
12 months ended
31.12.2021
Inflows
15,374
16,224
Net inflows from issuance of shares and return of capital contributions
15,374
16,224
Outflows
(131,686)
(126,522)
Repayment of leasing liabilities
(131,686)
(126,522)
Net cash flows from financing activities
(116,312)
(110,298)
TOTAL NET CASH AND CASH EQUIVALENTS
7,974,387
1,666,345
Cash and cash equivalents at the beginning of the period
5,152,220
3,485,875
Cash and cash equivalents at the end of the period
13,126,607
5,152,220
Effect of exchange rate fluctuations on cash and cash equivalents
32,650
23,247
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
EXPLANATORY NOTES TO THE SEPARATE
FINANCIAL STATEMENTS
1. GENERAL INFORMATION ABOUT THE BANK
BNP Paribas Bank Polska S.A. (the “Bank” or “BNP Paribas”) is the parent company in the Capital Group of BNP Paribas Bank
Polska S.A. (the “Group”).
The registered office of BNP Paribas Bank Polska S.A. is located at Kasprzaka 2, 01-211 Warsaw, Poland. The Bank is registered
in Poland, by the District Court for the capital city of Warsaw, 12th Commercial Division of the National Court Register, under
number KRS 0000011571. The duration of the parent entity and the entities from the Capital Group is unlimited.
Since 27 May 2011, pursuant to the decision of the Management Board of Warsaw Stock Exchange (WSE), the Bank's shares
have been listed on WSE and classified as finance - banking sector.
As at 31 December 2022, the headcount of the Bank amounted to 8 361.60 FTEs, as compared to 8,504.37 FTEs as at 31
December 2021.
BNP Paribas is a universal commercial bank offering a wide range of banking services provided to individual and institutional
clients in accordance with the scope of services specified in the Bank's Statute. The Bank operates both in Polish zlotys and in
foreign currencies and actively participates in trading on domestic and foreign financial markets. In addition, through its
subsidiaries, the Bank conducts brokerage and leasing activities and provides other financial services.
The Bank operates mainly in Poland.
Composition of the Bank’s Management Board as of 31 December 2022:
FULL NAME
FUNCTION HELD IN THE MANAGEMENT BOARD OF THE BANK
Przemysław Gdański
President of the Management Board
Jean-Charles Aranda
Vice-President of the Management Board
André Boulanger
Vice-President of the Management Board
Przemysław Furlepa
Vice-President of the Management Board
Wojciech Kembłowski
Vice-President of the Management Board
Kazimierz Łabno
Vice-President of the Management Board
Magdalena Nowicka
Vice-President of the Management Board
Volodymyr Radin
Vice-President of the Management Board
Agnieszka Wolska
Vice-President of the Management Board
There were no changes in the composition of the Bank's Management Board in the period from 1 January to 31 December 2022.
.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Composition of the Bank’s Supervisory Board as of 31 December 2022:
FULL NAME
OFFICE HELD IN THE SUPERVISORY BOARD OF THE BANK
Lucyna Stańczak-Wuczyńska
Chairman of the Supervisory Board, Independent member
Jean-Paul Sabet
Vice-Chairman of the Supervisory Board
Francois Benaroya
Vice-Chairman of the Supervisory Board
Jarosław Bauc
Independent Member of the Supervisory Board
Małgorzata Chruściak
Independent Member of the Supervisory Board
Géraldine Conti
Member of the Supervisory Board
Stefaan Decraene
Member of the Supervisory Board
Magdalena Dziewguć
Independent Member of the Supervisory Board
Vincent Metz
Member of the Supervisory Board
Piotr Mietkowski
Member of the Supervisory Board
Khatleen Pauwels
Member of the Supervisory Board
Mariusz Warych
Independent Member of the Supervisory Board
Changes in the composition of the Supervisory Board in the period from 1 January to 31 December 2022:
• On 14 November 2022 Mr Stefaan Decraene resigned from the position of a Member of the Supervisory Board as of 31
December 2022.
Approval of the financial statements for publication
The present separate financial statements have been prepared as at 31 December 2022 and approved for publication by
2the Management Board of the Bank on 28 February 2023.
Consolidated financial statements of BNP Paribas Bank Polska S.A. Capital Group have been prepared as at 31 December 2022
and approved for publication by the Management Board of the Bank on 28 February 2023.
Data included in the above mentioned financial statements are presented for the financial year ended 31 December 2022 with
comparative data for the financial year ended 31 December 2021.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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2. ACCOUNTING PRINCIPLES APPLIED FOR THE
PURPOSE OF PREPARATION OF THE SEPARATE
FINANCIAL STATEMENTS
2.1. Basis for preparation of the separate financial statements
The present separate financial statements have been prepared on the historical cost basis, with the exception of derivative
contracts and financial instruments held for trading, financial assets not meeting the SPPI test, financial assets assigned to the
business model, which does not entail holding them to obtain contractual cash flows, equity instruments measured at fair value
through profit or loss, and except for financial instruments measured at fair value through other comprehensive income and equity
instruments for which the fair value option has been applied for other comprehensive income.
2.2. Going concern
The present separate financial statements have been prepared assuming that the Bank will continue as a going concern in
substantially the same scope, in the foreseeable future, i.e. within at least 12 months from the date of the reporting period end.
2.3. Statement of compliance with IFRS
The present separate financial statements have been prepared in accordance with International Financial Reporting Standards as
endorsed by the European Union (“IFRS EU”).
The present separate financial statements have been prepared in accordance with the requirements specified in International
Accounting Standards (“IAS”) and International Financial Reporting Standards endorsed by the European Union (“IFRS EU”), as
well as the related interpretations, except for the standards and interpretations listed below, which are awaiting endorsement by
the European Union or have already been endorsed by the European Union but entered or will enter into force after the end of the
reporting period.
In the period included in these separate financial statements, the Bank did not early apply standards and interpretations endorsed
by the EU, which will enter into force after the balance sheet date.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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New standards, interpretations and amendments to these standards that have already been issued
by the International Accounting Standards Board (IASB) but not yet approved by the European
Union
Standards /
Interpretations
Date of
issue/
publication
Date of
entry into
force in EU
Approved by
the EU
Description of changes
Amendments to
IAS 1, Presentation of
financial statements -
classification of
liabilities as short-
term and long-term
23.01.2020/
15.07.2020
01.01.2023
No
Amendments to IAS 1 affect the requirements for presenting
liabilities in the statement of financial position. In particular,
they explain the difference between classification of liabilities
as short-term or long-term ones – the classification shall be
based on the rights existing at the end of the reporting period.
The prospective approach will be applicable while introducing
these amendments.
The changes will not significantly affect the Bank’s financial
statements.
Amendments to IFRS
16: Leases - Lease
liability in transactions
such as Sale and
Leaseback
22.09.2022
01.01.2024
No
The amendments clarify how a seller-lessee measures sale
and leaseback transactions that meet the requirements of
IFRS 15 to be accounted for as sales.
The changes will not significantly affect the Bank’s financial
statements.
Changes to IAS 1
Presentation of
financial statements –
Long-term liabilities
with covenants
31.10.2022
01.01.2024
No
The changes are aimed at improving the information
provided by companies on long-term liabilities with
covenants.
The changes will not significantly affect the Bank’s financial
statements.
New standards, interpretations and amendments to the existing standards, that have been
issued by the International Accounting Standards Board (IASB), approved by the European
Union but not yet effective and have not been implemented by the Bank yet
Standards /
Interpretations
Date of
issue/
publication
Date of
entry into
force in EU
Date of
approval by
EU
Description of changes
IFRS 17 Insurance
contracts: First
application of IFRS 17
and IFRS 9 –
comparative data
09.12.2021
01.01.2023
9.09.2022
The amendments provide a transitional option for
comparative data on financial assets presented on initial
application of IFRS 17. The amendment is intended to help
entities avoid temporary accounting mismatches between
financial assets and insurance contract liabilities, thereby
improving the usefulness of comparative information for
users of financial statements.
The change will not significantly affect the Bank’s financial
statements.
Amendments to IAS
12 Deferred tax
related to assets and
liabilities arising from
a single transaction
07.05.2021
01.01.2023
12.08.2022
The amendments aim to clarify how companies should
account for deferred tax on leases and expired liabilities.
The change will not significantly affect the Bank’s financial
statements.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Amendments to IAS
8, Definition of
accounting estimates
12.02.2021
01.01.2023
02.03.2022
In the amendment to IAS 8 Definition of Accounting
Estimates, the definition of change in accounting estimates
was replaced by the definition of accounting estimates.
According to the new definition, accounting estimates are
monetary amounts in financial statements that are subject to
measurement uncertainty. The Board also clarified the new
definition through additional guidance and examples of how
accounting policies and accounting estimates are related and
how a change in valuation technique constitutes a change in
accounting estimate. The introduction of the definition of
accounting estimates and other amendments to IAS 8 were
intended to help entities distinguish between changes in
accounting policies and changes in accounting estimates.
The change will not significantly affect the Bank’s financial
statements.
Amendments to IAS 1
and IFRS 2 Practice
Statement on
Disclosure of
accounting policies
12.02.2021
01.01.2023
02.03.2022
The amendments to IAS 1 and IFRS 2 Practice Statement
are intended to help preparers decide which accounting
policies to disclose in their financial statements. The
amendments introduce the requirement to disclose
significant information concerning accounting policies
instead of significant accounting policies. Explanations and
examples have been added on how an entity can identify
relevant information on accounting policies. The
amendments clarify that accounting policy information may
be material by its nature even if the amounts are immaterial
and users of financial statements would need it to understand
other material information in the financial statements.
The changes will not significantly affect the Bank’s financial
statements.
IFRS 17 “Insurance
Contracts”,
amendments to IFRS
17
18.05.2017,
amendments
issued on
25.06.2020
amendments
published on
23.11.2021
01.01.2023
19.11.2021
IFRS 17 'Insurance Contracts' will replace the IFRS 4
'Insurance Contracts' standard, which allows insurance
contracts to continue to be accounted under the accounting
rules applicable in national standards and which
consequently implies a number of different solutions. IFRS
17 requires consistent recognition of all insurance contracts.
Liabilities arising from contracts will be recognised at present
values instead of historical cost. The standard is to be applied
based on a full retrospective approach (if inapplicable, an
entity should use the modified retrospective approach or the
fair value approach).
The amendments are intended to:
- reducing costs by simplifying certain requirements of the
standard;
- less complicated explanation of financial results; and
- facilitating the transition to the new standard by deferring
the effective date of the standard to 2023 and introducing
additional relief to facilitate the first-time implementation of
IFRS 17.
The changes will not significantly affect the Bank’s financial
statements.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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New standards, interpretations and amendments to the existing standards, that have been issued
by the International Accounting Standards Board (IASB), approved by the European Union but not
yet effective and have not been implemented by the Bank yet
Standards /
Interpretations
Date of
issue/
publication
Date of
entry into
force in EU
Date of
approval by
EU
Description of changes
Amendments to
IFRS 3 Business
combinations; IAS 16
Property, plant and
equipment; IAS 37
Provisions,
contingent liabilities
and contingent
assets; annual
improvements 2018-
2020
14.05.2021
1.01.2022
02.07.2021
Amendments to IFRS 3 "Business combinations" update the
reference to the Framework for Financial Reporting present in
IFRS 3 without changing the requirements for accounting for
business combinations.
Amendments to IAS 16 "Property, plant and equipment"
prohibit a company from deducting the amounts received from
the sale of items produced in the process of preparation of the
asset's to its intended use from the asset’s purchase price or
from the production cost of property, plant and equipment.
Instead, the company should recognise the sales revenue
and related costs in the statement of profit or loss.
Amendments to IAS 37 "Provisions, contingent liabilities and
contingent assets" determine which costs should be
considered when assessing whether the contract will result in
a loss.
Annual improvements introduce minor changes to IFRS 1
First-time adoption of IFRS, IFRS 9 Financial instruments,
IAS 41 Agriculture and the Illustrative Examples
accompanying IFRS 16 Leases.
The changes will not significantly affect the Bank’s financial
statements.
2.4. Recognition of transactions under common control
Business combinations under common control do not fall within the scope of IFRS regulations. In the absence of detailed IFRS
regulations in this regard, in line with the guidelines specified in IAS 8 Accounting Policies, Changes in Accounting Estimates and
Errors, BNP Paribas Bank Polska S.A. adopted an accounting policy generally applied to any business combinations under
common control within the Bank’s Group, whereby such transactions are recognised at their book value.
In accordance with the adopted accounting principles, the acquirer recognizes the assets, liabilities and equity of the acquiree at
their present book value adjusted only for purposes of harmonizing the accounting principles of the acquiree with those of the
acquirer. Goodwill and negative goodwill are not recognised.
The difference between the book value of the acquired net assets and the fair value of the payment is recognised in the Bank’s
equity. A method based on book values is used, and therefore the comparative data are not restated.
If the business combination under common control involves acquisition of minority interests, the Bank recognizes them separately.
2.5. Business combinations
For the need of settling business combinations in which the Bank acts as the acquirer, the acquisition method is applied, in
accordance with the requirements of IFRS 3 "Business combinations".
For each business combination, the acquiring entity and the acquisition date are determined, and the acquisition date is the date
on which the entity acquired control over the acquired entity. In addition, the application of the acquisition method requires the
recognition and measurement of identifiable assets and liabilities acquired, and any non-controlling interest in the acquired entity,
as well as the recognition and measurement of goodwill or bargain purchase gain. The acquiring entity measures the identifiable
assets and liabilities acquired at their fair values as at the acquisition date.
If the net amount of the fair values of identifiable acquired assets and liabilities exceeds the fair value of the consideration
transferred, the Bank, as the acquiring entity, recognizes the gain from the bargain purchase in the profit or loss. Before recognizing
the gain from a bargain purchase, the Bank reassess whether all acquired assets and liabilities have been correctly identified and
all additional assets and liabilities have been included.
If the value of the consideration transferred, measured at fair value as at the acquisition date, exceeds the net value of fair values
of identifiable acquired assets and liabilities as at the acquisition date, the goodwill is recognised. The established goodwill is not
subject to amortization, but at the end of each financial year and, whenever there are indications that impairment may have
occurred, it is tested in terms of their impairment.
In accordance with the requirements of IFRS 3, the Bank performs a final settlement of the acquisition within a maximum of one
year from the date of taking control.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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2.6. Changes in accounting policies and changes in presentation of
financial data
The Bank has not changed its accounting policies in the present separate financial statements.
2.7. Measurement of items denominated in foreign currencies
Functional and presentation currency
Items included in the financial statements are measured in the currency of the primary economic environment in which the Bank
operates ("functional currency"). The separate financial statements are presented in PLN thousands, which is the functional
currency of the Bank and the presentation currency of the Bank's financial statements.
Transactions and balances
Transactions expressed in foreign currencies are translated into the functional currency at the exchange rate applicable as at the
transaction date.
At the end of the reporting period, monetary assets and liabilities expressed in currencies other than Polish zloty are translated
into Polish zlotys using the average exchange rate for a given currency determined by the National Bank of Poland in force at the
end of the reporting period. Foreign exchange differences resulting from the translation are recognised as a net trading income or
in cases specified in the accounting principles (policy), capitalized in the value of assets. Non-monetary assets and liabilities
recognised at historical cost expressed in a foreign currency are disclosed at the historical exchange rate as at the transaction
date. Non-monetary assets and liabilities recognised at fair value expressed in a foreign currency are translated at the exchange
rate effective at the date of fair value measurement.
Basic currency rates used in the preparation of the present financial statements as at 31 December 2022 and 31 December 2021
are presented in the below table:
31.12.2022
31.12.2021
1 EUR
4.6899
4.5994
1 USD
4.4018
4.0600
1 GBP
5.2957
5.4846
1 CHF
4.7679
4.4484
2.8. Interest income and expenses
The profit or loss statement includes all interest income on financial instruments measured at amortised cost using the effective
interest rate, financial assets measured at fair value through other comprehensive income but also income with its characteristics
similar to interest income on financial assets and liabilities measured at fair value through profit or loss.
The effective interest rate is the rate used to estimate future payments or incomes throughout the expected life of financial assets
or financial liabilities, discounted to the gross balance sheet value of a financial asset or to the amortised cost of a financial liability.
The calculation of the effective interest rate includes all commissions paid and received by the parties, transaction costs and any
other premiums and discounts that are an integral part of the effective interest rate.
Interest income is calculated using the effective interest rate based on the balance sheet amount of financial assets except for
financial assets that are impaired due to credit risk or purchased or originated credit impaired financial assets ('POCI').. At the
moment of recognition of financial assets impairment (reclassification of a financial asset to Stage 3), interest income is accrued
on the net value of the financial asset and is recognised at the effective interest rate. In case of POCI, the Bank uses the credit
risk-adjusted effective interest rate to calculate interest income. Interest income is calculated based on net exposure (gross
exposure less impairment allowance).
2.9. Net fee and commission income
Fees and commissions, which are not accounted for using the effective interest rate method but in accordance with the straight-
line method or recognised on a one-off basis, are recognised in “Net fee and commission income”.
Income settled over time with straight-line method includes commissions on overdrafts, revolving loans and commitments
(guarantees and credit facilities).
Fees for the Bank's commitment to grant a loan or an advance (commissions from promises issued) are deferred and as soon as
financial assets are recognised they are accounted for as an element of the effective interest rate or on a straight-line basis.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Revenues from contracts with customers include both fees and commissions, which are settled over time using the straight-line
method (throughout the period of providing the service) as well as on a one-off basis. Revenues are presented as the amount of
the Bank’s remuneration specified in the contracts with customers and do not include amounts collected by the Bank on behalf of
third parties, which are then transferred to them (i.e., insurance premiums collected which the Bank transfers to insurance
companies). The Bank recognizes revenues when the performance obligation is met (or when it is being fulfilled) by transferring
the promised good or service (i.e. an asset) to the customer.
Loans and advances
In respect of loan agreements, the Bank generates, in particular, revenues for readiness to give the funding under the granted
credit limits, which are recognised in the statement of profit or loss on a straight-line basis over the period for which the limit was
granted. For contracts without a specified repayment schedule, in the case of revolving loans, fees for each instalment of a loan
tranche are recognised over the average expected repayment period. Under certain loan agreements, the Bank receives
commissions for readiness or commitment, the amount of which is calculated on the basis of loan balances at the specified moment
of the duration of the loan agreement. Despite the fact that they partially constitute remuneration for the provision of services, in
case of which the customers derive benefits in a continuous manner, due to significant uncertainty about the credit balance at a
specific point in the future, the Bank recognizes this type of income when the basis of its calculation is certain.
Debit and credit cards
Under debit card agreements with customers, the Bank recognizes revenues from various types of fees and commissions. In a
majority of cases, these are activities in which the Bank executes its obligation to provide services at a given moment of time, in
which the customer derives benefits from these services at once, the remuneration due is recognised by the Bank in revenues on
a one-off basis. An example may be the fee for issuing a card, for checking the account balance at an ATM, for withdrawing cash
at an ATM. In addition to one-off fees for banking operations, analogous to those described above for debit cards, the Bank receives
annual fees for the use of credit cards sold by the Bank together with separate services, including card insurance. The Bank
allocates remuneration to individual performance obligations and recognizes commissions throughout the service provision period.
Commitments to grant loans and advances
The Bank charges a commission for its readiness to grant a loan or advance, which constitutes a separate remuneration for
commissions received from the loans at the moment of their commissioning, such as preparation commissions. Despite the
provision of the service over time, the Bank recognizes the revenue on account of the commission at the moment of the decision
regarding the commissioning of the loan, because at the moment of collecting the provision it is not possible to estimate the period
by which the due remuneration should be spread.
Investment brokerage and asset management
The Bank acts as a broker in the sale of participation units of investment funds for BNP Paribas Towarzystwo Funduszy
Inwestycyjnych S.A. ("TFI"), and receives a part of the commission charged for sales from customers. The Bank recognizes
revenue monthly based on the sales volume for a given month. In addition, the Bank receives variable remuneration from TFI as
part of the commission for the management of assets created as a result of the sale of investment fund participation units, which
TFI collects from clients. The Bank's remuneration depends on the valuation of assets in the portfolio under management. The
Bank recognizes revenue at the end of the month based on its own estimates in the area of valuation of assets under management,
which do not imply a potential significant reversal of revenue when settling revenues from TFI.
Insurance brokerage
The Bank, acting as an agent in the sale of insurance for an insurance company, is entitled to receive remuneration in the form of
a commission and additional remuneration, which the Bank recognizes on a quarterly basis based on the periodic results of the
insurance sale volume in an amount that will not be subject to significant reversal in the future, in accordance with IFRS 15.
Recognition of bancassurance income and expenses
Direct relation of a bancassurance product and financial instrument occurs in particular if at least one of the following conditions is
met: the offered financial instrument is always accompanied by the bancassurance product, or the bancassurance product is
offered only accompanied by the financial instrument, i.e. the Bank does not offer any bancassurance products with identical legal
form, terms and economic contents without the accompanying financial instrument.
Recognition of bancassurance income for related transactions
For related transactions including bancassurance products and financial instruments, remuneration from sales
of the bancassurance products constitute an integral part of the fee for the offered financial instrument.
Fee for bancassurance products offered in related transactions with financial instruments measured at amortised cost is accounted
for using the effective interest rate method and recognised in interest income for one-off premium or in commission income on
a monthly basis for a monthly premium.
Fee for the brokerage services, whose value is determined based on their economic contents, is recognised in commission income
upon sale or renewal (if the renewal is significant) of a bancassurance product.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Recognition of bancassurance expenses for related transactions
Expenses directly related to the sale of bancassurance product are settled in accordance with the matching principle as an element
of amortised cost of a financial instrument if the total income related to the sale of the product is settled with the effective interest
rate method or, respectively, proportionally to the classification of the income as recognised within amortised cost calculation and
that recognised on a one-off basis or over time as the fee for the agency services, if such classification has been introduced.
Recognition of bancassurance income and expenses for transactions not classified as related
If a financial instrument and a bancassurance product are sold in two separate transactions, the Bank’s fee for the sale
of the bancassurance product is recognised separately from the fee for the financial instrument.
Fee for the sale of bancassurance products that do not require the Bank to provide any post-sale services is recognised as income
as at the effective/renewal date of the relevant insurance policy. The related income is recognised under commission income.
Fee for the services provided by the Bank over the whole life of a bancassurance product is deferred and recognised as income
based on the percentage of completion of the provided services. Application of the percentage of completion method as at
the balance sheet date is limited to cases when a result of a service transaction can be reliably estimated. If the Bank is unable to
precisely determine the number of activities performed within a given time range or a returns level, income from services or
activities performed in relation to a bancassurance product offered by the Bank is recognised on a straight-line basis over
the lifetime of the product, unless there is evidence that another method would be more representative of the stage of completion.
2.10. Dividend income
Dividend income is recognised in the statement of profit or loss once the Bank’s right to dividends has been determined.
2.11. Net trading income
Net trading income includes all income and expenses resulting from the change in the fair value of financial assets and liabilities
classified as measured at fair value through profit or loss, and interest income and interest expenses on derivatives, except
derivative instruments in hedge accounting.
The item includes also gains and losses on translation of assets and liabilities denominated in foreign currencies (revaluation).
2.12. Result on investment activities
The result on investment activities includes the income and expenses on financial assets classified as measured at fair value
through other comprehensive income and income and expenses on loans and advances to customers measured at fair value
through profit or loss, except for the interest.
2.13. Result from derecognition of financial assets measured at amortized
cost due to material modification
Derecognition of financial instruments measured at amortized cost applies to cases of material modification (for a description of
the identification and recognition of material modifications, see Section 2.17 Classification and Measurement of Financial Assets
and Liabilities, paragraph entitled "Modifications to Financial Assets").
2.14. Result from provisions for legal risk related to foreign currency loans
This item includes the result of provisions for legal risks related to foreign currency loans. For a description of the accounting policy
and provisioning methodology, see Note 54 Litigation and claims.
2.15. Other operating income and expenses
In item Other operating income and expenses the Bank presents items that are not directly related to the core operating activities
of the entity.
The Bank includes in abovementioned item mainly: result on sale and liquidation of fixed assets, revaluation of investment property,
compensations received and paid, revenue and expenses arising from other services not related to the core business of the Bank.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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2.16. Income tax expense
Charge on gross financial profit/loss includes current tax payable and debit/credit arising from a value of change of the deferred
tax asset/liability.
Current tax liabilities and receivables for the current and prior periods are measured at projected amounts payable to tax authorities
(reimbursable) using tax rates and regulations valid in law or in fact as at the end of the reporting period.
2.17. Classification and measurement of financial assets and liabilities
Classification and measurement of financial assets
In accordance with IFRS 9, financial assets are qualified to the following categories of measurement at the moment of their initial
recognition:
- financial assets measured at amortised cost,
- financial assets measured at fair value through other comprehensive income,
- financial assets measured at fair value through profit or loss.
The classification of financial assets in accordance with IFRS 9 depends on:
- business model relating to financial asset management, and
- the characteristics of contractual cash flows, i.e., whether contractual cash flows represent solely payments of principal and
interest ("SPPI").
Irrespective of the above, there is an irrevocable option at the moment of initial recognition of the financial asset to classify it as
measured at fair value through profit or loss (if there was no such possibility, the asset would be classified as measured at amortised
cost or at fair value through other comprehensive income), if such approach leads to the more relevant information eliminating or
significantly reducing the inconsistency in the measurement or recognition of assets or liabilities or related gains and losses. The
Bank did not designate any financial assets to be measured at fair value through profit or loss at the moment of their initial
recognition.
Investments in equity instruments are measured at fair value through profit or loss. At initial recognition, an irrevocable option to
recognize them in other comprehensive income may be made regarding the recognition of subsequent changes in the fair value
of an investment in an equity instrument that is not held for trading or a contingent consideration recognised by the Bank as a
business combination in accordance with IFRS 3. If the option to measure the instrument at fair value through other comprehensive
income is exercised, only dividends resulting from this investment are recognised in the statement of profit or loss. Profit or loss
resulting from the measurement in other comprehensive income are not reclassified to the statement of profit or loss.
In the case of equity investments, the Bank did not use the option of fair value measurement through other comprehensive income.
Business models
The Bank classifies its financial assets to three business models, taking into account the purpose of maintaining a financial
instrument:
Model 1: Receiving contractual cash flows.
Under Model 1, the main business goal is to collect contractual cash flows from the acquired or originated financial assets.
Model 2: Receiving contractual cash flows and sale of financial assets.
Under Model 2, both receiving contractual cash flows and sale of the acquired or originated financial assets are integral elements
of the portfolio's business objective.
Model 3: Other financial assets not classified to Model 1 nor Model 2
In a situation when specific groups of financial assets were not acquired or originated under Model 1 and Model 2, they should be
classified as Model 3. Most often, Model 3 refers to a strategy that assumes the realization of cash flows from the sale of financial
assets or portfolios that are managed based on their fair value.
Assets acquired or originated with impairment identified (POCI assets)
In addition, the Bank distinguishes categories of assets acquired or granted with credit impairment. POCI assets are financial
assets measured at amortised cost, which are impaired at the moment of initial recognition. At the moment of initial recognition,
POCI assets are recognised at their fair value. After initial recognition, POCI assets are measured at amortised cost using the
effective interest rate adjusted for credit risk to determine the amortised cost of the financial asset component and interest income
generated by these assets - the CEIR rate. In the case of POCI exposures, the change in expected credit losses - over the entire
lifetime - compared to those estimated at the date of their initial recognition is recognised in statement of profit or loss. Financial
assets that were classified as POCI at the moment of initial recognition should be treated as POCI in every subsequent period until
they are derecognised from the Bank’s statement of financial position.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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SPPI test
For the purpose of classification and subsequent measurement of financial assets, the Bank verifies whether the cash flows from
a given instrument constitute solely the payment of principal and interest calculated on the principal.
For the needs of the assessment of cash flow characteristics, the principal is defined as the fair value of the financial asset at the
moment of initial recognition. Interests are defined as the reflection of the time value of money and credit risk related to the unpaid
part of the principal and other risks and costs associated with the standard loan agreement (e.g. liquidity risk or administrative
costs) and margin.
When assessing whether contractual cash flows constitute solely repayments of the principal and interest, the Bank analyses the
cash flows of the instrument resulting from the contract, i.e. whether the contract contains any provisions that could change the
date of contractual payments or their amount in such a way that, in economic terms, they will not constitute solely repayments of
the principal and interest on the unpaid principal part.
A financial asset is measured at amortised cost if both of the following conditions are met:
• an asset is held by the Bank in accordance with the business model whose purpose is to maintain assets to collect contractual
cash flows,
• contractual terms of the financial asset represent contractual cash flows that are solely payment of principal and interest.
A financial asset is measured at fair value through other comprehensive income if both of the following conditions are met:
• an asset is held by the Bank in accordance with the business model, which aims to both receive contractual cash flows and sell
assets,
• the contractual terms of the financial asset represent contractual cash flows that are solely payment of principal and interest.
Other financial assets are measured at fair value through profit or loss.
Modification of financial assets
If the terms of a financial asset agreement change, the Bank assesses whether the cash flows generated by the modified asset
differ significantly from those generated by this asset before the terms of its agreement are modified. If a significant difference is
identified, the original financial asset is derecognised from the statement of financial position, and the modified financial asset is
recognised as a "new" financial asset, which is recognised in its fair value and the new effective interest rate applied to the new
asset is calculated. Income or expenses arising as of the date of determination of the effects of a material modification are
recognized in the income statement under Result from derecognition of financial assets measured at amortized cost due to a
material modification.
If the cash flows generated by the modified asset do not differ significantly from the original cash flows, the modification does not
result in derecognition of the financial asset from the statement of financial position. In such case, the Bank performs recalculation
of the gross book value of the financial asset using modified contractual cashflows discounted using original effective interest rate,
and the result arising from the immaterial modification is recognized in interest income.
The assessment of whether a given modification of financial assets is significant depends on the fulfilment of qualitative and
quantitative criteria.
If there is evidence that the modified financial asset is initially impaired due to credit risk, it is necessary to calculate the effective
interest rate adjusted for the credit risk of that financial asset.
Impairment of financial assets
The requirements of IFRS 9 relating to impairment are based on the model of expected credit loss.
The Bank applies a three-step approach to the measurement of expected credit losses from financial instruments measured at
amortised cost or at fair value through other comprehensive income, for which no impairment loss was recognised as at the
moment of initial recognition. As a result of changes in the credit quality since the initial recognition, financial assets are transferred
between the following three stages:
i) Stage 1: An allowance due to expected credit losses in 12-month horizon
If credit risk did not increase significantly from the date of the initial recognition, and the impairment of the loan was not identified
from the moment of its granting, the Bank recognizes an allowance for the expected credit loss related to the probability of default
within the next 12 months. Interest income on such assets is recognised based on the balance sheet amount (amortised cost
before the adjustment for impairment allowance) using the effective interest rate.
ii) Stage 2: An allowance due to expected credit losses for the entire lifetime – significant increase in the credit risk since the
moment of initial recognition and no impairment of a financial asset identified.
In the case of an exposure for which credit risk has increased significantly since the moment of its initial recognition, but no
impairment of the financial asset was identified, an impairment allowance is created for the expected credit loss for the entire
financing period. Interest income on such assets is recognised based on the gross balance sheet amount (amortised cost before
the adjustment for impairment allowance) using the effective interest rate.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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iii) Stage 3: An allowance due to expected credit losses for the entire lifetime – impairment of a financial asset
Financial assets are subject to impairment due to the credit risk resulting from an event or events that occurred after the initial
recognition of a given asset. For financial assets, for which an impairment was identified, an allowance is created for the expected
credit loss for the entire financing period, while interest income is recognised based on the net balance sheet value (including the
impairment allowance) using the effective interest rate.
At each balance sheet date, the Bank assesses whether there has been a significant increase in credit risk for financial assets
since the moment of their initial recognition, by comparing the risk of loan default during the expected financing period as at the
balance sheet date and the initial recognition date, using, among others, the internal credit risk assessment system, external credit
ratings, information on delay in repayments and information from internal credit risk monitoring systems, such as warning letters
and information about restructuring.
The Bank assesses whether the credit risk has increased significantly on the basis of individual and group assessment. In order
to perform an impairment calculation on a group basis, financial assets are divided into homogeneous product groups based on
common credit risk characteristics, taking into account the type of instrument, credit risk rating, initial recognition date, remaining
maturity, industry branch, geographical location of the borrower and other relevant factors.
The value of expected credit loss is measured as the current value of all cash flow shortages in the expected life of a financial
asset weighted with probability, and discounted using the effective interest rate. The shortfall in cash flows is the difference between
all contractual cash flows due to the Bank and all cash flows that the Bank expects to collect. The value of the expected credit loss
is recognised in the statement of profit or loss in the result on allowances related to the expected credit losses on financial assets
and provisions for contingent liabilities.
The Bank takes into account historical data on credit losses and adjusts them to current observable data. In addition, the Bank
uses reasonable and justified forecasts of the future economic situation, including its own judgment based on experience, with the
purpose of estimating the expected credit losses. IFRS 9 introduces an application of macroeconomic factors to the calculation of
expected credit losses on financial assets. These factors include: unemployment rate, interest rates, gross domestic product,
inflation, commercial property prices, exchange rates, stock indices, and wage rates. IFRS 9 also requires an assessment of both
the current and the forecasted direction of the economic cycles. The inclusion of forecast information in the calculation of expected
credit losses on financial assets increases the level of judgement to what extent these macroeconomic factors will affect the
expected credit losses. The methodology and assumptions, including all forecasts of the future economic situation, are regularly
monitored.
If in the subsequent period the allowance for expected credit losses decreases, and the decrease can be objectively related to an
event occurring after the impairment was recognised, then the previously recognised impairment allowance is reversed by adjusting
the allowance for expected credit losses. The amount of the reversed impairment allowance is recognised in the statement of profit
or loss.
For debt instruments measured at fair value through other comprehensive income, the measurement of the expected credit loss
is based on a three-step approach, as in the case of financial assets measured at amortised cost. The Bank recognizes the amount
of the expected credit losses in the statement of profit or loss, including the corresponding value recognised in other comprehensive
income, without reducing the balance sheet amount of assets (i.e. their fair value) in the statement of financial position.
Classification and measurement of financial liabilities
Financial liabilities as at the date of their acquisition or establishment are classified into the following categories:
• financial liabilities measured at fair value through profit or loss,
• other financial liabilities (measured at amortised cost).
Financial instruments – other than liabilities measured at fair value through profit or loss – are measured after initial recognition at
amortised cost using the effective interest rate. If a cash flow schedule cannot be determined for a given financial liability and
therefore the effective interest rate cannot be reliably estimated, such liability is measured at amount due.
Compensation
Financial assets and liabilities are compensated and presented in the statement of financial position at net amount, if a valid and
exercisable netting-off right occurs and the Bank intends to settle a financial asset and a financial liability net or simultaneously
settle the amount due.
Securitization
In December 2017, the Bank performed a securitization transaction on the portfolio of cash and car loans of BGZ Poland ABS1
DAC (SPV) subsidiary. The transaction is a traditional and revolving securitization, involving the transfer of ownership of securitized
receivables to SPV.
The company issued, based on securitized assets, bonds secured by a registered pledge on the assets of SPV.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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The Bank performed a comprehensive analysis of the transaction, considering that in the light of the provisions of IFRS 9, the
contractual terms of the securitization do not fulfil the conditions for derecognition of the securitized assets. As at the date of the
transaction, the Bank received the initial remuneration from the SPV irrevocably, corresponding to the total nominal value of the
securitized loan portfolio. The transaction uses the mechanism of deferred remuneration payable to the Bank by SPV. Deferred
remuneration corresponds to the SPV result after settling the financing costs and operating costs. Due to the applied deferred
remuneration mechanism, the Bank retains substantially all the risks and rewards associated with the transferred loans.
The deferred remuneration of the Bank, as expected, will be absorbing the entire volatility of cash flows from the portfolios of
securitized loans. The Bank bears this volatility risk as the payment of the deferred remuneration by SPV to the Bank is entirely
subordinated to the SPV's liabilities towards investors in respect of financing.
Accordingly, the Bank recognizes a liability for the securitization flows, which is measured at an effective interest rate calculated
based on the SPV's future payments on its obligations under the bonds issued. The securitization transaction is described in Note
44 Securitization.
Repo and sell buy back transactions
Securities sold under repo and sell buy back transactions are not excluded from the statement of financial position. Liabilities to
counterparties are recognised as financial liabilities under "Liabilities arising from securities sold under repo and sell buy back
transactions". Securities purchased under reverse repo and buy sell back transactions are recognised under “Receivables arising
from securities purchased under reverse repo and buy sell back transactions”. The difference between the sale and repurchase
price is treated as interest and calculated using the effective interest method over the agreement term.
Investments in subsidiaries and associates
Investments in subsidiaries and associates are measured at the acquisition price in the Bank's separate financial statements,
taking into account impairment losses in accordance with IAS 36. Impairment of shares and interests and losses incurred in
connection therewith occur when there are objective triggers of impairment due to events that occurred after the initial recognition
of the shares and when these events affect the estimable future cash flows of the shares. Impairment testing involves comparing
the carrying value of the shares with the recoverable amount.
Principles for recognition and derecognition of financial assets and liabilities from the statement of financial position
The Bank recognizes a financial asset or liability when it becomes a party to the contract of such an instrument. Standardized
purchase and sale transactions of financial assets are recognised at the date of the transaction, which is the date when the Bank
is required to purchase or sell a given financial asset. Standardized transactions for the purchase or sale of financial assets are
transactions whose contractual terms require the delivery of an asset in the period resulting from the applicable regulations or
conventions adopted on a given market. Standardized purchase or sale transactions refer in particular to FX spot FX transactions,
the spot leg in FX swap transactions and securities purchase and sale transactions, where, normally, two business days pass
between the transaction date and the settlement date, except for repo transactions.
The Bank derecognizes a financial asset when :
− contractual rights to cash flows from a financial asset expire, or
− the Bank transfers contractual rights to receive cash flows from a financial asset.
Transfer takes place:
− in a transaction in which the Bank transfers substantially all risk and all benefits associated with the financial asset component,
or:
− when the Bank keeps contractual rights to receive cash flows from a financial asset, but takes contractual obligation to transfer
cash flows from a financial asset to the entity outside the Bank.
2.18. Fixed assets held for sale
Fixed assets (or held for sale groups) classified as held for sale are measured at the lower of the following values: carrying amount
or fair value less costs to sell.
Fixed assets and groups of assets are classified as held for sale, if their balance sheet amount will be recovered as a result of the
sale. This condition is regarded as met only when the sale is highly probable and the asset is available for immediate sale in its
present condition. The classification as an asset held for sale assumes that the Bank’s Management intends to complete the sale
within one year from the date of reclassification.
A discontinued operation is a component of the Bank that either has been disposed of, or is classified as held for sale, and (a)
represents a separate major line of business or geographical area of operations, (b) is part of a single coordinated plan to dispose
of a separate major line of business or geographical area of operations or (c) is a subsidiary acquired exclusively with a view to
reselling.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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2.19. Investment properties
Investment properties include properties treated as a source of revenue from lease and/or maintained due to a potential value
increase.
Investment property is recognised in assets when and only when:
- obtaining economic benefits from this property is probable, and
- its cost of acquisition or development can be reliably measured.
Upon initial recognition, investment properties are measured at the acquisition price including transaction costs.
The Bank adopted the principles of measuring investment properties at fair value as at subsequent balance sheet dates.
Gains resulting from changes in fair value of investment property are recognised in the statement of profit or loss as other operating
income in the period in which the change has occurred, while losses are charged to other operating expenses in the period in
which the change has occurred.
2.20. Intangible assets
Intangible assets acquired in a separate transaction are initially measured at acquisition or development cost.
The Bank determines whether the useful life of intangible assets is defined or indefinite. Intangible assets with defined useful life
are amortised over their useful life and tested for impairment each time when an impairment trigger occurs, at least once a year.
The period and method of amortization for intangible assets with defined useful life are verified at the end of each financial year.
Changes in the expected useful life or the manner of consuming economic benefits arising from a given asset are recognised
through a change in the amortization period or method, respectively, and treated as changes in estimates. Amortization charges
on intangible assets with a defined useful life are recognised in the statement of profit or loss under “Amortization”.
An intangible asset created as a result of development works (or completion of the development stage of an internally conducted
project) shall be recognized if and only if the Bank can prove:
1) the possibility of completing the intangible asset so that it is suitable for use or sale from a technical point of view;
2) the intention to complete the intangible asset and to use or sell it;
3) the ability to use or sell the intangible asset;
4) the method of how the intangible asset will generate probable future economic benefits; among other things, the Bank can prove
the existence of the market for the given products generated by the intangible asset or for the intangible asset itself or, if the
intangible asset is to be used by the Bank, the utility of the intangible asset;
5) the availability of adequate technical, financial and other resources to complete the development and use or sell the intangible
asset;
6) the ability to reliably determine the expenditures incurred during the development work attributable to the intangible asset.
Intangible assets with indefinite useful life and those not used, are annually tested for impairment individually or on the level of
cash generating unit. Standard intangible assets (with defined useful life and those that are used) are subject to annual impairment
tests.
Purchased software licenses are capitalized in the amount of costs incurred for the purchase of a given software and its adaptation
for use. Capitalized costs are amortised over an estimated useful life of the software. Expenses related to the maintenance of
computer programs are charged to expense in the period to which they relate.
Amortization of intangible assets is calculated using the straight-line method in order to spread out the initial asset value or its
amount revalued over the useful life, different for each intangible asset group:
licenses
12.5 – 50.0%
copyrights
20.0 – 50.0%
The useful lives of intangible assets are verified annually at the minimum, and adjusted if necessary.
Amortised intangible assets are tested for impairment in each case when events or circumstances indicate that their balance sheet
amount may be irrecoverable. In such cases, the balance sheet amount is immediately reduced to the recoverable amount if the
former exceeds the estimated level of the latter. The recoverable amount is equal to the fair value less the sell costs or the value
in use, whichever is higher.
2.21. Property, plant and equipment
Property, plant and equipment are recognised at the acquisition price or development costs less depreciation charges and
impairment allowance. The initial amount of fixed assets includes their acquisition price increased by all costs directly related to
their purchase and adaptation for use. Costs incurred after the date the fixed asset is transferred for utilization, such as costs
of maintenance and repair, are charged to profit or loss when incurred.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Upon acquisition, property, plant and equipment items are divided into components of material value to which separate useful life
may be assigned. Costs of overhauls are also a component.
Land is not depreciated. Depreciation of other fixed assets is calculated using the straight-line method in order to spread out
the initial asset value or its revalued amount less residual value over the useful life, different for each asset group:
buildings and leasehold improvements
2.5 – 20.0%
machines and equipment
10.0 – 20.0%
computer sets
20.0%
The residual value and useful lives of property, plant and equipment are verified annually at the minimum, and adjusted if
necessary.
Depreciated property, plant and equipment are tested for impairment at least annually, in each case when events or circumstances
indicate that their balance sheet amount may be irrecoverable. In such cases, the balance sheet amount is immediately reduced
to the recoverable amount if the former exceeds the estimated level of the latter. The recoverable amount is equal to the fair value
less costs to sell or the value in use, whichever is higher.
If the recoverable amount is lower than the current balance sheet amount of an asset, an impairment allowance is charged to the
statement of profit or loss.
Gain or loss from disposal of property, plant and equipment is determined by comparison of sales proceeds with their balance
sheet amount and recognised in the statement of profit or loss in other operating income or expenses.
2.22. Hedge accounting
The Bank selected the accounting policy in the area of hedge accounting and decided to continue applying the hedge accounting
principles in accordance with IAS 39 "Financial Instruments: Recognition and Measurement" until the end of works of the
International Reporting Standards Board on the guidelines for macro hedge accounting (Macro hedging).
Hedge accounting recognizes the compensation effects of changes in the fair value measurement of hedging and hedged items
affecting the statement of profit or loss. Pursuant to the adopted hedge accounting principles, the Bank designates certain
derivatives as hedges of fair value and future cash flows of certain assets, provided the criteria determined in IAS 39 are met.
Hedge accounting is used to account for hedging relationships if all of the following conditions are met:
• at the inception of the hedge there is a formal designation and documentation of the hedging relationship and the Bank’s risk
management objective and strategy for undertaking the hedge. The documentation includes identification of the hedging
instrument, the hedged item, the nature of the risk being hedged and how the Bank will assess the hedging instrument’s
effectiveness in offsetting the exposure to changes in the hedged item’s fair value or cash flows attributable to the hedged
risk;
• the hedge is expected to be highly effective in offsetting changes in fair value or cash flows attributable to the hedged risk,
consistently with the originally documented risk management strategy for that particular hedging relationship;
• for cash flow hedges, a forecast transaction that will be hedged must be highly probable and must present an exposure to
variations in cash flows that could ultimately affect profit or loss;
• the effectiveness of the hedge can be reliably measured, i.e. the fair value or cash flows of the hedged item that are
attributable to the hedged risk and the fair value of the hedging instrument can be reliably measured;
• the hedge is assessed on an ongoing basis and determined actually to have been highly effective throughout the financial
reporting periods for which the hedge was designated.
Fair value hedge
Changes in the fair value measurement of financial instruments designated as hedged items are charged to the statement of profit
or loss in the portion arising from the risk subject to hedge. The remaining portion of the change in the balance sheet amount is
booked in accordance with general principles applicable to the particular class of financial instruments.
Change in the fair value measurement of financial instruments designated as hedged items is presented in the statement of
financial position as Differences from hedge accounting in assets or liabilities.
Changes in the fair value measurement of derivatives designated as hedging instruments under hedge accounting are entirely
recognised in the statement of profit or loss under the same item as results of changes in the value of the hedged items, i.e. in the
Result on hedge accounting.
Cash flow hedge
The effective part of changes in the fair value of derivative instruments designated and qualified as cash flow hedges is recognised
in other comprehensive income. The profit or loss relating to the ineffective part is presented in the statement of profit or loss for
the current period.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Amounts recognised in other comprehensive income are included in revenues or costs of the same period in which the hedged
item will affect the statement of profit or loss.
If the hedging instrument expired or was sold, or when the hedge no longer meets the hedge accounting criteria, any accumulated
profits or losses recognized at this moment in other comprehensive income remain in other comprehensive income until the
forecast transaction is recognised in the statement of profit or loss. If the forecasted transaction is no longer considered probable,
total gains and losses recognised in other comprehensive income are immediately transferred to the statement of profit or loss.
2.23. Provisions
Provisions are created when the Bank is subject to an obligation (legal or constructive) resulting from past events and it is probable
that the fulfilment of such obligation will create a liability and where a reliable estimate of the amount of that liability can be made.
If the Bank expects reimbursement of the expenditure required to settle the provision (for example, through insurance contracts),
the reimbursement is recognised as a separate asset, but only when it is virtually certain that reimbursement will be received. The
costs relating to the provision are recognised in the statement of profit or loss less any reimbursement amount. If the impact of
time value of money is material, the provision is determined by discounting projected future cash flows to the present value with a
gross discount rate that reflects current market assessment of time value of money and a possible risk pertaining to a liability. An
increase in provision over time is recognised as interest expense.
A provision for restructuring costs is recognised when general provision recognition criteria are met, as well as detailed ones
regarding the occurrence of an obligation to recognize a provision for restructuring costs determined in IAS 37. In particular, the
constructive obligation to perform a restructuring procedure occurs only when the Bank has a detailed, formal restructuring plan
and has raised justified expectations of parties involved in the plan that the restructuring would be performed in the form of initiating
its implementation or announcing its key elements to these parties.
A detailed restructuring plan determines at least the operations involved or their part, the key locations to be included, the place of
employment, positions and approximate number of employees to be compensated in exchange for termination of their employment,
the amount of outlays to be incurred and the plan implementation deadline.
A restructuring provision includes only direct outlays arising from the restructuring, which:
a) are an indispensable effect of the restructuring procedure and
b) at the same time are not related to current operations of the entity.
The restructuring provision does not cover costs such as:
a) training of remaining employees or reassignment of employees;
b) marketing; or:
c) investment in new distribution systems and networks.
Restructuring provision does not include future operating expenses.
2.24. Leases
Bank as a lessee
On the commencement date of the lease, the Bank recognizes the lease liability (liability to make lease payments) and the asset
that constitutes the right to use the subject of the lease for the duration of the leasing contract (right to use an asset).
In determining the lease term, the Bank considers all relevant facts and events creating economic incentives to exercise the option
to renew or not to exercise an option to terminate. The Bank reassesses the length of the lease term in case of a significant event
or a significant change in circumstances that affects the assessment made previous
For contracts with indefinite duration relating to the Bank's branch offices, the Bank has adopted a lease term consistent with the
period of depreciation of the unamortised investments made in these properties at the date of implementation of the standard, or
in the absence of such investments, a 3-year period, taking into account the significant costs associated with changing the location
of the branches during their operation.
The Bank applies the exemptions provided for in IFRS 16 and does not recognize the asset components due to the right of use in
the case of short-term leases and leases covering components of low-value assets. Short-term leases are defined as leases with
a period of no longer than 12 months as at the beginning date (including periods for which the lease can be extended, if it can be
assumed with reasonable assurance that the lessee will exercise that right) and do not include a call option. Low-value assets are
those which have a value of no more than EUR 5.000.
On the commencement date, the lessee measures the lease liability based on the current value of lease payments remaining to
be paid as at that date. Lease payments are discounted using the interest rate of the lease, if such a rate can be easily determined.
Otherwise, the lessee applies the marginal interest rate of the lessee. The lessee's marginal interest rate is the interest rate that
the lessee would have to pay to borrow the funds necessary to purchase a right-of-use asset of similar value for a similar term and
with similar collateral in a similar economic environment. The Bank determines the marginal interest rate for all contract types on
the basis of the average funding rate in the currency concerned.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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The following elements are included in the measurement of leasing liabilities:
fixed payments, less any lease incentives receivable,
variable lease payments that depend on an index or a rate,
amounts expected to be payable by the lessee under residual value guarantees,
the exercise price of a purchase option if the lessee is reasonably certain to exercise that option,
payments of penalties for terminating the lease, if the lease term reflects the lessee exercising an option to terminate the lease.
Floating fees, which do not depend on the index or rate and do not have a certain minimum level, are not included in the value of
the lease liability. These fees are recognised in the statement of profit or loss in the period when the event that causes their maturity
occurred.
On the commencement date, the lessee measures an asset due to the right to use at its cost. The cost of an asset due to the right
of use should include:
the initial value of the lease liability,
leasing payments made at the time or before the conclusion of the contract less any incentives received,
all initial costs incurred by the lessee, and
estimated costs of dismantling and removing the underlying asset, that must be incurred by the Bank in connection with the
asset included in the agreement in order to restore the place in which the asset is located or the asset itself to the conditions
required under the leasing contract.
After the initial recognition, the right of use is reduced by depreciation and total impairment losses and adjusted in connection with
the revaluation of the lease liability due to changes in the lease, which do not require the recognition of a separate lease component.
Assets with to the right of use are amortised on a straight-line basis over the shorter of two periods: the leasing period or the useful
life of the underlying asset, unless the Bank has sufficient certainty that it will obtain ownership before the end of the leasing period
- then the right to use is depreciated from the day of commencement until the end of the asset's useful life.
Bank as a lessor
Lease contracts under which substantially all of the risks and gains incidental to the ownership of the asset are transferred to the
lessee are classified as financial lease agreements. In the statement of financial position the value of receivables in the amount
equal to the net investment in the lease is recognised. The recognition of revenues from financial leasing contracts is performed
in a manner reflecting the constant periodic rate of return on the net investment in the lease made by the Bank under finance lease.
The Bank does not offer operating lease products, i.e. such products in which all risks and rewards incidental to ownership of the
assets are transferred to the lessee.
2.25. Financial guarantees
On initial recognition, a financial guarantee contract is measured at fair value.
Financial guarantees after initial recognition are measured at the higher value of:
the amount of the impairment loss determined in accordance with the principles applicable to impairment losses for assets
measured at amortised cost in accordance with IFRS 9,
the amount initially recognised less the cumulative income recognised in accordance with the principles of IFRS 15.
For loan commitments and financial guarantee contracts, the date on which the Bank becomes a party to the irrevocable
commitment is considered as the date of initial recognition for the purpose of applying the impairment requirements.
2.26. Employee benefits
The Bank creates a provision for future liabilities due to retirement, disability and post-mortem benefits, unused annual holiday,
restructuring of employment and for incentive and retention programs. Provisions for retirement, disability and post-mortem benefits
are created using the actuarial method, as described in Note 3f and 11 hereof.
Employees of the Bank are entitled to the following benefits:
Retirement, disability and post-mortem benefits
Retirement benefits classified as post-employment defined benefit plans are available upon retirement for pensioners or disability
pensioners. The term of employment includes all previously completed periods of employment based on an employment contract.
Liabilities due to unused annual holiday
Provisions for unused holiday leave are calculated as the product of the daily basic salary and the number of outstanding leave
days as at the end of the reporting period, including surcharges for Social Insurance Institution (ZUS) benefits. Provisions for
the unused holiday leave are presented in the separate financial statements under “Other liabilities”.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Benefits arising from the variable remuneration program
On 9 December 2021, the Supervisory Board of BNP Paribas Bank Polska S.A. approved an amended Remuneration Policy for
persons with a material impact on the risk profile of BNP Paribas Bank Polska S.A. (hereinafter: the Policy). The changes were
related, among others, to the need to adjust the Policy to the provisions of the Regulation of the Minister of Finance, Funds and
Regional Policy of 8 June 2021 on the risk management system and internal control system and remuneration policy in banks.
Performance evaluation of individuals included in the program underlies the calculation of the variable remuneration Policy.
Under the current remuneration scheme, the variable remuneration is divided into:
- a non-deferred and deferred part and a part granted in the form of a financial instrument, which is the Bank's shares (settled in
accordance with IFRS 2)
- a remaining deferred part granted in cash (settled in accordance with IAS 19 "Employee benefits").
The right to variable remuneration in the form of Bank shares is granted by issuing subscription warrants in a number corresponding
to the number of shares granted, one warrant entitles to acquire one share. Payment of the variable remuneration expressed in
the form of Bank shares, i.e. acquisition of Bank shares through exercise of rights from subscription warrants, takes place after the
expiry of the retention period.
The retention period is at least 5 years for Senior Management and a minimum of 4 years and a maximum of 5 years for staff other
than Senior Management. A maximum deferral period of 5 years is applied when Variable Remuneration is assigned in the amount
exceeding an amount considered as a particularly high amount. The deferred part of the variable remuneration is divided into equal
parts according to the number of years of the deferral period.
The cash payments under the programme are recognised in line with the projected unit credit method and settled over the vesting
period (i.e. both in the evaluation period understood as the year in service to which the benefit pertains and in the period
of deferring relevant portions of the benefit). The benefit value is recognised as a liability to employees in correspondence with
the statement of profit or loss.
Liabilities due to restructuring of employment
In connection with the implemented process of group layoffs at BNP Paribas Bank Polska S.A., the Bank paid a severance pay for
employees made redundant at the initiative of the employer and for employees covered by voluntary departure schemes.
Liabilities due to incentive – retention programs
The programmes have been completed by the reporting date, except for the deferred parts concerning individuals with significant
influence on the Bank's risk profile, in accordance with the Bank's policy in this respect.
2.27. Capital
Share capital
Registered share capital is disclosed at its nominal value, in accordance with the statute and the entry in the court register.
Own shares
If the Bank purchases its own shares, the amount paid reduces equity as treasury shares until their cancellation. Should these
shares be sold or re-allocated, the payment received is recognised in equity.
Supplementary capital from the sale of shares above their par value
The supplementary capital is created from the issue premium obtained from the issue of shares, reduced by the direct costs
incurred with the issue.
The costs directly related to the issue of new shares, after deduction of income tax, reduce the proceeds from the issue included
in the equity.
Other capital
Other capital: spare capital, reserve capital and general risk funds are created from profit allocations and are designated for
purposes specified in the statute or other legal regulations.
Other capital items
Other equity items are created as a result of:
- valuation of financial assets at fair value through other comprehensive income,
- actuarial profits and losses related to post-employment benefits,
- valuation of derivatives as part of cash flow hedge accounting with reference to the effective part of the hedge.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
2.28. Custody operations
BNP Paribas Bank Polska S.A. performs custody operations including maintaining securities accounts of its customers.
Assets managed under the custody services are not included in the present financial statements as they do not meet the definition
of Bank’s assets.
2.29. Cash and cash equivalents
For the purpose of the statement of cash flows, cash and cash equivalents include items that mature within three months from
their acquisition date, including cash in hand and non-restricted cash at the Central Bank (current account), statutory reserve
account and receivables from other banks (including nostro accounts).
3. ESTIMATES
The Bank makes estimates and assumptions which affect the value of its assets and liabilities in the subsequent period.
The estimates and assumptions, which are reviewed on an ongoing basis, are made based on prior experience and considering
other factors, including expectations as to future events, which appear reasonable in specific circumstances.
a. Impairment of financial assets
The assessment of impairment of financial assets in accordance with IFRS 9 requires estimates and assumptions, especially in
the areas of estimates of the value and timing of future cash flows, the value of collaterals established, or the assessment of a
significant increase in credit risk.
The assessment of impairment in accordance with IFRS 9 covers financial assets measured at amortised cost and financial assets
measured at fair value through other comprehensive income as well as loan commitments. The recognition of expected credit
losses depends on the change in the level of credit risk recorded since the moment of initial recognition of the financial asset.
Financial assets are subject to the assessment as to whether there are any events of default.
The requirements of IFRS 9 relating to impairment are based on the model of expected credit loss.
Financial instruments subject to the assessment in terms of impairment are classified into one of three stages based on the
assessment of changes in credit quality observed since initial recognition:
i. Stage 1: An allowance due to expected credit losses in 12-month horizon
If the credit risk did not increase significantly from the date of the initial recognition, and the event of default did not occur from the
moment of granting the financial instrument, the Bank recognizes an allowance for the expected credit loss within the next 12-
month horizon.
ii. Stage 2: An allowance due to expected credit losses for the entire lifetime – no event of default identified
In the case of financial instruments, whose credit risk has increased significantly since the moment of their initial recognition, but
no event of default occurred, an impairment allowance is created for the entire remaining financing period, considering the
probability of the occurrence of the event of default.
iii. Stage 3: An allowance due to expected credit losses for the entire lifetime – event of default
In the case of financial instruments for which the event of default occurred, an allowance for the expected credit loss is created for
the entire remaining financing period.
Criteria for stage classification
In order to assess whether there has been a significant increase in credit risk since the initial recognition of the financial instrument
(Stage 2), the Group compares the risk of default during the expected period of financing granted as at the balance sheet date
and the date of initial recognition.
The assessment consists in verifying whether the ratio of the cumulative PD as of the report date determined for the period from
the report date to the maturity date and the cumulative PD as of the initial recognition date determined for the period from the
report date to the maturity date exceeds the relative threshold for the change in the PD lifetime parameter. Exceeding the threshold
results in classification into Stage 2. PD lifetime weighted by the probability of occurrence of individual macroeconomic scenarios
is used for comparison.
The threshold amount is set at the level of homogeneous portfolios based on an analysis of loss levels for historical data. The
analysis is designed to ensure high discriminatory power of the introduced allocation and its results are subject to verification for
intuitiveness. The thresholds adopted at the Bank range from 1.8 to 2.2 times PD lifetime growth relative to initial recognition,
depending on the segment.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
In addition, in order to assess a significant increase in credit risk, the Bank uses an internal credit risk rating system, information
on delay in repayments (over 30 days of delay) and information from internal credit risk monitoring systems, such as warning letters
and information about restructuring.
For exposures classified as Stage 2, if in subsequent periods the credit quality of the financial instrument improves and previous
conclusions regarding a significant increase in credit risk since initial recognition are reversed, the exposure is reclassified from
Stage 2 to Stage 1 and the allowance for expected credit losses for these financial instruments is calculated over a 12-month
horizon.
For the purpose of identifying exposures eligible for Stage 3, the Bank uses a single definition of defaulted exposures and a
definition of impaired exposures, and classification is based on the principles of the default triggers.
The principal event of default is a delay in repayment of more than 90 days (or more than 30 days for exposures with granted
facilities) of a material amount of a past due credit obligation. In addition, other indications are taken into account, including in
particular:
restructuring,
granting of a facility where the exposure is granted a facility or restructured,
granting of a facility without significant economic loss where at least one of the following conditions is met
o a large lump sum payment towards the end of the repayment schedule;
o irregular repayment schedule, with significantly lower payments at the beginning of the repayment schedule;
o significant grace period at the beginning of the repayment schedule;
o exposures to an obligor that are subject to distress restructuring on more than one occasion.
suspicion of fraud (including economic crime or any other criminal offence related to the credit exposure),
information has been received about the submission of an application for restructuring proceedings within the meaning of the
Act on Restructuring Law,
filing of an application for commencing enforcement proceedings by the Banks or becoming aware of the fact that enforcement
proceedings against the debtor are being conducted in the amount which, in the opinion of the Bank, may result in the loss of
creditworthiness,
becoming aware of the fact of filing of an application for declaring the debtor bankrupt (liquidation, consumer), putting the
debtor into liquidation, dissolution or cancellation of the company, appointment of a curator, appointment of a receiver over
the debtor's activity,
filing of an application for bankruptcy proceedings, a declaration of bankruptcy or becoming aware of the dismissal of the
bankruptcy application due to the fact that the debtor's assets are insufficient or sufficient only to meet the costs of the
bankruptcy proceedings,
termination of the credit agreement,
submission by the Bank of an application to initiate enforcement proceedings against the customer,
granting of a public moratorium,
financial difficulties identified during the customer monitoring/review process or on the basis of information obtained from the
customer in the course of other activities,
significant deterioration in customer rating.
In determining the materiality level of a past due credit obligation, the Bank takes into account the thresholds contained in the
"Regulation of the Minister of Finance, Investment and Development dated 3 October 2019 on the materiality level of a past due
credit obligation".
A past due credit commitment is considered material when both materiality thresholds are exceeded together:
1) the amount of past due liabilities exceeds PLN 400 for retail exposures or PLN 2.000 for non-retail exposures, and
2) the share of past due liabilities in the exposure is greater than 1%.
Accordingly, the calculation of the number of overdue days for the purpose of determining a default event starts once both of the
aforementioned thresholds are exceeded.
While reclassifying the exposure from Stage 3 to Stage 2 or Stage 1, the Bank considers quarantine period, according to which a
credit exposure with recognised objective trigger of impairment may only be reclassified into Stage 2 or Stage 1 if the customer
has been servicing the receivable on time for a specified number of months. The required quarantine period differs depending on
the customer type. Its length is determined by the Bank on the basis of historical observations which allow for determining
the period after which the probability of default decreases to the level comparable to that of other exposures classified to
the portfolio with no indications of impairment.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
With regard to the criteria for assignment to Stages, other material changes in 2022 are the following: the Bank implemented a
premise based on the assessment of the relative change in the PD lifetime parameter. In connection with the implementation of
the premise, there was an increase in the exposure to Stage 2 in the amount of PLN 1,108,939 thousand, and PLN 27,225 thousand
of allowances for expected credit losses were created.
Due to the ongoing war in Ukraine and the economic sanctions issued against Russia and Belarus, the Bank analysed credit
exposures directly related to these countries and, based on this, did not identify any significant exposures both in the portfolio of
business and retail clients. At the same time, the Bank monitors the situation of customers on an ongoing basis with a view to
securing the credit portfolio by adequately reflecting the level of risk on these customers in the amount of allowances. The Bank
has identified institutional customers who are vulnerable to the effects of the situation in Ukraine, including, in particular, customers
whose business is linked to the economies of the above countries (and thus may be exposed to the effects of war and imposed
sanctions) and whose business is vulnerable to the embargo on Russian gas. These customers accounted for 931,000 thousand
of exposure as of 31 December 2022, and were classified in Stage 2, as customers for whom there was a significant increase in
credit risk. Due to the recognition of an allowance for expected credit losses for these customers over the entire remaining expected
life, the level of the allowance for these customers increased by PLN 21,904 thousand.
With regard to the remaining segments, in the process of assigning Stages, the Bank took into account the increased risk
associated with customers with the greatest exposure to turbulence in the economic environment by transferring these exposures
to Stage 2. The basis for identifying sensitive customers was:
for the portfolio of loans secured by real estate in PLN, simulations of debt servicing capacity, taking into account current and
projected levels of interest rates,
for the segment of other retail customers, available indicators that are indicative of the level of debt burden and the timeliness
of servicing obligations with other institutions,
for the portfolio of micro-entrepreneurs, the level of the customer's rating.
The cumulative effect of these actions on other segments resulted in the inclusion in Stage 2 of exposures in the amount of PLN
1,082,000 thousand and the recognition of PLN 26,351 thousand in allowances on this account (including the transfer to Stage 2
of exposures in the amount of PLN 422,000 thousand and the recognition of an additional allowance in the amount of PLN 5,651
thousand in connection with the portfolio of loans secured by real estate in PLN).
Description of the methods used to determine the allowance for expected credit losses
The individual valuation is performed by the Bank for individually significant financial assets, for which the event of default was
identified. It consists in the individual determination of the allowance for expected credit losses. During the individual valuation, the
Bank determines expected future cash flows and impairment allowance is calculated as the difference between the present value
(balance sheet amount) of a financial asset which is individually significant and the value of future cash flows generated by that
asset, discounted using the effective interest method. Cash flows from collateral are taken into account for purposes of estimating
future cash flows.
The following assets are measured collectively:
classified as individually insignificant;
classified as individually significant, for which the event of default was not identified.
The amount of collective impairment allowances is determined with the application of statistical methods for defined exposure
portfolios which are homogenous from the perspective of credit risk. Homogeneous exposure portfolios are defined based on,
among others, customer segment and type of credit products. The criteria applied by the Bank to define homogeneous portfolios
are aimed at grouping exposures so that the credit risk profile is reflected as accurately as practicable and, consequently, so as to
estimate the level of allowances for the expected credit losses on financial assets as objectively and adequately as possible. The
amount of the allowance for expected credit losses in the collective method is determined under three macroeconomic scenarios.
The final value of the allowance is determined as the average of these three calculations weighted by the probability of occurrence
of a given scenario. The weight of the base scenario is 50%, the weight of the negative scenario is estimated based on the ratio
of the current projected loss to the long-term average for the segment, and the weight of the positive scenario is derived from the
weight of the negative scenario. In addition, an assumption is made that the weight of none of the scenarios can be less than 10%.
The weight of the negative scenario, depending on the segment at the end of fiscal 2022, ranged from 11.06% to 11.68%.
In the process of calculating the amount of allowances, the following parameters are used:
1) probability of default (PD).
The amount of the parameter for individual exposures is estimated using a model based on Markov chains. For its estimation,
historical matrices of migration of exposures between risk classes are used. Risk classes are determined based on internal ratings
and baskets of the number of days in default. Migrations are determined within homogeneous portfolios defined by customer
segment and product type.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The parameter values resulting from the above model are through-the-cycle. In order to ensure the point-in-time nature required
by the IFRS9 standard, they are subsequently adjusted based on current forecasts of the macroeconomic environment. The
adjustment made is based on econometric models built for individual segments based on time series. If it is not possible to build a
model for a particular segment, a simplification based on the Box-Cox transformation is applied.
2) loss given default (LGD) ratio
The amount of the parameter for individual exposures is determined based on the probability of occurrence of individual recovery
paths (return to regular repayments, full repayment of the obligation, commencement of hard recovery) and the expected levels of
loss if a given path occurs. The probabilities of occurrence of individual paths are determined based on a Markov chain-based
model and estimation based on historical data. Loss levels are determined based on historically observed recoveries. They take
into account recoveries linked to collateral allocated to a given exposure, repayments not linked to collateral, and recoveries
expected from the sale of receivables.
Assignment of specific components is based on customer segment, product type, exposure characteristics, current number of days
in default, contract status and number of months since the commencement of hard recovery. The parameters for recovery from
the collateral are based on the type of collateral and the number of months since the commencement of hard collection.
The parameter values resulting from the above model are through-the-cycle. In order to ensure the point-in-time nature required
by the IFRS9 standard, they are adjusted based on current forecasts of the macroeconomic environment. The adjustment made
is based on econometric models built for individual segments, based on time series. If it is not possible to build a model for a
particular segment, a simplification based on the Box-Cox transformation is applied - this does not apply to portfolios where expert
values are used for parameter estimation due to the lack of sufficient historical observations.
3) 3) the conversion factor of granted off-balance sheet liabilities to on-balance sheet receivables (CCF - credit conversion factor).
The amount of the parameter is determined based on average observed historical values. The parameter is estimated within
homogeneous portfolios defined by customer segment and product type. For segments where there are not enough observations
to determine the parameter, expert values are adopted.
For the CCF parameter, the Bank demonstrated its lack of dependence on macroeconomic factors based on historical data.
4) prepayment expectation factor (PPF)
The amount of the parameter is determined based on the prepayment curve assigning dependence on the months of existence of
the credit exposure. The prepayment curve is estimated based on historical data by customer segment and product type. When
calculating the expected credit loss, prepayment factors adjust the balance sheet exposure resulting from the loan repayment
schedule.
For the PPF parameter, the Bank demonstrated its lack of dependence on macroeconomic factors based on historical data.
5) expected life of the loan (BRL - behavioural lifetime)
For exposures for which there is no contractual existence life-time, the behavioural lifetime of the loan is estimated. This value is
assigned by customer segment and credit product type. The estimation of the behavioural life of a loan is based on building a
profile of historically observed existence length in an exposure of a given type and fitting a logistic regression function to it. This
function is then used to estimate the final value in a given segment.
During the fiscal year 2022, the Bank made the following changes to the allowance calculation process:
adjustment of the form of the LGD model to the shape of the collection process and inclusion of additional dimensions that
differentiate the LAG level for Stage 1 and Stage 2 exposures resulted in a provision release in the amount of PLN 15,101
thousand.
implementation of the new Default Rate macroeconomic model for full accounting resulted in the allocation of provisions in
the amount of PLN 9,000 thousand.
implementation of the updated form of the CCF model resulted in the release of provisions in the amount of PLN 16,145
thousand.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
Bank
zmieniającego się
świata
34
The following table provides quantitative information on credit risk parameters as required by Recommendation R (Recommendation 36.2).
BUSINESS ENTITIES
a)
b)
c)
d)
e)
f)
g)
h)
PD scale
Original gross
balance sheet
exposures
Off-balance sheet
exposures
EAD after credit risk
mitigation and
application of credit
conversion factor
Average PD
expressed in % -
acceptable range
(from 0% to 100%)
Number of
exposures
Average LGD
expressed in %
Average maturity
Expected credit loss
(ECL)
Stage 1
from 0.00 to <0.15%
6,128,419
2,411,782
7,012,060
0.1%
3,492
60.2%
4
7,281
from 0.15 to <0.25%
3,167,712
409,782
3,276,292
0.2%
1,509
58.9%
3
5,189
from 0.25 to <0.50%
6,229,046
1,431,619
6,813,935
0.4%
6,415
50.2%
4
17,459
from 0.50 to <0.75%
3,683,411
343,064
3,836,026
0.9%
3,538
48.3%
4
17,392
from 0.75 to <2.50%
12,672,235
2,294,595
13,600,857
1.1%
27,403
46.9%
3
76,849
from 2.50 to <10.00%
6,450,964
978,324
6,899,719
2.6%
33,412
41.5%
5
84,012
from 10.00 to <45.00%
667,083
136,526
720,792
3.6%
4,785
39.0%
6
11,104
from 45.00 to <100.00%
751
45
776
6.8%
11
37.7%
6
23
Stage 2
from 0.00 to <0.15%
374,818
75,620
412,155
2.9%
1,096
42.8%
4
16,105
from 0.15 to <0.25%
429,918
247,199
554,970
1.4%
341
46.1%
7
25,923
from 0.25 to <0.50%
725,362
93,673
757,203
3.9%
1,181
48.8%
3
36,013
from 0.50 to <0.75%
440,888
75,365
476,573
6.2%
565
40.9%
3
23,050
from 0.75 to <2.50%
1,554,633
179,262
1,633,740
7.3%
4,657
41.4%
4
112,340
from 2.50 to <10.00%
1,251,430
113,678
1,288,863
11.9%
6,852
40.3%
4
118,507
from 10.00 to <45.00%
455,195
52,867
474,597
18.0%
9,280
40.1%
4
63,023
from 45.00 to <100.00%
3,101
-
3,102
22.1%
43
41.2%
6
513
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
Bank
zmieniającego się
świata
35
RETAIL CUSTOMERS
a)
b)
c)
d)
e)
f)
g)
h)
PD scale
Original gross
balance sheet
exposures
Off-balance sheet
exposures
EAD after credit risk
mitigation and
application of credit
conversion factor
Average PD
expressed in % -
acceptable range
(from 0% to 100%)
Number of
exposures
Average LGD
expressed in %
Average maturity
Expected credit loss
(ECL)
Stage 1
from 0.00 to <0.15%
2,120,088
120,901
2,225,840
0.2%
89,651
27.9%
20
2,591
from 0.15 to <0.25%
2,024,316
111,427
2,121,200
0.3%
54,390
27.1%
21
2,772
from 0.25 to <0.50%
5,193,771
193,799
5,343,600
0.3%
169,286
27.4%
20
8,059
from 0.50 to <0.75%
5,434,033
177,936
5,530,245
0.4%
68,576
28.3%
22
9,780
from 0.75 to <2.50%
13,943,644
517,134
14,016,574
0.8%
387,286
33.8%
15
58,160
from 2.50 to <10.00%
4,933,474
423,731
5,013,747
2.5%
380,553
39.9%
11
61,396
from 10.00 to <45.00%
315,285
10,905
318,932
4.9%
23,197
41.5%
11
7,182
from 45.00 to <100.00%
-
-
-
0.0%
-
0.00%
-
-
Stage 2
from 0.00 to <0.15%
298,581
9,444
302,793
4.1%
6,626
26.3%
20
10,749
from 0.15 to <0.25%
159,364
4,076
161,726
10.2%
3,255
25.7%
19
9,137
from 0.25 to <0.50%
356,136
4,724
357,764
15.7%
11,151
32.7%
15
27,865
from 0.50 to <0.75%
394,818
3,851
396,202
22.5%
11,044
38.7%
15
43,949
from 0.75 to <2.50%
1,714,445
12,431
1,717,110
15.3%
44,449
38.3%
12
189,776
from 2.50 to <10.00%
745,968
20,042
753,004
18.1%
86,345
42.8%
9
99,709
from 10.00 to <45.00%
183,925
7,332
189,542
19.7%
13,801
45.0%
9
27,850
from 45.00 to <100.00%
34
1
34
83.6%
8
40.4%
7
11
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
BUSINESS ENTITIES
a)
b)
c)
d)
Time in default
EAD after credit risk mitigation
and application of credit
conversion factor
Number of
exposures
Average PD
expressed in %
Expected credit loss (ECL)
Stage 3
to 12 months
536,366
3,023
49.2%
235,207
from 13 to 24 months
209,198
1,636
56.5%
117,080
from 25 to 36 months
295,400
1,217
57,7%
172,007
from 37 to 48 months
325,012
823
62.9%
224,617
from 49 to 60 months
121,574
456
64.6%
86,274
from 61 to 84 months
136,783
457
81.3%
109,408
over 84 months
112,674
336
88.3%
103,455
POCI
to 12 months
78,558
41
39.5%
139
from 13 to 24 months
6,343
48
48.4%
1,068
from 25 to 36 months
263
139
64.0%
22
from 37 to 48 months
9,447
322
86.2%
4,976
from 49 to 60 months
174,817
852
84.1%
29,683
from 61 to 84 months
1,373
7
90.0%
433
over 84 months
368
2
90.0%
31
POCI
performing
29,586
3,307
39.7%
401
RETAIL CUSTOMERS
a)
b)
c)
d)
Time in default
EAD after credit risk mitigation
and application of credit
conversion factor
Number of
exposures
Average PD
expressed in %
Expected credit loss (ECL)
Stage 3
to 12 months
378,112
22,071
47.2%
188,037
from 13 to 24 months
176,646
10,204
60.4%
109,108
from 25 to 36 months
120,919
5,739
61.6%
75,828
from 37 to 48 months
66,458
2,240
65.7%
44,836
from 49 to 60 months
44,516
1,524
71.7%
32,636
from 61 to 84 months
109,397
1,281
77.5%
92,854
over 84 months
89,977
1,537
84.6%
77,869
POCI
to 12 months
3,462
201
38.2%
319
from 13 to 24 months
577
95
61.7%
109
from 25 to 36 months
1,352
491
44.6%
248
from 37 to 48 months
1,755
753
70.9%
290
from 49 to 60 months
17,667
1,559
71.5%
1,551
from 61 to 84 months
-
-
0%
-
over 84 months
-
-
0%
-
POCI
performing
30,942
43,574
33.5%
191
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
In 2022, as part of adjusting the level of allowances to expectations of the future macroeconomic situation, the level of provisions
increased by PLN 200,396 thousand, including:
provisions related to updating forecasts of macroeconomic variables included in the IFRS9 model used, in the amount of PLN
57,926 thousand, and
additional provisions related to risk factors not directly included in the macroeconomic model in the amount of PLN 142,470
thousand (taking into account the provisions created in 2021 in the amount of PLN 9,000 thousand, the balance of these
provisions as of 31 December 2022 amounted to PLN 151,470 thousand).
In addition, the level of allowances in 2022 was affected by the following movements on provisions held as Post Model Adjustments:
the full release of a provision related to the negative effects of COVID (in the amount of PLN 200,130 thousand),
the release of PLN 65,170 thousand of provisions in connection with the reversal of changes in legislation that affected the
reduction of expected recovery levels on the portfolio of loans to farmers (significantly affecting the result in the institutional
loans segment),
an increase in the balance of provisions related to customers most exposed to turbulence in the economic environment in the
amount of PLN 9,700 thousand. zloty. The Bank released created provisions due to the negative impact of energy prices in
2021 in the amount of PLN 15,300 thousand. reflecting this risk directly in the assessment of individual CTB/SME clients. At
the same time, 25,000 thousand. PLN provision for customers most exposed to turbulence in the economic environment was
created,
creation of an additional amount of PLN 9,000 thousand of provisions in the form of Post Model Adjustments due to planned
changes in the LGD model which results from updating the level of these provisions. Taking this into account, the balance of
these provisions amounted to PLN 38,500 thousand as of 31 December 2022, compared to PLN 29,500 thousand as of 31
December 2021,
with regard to the portfolio of loans secured by real estate in PLN, the Bank adjusted PD/LGD parameters for exposures
transferred to Stage 2 as part of the identification of vulnerable customers. This change resulted in a PLN 76,901 thousand
provision increase.
Taking into account the elements described above, in 2022 the Bank released PLN 27,229 thousand in additional provisions (in
the form of Post Model Adjustments). The balance of these additional provisions as of 31 December 2022 amounted to PLN
291,871 thousand, while the balance as of 31 December2021 amounted to PLN 319,100 thousand.
Type of Post Model Adjustment (data in PLN thousand)
Balance
31.12.2021
Change
Balance
31.12.2022
Risk factors not included in the macroeconomic model
9,000
142,470
151,470
COVID provision
200,130
(200,130)
-
Changes in legislation for farmers
65,170
(65,170)
-
Customers particularly sensitive to changes in the economic
environment
15,300
9,700
25,000
Planned changes to the LGD model
29,500
9,000
38,500
Correction of parameters for sensitive customers using credit
holidays
-
76,901
76,901
Total
319,100
(27,229)
291,871
Sensitivity of allowances
Allowances for the expected credit losses on financial assets are back-tested on a regular basis. The models of risk parameters
used for purposes of estimating impairment allowances are covered by the model management process, which specifies
the principles of their development, approval and monitoring (including model back-testing). Additionally, there is a validation unit
in the Bank, which is independent of the owners and users of the models. The tasks of the unit include: annual validation of risk
parameters considered to be significant. The process of validation covers both qualitative and quantitative approach. The process
of estimating impairment allowances is subject to periodic functional control and verified independently by the Bank’s internal audit.
In order to calculate the sensitivity of the level of allowances related to the realisation of macroeconomic scenarios, the Bank used
the method of changing the weights of the pessimistic, baseline and optimistic scenarios in accordance with their application
consistent with IFRS 9.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The impact of particular scenarios is presented in the table below:
Analysis/scenario
Change in the
amount of allowance
(2022)
The percentage
change in the amount
of allowance (2022)
Change in the
amount of
allowance (2021)
The percentage
change in the amount
of allowance (2021)
Pessimistic scenario – considering
pessimistic and baseline scenarios
only (optimistic scenario 0%, baseline
scenario 50%, pessimistic scenario
50%)
222,832
10%
118,243
5%
Optimistic scenario – considering
optimistic and baseline scenarios only
(optimistic scenario 50%, baseline
scenario 50%, pessimistic scenario
0%)
(66,559)
-3%
(63,631)
-3%
Baseline scenario – uniform
distribution of optimistic and
pessimistic scenarios(optimistic
scenario 25%, baseline scenario 50%,
pessimistic scenario 25%)
78,136
3%
27,306
1%
The sensitivity of the level of allowances results directly from the counter-cyclical nature of the calculation of weights assigned to
individual macroeconomic scenarios. Countercyclicality is expressed in reducing the weight for the pessimistic scenario as the
recession deepens, and in reducing the impact of the optimistic scenario in the event of an "overheating" of the economy.
In addition, the impact of the estimated change in the level of allowances due to scenarios of changes in risk parameters is
presented below.
Analysis/scenario
Change in the amount
of allowance (2022)
The percentage change in
the amount of allowance
(2022)
Change in the
amount of allowance
(2021)
The percentage change
in the amount of
allowance (2021)
PD decrease by 10%
(104,254)
-5%
(95,361)
-4%
PD increase by 10%
103,950
5%
95,306
4%
LGD decrease by 10%
(230,410)
-10%
(220,620)
-10%
LGD increase by10%
218,149
9%
188,447
9%
The following table considers the impact of a change in the present value of estimated future cash flows for exposures subject to
individual valuation.
Analysis/scenario
Change in the amount of
allowances
The percentage change in the
amount of allowance for
exposures subject to individual
valuation
Decrease in present value of estimated future cash flows for
individually assessable exposures by 10%
46,574
6%
Increase in present value of estimated future cash flows for
individually assessable exposures by 10%
(46,146)
-6%
Adjustment to Recommendation R
In connection with the issuance of the revised Recommendation R by the PFSA, the Bank carried out a process aiming to adapt
the Bank's operations to the new regulations. All changes were implemented before the implementation date of Recommendation
R, i.e. 1 January 2022, and included, in particular, processes, applied solutions and scope of reporting.
As part of the adjustment to the provisions of the Recommendation, the Bank reviewed, among other things, the currently applied
rules for classifying exposures into Stages 2 and 3. In terms of classification into Stage 2, a new trigger was introduced. The trigger
assigns all exposures that are more than 90 days past due, where the credit overdue materiality criterion was not met. With regard
to the classification into Stage 3, the individual triggers were clarified and aligned with the current external regulations on
bankruptcy and restructuring law.
The changes made as part of the aforementioned process had no material impact on the level of allowances at the Bank.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Climate issues
When considering the need to disclose climate-related risks, the Bank takes into account the requirements for determining
materiality of financial information in paragraph 7 of IAS 1. According to these requirements, the Bank should consider both
quantitative factors and qualitative factors, as well as the interactions between the factors, when assessing whether or not the
information is material.
In 2021, in response to the requirements of the EBA/GL/2020/06 Guideline of 29 May 2020 on lending and monitoring, the Bank
developed ESG assessment questionnaires, which were implemented in the lending process. According to the timetable for the
implementation of the Guidelines, in Phase I the assessment is carried out for Customers for whom new financing or an increase
in financing is being processed. The purpose of the assessment is to identify any risks related to ESG factors affecting the financial
position of the customers, as well as the impact of the customers' business activities on ESG factors (double materiality principle).
Environmental risks are subject to special analysis by the Bank. They may materialise through:
1) physical risks related to environmental degradation, as well as climate change, including the occurrence of:
a) long-term climate change,
b) extreme weather events,
2) transition (transformation) risks resulting from the need to adapt the economy to gradual climate change, in particular to the
use of low-carbon and more environmentally sustainable solutions, including the occurrence of:
a) regulatory risk (changes in climate and environmental policies),
b) technological risks (a technology with a less damaging effect on the climate or the environment replaces a more damaging
technology, making it outdated),
c) changes in market sentiment and social norms,
3) liability risk arising from the Bank’s exposure to counterparties that could potentially be held liable for the negative impact of
their activities on environmental, social and corporate governance factors.
The assessment of the impact of long-term climate change and extreme weather events on the activities carried out by customers,
is taken into account by the Bank, in the process of granting and monitoring loans, in accordance with the following systematics:
Long-term climate changes:
Extreme weather events:
impact of higher temperatures
impact of heat waves
impact of temperature shocks
impact of cold waves
impact of changing wind patterns
impact of fires
impact of changing rain/snow-fall patterns and types
impacts of storms, tornadoes, etc.
impact of sea level rise
impact of droughts
impact of water stress (reduced access to water)
impact of heavy rain/snow-falls
impact of soil and coastal erosion
impact of floods
impact of soil degradation
impact of landslides
In the Bank’s view, the impact of climate and environmental risks does not materially affect the level of credit risk, so the Bank
does not isolate these risks in the calculation of expected credit losses.
However, the Bank recognises that climate and environmental risks may represent a material risk to businesses and a systemic
risk to the economy, so it is taking steps to collect relevant data on these risks.
b. Classification of financial instruments
When classifying financial instruments in accordance with IFRS 9, the Bank used the assessment of business models for
maintaining financial assets and assessing whether the contractual terms related to a financial asset resulted in cash flows that
were solely payment of principal and interest on the principal amount remaining to be repaid.
c. Fair value of derivative instruments
The fair value of derivative instruments which are not quoted on active markets is determined using measurement techniques (e.g.
models). Such methods are evaluated and verified periodically by qualified independent employees who have not participated in
their development. All models require approval before use as well as calibration to ensure that the results reflect actual data and
comparable market prices. The models used at present rely on the data obtained from Refinity and/or Bloomberg information
systems. Derivative instruments are measured on the basis of generally acceptable models. Linear instruments are measured
using the discounted cash flow method while plain vanilla options using the Black-Scholes model. Other options included in
structured deposits are measured either through decomposition into vanilla options or through Monte Carlo simulations.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Credit Valuation Adjustment / Debit Valuation Adjustment (CVA/DVA) is estimated for all derivatives which are active at a specific
date. The adjustment (counterparty credit risk exposure and default risk) is determined based on the projected future exposure
resulting from the instrument, counterparty rating and collateral provided/accepted.
d. Fair value of securities
Securities, for which no liquid market exists, are measured using the discounted cash flow model. As regards securities classified
to the level in the fair value hierarchy, the credit risk margin is a non-observable parameter corresponding to the market margin for
instruments with similar characteristics.
e. Impairment of fixed assets
At the end of each reporting period, the Bank verifies whether there is any objective impairment trigger concerning its fixed assets.
If such triggers have been identified, the Bank estimates the recoverable amount. Determination of the value in use of a fixed asset
requires the Bank to make assumptions as to the estimated amounts, dates of future cash flows that may be generated by the
Bank on the fixed asset as well as other factors. When estimating the fair value less costs to sell, the Bank relies on available
market data or valuations of independent appraisers, which generally are also based on estimates.
f. Provisions for retirement, disability and post-mortem benefit obligations
The Bank creates provisions for retirement, disability and post-mortem severance pay ("severance"), in accordance with IAS 19.
The provisions are calculated for each employee separately, using the actuarial method of projected unit credit as at the date of
valuation. The calculations take a number of factors into account, including macroeconomic conditions, employee turnover, risk of
death and others. The basis for calculating the provision for employees is the anticipated value of severance pay which the Bank
is to pay pursuant from the Remuneration Regulations in force at the Bank. The anticipated severance pay is calculated as the
resultant of:
• the expected severance base, in accordance with the provisions of the Collective Bargaining Agreement,
• the expected increase in the severance base from the moment of valuation until the payment of severance,
• the recommended proportional dependence on seniority (in accordance with the provisions of the Collective Labour
Agreement),
• gradual rights to services, unique for each team and proportional to their seniority at the Bank.
The projected value is discounted actuarially at the end of each quarter. In accordance with the requirements of IAS 19, the financial
discount rate for calculating the current value of liabilities related to employee benefits is determined on the basis of market yields
on treasury bonds whose currency and maturity date are consistent with the currency and the estimated date of the benefit
obligations. The actuarial discount is the product of the financial discount, the probability of a person's continued employment at
the Group until the severance is required, and the probability of the need for a particular benefit (e.g. the probability of acquiring a
disability). The value of annual write-offs and the probability are projected with the use of models which take the following three
risks into account:
• possibility of dismissal from work,
• risk of inability to work,
• risk of death.
The possibility of dismissal from work is estimated trough a probability distribution, based on the Bank’s statistical data. The
likelihood of dismissal depends on the age of the employee and is constant throughout each year of work. The risks of death and
disability were estimated based on analyses of the latest statistical data on life expectancy in Poland (for men and women) as well
as historical data published by the Central Statistical Office and the Social Security Office.
Provisions resulting from actuarial valuation are updated quarterly.
Sensitivity analysis
The table below presents the impact of a 1 p.p. change in the relevant actuarial assumptions on liabilities due to retirement,
disability and post-mortem severance as at 31 December 2022 and 31 December 2021.
increase by
decrease by
1 p.p.
1 p.p.
31.12.2022
discount rate
(1,683)
1,961
wage growth rate
1,949
(1,702)
31.12.2021
discount rate
(1,507)
1,776
wage growth rate
1,759
(1,521)
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Reconciliation of present value of retirement, disability and post-mortem benefit
obligations
The table below presents the reconciliation from the beginning balances to the ending balances for present value liabilities due to
retirement, disability and post-mortem benefit obligations:
31.12.2022
31.12.2021
Opening balance
15,351
17,639
current employment costs
1,527
1,650
net interest on net liability
837
300
actuarial gain or loss
1,287
(3 368)
benefits paid
(455)
(870)
Closing balance
18,547
15,351
g. Restructuring provision
On 18 December 2020, the Bank finalized negotiations with trade union organizations operating in the Bank and concluded an
agreement on defining the rules with reference to the matters concerning employees in connection with the collective redundancies
process resulting from the adaptation of the Bank’s business model in relation to the change of business environment. In connection
with the agreement concluded in December 2020, the Bank created restructuring provision to cover the costs of employment
reduction. The negotiated collective redundancies programme was implemented on the beginning of 2021.
h. Asset and provision for deferred income tax
The provision for deferred income tax is recognised in the full amount using the balance sheet method, due to positive temporary
differences between the tax value of assets and liabilities, and their balance sheet value in the financial statements. Deferred tax
assets are recognised for all negative temporary differences, as well as unused tax credits and unused tax losses carried forward
to the subsequent years, in the amount in which it is probable that taxable income will be generated that will allow the use of the
above mentioned differences, assets and losses. Deferred income tax is determined using tax rates (and regulations) in force or
at the end of the reporting period, which are expected to be effective at the time of realization of the related assets due to deferred
income tax or settlement of liabilities due to deferred income tax.
If the temporary differences arose as a result of the recognition of an asset or liability resulting from a transaction that is not a
business combination and which at the time of the conclusion did not affect the tax or accounting result, the deferred tax is not
recognised. In addition, a deferred tax provision is created for positive temporary differences arising from investments in
subsidiaries or associates and investments in joint ventures - except the situations when the timing of temporary differences
reversal is subject to control by the entity and when it is probable that in the foreseeable future, temporary differences will not be
reversed Deferred tax assets in the event of negative temporary differences from investments in subsidiaries or associates and
investments in joint ventures, only to the extent that it is probable that in the foreseeable future the abovementioned temporary
differences will be reversed and taxable income allowing to offset any negative temporary differences will be generated.
The balance sheet amount of the deferred tax asset is reviewed at the end of each reporting period and is reduced accordingly,
and so far as it is no longer probable that taxable income sufficient for partial or total realization of the deferred tax asset will be
realized. An unrecognised deferred tax asset is subject to reassessment at the end of each reporting period and is recognised up
to an amount that reflects the probability of achieving future taxable income that will allow recovery of that asset. The Group offsets
deferred tax assets with deferred tax provisions if and only if it has an enforceable legal title to compensate corresponding
receivables and liabilities due to current tax and deferred income tax is related to the same taxpayer and the same tax authority.
Income tax related to the items recognised directly in equity is recognised in equity and in the statement of comprehensive income.
In 2022 and 2021, current income tax and deferred tax provision were calculated using the 19% rate.
i. Provision for the return of commission due to early repayment of the loan
On 11 September 2019, the CJEU issued a judgment in which it was stated that Article 16 paragraph 1 of the Directive No.
2008/48/EC of the European Parliament and of the Council of 23 April 2008 on consumer loan agreements which repealed Council
Directive No. 87/102/EEC should be interpreted in the following way: the consumer's right to reduce the total cost of a loan in the
event of earlier repayment includes all costs that have been imposed on the consumer. The CJEU pointed out that a comparative
analysis of the different language versions of Article 16 clause 1 of the Directive does not allow to clearly determine the exact
scope of the reduction of the total cost of a loan envisaged by this provision, because some language versions of this provision
suggest reducing the costs related to the remaining period of the contract, others suggest that the costs associated with this period
constitute an indication for calculating the reduction, others still only refer to interest and costs due for the remaining period of the
contract.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The judgment was issued following a question referred for a preliminary ruling by the Lublin-Wschód District Court based in
Świdnik, which examined three disputes between the company Lexitor, which acquired the claims of three clients, and SKOK
Stefczyka, Santander Consumer Bank and mBank, regarding the reduction of the total cost of consumer loans due to their earlier
repayment. The Polish court had doubts about the interpretation of Article 16 paragraph 1 of Directive No. 2008/48/EC of the
European Parliament and of the Council of 23 April 2008, and therefore asked the CJEU whether this provision concerns all costs
or only those related to the duration of the contract.
As a result of the analysis concerning the impact of the judgment on the Bank’s revenues, in particular on relations expired before
the judgment was issued, in 2019 the Bank decided to create a provision for a proportional refund of commission in the event of
early repayment of the loan in the amount of PLN 48,750 thousand. As at 31 December 2022 the provision amounted to PLN
14 583 (as at 31 December 2021 the provision amounted to 19,156 thousand). The provision was estimated based on the
estimation of the total amount of the provision for the early repaid loans and the expected percentage of customers who will claim
for a refund of the due part of the commission. Assuming that the percentage of customers would be 5 p.p. higher than the assumed
level, the amount of the provision would be higher by PLN 12.5 million.
Simultaneously, the Bank recognises its liability due to the proportional reimbursement of commissions in the event of their early
repayment in the period from the date of the judgment of the CJEU on 11 September 2019 to 31 December 2019. As of 31
December 2022, this liability amounted to PLN 2,300 thousand (PLN 2,363 thousand as of 31 December 2021).
Additionally, the Bank creates a provision to cover the partial reimbursements of loan commissions in the event of their early
repayment. The estimate of the provision is based on the difference between the value of commissions to be reimbursed and the
balance of unsettled commissions as at the expected date of early loan repayment.
This provision is calculated as a percentage of commissions charged to the customer, which reflects the expected average
difference between the amounts of commissions to be refunded to customers and the balance of outstanding commissions at the
expected time of early repayment of the loan. This percentage is calculated based on the estimated level of early repayments and
the expected timing of repayment. In the event of early loan repayment, this provision is released and for newly sold loans a
provision will be created on an ongoing basis. As of 31 December 2022, the provision amounted to PLN 36,327 thousand (PLN
30,251 thousand as of 31 December 2021).
The total amount of provisions related to the CJEU judgment as of 31 December 2022 was PLN 53,211 thousand (as of 31
December 2021, the provision was PLN 51,710 thousand).
The created provision level is based on estimates and may be changed.
The above provisions are presented by the Bank under Provisions: Provision for litigation, while the Bank presents the liability
under Other liabilities: Sundry creditors.
j. Impact of suspension of performance of mortgage loan agreements granted in PLN in
the period from 1 August 2022 to 31 December 2023
Following the enactment of the Community Financing for Business Ventures and Borrower Assistance Act ("the Act"), allowing
customers to suspend the performance of their PLN mortgage contracts from 1 August 2022 to 31 December 2023 ("the
suspension"), the Bank's Management Board approved an estimate of the impact of the Act on the Bank's results and operations
on 15 July 2022.
In accordance with International Financial Reporting Standard 9 ("IFRS 9"), the impact estimate is based on the calculation of the
projected gross carrying value of the mortgage portfolio based on cash flows, taking into account the possibility of suspension,
discounted at the original effective interest rate, which was recognised in the income statement, in the interest income. The Bank
applies the above approach to applications already submitted by customers as well as potential applications that will be submitted
by customers in 2023.
Based on the observed and projected number of suspension requests, the Bank recognised a PLN 965 million negative impact on
the Bank's result in the third quarter of 2022, reducing the gross carrying amount of loans by the mentioned amount.
Based on data on customers' use of the option to suspend performance of contracts, in the fourth quarter of 2022 the Bank revised
its estimates and adjusted the impact of the suspension recognized in the third quarter of 2022 by PLN 70 million. This adjustment
had a positive impact on net interest income in the fourth quarter of 2022. The total impact of the suspension on the Bank's result
in 2022 was PLN 895 million.
In 2022, customers accounting for about 69% of the volume of the PLN mortgage portfolio in the Bank requested suspension of
contracts. The Bank estimates that customers with about 80% of the volume of credit portfolio will apply for suspension in 2023.
The above calculation is based on an estimate of customers' expected use of entitlements to suspend instalments. Therefore, it
may change if the actual exercise of entitlements in 2023 differs from the assumptions.
The suspension of contracts did not change the classification of exposures into different credit risk stages or the assignment of the
forbearance flag at the end of 2022, except when the Bank had information indicating a material increase in risk or impairment.
k. Provision for potential claims arising from legal proceedings related to loans in CHF
Provision for potential claims resulting from proceedings related to CHF loan agreements and model used by the Bank were
presented in Note 54 Litigation and claims.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
4. NET INTEREST INCOME
Interest income
12 months ended
31.12.2022
12 months ended
31.12.2021
Amounts due from banks
336,939
9,108
Loans and advances to customers measured at amortised cost, including:
4,590,739
2,295,847
non-banking financial institutions
55,902
11,389
retail customers
1,707,383
1,239,713
corporates
2,802,540
1,030,880
including retail farmers
605,276
285,509
public sector institutions
4,597
1,997
leasing receivables
20,317
11,868
Loans and advances to customers measured at amortised cost through profit or
loss
88,692
9,969
Debt instruments measured at amortised cost
599,413
591,247
Debt instruments measured at fair value through profit or loss
7,569
4,607
Debt instruments measured at fair value through other comprehensive income
324,117
190,653
Derivative instruments as part of fair value hedge accounting
188,498
195,568
Derivative instruments as part of cash flow hedge accounting
11,628
7,912
Securities purchased under repurchase agreements
67
274
Total interest income
6,147,662
3,305,185
Interest expense
12 months ended
31.12.2022
12 months ended
31.12.2021
Amounts due to banks
(264,708)
(81,241)
Amounts due to customers, including:
(1,609,451)
(90,880)
non-banking financial institutions
(74,098)
(39,450)
retail customers
(721,227)
(34,019)
corporates
(696,067)
(16,216)
including retail farmers
(6,351)
(109)
public sector institutions
(118,059)
(1,195)
Lease liabilities
(15,276)
(4,545)
Derivative instruments as part of fair value hedge accounting
(790,845)
(53,031)
Derivatives under cash flow hedge accounting
(30,960)
(2,267)
Securities sold subject to repurchase agreements
(38,592)
(1,056)
Other related to financial assets
(88)
(4,585)
Total interest expense
(2,749,920)
(237,605)
Net interest income
3,397,742
3,067,580
The value of interest expenses calculated using the effective interest rate in relation to financial liabilities, which are measured at
amortised cost, amounted to PLN 1,928,027 thousand (PLN 177 722 thousand for the period of 12 months ended
31 December 2021).
Interest income includes interest on financial assets assessed individually and collectively, for which impairment was identified.
The amount of the above mentioned interest, which was recognised in the interest income for 2022, amounted to PLN 116 520
thousand, as compared to PLN 70,804 thousand for 2021.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
5. NET FEE AND COMMISSION INCOME
Fee and commission income
12 months ended
31.12.2022
12 months ended
31.12.2021
loans, advances and leases
302,464
295,995
account maintenance
247,920
254,632
cash service
42,312
32,875
cash transfers and e-banking
98,151
84,288
guarantees and documentary operations
54,530
50,555
asset management and brokerage operations
107,667
130,997
payment and credit cards
325,966
246,382
insurance mediation activity
134,278
113,322
product sale mediation and customer acquisition
17,374
16,984
other commissions
22,629
19,316
Total fee and commission income
1,353,291
1,245,346
Fee and commission expense
12 months ended
31.12.2022
12 months ended
31.12.2021
loans, advances and leases
(517)
(363)
account maintenance
(10,293)
(9,795)
cash service
(24,676)
(17,935)
cash transfers and e-banking
(7,873)
(2,699)
asset management and brokerage operations
(4,700)
(5,673)
payment and credit cards
(123,995)
(111,155)
insurance mediation activity
(22,582)
(19,271)
product sale mediation and customer acquisition
(24,719)
(30,341)
other commissions
(54,701)
(46,064)
Total fee and commission expense
(274,056)
(243,296)
Net fee and commission income
1,079,235
1,002,050
Net commission income for 2022 includes revenues from custody activities in the amount of PLN 107,667 thousand (PLN 130,997
thousand in 2021) and the amount of costs from custody activities in the amount of PLN 4,700 thousand (PLN 5,673 thousand
in 2021).
Net commission income includes commission income that relate to assets and liabilities that are not measured at fair value with
the result of measurement recognised in the statement of profit or loss for 2022 in the amount of PLN 842,499 thousand, while for
2021 in the amount of PLN 798,096 thousand, and commission costs for 2022 in the amount of PLN 90,660 thousand, as compared
to PLN 80,404 thousand for 2021.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
6. DIVIDEND INCOME
Dividend income
12 months ended
31.12.2022
12 months ended
31.12.2021
Equity instruments measured at fair value through profit or loss
10,817
8,550
Shares in subsidiaries
-
978
Total dividend income
10,817
9,528
7. NET TRADING INCOME (INCLUDING RESULT ON
FOREIGN EXCHANGE)
Net trading income
12 months ended
31.12.2022
12 months ended
31.12.2021
Equity instruments measured at fair value through profit or loss
11,573
22,452
Debt instruments measured at fair value through profit or loss
(1,459)
(1,415)
Derivative instruments and result on foreign exchange transactions
744,270
612,621
Result on financial instruments measured at fair value through profit or loss
and foreign exchange differences, total
754,384
633,658
including margin on foreign exchange and
derivative transactions with customers
758,119
575,096
8. RESULT ON INVESTMENT ACTIVITIES
Result on investment activities
12 months ended
31.12.2022
12 months ended
31.12.2021
Equity instruments measured at fair value through other comprehensive income
(17,768)
(3,608)
Debt instruments measured at fair value through other comprehensive income
3,286
(2,276)
Loans and advances to customers measured at fair value through profit or loss
24,094
(2,857)
Total result on investment activities
9,612
(8,741)
During the year, the Bank has not reclassified any financial assets measured at amortised cost to financial assets measured at fair
value through other comprehensive income.
9. NET ALLOWANCES ON EXPECTED FINANCIAL
ASSETS AND PROVISION ON CONTINGENT LIABILITIES
Net allowances on expected credit losses of financial assets
and provisions on contingent liabilities
12 months ended 31.12.2022
Stage 1
Stage 2
Stage 3
Total
Including
POCI
Amounts due from other banks
4,411
-
-
4,411
-
Loans and advances to customers measured at amortised cost
186,188
(275,418)
(255,031)
(344,261)
(11,454)
Contingent commitments granted
48,846
(7,537)
15,152
56,461
186
Securities measured at amortised cost
241
318
113
672
113
Total net allowances on expected credit losses of financial
assets and provisions on contingent liabilities
239,686
(282,637)
(239,766)
(282,717)
(11,155)
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Net allowances on expected credit losses of financial assets
and provisions on contingent liabilities
12 months ended 31.12.2021
Stage 1
Stage 2
Stage 3
Total
Including
POCI
Amounts due from other banks
(4,055)
-
-
(4,055)
-
Loans and advances to customers measured at amortised cost
(109,665)
95,395
(243,406)
(257,676)
(32,630)
Contingent commitments granted
38,513
19,094
1,605
59,212
750
Securities measured at amortised cost
293
128
(34,865)
(34,444)
(34,865)
Total net allowances on expected credit losses of financial
assets and provisions on contingent liabilities
(74,914)
114,617
(276,666)
(236,963)
(66,745)
Change of allowances on expected credit losses of financial assets and
provisions on contingent liabilities
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
(3,050,634)
(3,322,490)
Increases due to acquisition or origination
(267,774)
(446,045)
Decreases due to derecognition
204,448
268,134
Net changes in credit risk
(335,875)
(268,049)
Changes arising from changes to the applied estimation method (net)
-
22,736
Change due to significant modification
(1,486)
-
Use of allowances
426,465
705,199
Other changes (including foreign exchange differences)
(20,093)
(10,119)
Closing balance
(3,044,950)
(3,050,634)
Net allowances on expected credit losses of financial assets and provisions
on contingent liabilities
12 months ended
31.12.2022
12 months ended
31.12.2021
Change in impairment allowances on financial assets and provisions on contingent
liabilities
(353,592)
(404,780)
Change in initial impairment on financial assets classified as POCI
(27,420)
21 521
Revenue from the sale and write-off of receivables and costs related to the write-off
of receivables
98,295
146,296
(282,717)
(236,963)
10. GENERAL ADMINISTRATIVE COSTS
General administrative costs
12 months ended
31.12.2022
12 months ended
31.12.2021
Personnel expenses
(1,241,494)
(1,153,529)
Marketing
(83,884)
(101,580)
IT and telecom expenses
(264,575)
(212,089)
Short-term leasing and operation
(68,117)
(63,867)
Other non-personnel expenses
(450,410)
(324,815)
Business travels
(14,173)
(6,723)
ATM and cash handling expenses
(26,045)
(22,746)
Costs of outsourcing services related to leasing operations
(2,623)
(2,915)
Bank Guarantee Fund fee
(152,340)
(143,352)
Commercial Banks Protection Scheme fees
(206,531)
-
Cost of PFSA supervision
(13,873)
(13,138)
Total general administrative expenses
(2,524,065)
(2,044,754)
The Other non-personnel expenses line presents costs related to legal services for CHF loan litigation in the amount of PLN 74,519
thousand in 2022 (2021: PLN 82,016 thousand).
The Commercial Bank Protection Scheme is described in Note 56.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
11. PERSONNEL EXPENSES
Personnel expenses
12 months ended
31.12.2022
12 months ended
31.12.2021
Payroll expenses
(993,235)
(923,546)
Payroll charges
(178,334)
(163,211)
Employee benefits
(44,966)
(44,770)
Costs of restructuring provision
(775)
(341)
Costs of provision for future liabilities arising from unused annual leave and
retirement benefits
(9,095)
(7,749)
Appropriations to Social Benefits Fund
(14,025)
(13,191)
Other
(1,064)
(721)
Total personnel expenses
(1,241,494)
(1,153,529)
12. DEPRECIATION AND AMORTISATION
Depreciation and amortization
12 months ended
31.12.2022
12 months ended
31.12.2021
Property, plant and equipment
(206,283)
(229,456)
Intangible assets
(205,640)
(168,863)
Total depreciation and amortization
(411,923)
(398,319)
13. OTHER OPERATING INCOME
Other operating income
12months ended
31.12.2022
12 months ended
31.12.2021
Sale or liquidation of property, plant and equipment and intangible assets
17,942
51,799
Release of allowances on other receivables
9,507
9,604
Release of provisions for litigation and claims and other liabilities
56,718
42,962
Recovery of debt collection costs
18,666
23,923
Recovered indemnities
650
465
Income from leasing operations
26,570
19,048
Other operating income
30,339
49,144
Total other operating income
160,392
196,945
14. OTHER OPERATING EXPENSES
Other operating expenses
12months ended
31.12.2022
12 months ended
31.12.2021
Loss on sale or liquidation of property, plant and equipment and intangible assets
(21,826)
(52,477)
Impairment allowances on other receivables
(13,120)
(13,510)
Provisions for litigation and claims and other liabilities
(58,520)
(62,998)
Debt collection
(37,701)
(44,899)
Donations made
(6,447)
(5,973)
Costs of leasing operations
(24,889)
(17,347)
Costs of compensations, penalties and fines
(5,322)
(10,819)
Other operating expenses
(82,031)
(58,012)
Total other operating expenses
(249,856)
(266,035)
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
15. INCOME TAX EXPENSE
12months ended
31.12.2022
12 months ended
31.12.2021
Current income tax
(389,736)
(343,718)
Deferred income tax
(27,548)
(93,660)
Total income tax expense
(417,284)
(437,378)
Profit before income tax
788,176
621,904
Statutory tax rate
19%
19%
Income taxes on gross profit
(149,753)
(118,162)
Taxable permanent differences, including:
(267,530)
(319,216)
Receivables written-off
(27,706)
(20,298)
Representation expenses
(670)
(344)
PFRON
(1,815)
(1,589)
Prudential fee to the Bank Guarantee Fund
(28,945)
(27,237)
Tax on financial institutions
(81,045)
(64,241)
Research and development relief
16,431
6,780
Provision for claims related to CHF loans
(112,494)
(197,732)
Legal risk provisions
3,633
(4,296)
Other differences
(14,317)
198
Receivables written-off
(20,602)
(10,457)
Total income tax expense
(417,284)
(437,378)
16. EARNINGS PER SHARE
12 months ended
31.12.2022
12 months ended
31.12.2021
Basic
Net profit
370,892
184,526
Weighted average number of ordinary shares (units)
147,574,201
147,492,790
Basic earnings (loss) per share (in PLN per one share)
2.51
1.25
Diluted
Net profit used in determining diluted earnings per share
370,892
184,526
Weighted average number of ordinary shares (units)
147,574,201
147,492,790
Adjustments for:
- stock options
122,459
126,141
Weighted average number of ordinary shares for the diluted earnings per share
(units)
147,696,660
147,618,931
Diluted earnings (loss) per share (in PLN per one share)
2.51
1.25
In accordance with IAS 33 the Bank prepares the calculation of diluted net profit per share, taking into account the shares issued
conditionally under incentive schemes described in Note 39. The calculation does not take into account those elements of the
incentive schemes which had antidilutive effect in the presented reporting periods and which may potentially affect the dilution of
profit per share in the future.
The basic earnings per share is calculated by dividing the net profit by the weighted average number of ordinary shares during the
period.
The diluted earnings per share is calculated based on the ratio of net profit to the weighted average number of ordinary shares
adjusted as if all potential dilutive ordinary shares had been converted to shares. The Bank has one category of dilutive potential
ordinary shares: share options. Dilutive shares are calculated as the number of shares that would be issued if all share options
were exercised at the market price determined as the average annual closing price of the Bank's shares.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
17. CASH AND CASH BALANCES AT CENTRAL BANK
Cash and cash equivalents
31.12.2022
31.12.2021
Cash and other balances
2,669,552
3,049,540
Account in the National Bank of Poland
48,699
1,582,153
Gross cash and cash equivalents
2,718,251
4,631,693
Impairment allowances
(9)
(283)
Total cash and cash equivalents
2,718,242
4,631,410
Change of impairment allowances
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
(283)
(3)
Increases due to acquisition or origination
(3,241)
(3,067)
Decreases due to derecognition
3,525
3,120
Other changes (including foreign exchange differences)
(10)
(333)
Closing balance
(9)
(283)
During the day, the Bank may use cash on statutory reserve accounts for current cash settlements based on an order placed at
the National Bank of Poland. The Bank has to ensure that the average monthly balance matches the declared statutory reserve
amount.
The funds on the statutory reserve account bear interest. As at 31 December 2022 interest on statutory reserve accounts was
6.75% (0.75% as at 31 December 2021).
The balance of cash in hand and at Central Bank includes the statutory reserve maintained with the National Bank of Poland. The
basic reserve requirement at 31.12.2022 was 3.5% (at 31.12.2021 it was 0.2%). The declared reserve level to be maintained since
31 December 2022 was PLN 4,082,128 thousand (as compared to PLN 2,079,746thousand in December 2021).
18. AMOUNTS DUE FROM OTHER BANKS
Amounts due from other banks
31.12.2022
31.12.2021
Gross
balance sheet
value
Allowance
Net balance
sheet value
Gross
balance sheet
value
Allowance
Net balance
sheet value
Current accounts
9,026,197
(1,075)
9,025,122
183,362
(52)
183,310
Interbank deposits
1,568,423
(220)
1,568,203
416,652
(25)
416,627
Loans and advances
201,160
(133)
201,027
100,078
(5)
100,073
Other receivables
915,307
(77)
915,230
1,559,972
(5,361)
1,554,611
Total amounts due from other
banks
11,711,087
(1,505)
11,709,582
2,260,064
(5,443)
2,254,621
Receivables from cash collateral in the amount of PLN 911,221 thousand (PLN 1,545,152 thousand as at 31 December 2021)
were also presented under “Other receivables”.
The total balance of long-term amounts due from banks as at 31 December 2022 amounted to PLN 911,221 thousand (PLN
1,545,152 thousand as at 31 December 2021).
Change in expected credit losses
12 months ended
31.12.2022
12 months ended
31.12.2021
Balance at the beginning of the period
(5,443)
(1,668)
Increases due to acquisition or origination
(2,023)
(4,865)
Decreases due to derecognition
1,903
4,224
Changes resulting from the change in credit risk (net)
4,257
(3,134)
Other changes (including foreign exchange differences)
(199)
-
Balance at the end of the period
(1,505)
(5,443)
As at 31 December 2022 and 31 December 2021, amounts due from other banks were classified as Stage 1.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
19. DERIVATIVE FINANCIAL INSTRUMENTS
Fair value of derivatives held by the Bank is presented in the below table:
Trading derivatives
Nominal value
Fair value
31.12.2022
Assets
Liabilities
Currency derivatives
Foreign Exchange Forward (FX Forward + NDF)
15,888,527
411,685
502,865
Currency Swap (FX Swap)
28,263,457
645,483
363,810
Currency Interest Rate Swaps (CIRS)
8,544,052
266,087
302,954
OTC currency options
3,564,359
130,680
141,744
Total currency derivatives
56,260,395
1,453,935
1,311,373
Interest rate derivatives:
Interest Rate Swap
48,463,023
1,581,137
1,647,210
OTC interest rate options
10,857,435
164,484
164,851
Total interest rate derivatives
59,320,458
1,745,621
1,812,061
Other derivatives
OTC options
674,358
24,716
24,421
Currency Spot (FX Spot)
3,292,998
-
-
Total other derivatives
3,967,356
24,716
24,421
Total trading derivatives
119,548,209
3,224,272
3,147,855
Including: measured using models
119,548,209
3,224,272
3,147,855
Trading derivatives
Nominal value
Fair value
31.12.2021
Assets
Liabilities
Currency derivatives
Foreign Exchange Forward (FX Forward + NDF)
17,001,834
514,600
191,389
Currency Swap (FX Swap)
24,891,458
223,832
443,129
Currency Interest Rate Swaps (CIRS)
12,752,996
374,796
405,837
OTC currency options
3,073,655
79,587
62,336
Total currency derivatives
57,719,943
1,192,815
1,102,691
Interest rate derivatives
Interest Rate Swap
45,520,032
642,406
749,207
OTC interest rate options
7,166,523
39,727
39,479
Total interest rate derivatives
52,686,555
682,133
788,686
Other derivatives
OTC commodity swaps
716,368
26,971
26,655
Currency Spot (FX Spot)
1,313,499
-
-
Total other derivatives
2,029,867
26,971
26,655
Total trading derivatives
112,436,365
1,901,919
1,918,032
including: measured using models
112,436,365
1,901,919
1,918,032
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing world
51
Fair value of derivatives by their maturity
Fair value of assets Fair value of liabilities
31 December 2022
Total
<= 1
month
> 1 month
<= 3
months
> 3 months
<= 12
months
> 1 year
<= 5 years
> 5 years
Total
<= 1
month
> 1 month
<= 3 months
> 3 months
<= 12
months
> 1 year
<= 5 years
> 5 years
Trading derivatives
Currency derivatives:
Foreign Exchange Forward
(FX Forward + NDF)
411,685
33,973
33,354
74,478
269,880
-
502,865
23,889
35,032
112,889
331,055
-
Currency Swap (FX Swap)
645,483
85,915
70,599
170,179
318,790
-
363,810
44,920
55,138
76,624
187,128
-
Currency Interest Rate
Swaps (CIRS)
266,087
-
1,604
62,673
131,289
70,521
302,954
-
621
36,111
155,786
110,436
OTC currency options
130,680
4,878
12,883
56,314
56,605
-
141,744
9,569
18,705
60,567
52,903
-
Total currency
derivatives:
1,453,935
124,766
118,440
363,644
776,564
70,521
1,311,373
78,378
109,496
286,191
726,872
110,436
Interest rate derivatives:
Interest Rate Swap
1,581,137
1,518
3,730
54,135
1,177,093
344,661
1,647,210
2,360
10,309
119,039
1,148,180
367,322
OTC interest rate options
164,484
1
-
3,523
154,376
6,584
164,851
12
-
2,911
155,365
6,563
Total interest rate
derivatives
1,745,621
1,519
3,730
57,658
331,469
351,245
1,812,061
2,372
10,309
121,950
1,303,545
373,885
Other derivatives
OTC commodity swaps
24,716
7,446
5,614
11,656
-
-
24,421
7,435
5,434
11,552
-
-
Total other derivatives:
24,716
7,446
5,614
11,656
-
-
24,421
7,435
5,434
11,552
-
-
Total trading derivatives
3,224,272
133,731
127,784
432,958
2,108,033
421,766
3,147,855
88,185
125,239
419,693
2,030,417
484,321
* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total sum.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing world
52
Fair value of assets Fair value of liabilities
31 December 2021
Total
<= 1
month
> 1 month
<= 3
months
> 3 months
<= 12
months
> 1 year
<= 5 years
> 5 years
Total
<= 1
month
> 1 month
<= 3 months
> 3 months
<= 12
months
> 1 year
<= 5 years
> 5 years
Trading derivatives
Currency derivatives:
Foreign Exchange Forward
(FX Forward + NDF)
514,600
19,613
12,133
73,947
408,907
-
191,389
25,674
35,343
102,217
28,155
-
Currency Swap (FX Swap)
223,832
23,936
38,974
113,108
47,814
-
443,129
47,732
48,969
62,742
283,686
-
Currency Interest Rate
Swaps (CIRS)
374,796
-
486
38,218
155,189
180,903
405,837
4,644
8,463
24,196
130,812
237,722
OTC currency options
79,587
1,820
6,785
22,729
48,253
-
62,336
2,138
7,595
17,967
34,636
-
Total currency
derivatives:
1,192,815
45,369
58,378
248,002
660,163
180,903
1,102,691
80,188
100,370
207,122
477,289
237,722
Interest rate derivatives:
Interest Rate Swap
642,406
5,439
6,103
60,227
226,917
343,720
749,207
2,756
7,851
63,481
325,406
349,713
OTC interest rate options
39,727
-
1
1,074
21,946
16,706
39,479
-
3
868
21,928
16,680
Total interest rate
derivatives
682,133
5,439
6,104
61,301
248,863
360,426
788,686
2,756
7,854
64,349
347,334
366,393
Other derivatives
OTC commodity swaps
26,971
7,018
3,096
16,857
-
-
26,655
6,981
3,067
16,607
-
-
Total other derivatives:
26,971
7,018
3,096
16,857
-
-
26,655
6,981
3,067
16,607
-
-
Total trading derivatives
1,901,919
57,826
67,578
326,160
909,026
541,329
1,918,032
89,925
111,291
288,078
824,623
604,115
* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total sum.
Maturity dates:
- for NDF, FX forward, FX swap, currency options and indexes, IRS, CIRS calculated as a difference in days between the transaction maturity date and the balance sheet date
- for FX spot, FRA, securities to be issued/received calculated as a difference in days between the transaction currency date and the balance sheet date
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
20. HEDGE ACCOUNTING
As at 31 December 2022, the Bank used fair value hedge (macro fair value hedge).
Hedging relationship description
The hedges are used against interest rate risk, specifically changes in the fair value
of fixed-rate assets and liabilities resulting from changes in a specific reference
rate.
Hedged items
Fixed-rate PLN, EUR and USD current accounts are the hedged items.
Hedging instruments
Hedging instruments include standard IRS transactions, i.e. plain vanilla IRS in
PLN, EUR and USD, in which the Bank receives a fixed interest rate and pays a
floating rate based on WIBOR 6M, WIBOR 3M, EURIBOR 6M, EURIBOR 3M,
EURIBOR 1M, USD LIBOR 6M, USD LIBOR 3M, USD SFROIS.
IRS
Nominal value
Fair value
Assets
Liabilities
31.12.2022
14,833,485
29,101
1,298,074
31.12.2021
25,073,220
65,465
1,028,790
Presentation of result on the hedged and
hedging transactions
The change in fair value of hedging instruments is recognised in the Result on
hedge accounting. Interest on IRS transactions and current accounts is recognised
in Interest income.
The liabilities in the item "Differences from hedge accounting" include the adjustment of the value of hedged instruments (deposits)
amounting to:
31.12.2022 - PLN 1,233,598 thousand
31.12.2021 - PLN 1,083,866 thousand
and the difference in valuation to fair value of hedged items for which the hedging relationship was terminated during its term,
amounting to:
31.12.2022 - PLN 692,574 thousand
The below table presents derivative hedging instruments at their nominal value by residual maturity dates as at 31 December 2022
and 31 December 2021:
31.12.2022
Hedging derivatives
Fair value
Nominal value
positive
negative
< 1 month
1-3
months
3 months-
1 year
1-5 years
> 5 years
Total
Interest rate agreements
Swap (IRS)
29,101
1,298,074
-
1,196,899
5,606,850
4,867,771
3,161,966
14,833,485
Hedging derivatives - total
29,101
1,298,074
-
1,196,899
5,606,850
4,867,771
3,161,966
14,833,485
31.12.2021
Hedging derivatives
Fair value
Nominal value
positive
negative
< 1 month
1-3
months
3 months-1
year
1-5 years
> 5 years
Total
Interest rate agreements
Swap (IRS)
65,465
1,028,790
500,000
545,994
6,189,910
14,700,739
3,136,577
25,073,220
Hedging derivatives - total
65,465
1,028,790
500,000
545,994
6,189,910
14,700,739
3,136,577
25,073,220
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Also included in assets under "Fair value adjustment of hedged and hedging items" is an adjustment to the value of hedged
instruments (loans) amounting to:
31.12.2022 PLN 3,923 thousand
Hedging relationship description
The hedges are used against interest rate risk, specifically changes in the fair
value of fixed-rate assets and liabilities resulting from changes in a specific
reference rate.
Hedged items
The hedged items are fixed-rate loans in PLN.
Hedging instruments
Hedging instruments are the standard IRS transactions, i.e. plain vanilla IRS,
denominated in PLN, in which the Bank receives a floating rate based on WIBOR
6M and pays a fixed interest rate.
IRS
Nominal value
Fair value
Assets
Liabilities
31.12.2022
250,000
-
3,773
Presentation of result on the hedged and
hedging transactions
The change in fair value of hedging transactions is recognised in the Result on
hedge accounting. Interest on IRS transactions and hedged items is recognised
in Interest income.
The below table presents derivative hedging instruments at their nominal value by residual maturity dates as at 31 December 2022
and 31 December 2021:
31.12.2022
Hedging derivatives
Fair value
Nominal value
positive
negative
< 1
month
1-3
months
3 months-1
year
1-5
years
> 5 years
Total
Interest rate agreements
Swap (IRS)
-
3,773
-
-
-
250,000
-
250,000
Hedging derivatives - total
-
3,773
-
-
-
250,000
-
250,000
The Bank does not apply micro fair value hedge accounting as of 31 December 2022. The hedging relationship that existed at
31 December 2021 expired in April 2022.
Hedging relationship description
The hedges are used against interest rate risk, specifically changes in the fair
value of fixed-rate assets and liabilities resulting from changes in a specific
reference rate.
Hedged items
The hedged items were: Fixed rate bond PS0422.
Hedging instruments
Hedging instruments are the standard IRS transactions, i.e. plain vanilla IRS,
denominated in PLN, in which the Bank receives a floating rate based on WIBOR
6M and pays a fixed interest rate.
IRS
Nominal value
Fair value
Assets
Liabilities
31.12.2021
750,000
-
13,817
Presentation of result on the hedged and
hedging transactions
The change in fair value of hedging transactions is recognised in the Result on
hedge accounting. Interest on IRS transactions and hedged items is recognised
in Interest income.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The below table presents derivative hedging instruments at their nominal value by residual maturity dates as at 31 December
2021:
31.12.2021
Hedging derivatives
Fair value
Nominal value
positive
negative
< 1
month
1-3
months
3 months-
1 year
1-5 years
> 5
years
Total
Interest rate agreements
Swap (IRS)
-
13,817
-
-
750,000
-
-
750,000
Hedging derivatives - total
-
13,817
-
-
750,000
-
-
750,000
Amounts recognised in the profit or loss account under fair value hedge accounting:
Fair value
12 months
ended
31.12.2022
12 months
ended
31.12.2021
Net interest income on hedging derivative instruments
188,498
195,568
Net interest expense on derivative hedging instruments
(790,845)
(53,031)
Change in fair value of hedging transactions recognised in the Result on hedge accounting,
including:
13,267
50,369
change in fair value of hedging instruments
(988,077)
(1,472,733)
change in fair value of hedged instruments
1,001,344
1,523,101
Additionally, the Bank applies cash flow hedge accounting as of 31 December 2022.
Hedging relationship description
The hedges are used against interest rate risk, specifically no changes in the
interest cash flows on the hedged item, resulting from the changes in a specific
reference rate.
Hedged items
The hedged items are: Floating rate bond WZ1131.
Hedging instruments
Hedging instruments include standard IRS transactions, i.e. plain vanilla IRS in
which the Bank receives a fixed rate and pays a floating rate based on WIBOR
6M.
IRS
Nominal value
Fair value
Assets
Liabilities
31.12.2022
625 000
-
172,679
31.12.2021
625,000
-
85,365
Presentation of result on hedging and
hedging transactions
The change in fair value of derivative hedging instruments designated as
hedging of cash flows is recognised directly in the Revaluation reserve in the
part constituting the effective part of the hedge. The ineffective part of the hedge
is recognised in the statement of profit or loss under Result on hedge accounting.
The below table presents derivative hedging instruments at their nominal value by residual maturity dates as of 31 December 2022
and 31 December 2021.
31.12.2022
Hedging derivatives
Fair value
Nominal value
positive
negative
< 1
month
1-3
months
3 months-
1 year
1-5 years
> 5
years
Total
Interest rate agreements
Swap (IRS)
-
172,679
-
-
-
-
625,000
625,000
Hedging derivatives – total
-
172,679
-
-
-
-
625,000
625,000
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2021
Hedging derivatives
Fair value
Nominal value
positive
negative
< 1
month
1-3
months
3 months-
1 year
1-5 years
> 5
years
Total
Interest rate agreements
Swap (IRS)
-
85,365
-
-
-
-
625,000
625,000
Hedging derivatives – total
-
85,365
-
-
-
-
625,000
625,000
Cash flow hedges
12 months to
31.12.2022
12 months to
31.12.2021
Interest income on hedging derivatives
11,628
7,912
Interest expense on hedging derivatives
(30,960)
(2,267)
Changes in revaluation reserve due to valuation of derivative hedging instruments in cash flow hedge accounting.
Interest rate risk
31.12.2022
31.12.2021
Balance at the beginning of the period
Hedging gains or losses recognised in other comprehensive income during the reporting
period
(83,987)
(85,303)
Balance at the end of the period
(169,290)
(85,303)
21. LOANS AND ADVANCES TO CUSTOMERS MEASURED
AT AMORTISED COST
31.12.2022
Loans and advances to customers measured at amortised
cost
Gross balance sheet
value
Allowance
Net balance
sheet value
Loans and advances for
Non-banking financial entities
1,390,575
(3,333)
1,387,242
current account loans
1,153,300
(2,832)
1,150,468
investment loans
217,912
(313)
217,599
other loans
19,363
(188)
19,175
Retail customers
38,843,860
(1,178,889)
37,664,971
mortgage loans
26,651,564
(514,442)
26,137,122
other loans
12,192,296
(664,447)
11,527,849
Corporate customers
46,098,263
(1,681,691)
44,416,572
current account loans
21,604,527
(1,006,260)
20,598,267
investment loans
17,620,240
(531,304)
17,088,936
other loans
6,873,496
(144,127)
6,729,369
including retail farmers
6,835,131
(483,836)
6,351,295
current account loans
3,195,612
(252,641)
2,942,971
investment loans
3,626,312
(228,995)
3,397,317
other loans
13,207
(2,200)
11,007
Public sector institutions
58,956
(922)
58,034
current account loans
37,820
(787)
37,033
investment loans
20,825
(127)
20,698
other loans
311
(8)
303
Lease receivables
400,416
(33,965)
366,451
Total loans and advances to customers measured at
amortised cost
86,792,070
(2,898,800)
83,893,270
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2021
Loans and advances to customers measured at amortised
cost
Gross balance sheet
value
Allowance
Net balance
sheet value
Loans and advances for
Non-banking financial entities
796,523
(2,075)
794,448
current account loans
729,316
(1,644)
727,672
investment loans
45,208
(287)
44,921
other loans
21,999
(144)
21,855
Retail customers
38,817,716
(935,977)
37,881,739
mortgage loans
26,710,997
(311,056)
26,399,941
other loans
12,106,719
(624,921)
11,481,798
Corporate customers
42,649,199
(1,831,067)
40,818,132
current account loans
21,240,683
(1,198,743)
20,041,940
investment loans
15,549,486
(449,945)
15,099,541
other loans
5,859,030
(182,379)
5,676,651
including retail farmers
7,755,784
(389,619)
7,366,165
current account loans
3,712,040
(191,153)
3,520,887
investment loans
4,032,732
(197,030)
3,835,702
other loans
11,012
(1,436)
9,576
Public sector institutions
84,487
(1,542)
82,945
current account loans
57,032
(1,240)
55,792
investment loans
27,118
(299)
26,819
other loans
337
(3)
334
Lease receivables
620,444
(72,957)
547,487
Total loans and advances to customers measured at
amortised cost
82,968,369
(2,843,618)
80,124,751
Net loans and advances to customers by Stages
31.12.2022
Stage 1
Stage 2
Stage 3
Total
Including
POCI
Loans and advances for
74,692,187
9,198,843
2,901,040
86,792,070
165,799
Non-banking financial entities
1,388,192
456
1,927
1,390,575
97
Retail customers
33,964,611
3,881,824
997,425
38,843,860
39,402
Corporate customers:
38,999,621
5,263,003
1,835,639
46,098,263
126,300
including retail farmers
5,156,901
1,099,973
578,257
6,835,131
120
Public sector entities:
58,160
-
796
58,956
-
Lease receivables
281,603
53,560
65,253
400,416
-
Expected credit losses on loans and
receivables for
(361,831)
(789,147)
(1,747,822)
(2,898,800)
(39,482)
Non-banking financial entities
(1,602)
(33)
(1,698)
(3,333)
(84)
Retail customers
(148,821)
(406,382)
(623,686)
(1,178,889)
(2,671)
Corporate customers:
(209,943)
(379,362)
(1,092,386)
(1,681,691)
(36,727)
including retail farmers
(45,330)
(117,604)
(320,902)
(483,836)
-
Public sector entities
(503)
-
(419)
(922)
-
Lease receivables
(962)
(3,370)
(29,633)
(33,965)
-
Net loans and advances to customers
measured at amortised cost
74,330,356
8,409,696
1,153,218
83,893,270
126,317
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2021
Stage 1
Stage 2
Stage 3
Total
Including
POCI
Loans and advances for
73,123,068
6,739,864
3,105,437
82,968,369
222,556
Non-banking financial entities
794,902
5
1,616
796,523
88
Retail customers
35,339,880
2,350,493
1,127,343
38,817,716
52,581
Corporate customers:
36,608,797
4,201,177
1,839,225
42,649,199
169,887
including retail farmers
5,998,472
1,123,755
633,557
7,755,784
2
Public sector entities:
83,411
1,076
-
84,487
-
Lease receivables
296,078
187,113
137,253
620,444
-
Expected credit losses on loans and
receivables for
(575,547)
(486,754)
(1,781,317)
(2,843,618)
(70,908)
Non-banking financial entities
(752)
(1)
(1,322)
(2,075)
(72)
Retail customers
(107,829)
(206,279)
(621,869)
(935,977)
(4,485)
Corporate customers:
(463,990)
(274,625)
(1,092,452)
(1,831,067)
(66,351)
including retail farmers
(33,289)
(76,937)
(279,393)
(389,619)
-
Public sector entities
(1,342)
(200)
-
(1,542)
-
Lease receivables
(1,634)
(5,649)
(65,674)
(72,957)
-
Net loans and advances to customers
measured at amortised cost
72,547,521
6,253,110
1,324,120
80,124,751
151,648
Expected credit losses of loans and advances to customers measured at amortised cost
Change in expected credit losses
Stage 1
Stage 2
Stage 3
Total
Opening balance as at 1 January 2022
(575,547)
(486,754)
(1,781,317)
(2,843,618)
Increase due to acquisition or origination
(159,341)
(32,465)
(21,447)
(213,253)
Decrease due to derecognition
33,739
36,678
107,912
178,329
Changes resulting from the change in credit risk (net)
342,250
(309,081)
(459,001)
(425,832)
Net changes due to modification (no derecognition)
(1,040)
(436)
-
(1,476)
Use of allowances
417
1,279
424,770
426,466
Other changes (including foreign exchange
differences)
(2,309)
1,632
(18,739)
(19,416)
Closing balance as at 31 December 2022
(361,831)
(789,147)
(1,747,822)
(2,898,800)
Change in expected credit losses
Stage 1
Stage 2
Stage 3
Total
Opening balance as at 1 January 2021
(471,373)
(581,344)
(2,041,267)
(3,093,984)
Increase due to acquisition or origination
(255,362)
(39,322)
(27,001)
(321,685)
Decrease due to derecognition
53,907
27,882
123,587
205,376
Changes resulting from the change in credit risk (net)
120,191
76,664
(551,258)
(354,403)
Changes arising from updates to the method of
estimation used (net)
(28,870)
29,557
24,902
25,589
Use of allowances
6,230
523
698,447
705,200
Other changes (including foreign exchange
differences)
(270)
(714)
(8,727)
(9,711)
Closing balance as at 31 December 2021
(575,547)
(486,754)
(1,781,317)
(2,843,618)
The total balance of long-term loans and advances due to customers as at 31 December 2022 amounted to PLN 73,079,119
thousand (PLN 72,293,179 thousand as at 31 December 2021).
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Change in gross loans and advances to
customers measured at amortised cost
Stage 1
Stage 2
Stage 3
Total
Opening balance as at 1 January 2022
73,123,068
6,739,864
3,105,437
82,968,369
Increase due to acquisition or origination
20,211,887
900,393
114,571
21,226,851
Decrease due to derecognition
(38,019,812)
(4,951,413)
(1,398,634)
(44,369,859)
Changes resulting from the change in credit risk
(net)
(5,440,813)
4,786,706
654,107
-
Other changes (including foreign exchange
differences)
24,817,858
1,723,293
425,559
26,966,709
Closing balance as at 31 December 2022
74,692,187
9,198,843
2,901,040
86,792,070
Change in gross loans and advances to
customers measured at amortised cost
Stage 1
Stage 2
Stage 3
Total
Opening balance as at 1 January 2021
62,569,000
6,903,685
4,068,274
73,540,959
Increase due to acquisition or origination
23,337,830
445,495
118,653
23,901,978
Decrease due to derecognition
(33,051 431)
(3,082 404)
(1,782 011)
(37,915 846)
Changes resulting from the change in credit risk
(net)
(1,803 072)
1,369,737
433,335
-
Other changes (including foreign exchange
differences)
22,070,741
1,103,350
267,186
23,441,278
Closing balance as at 31 December 2021
73,123,068
6,739,864
3,105,437
82,968,369
Gross amount of foreign currency mortgage loans for retail customers (in PLN ‘000)
Loans by currency
31.12.2022
31.12.2021
CHF
4,092,391
4,531,564
EUR
31,874
36,388
PLN
22,526,701
22,141,389
USD
598
1,656
Total
26,651,564
26,710,997
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2022
Value of CHF loan portfolio
Gross balance
sheet value
including CHF
exposures
Allowance
including CHF
exposures
Loans and advances for
Non-banking financial entities
1,390,575
-
(3,333)
-
current account loans
1,153,300
-
(2,832)
-
investment loans
217,912
-
(313)
-
other loans
19,363
-
(188)
-
Retail customers
38,843,860
4,132,032
(1,178,889)
(302,947)
mortgage loans
26,651,564
4,092,391
(514,442)
(291,370)
other loans
12,192,296
39,641
(664,447)
(11,577)
Corporate customers
46,098,263
57,138
(1,681,691)
(13,228)
current account loans
21,604,527
47,864
(1,006,260)
(5,723)
investment loans
17,620,240
9,167
(531,304)
(7,505)
other loans
6,873,496
107
(144,127)
-
including retail farmers
6,835,131
821
(483,836)
(61)
current account loans
3,195,612
802
(252,641)
(61)
investment loans
3,626,312
19
(228,995)
-
other loans
13,207
(2,200)
Public sector institutions
58,956
-
(922)
-
current account loans
37,820
-
(787)
-
investment loans
20,825
-
(127)
-
other loans
311
-
(8)
-
Lease receivables
400,416
27,626
(33,965)
(6,886)
Total loans and advances
86,792,070
4,216,796
(2,898,800)
(323,061)
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2021
Value of CHF loan portfolio
Gross balance
sheet value
including CHF
exposures
Allowance
including CHF
exposures
Loans and advances for
Non-banking financial entities
796,523
-
(2,075)
-
current account loans
729,316
-
(1,644)
-
investment loans
45,208
-
(287)
-
other loans
21,999
-
(144)
-
Retail customers
38,817,716
4,575,112
(935,977)
(230,270)
mortgage loans
26,710,997
4,531,564
(311,056)
(221,397)
other loans
12,106,719
43,548
(624,921)
(8,873)
Corporate customers
42,649,199
65,713
(1,831,067)
(10,781)
current account loans
21,240,683
56,263
(1,198,743)
(5,538)
investment loans
15,549,486
8,915
(449,945)
(5,243)
other loans
5,859,030
535
(182,379)
-
including retail farmers
7,755,784
1,284
(389,619)
(84)
current account loans
3,712,040
1,225
(191,153)
(84)
investment loans
4,032,732
59
(197,030)
-
other loans
11,012
-
(1,436)
-
Public sector institutions
84,487
-
(1,542)
-
current account loans
57,032
-
(1,240)
-
investment loans
27,118
-
(299)
-
other loans
337
-
(3)
-
Lease receivables
620,444
27,917
(72,957)
(7,274)
Total loans and advances
82,968,369
4,668,742
(2,843,618)
(248,325)
22. LOANS AND ADVANCES TO CUSTOMERS MEASURED
AT FAIR VALUE THROUGH PROFIT OR LOSS
31.12.2022
31.12.2021
Subsidised loans
949,298
1,219,027
Total loans and advances to customers measured at fair value
through profit a loss
949,298
1,219,027
The table below presents a comparison of the fair value of subsidised loans with their gross balance sheet value, which would
have been recognised if the Bank - in accordance with the requirements of IFRS 9 - did not reclassify these portfolios to fair value
through profit or loss.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Gross balance sheet value
Fair value
31.12.2022
1,023,731
949,298
31.12.2021
1,343,402
1,219,027
Subsidised loans measured through fair value
Stage 1
Stage 2
Stage 3
Total
31.12.2022
681,103
207,147
61,048
949,298
31.12.2021
897,554
244,754
76,719
1,219,027
23. SECURITIES MEASURED AT AMORTISED COST
31.12.2022
Securities
Gross balance sheet
value
Allowance
Net balance sheet
value
issued by local banks – mortgage bonds
1,221
(15)
1,206
issued by local banks
3,833,869
-
3,833,869
issued by other financial institutions
1,131,309
-
1,131,309
issued by governments – Treasury bonds
17,066,487
(90)
17,066,397
issued by non-financial entities – bonds
112,472
(44,690)
67,782
issued by local governments – municipal bonds
66,882
(184)
66,698
Total securities measured at amortised cost
22,212,240
(44,979)
22,167,261
31.12.2021
Securities
Gross balance sheet
value
Allowance
Net balance sheet
value
issued by local banks – mortgage bonds
5,612
(82)
5,530
issued by local banks
3,834,998
-
3,834,998
issued by other financial institutions
584,844
-
584,844
issued by governments – Treasury bonds
18,642,064
(96)
18,641,968
issued by non-financial entities – bonds
167,813
(45,156)
122,657
issued by local governments – municipal bonds
78,362
(318)
78,044
Total securities measured at amortised cost
23,313,693
(45,652)
23,268,041
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2022
Stage 1
Stage 2
Stage 3
Total
Including
POCI
Securities
22,099,768
-
112,472
22,212,240
108,317
issued by local banks – mortgage bonds
1,221
-
-
1,221
-
issued by local banks
3,833,869
-
-
3,833,869
-
issued by other financial institutions
1,131,309
-
-
1,131,309
-
issued by governments – Treasury bonds
17,066,487
-
-
17,066,487
-
issued by non-financial entities – bonds
-
-
112,472
112,472
108,317
issued by local governments – municipal bonds
66,882
-
-
66,882
-
Expected credit losses on securities:
(289)
-
(44,690)
(44,979)
(40,535)
issued by local banks – mortgage bonds
(15)
-
-
(15)
-
issued by governments – Treasury bonds
(90)
-
-
(90)
-
issued by non-financial entities – bonds
-
-
(44,690)
(44,690)
(40,535)
issued by local governments – municipal bonds
(184)
-
-
(184)
-
Total net securities measured at amortised
cost
22,099,479
-
67,782
22,167,261
67,782
31.12.2021
Stage 1
Stage 2
Stage 3
Total
Including
POCI
Securities
23,149,109
4,001
160,583
23,313,693
156,428
issued by local banks – mortgage bonds
5,612
-
-
5,612
-
issued by local banks
3,834,998
-
-
3,834,998
-
issued by other financial institutions
584,844
-
-
584,844
-
issued by governments – Treasury bonds
18,642,064
-
-
18,642,064
-
issued by non-financial entities – bonds
3,229
4,001
160,583
167,813
156 428
issued by local governments – municipal bonds
78,362
-
-
78,362
-
Expected credit losses on securities:
(530)
(318)
(44,804)
(45,652)
(40,648)
issued by local banks – mortgage bonds
(82)
-
-
(82)
-
issued by governments – Treasury bonds
(96)
-
-
(96)
-
issued by non-financial entities – bonds
(34)
(318)
(44,804)
(45,156)
(40,648)
issued by local governments – municipal bonds
(318)
-
-
(318)
-
Total net securities measured at amortised
cost
23,148,579
3,683
115,779
23,268,041
115,780
In accordance with the Banking Guarantee Fund (“BFG”) Act of 14 December 1994, as at 31 December 2022, BNP Paribas Bank
Polska S.A. held Treasury bonds recognised in the statement of financial position in the amount of PLN 436,880 thousand (with
the nominal value of PLN 460,000 thousand), securing the guaranteed funds under BFG (in 2021 in the amount of PLN 336 429
thousand, with the nominal value of PLN 340,000 thousand).
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Change of securities measured at amortised cost based on the balance sheet
value:
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
23,268,041
23,361,022
Purchase of securities
636,437
-
Sale/repurchase of securities
(1,704,560)
(56,116)
Change in impairment allowances
672
(33,258)
Change on the initial value adjustment
(2,792)
-
Change in interest due, foreign exchange differences, discounts and bonuses
(30,537)
(3,607)
Closing balance
22,167,261
23,268,041
Change in expected credit losses of securities measured at amortised cost
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
(45,652)
(12,392)
Decreases due to derecognition
440
259
Changes due to changes in credit risk (net)
233
(33,519)
Closing balance
(44,979)
(45,652)
The gross amount of long-term securities measured at amortised cost as at 31 December 2022 was PLN 21,054,754thousand
(PLN 23,257,519 thousand as at 31 December 2021).
24. SECURITIES MEASURED AT FAIR VALUE THROUGH
PROFIT OR LOSS
Securities measured at fair value through profit or loss
31.12.2022
31.12.2021
Balance sheet value
Bonds issued by non-financial entities
26,005
41,286
Bonds convertible for non-financial entities bonds
56,160
51,121
Equity instruments
228,234
226,988
Certificates issued by non-financial entities
837
821
Total securities measured at fair value through profit or loss
311,236
320,216
Change in securities measured at fair value through profit or loss
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
320,216
371,856
Purchase of securities
8,168
8,963
Sale of securities
(33,360)
(30,552)
Change in measurement at fair value through profit or loss
10,800
(32,741)
Change in interest due, foreign exchange differences, discounts and bonuses
5,412
2,690
Closing balance
311,236
320,216
The gross amount of long-term securities measured at fair value through profit or loss as at 31 December 2022 was PLN 51,131
thousand (PLN 71,945 thousand as at 31 December 2021).
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The table below presents the amount of securities measured at fair value through profit or loss, divided into designated at fair value
through profit or loss and obligatorily measured at fair value through profit and loss.
12 months ended
31.12.2022
12 months ended
31.12.2021
Classified as obligatory measured at fair value through profit or loss as at the
moment of initial recognition
83,002
93,228
Classified as measured at fair value through profit or loss as at the moment of initial
recognition
228,234
226,988
Total securities measured at fair value through profit or loss
311,236
320,216
25. SECURITIES MEASURED AT FAIR VALUE THROUGH
OTHER COMPREHENSIVE INCOME
Debt securities
31.12.2022
31.12.2021
NBP bills
8,495,585
-
Bonds issued by banks
2,251,139
2,608,513
Treasury bonds issued by central governments
4,141,351
4,101,875
Bonds issued by other financial institutions
2,496,718
2,432,965
Securities measured at fair value through other comprehensive income
17,384,793
9,143,353
Change of securities measured at fair value through other comprehensive
income
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
9,143,353
10,228,560
Purchase of securities
80,475,220
87,312,000
Sale of securities
(71,612,720)
(87,328,265)
Change in measurement at fair value through other comprehensive income
(599,039)
(969,416)
Change in measurement at fair value through profit or loss
(2,104)
(44,296)
Change in interest due, foreign exchange differences, discounts and bonuses
(19,917)
(55,230)
Closing balance
17,384,793
9,143,353
The gross amount of securities measured at fair value through other comprehensive income as at 31 December 2022 was PLN
8,889,208 thousand (PLN 8,261 704thousand as at 31 December 2021).
The table below presents gains and losses related to securities measured at fair value through other comprehensive income, which
in the given period were recognised directly in equity, and then were derecognised and recognised in profit or loss for a given
period of 12 months until 31 December 2022 and 31 December 2021.
Profit/ loss on securities measured at fair value through other comprehensive
income
12 months ended
31.12.2022
12 months ended
31.12.2021
Profits included directly in equity and then transferred from equity to the statement
of profit or loss
13,598
31,559
Losses included directly in equity and then transferred from equity to the statement
of profit or loss
(10,312)
(33,835)
Total profit/ loss on securities measured at fair value through other
comprehensive income
3,286
(2,276)
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
26. INVESTMENTS IN SUBSIDIARIES
31.12.2022
31.12.2021
Financial sector entities
52,837
66,451
Non-financial sector entities
40,282
55,582
Total investments in subsidiaries
93,119
122,033
Shares in subsidiaries as at 31 December 2022 and 31 December 2021
31.12.2022
Acquisition cost
of shares
Balance
sheet value
Interest held by
the Bank in the
entity’s equity
Entity’s name
BANKOWY FUNDUSZ NIERUCHOMOŚCIOWY ACTUS SP. Z O.O.
in liquidation
41,310
7,584
100%
BNP PARIBAS TOWARZYSTWO FUNDUSZY INWESTYCYJNYCH S.A.
36,731
12,840
100%
BNP PARIBAS LEASING SERVICES SP. Z O.O.
39,996
39,996
100%
BNP PARIBAS GROUP SERVICE CENTER S.A.
31,698
31,698
100%
CAMPUS LESZNO SP. Z O.O.
14,214
1,000
100%
Total
163,950
93,119
100%
Bankowy Fundusz Nieruchomości Actus Sp. z o.o. in liquidation transferred to the Bank the amount of PLN 15,300 thousand from
the company's reserve capital in 2022.
The Bank recognized impairment of shares in: BNP Paribas Towarzystwo Funduszy Inwestycyjnych S.A in the amount of PLN
19,094 thousand and dissolved the impairment in BNP Paribas Leasing Service Sp. z o.o. in the amount of PLN 5,479 thousand
for 2022.
On 24.11.2022, the deletion of BNP Paribas Solutions Sp. z o.o. from the National Court Register became effective, and this
completed the process of its liquidation.
31.12.2021
Acquisition cost
of shares
Balance
sheet value
Interest held by
the Bank in the
entity’s equity
Entity’s name
BANKOWY FUNDUSZ NIERUCHOMOŚCIOWY ACTUS SP. Z O.O.
41,310
22,884
100%
BNP PARIBAS TOWARZYSTWO FUNDUSZY INWESTYCYJNYCH S.A.
36,732
31,934
100%
BNP PARIBAS LEASING SERVICES SP. Z O.O.
39,996
34,517
100%
BNP PARIBAS GROUP SERVICE CENTER S.A.
31,698
31,698
100%
CAMPUS LESZNO SP. Z O.O.
14,214
1,000
100%
BNP PARIBAS SOLUTIONS SPÓŁKA Z O.O.
3,608
-
100%
Total
167,558
122,033
27. INTANGIBLE ASSETS
Intangible assets
31.12.2022
31.12.2021
Licenses
604,083
533,325
Other intangible assets
39,153
17,221
Expenditure on intangible assets
181,960
193,623
Total intangible assets
825,196
744,169
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Intangible assets
12 months ended 31.12.2022
Licenses
Other intangible
assets
Expenditure on
intangible assets
Total
Gross book value
As at 1 January
1,361,829
29,238
194,103
1,585,170
Increases:
274,246
31,542
267,268
573,056
reclassification from expenditure
233,561
30,870
-
264,431
purchase
40,685
672
250,320
291,677
other
-
-
16,948
16,948
Decreases:
(18,620)
(36)
(279,315)
(297,971)
reclassification from expenditure
-
-
(264,431)
(264,431)
sale, liquidation, donation, shortage
(18,448)
(36)
-
(18,484)
other
(172)
-
(14,884)
(15,056)
As at 31 December
1,617,455
60,744
182,056
1,860,255
Accumulated amortisation (-)
As at 1 January
828,504
12,017
-
840,521
Changes:
184,868
9,574
-
194,442
amortisation for the financial year
195,960
9,680
-
205,640
sale, liquidation, donation, shortage
(11,092)
(36)
-
(11,128)
other
-
(70)
-
(70)
As at 31 December
1,013,372
21,591
-
1,034,963
Impairment allowances (-)
As at 1 January
-
-
480
480
Balance changes:
-
-
(384)
(384)
impairment allowance recalculation
-
-
(384)
(384)
As at 31 December
-
-
96
96
Net book value
As at 1 January
533,325
17,221
193,623
744,169
As at 31 December
604,083
39,153
181,960
825,196
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Intangible assets
12 months ended 31.12.2021
Licenses
Other intangible
assets
Expenditure on
intangible assets
Total
Gross book value
As at 1 January
1,480,310
22,576
223,228
1,726 114
Increases:
284,573
14,133
277,106
575,812
reclassification from expenditure
268,487
13,977
-
282,464
purchase
15,968
156
277,106
293,230
other
118
-
-
118
Decreases:
(403,054)
(7,471)
(306,231)
(716,756)
reclassification from expenditure
-
-
(282,464)
(282,464)
sale, liquidation, donation, shortage
(401,883)
(7,471)
-
(409,354)
other
(1,171)
-
(23,767)
(24,938)
As at 31 December
1,361,829
29,238
194,103
1,585,170
Accumulated amortisation (-)
As at 1 January
1,060,209
14,704
-
1,074,913
Changes:
(231,705)
(2,687)
-
(234,392)
amortisation for the financial year
153,992
14,871
-
168,863
other
-
(11,065)
-
(11,065)
sale, liquidation, donation, shortage
(385,697)
(6,493)
-
(392,190)
As at 31 December
828,504
12,017
-
840,521
Impairment allowances (-)
As at 1 January
-
-
-
-
Balance changes:
-
-
480
480
impairment allowance recalculation
-
-
480
480
As at 31 December
-
-
480
480
Net book value
As at 1 January
420,102
7,872
223,228
651,202
As at 31 December
533,325
17,221
193,623
744,169
The Bank identifies impairment triggers for intangible assets which are not transferred to utilisation yet, i.e. those under
development, on an ongoing basis.
As at 31 December 2022, the Bank had significant contractual obligations incurred in connection with the acquisition of intangible
assets in the amount of PLN 14,615 thousand (PLN 3,505 as of 31 December 2021).
28. PROPERTY, PLANT AND EQUIPMENT
Property, plant and equipment
31.12.2022
31.12.2021
Fixed assets, including:
393,400
445,055
land and buildings
85,797
94,987
IT equipment
118,867
145,573
office equipment
45,426
52,004
other, including leasehold improvements
143,310
152,491
Fixed assets under construction
44,500
22,945
Right of use, including:
621,803
765,221
land and buildings
596,137
743,564
motor vehicles
25,196
21,529
other, including leasehold improvements
470
128
Total property, plant and equipment
1,059,703
1,233,221
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Changes in property, plant and equipment in 2022 and 2021 were presented below:
Property, plant and equipment and fixed assets under construction
12 months ended 31.12.2022
Land and
buildings
Property, plant
and equipment
Fixed assets
under
construction
Total
Gross book value
As at 1 January
210,443
1,040,932
22,949
1,274,324
Increases:
1,989
70,347
58,898
131,234
reclassification from fixed assets under
construction
1,532
32,120
-
33,652
purchase
15
21,123
33,622
54,760
other
442
17,104
25,276
42,822
Decreases:
(15,808)
(99,573)
(37,178)
(152,559)
reclassification from fixed assets under
construction
-
-
(33,652)
(33,652)
sale, liquidation, donation, shortage, theft
(15,808)
(82,051)
-
(97,859)
other
-
(17,522)
(3,526)
(21,048)
As at 31 December
196,624
1,011,706
44,669
1,252,999
Accumulated depreciation (-)
As at 1 January
104,583
688 657
-
793,240
Balance changes:
(2,943)
13,830
-
10,887
depreciation for the financial year
4,882
91,783
-
96,665
sale, liquidation, donation, shortage
(8,131)
(77,622)
-
(85,753)
other
306
(331)
-
(25)
As at 31 December
101,640
702,487
-
804,127
Impairment allowances (-)
As at 1 January
10,873
2,207
4
13,084
Balance changes:
(1,686)
(591)
165
(2,112)
impairment allowance recalculation
(1,686)
(591)
165
(2,112)
As at 31 December
9,187
1,616
169
10,972
Net book value
As at 1 January
94,987
350,068
22,945
468,000
As at 31 December
85,797
307,603
44,500
437,900
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Property, plant and equipment and fixed assets under construction
12 months ended 31.12.2021
Land and
buildings
Property, plant
and equipment
Fixed assets
under
construction
Total
Gross book value
As at 1 January
255,847
1,212,979
47,479
1,516,305
Increases:
1,110
84,955
47,663
133,728
reclassification from fixed assets under
construction
1,109
57,108
-
58,217
purchase
1
20,488
44,160
64,649
other
-
7,359
3,503
10,862
Decreases:
(46,514)
(257,002)
(72,193)
(375,709)
reclassification from fixed assets under
construction
-
-
(58,217)
(58,217)
sale, liquidation, donation, shortage, theft
(46,514)
(250,365)
-
(296,879)
other
-
(6,637)
(13,976)
(20,613)
As at 31 December
210,443
1,040,932
22,949
1,274,324
Accumulated depreciation (-)
As at 1 January
123,215
834,337
-
957,552
Balance changes:
(18,632)
(145,680)
-
(164,312)
depreciation for the financial year
5,522
97,051
-
102,573
sale, liquidation, donation, shortage
(24,154)
(242,731)
-
(266,885)
As at 31 December
104,583
688,657
-
793,240
Impairment allowances (-)
As at 1 January
13,166
1,364
41
14,571
Balance changes:
(2,293)
843
(37)
(1,487)
impairment allowance recalculation
(2,293)
843
(37)
(1,487)
As at 31 December
10,873
2,207
4
13,084
Net book value
As at 1 January
119,466
377,278
47,438
544,182
As at 31 December
94,987
350,068
22,945
468,000
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Right of use
12 months ended 31.12.2022
Land and
buildings
Motor vehicles
Other, including
leasehold
improvements
Total
Gross book value
As at 1 January
1,055,941
36,314
145
1,092,400
Increases
88,201
17,819
1,333
107,353
Decreases
(210,146)
(8,349)
(637)
(219,132)
As at 31 December
933,996
45,784
841
980,621
Accumulated depreciation (-)
As at 1 January
296,157
14,785
17
310,959
Balance changes:
40,496
5,803
354
46,653
depreciation for the financial year
99,974
9,527
117
109,618
other
(59,478)
(3,724)
237
(62,965)
As at 31 December
336,653
20,588
371
357,612
Impairment allowances (-)
As at 1 January
16,220
-
-
16,220
Balance changes:
(15,014)
-
-
(15,014)
recognition of impairment allowance
696
-
-
696
reversal of impairment allowance
(15,710)
-
-
(15,710)
As at 31 December
1,206
-
-
1,206
Net book value
As at 1 January
743,564
21,529
128
765,221
As at 31 December
596,137
25,196
470
621,803
Right of use
12 months ended 31.12.2021
Land and
buildings
Motor vehicles
Other, including
leasehold
improvements
Total
Gross book value
As at 1 January
1,116,120
27,343
280
1,143,743
Increases
79,948
14,384
145
94,477
Decreases
(140,127)
(5,413)
(280)
(145,820)
As at 31 December
1,055,941
36,314
145
1,092,400
Accumulated depreciation (-)
As at 1 January
202,379
10,773
187
213,339
Balance changes:
93,778
4,012
(170)
97,620
depreciation for the financial year
118,121
8,651
111
126,883
other
(24,343)
(4,639)
(281)
(29,263)
As at 31 December
296,157
14,785
17
310,959
Impairment allowances (-)
As at 1 January
5,914
-
-
5,914
Balance changes:
10,306
-
-
10,306
recognition of impairment allowance
13,250
-
-
13,250
reversal of impairment allowance
(2,944)
-
-
(2,944)
As at 31 December
16,220
-
-
16,220
Net book value
As at 1 January
907,827
16,570
93
924,490
As at 31 December
743,564
21,529
128
765,221
As at 31 December 2022, the Bank had significant contractual obligations incurred in connection with the acquisition of property,
plant and equipment in the amount of PLN 569 thousand (PLN 391 thousand as of 31 December 2021).
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
29. LEASES
Bank as a lessee
Bank is a contractual party of leasing agreements related to such base assets as:
property,
vehicles,
land, including perpetual usufruct right to land,
cash deposit machines,
equipment,
IT equipment.
The leasing period of vehicles equals 1 to 5 years. Leasing agreements contain extension options. In respect of vehicles, the Bank
also concludes leaseback agreements.
The Bank is also a party to real estate leasing agreements. The contracts are concluded for both a definite period of 1 to 30 years
and indefinite period. In the case of contracts concluded for an indefinite period, the Bank determines the leasing period based on
the notice period. The agreements provide for variable leasing fees depending on the index (e.g. CSO, HICP).
The Bank has also land lease agreements concluded for an indefinite period, and perpetual usufruct rights for land received for
the period of 40 to 100 years. Lease payments are indexed in accordance with the land management act.
12 months ended
31.12.2022
12 months ended
31.12.2021
Costs of leasing recognised in profit and loss account
(125,026)
(133,903)
cost of interest from leasing liabilities
(15,276)
(4,545)
cost of amortization of assets due to the right of use
(109,618)
(126,883)
costs related to short-term leases (recognised as administrative costs)
(133)
(2,475)
Undiscounted lease payments by maturity
31.12.2022
31.12.2021
up to 1 year
132,857
127,331
from 1 year to 5 years
425,247
461,560
over 5 years
240,323
312,047
Total
798,427
900,938
31.12.2022
31.12.2021
Book value of liabilities due to discounted lease
718,724
860,009
Bank as a lessor
Lease contracts under which substantially all the risk and rewards of ownership are transferred to the lessee are classified as
finance leases. The statement of financial position includes the value of receivables equal to the net leasing investment. The
revenue recognition from finance lease agreements reflects the constant periodic rate of return on the net leasing investment made
by the Bank under finance leases.
The Bank does not offer operational leasing products, i.e. those in which substantially all the risks and rewards of ownership are
not transferred to the lessee.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Finance lease receivables
31.12.2022
31.12.2021
Gross receivables due to finance lease
409,838
628,103
Unrealized financial income
(9,422)
(7,659)
Present value of minimum lease payments
400,416
620,444
Impairment allowance
(33,965)
(72,957)
Total finance lease receivables
366,451
547,487
Gross finance lease receivables by maturity
31.12.2022
31.12.2021
up to 1 year
205,760
260,117
from 1 year to 5 years
178,782
329,769
over 5 years
25,296
38,217
Total gross finance lease receivables
409,838
628,103
30. OTHER ASSETS
Other assets:
31.12.2022
31.12.2021
Receivables from contracts with customers:
sundry debtors
318,786
244,059
accrued income
80,787
104,559
payment card settlements
17,195
16,194
social insurance settlements
3,012
6,623
Other:
settlements with securitization company
26,126
44,797
interbank and intersystem settlements
367,050
121,977
deferred expenses
76,916
46,429
tax and other regulatory receivables
8,048
10,135
other lease receivables
299
3,067
other
76,378
74,110
Total other assets (gross)
974,597
671,950
Impairment allowances on other receivables from other debtors
(57,218)
(58,566)
Total other assets (net)
917,379
613,384
31. AMOUNTS DUE TO CENTRAL BANK
Amounts due to Central Bank
31.12.2022
31.12.2021
Current account overdraft
8,713
-
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
32. AMOUNTS DUE TO OTHER BANKS
Amounts due to other banks
31.12.2022
31.12.2021
Current accounts
583,991
518,982
Interbank deposits
646,658
1,967,290
Other liabilities
574,570
134,883
Total amounts due to other banks
1,805,219
2,621,155
Under "Other liabilities" as at 31.12.2021, there are liabilities due to securities sold as a repo transactions in the amount of PLN
92,809 thousand.
There were no breaches of contractual provisions and covenants related to the financial situation of the Bank and disclosure
obligations in 2022 and 2021.
The amount of long-term liabilities due to other banks as at 31 December 2022 equals PLN 565,853 thousand (PLN 26,924
thousand as at 31 December 2021).
33. AMOUNTS DUE TO CUSTOMERS
Amounts due to customers
31.12.2022
31.12.2021
OTHER FINANCIAL INSTITUTIONS
2,904,308
2,160,265
Current accounts
1,185,252
1,282,267
Term deposits
841,098
11,420
Loans and advances received
491,823
101,666
Settlements of securitization transaction
384,659
762,318
Other liabilities
1,476
2,594
RETAIL CUSTOMERS
49,020,456
44,771,344
Current accounts
29,182,509
38,430,796
Term deposits
19,342,539
5,880,637
Other liabilities
495,408
459,911
CORPORATE CUSTOMERS
65,922,368
53,305,156
Current accounts
49,145,280
47,234,325
Term deposits
16,128,824
5,428,183
Other liabilities
648,264
642,648
including RETAIL FARMERS
3,021,185
2,717,618
Current accounts
2,777,133
2,658,847
Term deposits
226,637
41,112
Other liabilities
17,415
17,659
PUBLIC SECTOR INSTITUTIONS
2,581,919
1,586,835
Current accounts
1,683,350
1,487,523
Term deposits
895,643
78,654
Other liabilities
2,926
20,658
Total amounts due to customers
120,429,051
101,823,600
The amount of long-term amounts due to customers as at 31 December 2022 equals PLN 1,341,514 thousand (PLN 474,970
thousand as at 31 December 2021).
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
34. SUBORDINATED LIABILITIES
31.12.2022
31.12.2021
Subordinated liabilities
4,416,887
4,334,572
Change in the balance of subordinated liabilities
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
4,334,572
4,306,539
Change in the balance of interest
16,290
6,716
Exchange differences
66,025
21,317
Closing balance
4,416,887
4,334,572
35. OTHER LIABILITIES
Other liabilities
31.12.2022
31.12.2021
Liabilities due to contracts with customers
Sundry creditors
183,638
205,750
Payment card settlements
172,479
158,617
Deferred income
81,875
86,995
Escrow account liabilities
488
581
Social insurance settlements
21,867
30,320
Other liabilities
Interbank and intersystem settlements
997,337
284,944
Provisions for non-personnel expenses
476,494
331,223
Provisions for other employees-related liabilities
239,824
244,926
Provision for unused annual holidays
42,692
41,201
Other regulatory liabilities
72,584
52,909
Other lease liabilities
4,241
3,267
Other
78,285
63,753
Total other liabilities
2,371,804
1,504,486
36. PROVISIONS
31.12.2022
31.12.2021
Provision for restructuring
45,843
55,530
Provision for retirement benefits and similar obligations
18,547
15,351
Expected credit losses of contingent liabilities
99,657
155,638
Provisions for litigation and claims
2,050,954
1,463,248
Other provisions
8,290
8,229
Total provisions
2,223,291
1,697,996
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Provisions for restructuring
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
55,530
82,918
Provisions recognition
10,946
4,167
Provisions utilization
(20,633)
(31,177)
Provisions release
-
(378)
Closing balance
45,843
55,530
Provision for retirement benefits and similar obligations
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
15,351
17,639
Provisions recognition
5,438
2,431
Provisions utilization
(455)
(870)
Provisions release
(1,787)
(3,849)
Closing balance
18,547
15,351
Expected credit losses of contingent liabilities
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
155,638
214,443
Provisions recognition
49,259
116,428
Provisions utilization
(20,692)
(55,414)
Changes resulting from changes in credit risk (net)
(85,040)
(123,080)
Net changes due to modification (no derecognition)
11
-
Changes arising from updates to the method of estimation used (net)
-
2,853
Other changes
481
408
Closing balance
99,657
155,638
Provisions for litigation and similar liabilities
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
1,463,248
335,461
Provisions recognition
788,534
1,125,761
Provisions utilization
(289,668)
(32,231)
Provisions release
(8,557)
(16,359)
Other changes, including foreign exchange differences
97,397
50,616
Closing balance
2,050,954
1,463,248
Other provisions
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
8,229
8,232
Provisions recognition
63
16
Provisions utilization
(1)
(17)
Provisions release
(1)
(2)
Closing balance
8,290
8,229
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
37. DEFERRED INCOME TAX
Changes in deferred income tax in the financial year:
Deferred tax assets
Deferred tax basis
as at
31 December 2022
Deferred tax basis
as at
31 December
2021
Charge arising from
changes in asset
in 2022
Outstanding interest accrued on liabilities, including CD interest
and discount
716,934
374,981
64,971
Fair value measurement of derivative instruments and securities
3,474,948
2,102,832
260,702
Unrealized liabilities due to hedged items and hedging
instruments
1,082
39,302
(7,262)
Allowances on expected credit losses of financial assets and
provisions for contingent liabilities (non-deductible), which are
probable to occur/documented
2,898,230
2,899,861
(310)
Revenue collected in advance and measured at amortised cost
including the effective interest rate
388,935
220,296
32,041
Provision for retirement benefits and provision for restructuring
57,905
72,467
(2,767)
Other provisions for personnel costs
272,289
290,320
(3,426)
Provisions for non-personnel expenses
462,766
334,480
24,374
Impairment allowance on fixed and intangible assets
11,068
13,564
(474)
Impairment of subsidiaries and associates
73,097
64,983
1,542
Compensations paid
8,799
8,800
(0)
Impairment allowance on lease receivables
4,332
7,282
(561)
Impairment allowance on available for sale assets related to
leasing operations
29,633
65,674
(6,848)
Surplus of the tax value of leased fixed assets over the book
value of receivables
93,006
87,945
962
Deferred income from leasing operations
9,542
7,827
326
Lease liabilities
704,954
869,192
(31,205)
Impairment allowances on other assets
190,351
39,061
28,745
Valuation of securities measured through other comprehensive
income
1,444,358
753,102
131,339
Other negative deductible temporary differences
12,186
14,599
(458)
Total:
10,854,415
8,266,568
491,691
Basis for assets recognised in profit or loss (in the current and
preceding years) and charge arising from changes in asset
9,410,057
7,513,466
360,352
Basis for assets recognised in correspondence with revaluation
reserve and charge arising from changes in asset
1,444,358
753,102
131,339
Unrecognised deferred tax asset is related to impairment allowances on loans and advances whose non-recoverability will not
become probable in the future. The related unrecognised temporary differences amounted to PLN 26,400 thousand as at 31
December 2022 as compared to PLN 26,767 thousand as at 31 December 2021.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Deferred tax liability
Deferred tax basis
as at 31 December
2022
Deferred tax basis
as at 31 December
2021
Charge arising from
changes in asset
in 2022
Accrued revenue from interest on amounts due
(1,416,318)
(1,070,459)
(65,713)
Fair value measurement of derivative instruments and
securities
(2,700,398)
(1,046,552)
(314,231)
Valuation of securities measured through other
comprehensive income
(18,222)
(9,993)
(1,564)
Difference between accounting and tax depreciation of the
Bank’s own fixed assets
(429,950)
(358,069)
(13,657)
Net value of right of use (RoU)
(623,009)
(781,441)
30,102
R&D expenses
(54,550)
(34,525)
(3,805)
Subleasing agreements
(32,574)
(34,026)
276
Unrealized liabilities related to hedged items and hedging
instruments
(1,234,680)
(1,123,168)
(21,187)
Deferred costs of leasing operations
(11,375)
(12,956)
300
Other positive taxable temporary differences
(6,381)
(7,747)
260
Total:
(6,527,457)
(4,478,936)
(389,219)
Basis for the provision recognised in profit or loss (in the
current and preceding years) and chargé arising from
changes in the provision
(6,502,854)
(4,461,275)
(387,900)
Basis for the provision charged to revaluation reserve and
chargé arising from changes in the provision
(24,603)
(17,661)
(1,319)
31.12.2022
31.12.2021
Deferred tax assets
2,062,339
1,570,648
Deferred tax liability
(1,240,217)
(850,998)
Net deferred tax asset
822,122
719,650
38. DISCONTINUED OPERATIONS
The Bank did not discontinue any operations in 2022 or 2021.
39. SHARE-BASED PAYMENTS
The Bank has adopted the “Remuneration policy for individuals with a material impact on the risk profile of BNP Paribas S.A.".
The principles and assumptions contained in the Policy guarantee the existence of a rational, balanced and controllable
remuneration policy, consistent with the accepted risk level, standards and values of the Bank and relevant laws and regulations,
in particular the Minister of Finance, Funds and Regional Policy Regulation dated 8 June 2021 on the risk management system,
internal control system and remuneration policy in banks and recommendations included in the CRD5 Directive.
Pursuant to the Remuneration policy for Individuals with a significant impact on the BNP Paribas S.A. Bank's risk profile applied in
the Bank, from 2020 (excluding persons who have terminated their cooperation with the Bank) the applicable financial instrument
in which part of the variable remuneration is paid is ordinary shares (change from phantom shares).
The 2021 variable remuneration convertible into a financial instrument was granted in actual shares of the Bank.
On 9 December 2021, the Supervisory Board approved a modified Remuneration Policy for persons with material impact on the
risk profile of the Bank. The changes consisted mainly in adjusting the provisions of the Policy to the Ordinance of the Minister of
Finance, Funds and Regional Policy of 8 June 2021 on the risk management system and internal control system and remuneration
policy in banks and the guidelines contained in the CRD5 Directive and consisted, among others, in extending the deferral period.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Phantom share-based programme
As at 31 December 2019, there was a variable remuneration scheme in force, granted in the form of a financial instrument -
phantom shares, which will be settled in subsequent periods.
The variable remuneration granted in form of phantom shares is paid as cash equivalent with a value corresponding to the number
of shares granted. The payment shall be made after the expiry of the retention period.
Financial instruments (phantom shares) - programme amendments in 2022.
*change in the value of outstanding phantom shares according to the current phantom share exercise price.
In 2022, payments in the amount of PLN 5,109 thousand were made due to exercising rights to deferred phantom shares (under
the programme for 2017, 2018 and 2019).
The table below presents the terms of the Stock Purchase Plan in 2022.
Transaction type in line with IFRS 2
Share-based payments settled in cash
Plan issued on
21 June 2012 - the Resolution of the Supervisory Board approving the
Remuneration Policy
The commencement date for granting phantom
shares
1 March 2022
The end date for granting phantom shares
2 March 2022
Programme based on the Bank's shares
There is variable remuneration scheme in place for the Bank's employees with a significant impact on risk profile under the Bank's
share-based programme. The variable remuneration is divided into a part granted in the form of a financial instrument (Bank
shares) and the remaining part granted in cash.
The right to variable remuneration expressed in the form of the Bank's shares is granted by issuing subscription warrants in a
number corresponding to the number of shares granted, one warrant entitles to acquire one share. The payment of the variable
remuneration expressed in the form of the Bank's shares, i.e. taking up the Bank's shares through the exercise of rights from
subscription warrants, takes place after the expiry of the retention period.
The Bank will grant the participants of the Incentive Scheme subscription warrants, which will result in the right to acquire a new
Series M and Series N shares issued by the Bank under the conditional share capital increase. The rights to acquire Series M and
Series N shares shall be granted taking into account the principles of dividing the variable remuneration into the non-deferred and
deferred portions, as defined in the Remuneration Policy and the regulations adopted on its basis. Series M and Series N shares
will constitute a component of variable remuneration for persons having a significant impact on the Bank's risk profile within the
meaning of the Regulation of the Minister of Finance, Funds and Regional Policy of 8 June 2021.
In order to implement the Incentive Programme, the Extraordinary General Meeting of the Bank also adopted resolutions on the
issue of subscription warrants and conditional increase of the share capital through the issue of Series M shares and Series N
shares, depriving the existing shareholders of the subscription right to warrants and to Series M and Series N shares, amending
the Bank's Articles of Association and dematerialising and applying for the admission of Series M and Series N shares to trading
on a regulated market.
The amount and the division into the non-deferred and deferred portions of variable remuneration for employees identified as MRT
is determined in accordance with the Bank's Remuneration Policy and regulations adopted on its basis. The regulations contain
information on the annual bonus levels assigned to particular appraisals:
1. the part constituting at least 50% is assigned in the form of the Bank's shares (which will be acquired by exercising rights from
subscription warrants);
31.12.2022
31.12.2021
Financial instrument
Financial instrument
units
value (PLN ‘000)
units
value (PLN ‘000)
Opening balance
117,770
5,616
220,298
11,455
granted in the period
(79 604)
(5 109)
(98,748)
(5 581)
current valuation*
-
2,390
-
-
expired
-
-
(3,780)
(258)
Closing balance
38,166
2,897
117,770
5,616
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
2. the part of variable remuneration not less than 40% of that remuneration is deferred. The deferral period is at least 5 years for
Senior Management and a minimum of 4 years and a maximum of 5 years for employees other than Senior Management.
The maximum deferral period of 5 years is applied in the case of an assignment of Variable Remuneration that exceeds a
particularly high amount.
In order to ensure uniform and lawful conditions for the acquisition of the right to remuneration and its payment, remuneration shall
be paid to persons having a material impact on the risk profile of the Bank taking into account the principles of suitability,
proportionality and non-discrimination.
The Bank's rules include the possibility to withhold or limit the payment of variable remuneration where the Bank does not meet
the combined buffer requirement:
1. The Bank shall be prohibited from paying assigned variable remuneration in excess of the maximum amount to be paid (the
so-called MDA) in a situation where the Bank does not meet the combined buffer requirement within the meaning and under
the rules set out in Articles 55 and 56 of the Act on macro-prudential supervision.
2. In the event when the Bank does not meet the combined buffer requirement, then before the MDA is calculated, the Bank:
does not undertake commitments to pay variable remuneration or discretionary pension benefits;
does not make variable remuneration payments if the obligation to pay them arose during the period in which the Bank did
not meet the combined buffer requirement.
If the legal relationship between the Bank and a given person having a material impact on the Bank's risk profile ceases to exist or
if the position is excluded from the list, the remuneration is paid provided that the requirements specified in the Remuneration
Policy for persons having a material impact on the risk profile of BNP Paribas Bank Polska S.A. are met.
A person is entitled to variable remuneration, provided that he/she has not been charged and is not subject to criminal or
disciplinary sanctions.
The number of shares granted in April 2022, as part of the non-deferred portion of the variable remuneration, was 74,368.
In 2022, for the variable remuneration granted for 2019, 2020 and 2021 and in connection with the forecast of the variable
remuneration for 2022, which will be granted in 2023, in the part concerning shares to be issued in the future, the Bank has
recognized in the capitals an amount of PLN 5,958 thousand. At the same time, an amount of PLN 13,601 thousand (recognised
in the previous years) is presented in capital. The actuarial value of the shares issued in 2022 in the amount of PLN 4,558 thousand
is included in the mentioned amounts.
Financial instruments (shares - deferred portion) changes in 2022 and 2021 determined in relation to the deferred part of the
variable remuneration for 2019 and 2020.
31.12.2022
31.12.2021
Financial instrument
Financial instrument
units
value (PLN ‘000)
units
value (PLN
‘000)
Opening balance
108,851
7,403
68,910
4,638
granted in the period
37,191
2,718
39,941
2,765
executed during the period
(24 282)
(1 634)
-
-
Closing balance
121,760
8,487
108,851
7,403
The table below presents the terms and conditions of the Share/Warrants Purchase Plan for 2022.
Type of transaction under IFRS 2
Share-based payments
Program announcement date
31 January 2020 – the Resolution of the Supervisory Board
approving the Remuneration Policy.
The commencement date for granting of shares
1 March 2022
The end date for granting shares
2 March 2022
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
40. CONTINGENT LIABILITIES
The following table presents the value of liabilities granted and received by the Bank.
Contingent liabilities
31.12.2022
31.12.2021
Contingent commitments granted
40,980,850
43,018,775
Financial commitments
29,475,246
32,755,485
Guarantees
11,505,604
10,263,290
Contingent commitments received
55,068,490
27,524,546
Financial commitments
13,482,568
13,592,590
Guarantees
41,585,922
22,728,988
The amount of contingent liabilities granted as at 31 December 2022 equals PLN 18,279,953thousand (PLN 18,813,999 thousand
as at 31 December 2021), while the amount of contingent liabilities received by the Bank as at 31 December 2022 equals PLN
49,935,837thousand (PLN 24,046,996 thousand as at 31 December 2021).
41. COLLATERALS
The Bank had the following assets pledged as collaterals for payment of its own and third-party liabilities.
Assets of the Bank pledged as collaterals
The table below presents the balance sheet value of financial assets that have been established as collateral for contracted
liabilities or contingent liabilities.
Assets pledged as collaterals
31.12.2022
31.12.2021
Guaranteed amount protection fund – Bank Guarantee Fund (BFG)
type of collateral
Treasury bonds
nominal value of collateral
300,000
340,000
balance sheet value of collateral
284,894
336,429
maturity
22.09.2025
25.07.2026
type of collateral
Treasury bonds
nominal value of collateral
160,000
-
balance sheet value of collateral
151,986
-
maturity
21.07.2033
-
Collateral for derivative transaction settlement
type of collateral
call deposits (amounts due from other banks)
nominal value of collateral
919,316
1,558,124
Collateral of SPV settlements for securitization
type of collateral
receivables that are the subject to a securitization
transaction
nominal value of collateral
364,427
722,304
Collateral due to repo transactions
Balance sheet value
-
92,809
fair value
-
90,629
Assets of the customer pledged as collaterals
The Bank has not established collateral on customer assets that may be sold or pledged.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
42. FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES
Based on the methods used to determine fair value, the Bank classifies particular assets and liabilities into the following categories:
Level 1
Assets and liabilities measured on the basis of market quotations available on active markets for identical instruments.
Level 2
Assets and liabilities measured using valuation techniques based on directly or indirectly observed market quotations or other
information based on market quotations.
Level 3
Assets and liabilities measured using valuation techniques where input data is not based on observable market data.
The Bank periodically (at least quarterly) assigns individual assets and liabilities to particular levels of the fair value hierarchy. The
basis for classification to particular levels of the valuation hierarchy is the input data used for the valuation, i.e. market quotes or
other information. The lowest level of input data used for the valuation, having a significant impact on determining the fair value,
determines the classification of an asset or liability to a particular hierarchy level.
If the input data is changed to data classified to another level, e.g. as a result of changes in the valuation methodology or changes
in market data sources, the Bank transfers the asset or liability to the appropriate level of measurement in the reporting period in
which the change occurred.
During the third quarter of 2022, a review of the quotes available in the market was carried out with regard to their availability,
reliability and liquidity. As a result of this review, the rules for assigning individual instruments to valuation levels were adjusted.
The changes resulted in an expansion of the group of instruments assigned to level 2 to include instruments denominated in G7
currencies and instruments with longer time to maturity.
As of 31.12.2022, particular instruments were included in the following valuation levels:
1. the first level: Treasury bonds and bonds issued by European Investment Bank (fair value is determined directly by reference
to published active market quotations), quoted shares;
2. the second level: bonds issued by PFR, interest rate options in EUR, USD and GBP, FX options maturing within 2 years, base
interest rate and FX swaps denominated in G7 currencies maturing within 15 years, and base interest rate and FX swaps
denominated in other currencies maturing within 10 years, FRA maturing within 2 years, FX Forward, NDF and FX swaps
denominated in G7 currencies maturing within 10 years, FX Forward transactions, NDF and FX swaps denominated in other
currencies maturing within 3 years, commodity swaps maturing within 1 year, interest rate swaps denominated in G7
currencies, interest rate swaps denominated in other currencies maturing within 10 years, structured instruments (whose fair
value is determined using measurement techniques which are based on available, verifiable market data);
3. the third level: interest rate options in PLN, FX options maturing over 2 years, base interest rate and FX swaps denominated
in G7 currencies maturing over 15 years, base interest rate and FX swaps denominated in other currencies maturing over 10
years, FRA contracts maturing over 2 years, FX Forward transactions, NDF and FX swaps denominated in G7 currencies
maturing over 10 years, FX Forward transactions, NDF and FX swaps denominated in other currencies maturing over 3 years,
commodity swaps maturing over 1 year, interest rate swaps denominated in currencies other than G7 currencies maturing
over 10 years, structured instruments (whose fair value is determined using measurement techniques (models) which are not
based on available, verifiable market data), derivatives for which significant Fair Value Correction or Credit Value Adjustment
was created and corporate bonds other than CATALYST-listed ones, shares which are not listed on the WSE and other
exchanges, subsidised loans (fair value determined using measurement techniques (models) which are not based on
available, verifiable market data, i.e. in cases other than those described in 1 and 2.
The table below presents classification of assets and liabilities re-measured to fair value in the separate financial statements into
three categories:
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2022
Level 1
Level 2
Level 3
Total
Assets measured at fair value:
17,384,793
2,987,166
1,526,741
21,898,700
Derivative financial instruments
-
2,958,065
266,207
3,224,272
Hedging instruments
-
29,101
-
29,101
Securities measured at fair value through other comprehensive
income
17,384,793
-
-
17,384,793
Securities measured at fair value through profit or loss
-
-
311,236
311,236
Loans and advances to customers measured at fair value through
profit or loss
-
-
949,298
949,298
Liabilities measured at fair value:
-
4,244,791
377,590
4,622,381
Derivative financial instruments
-
2,885,339
262,516
3,147,855
Hedging instruments
-
1,359,452
115,074
1,474,526
31.12.2021
Level 1
Level 2
Level 3
Total
Assets measured at fair value:
9,143,353
1,412,875
2,093,752
12,649,980
Derivative financial instruments
-
1,347,410
554,509
1,901,919
Hedging instruments
-
65,465
-
65,465
Securities measured at fair value through other comprehensive
income
9,143,353
-
-
9,143,353
Securities measured at fair value through profit or loss
-
-
320,216
320,216
Loans and advances to customers measured at fair value through
profit or loss
-
-
1,219,027
1,219,027
Liabilities measured at fair value:
-
2,525,860
520,144
3,046,004
Derivative financial instruments
-
1,458,287
459,745
1,918,032
Hedging instruments
-
1,067,573
60,399
1,127,972
The fair value of level 2 and 3 financial instruments is determined using the measurement techniques (e.g. models).
The input data used for purposes of valuation of level 2 and 3 instruments include foreign exchange rates, yield curves, reference
rates, changes in foreign exchange rates, reference rates, stock market indices and stock prices, swap points, basis spreads,
stock market index values and futures prices.
In the case of derivative financial instruments classified to level 3, the unobservable parameters are correlations between stock
exchange indices, correlations between exchange rates and stock exchange indices and implied volatilities of shares listed on the
WSE and the WIG20 index.
As regards level 3 municipal bonds, the credit risk margin is a non-observable parameter which is replaceable with the market
margin for instruments within similar characteristics. The effect of changes in the credit margin on changes in the fair value is
considered immaterial.
The table presented below shows changes in the measurement of level 3 assets and liabilities as well as amounts charged to profit
or loss and statement of comprehensive income.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2022
Derivative
financial
instruments
– assets
Hedging
instruments -
assets
Financial assets
measured at fair
value
Derivative
financial
instruments
– liabilities
Hedging
instruments -
liabilities
Opening balance
554,509
-
1,539,243
(459,745)
(60,399)
Total gains/losses recognised in:
(288,302)
-
60,741
722,261
175,473
statement of profit or loss
(288,302)
-
60,741
722,261
175,473
Statement of comprehensive income
-
-
-
-
-
Purchase
-
-
5 134
-
-
Sale
-
-
-
-
-
Settlement/expiry
-
-
(344,583)
-
-
Closing balance
266,207
-
1,260,534
262,516
115,074
Unrealized gains/losses recognised in profit or loss related to assets and liabilities at the end of the period
(288,302)
-
60,741
722,261
175,473
31.12.2021
Derivative
financial
instruments
– assets
Hedging
instruments -
assets
Financial assets
measured at fair
value
Derivative
financial
instruments
– liabilities
Hedging
instruments -
liabilities
Opening balance
287,094
94,873
1,911,704
(348,105)
-
Total gains/losses recognised in:
267,414
(94,873)
18,719
(111,640)
(60,399)
statement of profit or loss
267,414
(94,873)
18,719
(111,640)
(60,339)
Statement of comprehensive income
-
-
-
-
-
Purchase
-
-
3,431
-
-
Sale
-
-
(786)
-
-
Settlement/expiry
-
-
(393,825)
-
-
Closing balance
554,509
-
1,539,243
(459,745)
(60,399)
Unrealized gains/losses recognised in profit or loss related to assets and liabilities at the end of the period
267,414
(94,873)
18,719
(111,640)
(60 339)
The Bank measures the fair value by discounting all contractual cash flows related to transactions, with the use of yield curves
characteristic of each transaction group. Where no repayment schedule is agreed for a product, it is assumed that the fair value is
equal to the carrying amount of the transaction, or, in case of revolving products, the curves derived from the liquidity profile of
these products and the expected behavioural duration of these exposures are used.
The yield curve used for fair value measurement of liabilities (such as customer and interbank deposits) and receivables (such as
loans to customers and interbank deposits) of the Bank comprises:
- the credit risk free yield curve;
- the cost of obtaining financing above the credit risk free yield curve;
- the market margin that reflects credit risk for receivables.
The yield curve for fair value measurement of loans is constructed through classification of loans into sub-portfolios depending on
the product type and currency as well as customer segmentation. A margin is determined for each sub-portfolio taking into account
credit risk. The margin is determined with the use of credit risk parameters of a given customer determined in the process of
calculating the impairment of financial instruments.
The current credit risk margin and the current liquidity margin, the values of which are not quoted on an active market, are the non-
observable parameters for all the categories.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The following table presents the book value and fair value of those financial assets and liabilities that are not reported in the Bank's
statement of financial position at their fair value, as well as the level of valuation classification.
31.12.2022
Book value
Fair value
Level
Financial assets
Cash and balances at Central Bank
2,718,242
2,718,242
3
Amounts due from other banks
11,709,582
10,994,074
3
Loans and advances to customers measured at amortised cost
83,893,270
82,236,703
3
Securities measured at amortised cost
22,167,261
18,100,104
1.3
Other financial assets
675,250
675,250
3
Investments in subsidiaries
93,119
93,119
3
Financial liabilities
Amounts due to Central Bank
8,713
8,713
3
Amounts due to other banks
1,805,219
1,875,753
3
Amounts due to customers
120,429,051
119,349,674
3
Subordinated liabilities
4,416,887
4,393,165
3
Lease liabilities
718,724
718,724
3
Other financial liabilities
1,380,050
1,380,050
3
31.12.2021
Book value
Fair value
Level
Financial assets
Cash and balances at Central Bank
4,631,410
4,631,410
3
Amounts due from other banks
2,254,621
2,081,712
3
Loans and advances to customers measured at amortised cost
80,124,751
79,041,234
3
Securities measured at amortised cost
23,268,041
21,612,237
1.3
Other financial assets
378,151
378,151
3
Investments in subsidiaries
122,033
122,033
3
Financial liabilities
Amounts due to other banks
2,621,155
2,575,044
3
Amounts due to customers
101,823,600
101,060,771
3
Subordinated liabilities
4,334,572
4,591,245
3
Lease liabilities
860,009
860,009
3
Other financial liabilities
683,479
683,479
3
a) Amounts due from banks and amounts due to banks
Amounts due from banks and amounts due to banks include interbank deposits and interbank settlements. The fair value of fixed
and floating rate deposits/placements is based on discounted cash flows determined by reference to money market interest rates
for items with similar credit risk and residual maturity.
b) Loans and advances to customers
The estimated fair value of loans and advances is the discounted value of future cash flows to be received, using the current
market rates adjusted by financing cost and by actual or estimated credit risk margins.
The fair value of loans and advances covered by the Law on Community Financing for Business Ventures and Borrower Assistance
takes into account the impact of changes in repayment schedules resulting from the introduction of loan vacations.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
c) Securities measured at amortised cost
The fair value of securities measured at amortised cost was determined by reference to the published quoted prices in an active
market for quoted securities (first level of measurement or a second level in case of reduced liquidity). However, for unquoted
securities, fair value was determined using valuation techniques not based on available market data (third level of measurement).
d) Investments in subsidiaries and associates
The fair value of investments in subsidiaries and associates was taken at their balance sheet value.
e) Liabilities due to subordinated loan
Liabilities include subordinated loans. The fair value of the floating rate loan is based on discounted cash flows determined by
reference to money market interest rates for items with similar credit risk and residual maturity.
f) Liabilities due to customers
The fair value of fixed and floating rate deposits is based on discounted cash flows determined by reference to money market
interest rates adjusted by the actual cost of securing funds over the past three months. For demand deposits, it is assumed that
the fair value is equal to their carrying amount.
g) Lease liabilities
The fair value of lease liabilities was determined as equal to their balance sheet value.
h) Debt securities issued
The fair value of the securities issue was estimated using a model that discounts the future cash flows of the investment based on
market interest rate curves adjusted for issuer credit risk.
Compensation of financial assets and liabilities
31.12.2022
Gross value
presented in
financial
assets/liabilities
Net value presented
in financial
assets/liabilities
Offsetting value under
concluded contracts
Cash collateral
value
Net value
Financial assets
Trading and hedging
derivatives
3,253,373
3,253,373
(2,477,594)
(588,655)
187,125
Total
3,253,373
3,253,373
(2,477,594)
(588,655)
187,125
Financial liabilities
Trading and hedging
derivatives
4,622,381
4,622,381
(2,477,594)
(919,316)
1,225,471
Total
4,622,381
4,622,381
(2,477,594)
(919,316)
1,225,471
31.12.2021
Gross value
presented in
financial
assets/liabilities
Net value presented
in financial
assets/liabilities
Offsetting value under
concluded contracts
Cash collateral
value
Net value
Financial assets
Trading and hedging
derivatives
1,967,384
1,967,384
(1,283,175)
(46,407)
637,801
Total
1,967,384
1,967,384
(1,283,175)
(46,407)
637,801
Financial liabilities
Trading and hedging
derivatives
3,046,005
3,046,005
(1,283,175)
(1,552,559)
210,271
Total
3,046,005
3,046,005
(1,283,175)
(1,552,559)
210,271
The possibility to compensate receivables and liabilities which are not due as well as settlement in the net amount in case of early
settlement of the contract, result from the provisions of framework agreements / ISDA concluded with the customers.
.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
43. LOAN PORTFOLIO SALE
In 2022 the Bank concluded agreements regarding the sale of individual loans from SME, corporate and retail loan portfolio.
The gross book value of the portfolio measured at amortised cost sold amounted to PLN 387,66 thousand, while the amount of
created impairment allowances was PLN 313,497 thousand.
The contractual price for the sale of these portfolios has been set at PLN 108,213 thousand. The net effect on the Bank's results
from the sale of portfolios which amounted to PLN 34,044 thousand is presented in Net allowances on expected credit losses of
financial assets and provisions on contingent liabilities.
44. SECURITIZATION
In December 2017, the Bank performed a securitization transaction on the portfolio of cash and car loans, using the BGZ Poland
ABS1 DAC (SPV) subsidiary. The transaction is a traditional securitization involving the transfer of ownership of the securitized
receivables to SPV (BGŻ Poland ABS1 DAC based in Ireland). The revolving period was 24 months and ended in December 2019.
From January 2020, the transaction is amortised.
As a result of the securitization the Group obtained financing for its operations in exchange for giving away rights to future flows
resulting from the securitized loan portfolio in the amount of PLN 2,300,471 thousand as of 22 November 2017 (the so-called cut-
off date). The maximum term of the full redemption of bonds and loan repayment is 27 April 2032.
SPV issued bonds with a total value of PLN 2,180,850 thousand on the basis of securitized assets and received a loan of PLN
119,621 thousand, which was secured by a registered pledge on the rights to cash flows from securitized assets. At the end of
December 2022, the value of bonds and loan amounted to PLN 384,417 thousand.
The main benefit of the performed transaction is a positive impact on capital adequacy ratios and improvement of liquidity and
diversification of financing sources.
In the light of the provisions of IFRS 9, the contractual terms of the securitization do not fulfil the conditions for derecognition of
securitized assets. In connection with the above, the Group recognises securitized assets in “Loans and advances to customers”
as of 31 December 2022 at gross value of PLN 409,957 thousand.
The Bank acts as a servicing entity in the transaction.
Balance sheet values and fair values of financial
assets covered by securitization and related
liabilities
Balance sheet amount
Fair value
31.12.2022
31.12.2021
31.12.2022
31.12.2021
Assets
409,057
775,591
357,691
706,029
Liabilities
384,417
761,924
384,417
761,924
45. CUSTODY OPERATIONS
The Bank conducts custody operations consisting in maintaining assets or client transactions settlement. These assets have not
been disclosed in the financial statements as they do not belong to the Bank.
As at 31 December 2022, the Custody Services Office conducted 193 securities accounts for the clients. The fair value of the
financial instruments of the customers of the Custody Services Office for this date was PLN 20,444,155 thousand.
In the reporting period, securities in public trading and securities in material form as well as securities traded abroad were stored
by the Bank. As part of providing custody services to the clients, the Bank cooperated with several brokerage offices. The Bank
acts as a depository for domestic investment funds.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
46. THE SHAREHOLDER’S STRUCTURE OF BNP PARIBAS
BANK POLSKA S.A.
As at 31 December 2022, the structure of the shareholders of BNP Paribas Bank Polska S.A., including those holding at least 5%
of the total number of votes at the General Shareholders’ Meeting was as follows:
Shareholders
Number of shares
Percentage
interest in
share capital
Number of
votes at the
General
Shareholders’
Meeting
Percentage
share in the
total number
of votes at the
General
Shareholders’
Meeting
BNP Paribas, in total:
128,991,553
87.40%
128,991,553
87.40%
BNP Paribas directly
93,501,327
63.35%
93,501,327
63.35%
BNP Paribas Fortis SA/NV directly
35,490,226
24.05%
35,490,226
24.05%
Other shareholders
18,601,597
12.60%
18,601,597
12.60%
Total
147,593,150
100.00%
147,593,150
100.00%
The Bank’s share capital as at 31 December 2022 was PLN 147,519 thousand.
The share capital is divided into 147,593,150 shares with the par value of PLN 1.00, including: 15,088,100 A series shares,
7,807,300 B series shares, 247,329 C series shares, 3,220,932 D series shares, 10,640,643 E series shares, 6,132,460 F series
shares, 8,000,000 G series shares, 5,002,000 H series shares, 28,099,554 I series shares, 2,500,000 J series shares, 10,800,000
K series shares, 49,880,600 L series shares and 174,232 M series shares.
Four B series registered shares in the Bank are preference shares with respect to payment of the full par value per share in the
event of the Bank’s liquidation, once the creditors’ claims have been satisfied, with priority over payments per ordinary shares,
which, after the rights attached to the preference shares have been exercised, may be insufficient to cover the total par value of
those shares.
The total number of votes resulting from all the shares of the Bank is 147 593,150. The number of votes resulting from the allocated
in 2022 Series M Shares is 74,368 votes, while the total number of votes resulting from the allocated Series M shares is 174,232.
The amount of the conditional share capital increase after the Series M Shares issue is PLN 401,768.
Changes in the shareholder structure in 2022
On 4 April 2022, the Bank's share capital was increased from PLN 147,518,782 to PLN 147,593,150 as a result of the subscription
of 74,368 M series shares in exercise of the rights from the A2 series registered subscription warrants taken up earlier.
BNP Paribas Bank Polska shares held by the members of the Supervisory Board and Management Board
Summary of the holdings of Bank shares and share entitlements by members of the Bank's Management Board and Supervisory
Board as at the date of submission of the report for the 3 quarters of 2022 (10 November 2022) and the report for 2022 (1 March
2023) is presented below.
The holdings of the individual members of the Management Board of the Bank's shares and share entitlements have not changed
since the publication date of the previous report, i.e. 10 November 2022.
MEMBER OF THE BANK'S
MANAGEMENT BOARD
SHARES*
SUBSCRIPTION
WARRANTS
SHARES
SUBSCRIPTION
WARRANTS**
10.11.2022
10.11.2022
1.03.2023
1.03.2023
Przemysław Gdański
17,137
9,336
17,137
9,336
Jean-Charles Aranda
2,338
3,002
2,338
3,002
André Boulanger
3,129
7,081
3,129
7,081
Przemysław Furlepa
2,722
4,076
2,722
4,076
Wojciech Kembłowski
3,195
4,050
3,195
4,050
Kazimierz Łabno
1,862
2,285
1,862
2,285
Magdalena Nowicka
-
2,046
-
2,046
Volodymyr Radin
895
1,230
895
1,230
Agnieszka Wolska
-
614
-
614
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
* M series shares subscribed on 4 April 2022 in exercise of the rights attached to A2 series subscription warrants (A2 series registered subscription
warrants were subscribed on 25 March 2021; one warrant entitled to subscribe for one M series ordinary bearer share of BNP Paribas Bank Polska
S.A., with the issue price of PLN 1.00 per share); in the case of Mr Przemysław Gdański, the number of M series shares in the exercise of rights
arising from A2 series warrants subscribed was 9,148, the number of subscribed series M shares in exercise of the rights arising from series A1
warrants was 7,489, the number of shares purchased on the WSE share market was 500
** A3 series subscription warrants taken up on 25.03.2022 - one A3 series warrant entitles to acquire one M series ordinary bearer share of BNP
Paribas Bank Polska S.A., at the issue price of PLN 1.00 per share
The members of the Bank's Supervisory Board did not declare their ownership of the Bank's shares/privileges as at 31 December
2022 and as at the date of submission of this report, i.e. 1 March 2023, which has not changed since the publication of the report
for the 3 quarters of 2022, i.e. 10 November 2022.
Investor commitment of BNP Paribas regarding the liquidity of the Bank's shares
In accordance with the commitment made by BNP Paribas S.A. - the Bank's main shareholder - to the Financial Supervision
Authority, submitted on 14 September 2018, the number of the Bank's free float shares should be increased to at least 25% plus
one share by the end of 2023 at the latest.
.
47. SUPPLEMENTARY CAPITAL AND OTHER CAPITALS
The following tables present changes in supplementary capital and other reserve capitals:
Supplementary capital
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
9,110,976
9,110,976
Changes
-
-
Closing balance
9,110,976
9,110,976
Other reserve and revaluation capital
12 months ended
31.12.2022
12 months ended
31.12.2021
General banking risk fund
627,154
627,154
Revaluation reserve
(1,150,000)
(595,707)
Other reserve capital
2,509,445
2,318,961
Total
1,986,599
2,350,408
General banking risk fund created from net profit
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
627,154
627,154
Distribution of retained earnings
-
-
Closing balance
627,154
627,154
Revaluation reserve
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
(595,707)
255,887
Gain/loss on changes in fair value of financial assets measured through other
comprehensive income
(599,039)
(969,416)
Net gain/loss on change in fair value of gross cash flow hedging derivatives
(83,987)
(85,303)
Actuarial valuation of employee benefits
(1,287)
3,368
Deferred income tax
130,020
199,757
Closing balance
(1,150,000)
(595,707)
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Other reserve capital
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
2,318,961
1,581,828
Distribution of retained earnings
184,526
731,060
Management stock options
5,958
6,073
Closing balance
2,509,445
2,318,961
Retained earnings
12 months ended
31.12.2022
12 months ended
31.12.2021
Opening balance
(400,786)
(400,786)
Distribution of the current period profit
-
-
Closing balance
(400,786)
(400,786)
Change in revaluation reserve on financial assets
measured through other comprehensive income
2022
2021
Gross value
Deferred tax
Gross value
Deferred tax
Opening balance
(743,108)
141,191
311,612
(59,206)
gains/losses on financial assets measured at fair value
through other comprehensive income recognised in
equity
(686,312)
130,399
(1,052,443)
199,965
reclassification to financial result due to sale of financial
assets measured at fair value through other
comprehensive income
3,286
(624)
(2,276)
432
Closing balance
(1,426,134)
270,966
(743,108)
141,191
48. DIVIDENDS PAID
The Bank did not pay any dividends for 2021. The Management Board of the Bank will not recommend dividend payment for 2022.
49. DISTRIBUTION OF RETAINED EARNINGS
Pursuant to the Resolution No. 6 of the General Shareholders’ Meeting of BNP Paribas Bank Polska S.A. of 27 June 2022, the net
profit for 2021, in the amount of PLN 184,526 thousand, was allocated to the reserve capital.
50. CASH AND CASH EQUIVALENTS
For the purpose of preparation of the statement of cash flows, the balance of cash and cash equivalents comprises the following
balances with maturity shorter than three months.
Cash and cash equivalents
31.12.2022
31.12.2021
Cash and balances at Central Bank (Note 17)
2,718,242
4,631,410
Current accounts of banks and other receivables
9,025,122
183,310
Interbank deposits
1,383,243
337,500
Total cash and cash equivalents
13,126,607
5,152,220
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
51. ADDITIONAL INFORMATION REGARDING THE
STATEMENT OF CASH FLOWS
Differences between balance sheet changes of the value of items and changes in the balance of these items presented in operating
activities.
Changes in amounts due from banks (including amounts due from Central
Bank and cash)
31.12.2022
31.12.2021
Change arising from the balance sheet
(7,541,793)
(2,908,876)
Elimination of a change in cash and cash equivalents
7,974,387
1,666,345
Change in balance arising from interest
4,857
(1,180)
Total change in amounts due from banks
437,452
(1,243,712)
Change in amounts due from customers measured at amortised cost
31.12.2022
31.12.2021
Change arising from the balance sheet
(3,768,519)
(9,677,776)
Change in balance arising from interest
318,284
(100,788)
Total change in amounts due from customers measured at amortised cost
(3,450,235)
(9,778,564)
Change in amounts due to other banks
31.12.2022
31.12.2021
Change arising from the balance sheet
(815,936)
(210,383)
Change in balance arising from interest
5,811
(80,785)
Total change in amounts due to other banks
(810,125)
(291,168)
Change in amounts due to customers
31.12.2022
31.12.2021
Change arising from the balance sheet
18,605,451
10,357,049
Change in balance arising from interest
(288,973)
9,737
Total change in amounts due to customers
18,316,478
10,366,786
Cash flows from operating activities – other adjustments
12 months ended
31.12.2022
12 months ended
31.12.2021
FX differences from subordinated loans
66,025
21,317
Valuation of securities recognized in the statement of profit or loss
(5,904)
77,036
Allowance for securities
(672)
33,258
Other adjustments
51,293
56,888
Cash flows from operating activities – total other adjustments
110,742
188,499
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
52. RELATED PARTY TRANSACTIONS
BNP Paribas Bank Polska S.A. operates within the BNP Paribas Bank Polska S.A. Capital Group.
BNP Paribas Bank Polska S.A. is the parent in the BNP Paribas Bank Polska S.A. Capital Group.
The ultimate parent company is BNP Paribas S.A., based in Paris.
As of 31 December 2022, the Capital Group of BNP Paribas Bank Polska S.A. comprised BNP Paribas Bank Polska S.A. as the
parent company, and its subsidiaries:
1. BANKOWY FUNDUSZ NIERUCHOMOŚCIOWY ACTUS SP. Z O.O. in liquidation („ACTUS”).
2. BNP PARIBAS TOWARZYSTWO FUNDUSZY INWESTYCYJNYCH S.A. („TFI”).
3. BNP PARIBAS LEASING SERVICES SP. Z O.O. („LEASING”).
4. BNP PARIBAS GROUP SERVICE CENTER S.A. („GSC”).
5. CAMPUS LESZNO SP. Z O.O.
6. BGZ POLAND ABS1 DAC („SPV”).
All transactions between the Bank and its related parties were entered into as part of daily operations and included mainly loans,
deposits, transactions with reference to derivative instruments as well as income and expenses related to advisory and financial
intermediation services.
Transactions with shareholders of BNP Paribas Bank Polska S.A. and related parties
31.12.2022
BNP Paribas
S.A. located in
Paris
BNP
Paribas
Fortis S.A.
Other
entities from
the Capital
Group of
BNP Paribas
S.A.
Key
personnel
Subsidiarie
s
Total
Assets
13,360,400
4,733
251,774
770
538,411
14,156,087
Receivables on current accounts, loans
and deposits
10,973,541
291
231,077
770
537,638
11,743,317
Derivative financial instruments
2,357,757
4,442
-
-
-
2,362,199
Derivative hedging instruments
29,101
-
-
-
-
29,101
Other assets
-
-
20,697
-
773
21,470
Liabilities
7,517,793
48,670
1,349,432
2,478
147,968
9,066,341
Current accounts and deposits
765,040
48,670
1,068,439
2,478
147,051
2,031,678
Subordinated liabilities
4,136,961
-
279,926
-
-
4,416,887
Derivative financial instruments
1,141,266
-
-
-
-
1,141,266
Derivative hedging instruments
1,474,526
-
-
-
-
1,474,526
Lease liabilities
-
-
1,067
-
231
1,298
Other liabilities
-
-
-
-
686
686
Contingent liabilities
Financial commitments granted
-
-
325,018
651
-
325,669
Guarantees granted
118,801
127,380
1,580,487
-
985,565
2,812,233
Commitments received
300,334
184,046
1,943,450
-
514,662
2,942,492
Derivative financial instruments (nominal
value)
58,170,836
2,195,441
-
-
-
60,366,276
Derivative hedging instruments (nominal
value)
15,708,485
-
-
-
-
15,708,485
Statement of profit or loss
(278,690)
(647)
7,641
(27)
39,160
(232,563)
12 months ended 31.12.2022
Interest income
85,480
780
25,096
43
5,927
117,326
Interest expense
(226,859)
(1,427)
(21,068)
(70)
(91)
(249,515)
Fee and commission income
-
-
38,276
-
2,908
41,184
Fee and commission expense
-
-
-
-
(6,711)
(6,711)
Net trading income
(1,531)
-
-
-
-
(1,531)
Other operating income
-
-
18,643
-
36,746
55,389
Other operating expense
-
-
(24,171)
-
(120)
(24,291)
General administrative costs
(135,780)
-
(29,135)
-
501
(164,414)
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2021
BNP Paribas
S.A. located in
Paris
BNP
Paribas
Fortis S.A.
Other
entities from
the Capital
Group of
BNP Paribas
S.A.
Key
personnel
Subsidiarie
s
Total
Assets
2,583,416
4,264
35,489
841
5,745
2,629 755
Receivables on current accounts, loans
and deposits
1,585,212
4,264
34,536
811
4,013
1,628,836
Derivative financial instruments
932,697
-
-
-
-
932,697
Derivative hedging instruments
65,465
-
-
-
-
65,465
Other assets
42
-
953
30
1,732
2,757
Liabilities
8,203,374
29,944
1 038,097
2,684
102,758
9,376,857
Current accounts and deposits
1,978,727
29,944
761,579
2,684
102,623
2,875,557
Subordinated liabilities
4,058,054
-
276,518
-
-
4,334,572
Derivative financial instruments
1,038,620
-
-
-
-
1,038,620
Derivative hedging instruments
1,127,973
-
-
-
-
1,127,973
Lease liabilities
-
-
-
-
135
135
Contingent liabilities
Financial commitments granted
-
-
295,448
633
1,051,000
1,347,081
Guarantees granted
105,365
200,134
1,448,341
-
965,874
2,719,714
Commitments received
812,994
304,155
1,774,204
-
-
2,891,353
Derivative financial instruments (nominal
value)
60,082,978
-
-
-
-
60,082,978
Derivative hedging instruments (nominal
value)
26,448,220
-
-
-
-
26,448,220
Statement of profit or loss
(1,535,516)
53
(11,550)
10
50,513
(1,496,490)
12 months ended 31.12.2021
Interest income
-
6
102
10
85
203
Interest expense
(78,832)
(42)
(5,353)
-
(1)
(84,228)
Fee and commission income
591
89
4,817
-
1,111
6,608
Fee and commission expense
-
-
(49)
-
(35)
(84)
Net trading income
(1,372,390)
-
-
-
-
(1,372,390)
Other operating income
-
-
-
-
47,779
47,779
General administrative costs
(84,885)
-
(11,067)
-
1,574
(94,378)
Remuneration of the Management Board and Supervisory Board
Management Board
31.12.2022
31.12.2021
Short-term employee benefits
17,003
14,856
Long-term benefits
4,288
4,638
Benefits due to termination of employment
-
973
Post-employment benefits
4,462
4,340
Share-based payments*
1,405
1,513
Total
27,158
26,320
*includes a provision for deferred phantom shares and an amount in the Bank's capital linked to the Bank's shares taken up in the
future (in accordance with the variable remuneration policy)
**value of shares issued based on actuarial valuation
Supervisory Board
31.12.2022
31.12.2021
Short-term employee benefits
1,629
1,457
Total
1,629
1,457
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
53. OPERATING SEGMENTS
Segment reporting
The Bank has identified the following operating segments for reporting purposes and allocated income and expenses as well as
assets and liabilities thereto: Retail and Business Banking, Small and Medium-Sized Enterprises (SME), Corporate Banking,
Corporate and Institutional Banking (CIB) as well as Other Operations, including ALM Treasury and the Corporate Centre.
Additionally, performance related to Agro customers, i.e. individual farmers and agro-food sector enterprises, as well as the
Personal Finance segment has been presented. Although the aforesaid segment performance overlaps with that of the basic
operating segments, it is additionally monitored separately for purposes of the Bank’s management reporting. The abovementioned
segmentation reflects the principles of customer classification to each segment in line with the business model adopted by the
Bank, which are based on such criteria as the entity, finances and type of business activity.
The Bank’s management performance is monitored by considering all items of the statement of profit or loss of the particular
segment, to the level of gross profit, i.e. for each segment revenue, expenses and net impairment losses are reported. Management
revenue takes into account cash flows between customer segments and the asset liability management unit, measured by
reference to internal transfer prices of funds based on market prices and liquidity margins for each maturity and currency.
Management expenses of the segments include direct operating expenses and expenses allocated using the allocation model
adopted by the Bank. Additionally, the management performance of the segments take into account amounts due to each business
line for services between such lines.
The Bank’s operations are conducted in Poland only. As no considerable differences in the risks, which might be affected by the
geographical location of the Bank’s branches, can be identified, no geographical disclosures have been presented.
The Bank applies consistent, detailed principles to all identified segments. As regards the revenue, in addition to standard items,
components of the net interest income of the segments have been identified, to include external and internal revenue and
expenses. As regards operating expenses, the Bank’s indirect expenses are allocated to each segment in the Expense allocation
(internal) item. Considering the profile of the Bank’s business, no material seasonal or cyclical phenomena are identified. The
Group provides financial services, the demand for which is stable, and the effect of seasonality is immaterial.
Description of operating segments
Retail and Business Banking segment covers comprehensive services to retail customers, including private banking customers,
as well as business clients (microenterprises), including:
• entrepreneurs whose annual net income for the preceding financial year is below PLN 4 million, conducting full financial
reporting, whose credit exposure is lower than PLN 1.2 million,
• entrepreneurs conducting simplified financial reporting,
• housing communities and property managers,
• non-profit organisations,
• individual farmers, regardless of production volume, whose credit exposure is below PLN 3 million, individual farmers,
regardless of production volume, whose credit exposure is between PLN 3 million and PLN 4 million, if the collateral on arable
lands covers at least 50% of credit exposure,
• diocesan parishes of the Catholic Church,
• legal persons of churches and religious associations with income up to PLN 4 million.
The scope of financial services offered by the Retail and Business Banking Segment includes maintenance of current and deposit
accounts, acceptance of term deposits, granting mortgage loans, cash loans, mortgage advances, overdrafts, loans to
microenterprises, issuing debit and credit cards, cross-border cash transfers, foreign exchange transactions, sale of insurance
products as well as other services of lesser importance to the Bank’s income. Additionally, the performance of the Retail and
Business Banking Segment includes: balances and performance of e-banking (Optima), performance of brokerage services and
distribution and storage of investment fund units.
The Retail and Business Banking customers are served by the Bank’s Branches and alternative channels, i.e. online banking,
mobile banking and telephone banking, e-banking channel (Optima), the Banking Premium channel and Wealth Management
(respectively investing assets over PLN 100 thousand and in the minimum amount of PLN 1 million). Selected products are also
sold by financial intermediaries active at the country and local level.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Personal Finance is responsible for development of product offering and management of financial services provided to
consumers, with the following major products: cash loans, car loans, instalment loans and credit cards. The aforesaid products are
distributed through the Retail and Business Banking branch network as well as external distribution channels.
SME Banking provides services to:
• Agro-SME clients preparing full financial reporting in relation to net sales revenues for the previous financial year from PLN
4 million to PLN 60 million and credit exposure below PLN 18 million, agro-producer groups with credit exposure below PLN
40 million and Agro clients from the Bank of affiliated entities with net sales revenues between PLN 4 million and up to PLN
80 million and credit exposure below PLN 40 million, as well as agricultural producer groups and organisational units of the
National Forest Holding "The State Forests”, Agro customers, which are commercial companies owned by legal entities of
the Catholic Church with revenues up to PLN 60 million and total credit exposure up to PLN 18 million, and Agro customers
that are part of an international group of affiliated entities not serviced by the BNP Paribas Group, with net sales revenues
between PLN 4 million and PLN 80 million and credit exposure up to PLN 40 million.
• Non-Agro Customers - a sub--segment that includes entities that maintain full financial reporting, with net sales revenues
from the previous financial year ranging from PLN 4 million to PLN 60 million and whose credit exposure does not exceeding
PLN 18 million, as well as local government units with a budget of up to PLN 100 million and credit exposure not exceeding
PLN 18 million, along with their subsidiaries with revenues below PLN 60 million and credit exposure not exceeding PLN 18
million, legal entities of the Catholic Church with revenue up to PLN 60 million and total credit exposure up to PLN 18 million,
legal entities of churches and religious associations other than the Catholic Church, with revenue between PLN 4 million and
PLN 60 million, Non-Agro customers belonging to the international group of affiliated entities not serviced by the BNP Paribas
Group, with net sales revenue between PLN 4 million and PLN 60 million and credit exposure up to PLN 18 million.
• Agro entrepreneurs (i.e. companies conducting production activities in agriculture) preparing full financial reporting, whose
loan exposures were lower than PLN 40 million, as well as individual farmers if their loan exposure is in the range of PLN 4
million to PLN 40 million or in the range of 3 PLN million to 4 PLN million if the collateral on arable lands covers less than
50% of credit exposure;
Corporate Banking offers a wide variety of financial services to large and medium-sized enterprises with net sales revenues
exceeding or equal to PLN 60 million or with credit exposure exceeding PLN 18 million (in the case of Agro entrepreneurs with
credit exposure exceeding PLN 40 million), and to entities that are part of international capital groups.
Corporate Banking customers are divided into four basic groups:
• Polish corporations with annual net sales revenues from PLN 60 to 600 million or with a credit exposure greater than or equal
to PLN 18 million (or in the case of economic entities operating in agriculture with a credit exposure greater than or equal to
PLN 40 million),
• International clients (companies belonging to international capital groups),
• the largest Polish corporations with net sales revenues above PLN 600 million,
• public sector entities and financial institutions.
Distribution network for Corporate Banking is based on Regional Corporate Banking Centres located in Warsaw, Łódź, Gdańsk,
Poznań, Wrocław, Katowice, Kraków and Lublin. As part of the Regional Corporate Banking Centers, there are Corporate Banking
Centers located in the largest business centres in Poland, ensuring a wide geographical and sector coverage. After-sales service
for the clients of the Corporate Banking segment is also carried out by the Telephone Business Service Center and in the online
banking system.
The basic products and services provided to Corporate Customers include cash management and global trade finance services –
comprehensive services related to import and export LCs, bank guarantees and documentary collection, supply chain and exports
financing, acceptance of deposits (from overnight to term deposits), corporate finance services which involve provision of overdraft
facilities, revolving and investment loans as well as agro-business loans), financial market products, to include foreign exchange
and derivative transactions for the account of customers, lease and factoring products as well as specialised services such as
financing real estate, structured finance services to mid-caps and investment banking and services related to public sector entities:
organisation of municipal bond issues, forfaiting, dedicated cash management solutions.
The Corporate and Institutional Banking (CIB) Segment supports sales of products of the Bank, dedicated to the largest Polish
enterprises including services provided to key clients.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Other Banking Operations are performed mainly through the ALM Treasury, the main objective of which is ensuring an
appropriate and stable level of funding to guarantee the security of the Bank’s operations and compliance with the standards
defined in the applicable laws.
The ALM Treasury assumes responsibility for liquidity management at the Bank, setting internal and external reference prices,
management of the interest rate risk inherent in the Bank’s statement of financial position as well as the operational and structural
currency risk. The ALM Treasury focuses on both prudential (compliance with external and internal regulations) and optimisation
aspects (financing cost management and generating profit on management of the Bank’s items from the statement of financial
position).
The Other Operations segment includes also direct costs of the support functions, which have been allocated to segments in the
Expense allocation (internal) item, as well as results that may not be assigned to any of the aforementioned segments (to include
equity investment, gains/losses on own accounts and customer accounts not allocated to a specific segment).
Once a year, customer resegmentation is carried out within the business areas. Customers are migrated between segments when
they start to meet the criteria for assignment to a segment other than their current one. Resegmentation is aimed at correctly
assigning a customer to a business line and ensuring the highest quality of service tailored to their individual needs. The
presentation of data in the attached note is based on the 2021 resegmentation.
JEDNOSTKOWE SPRAWOZDANIE FINANSOWE BNP PARIBAS BANK POLSKA S.A. za rok zakończony dnia 31 grudnia 2022
Bank
zmieniającego się
świata
97
Retail and
Business
Banking
SME
Banking
Corporate
Banking
CIB
Other
Operations
Total
including
Agro
customers
including
Personal
Finance
Statement of profit or loss for the period of 12 months ended 31.12.2022*
Net interest income
1,456,086
329,221
883,352
75,260
653,824
3,397,742
497,600
672,601
external interest income
3,436,488
487,741
1,286,333
381,664
555,436
6,147,662
1,055,657
1,007,939
external interest expenses
(1,697,247)
(222,653)
(539,043)
(1,739)
(289,238)
(2,749,920)
(253,946)
-
internal interest income
1,998,872
433,302
1,108,902
2,520
(3,543,595)
-
449,287
-
internal interest expenses
(2,282,027)
(369,169)
(972,840)
(307,185)
3,931,221
-
(753,399)
(335,338)
Net fee and commission income
540,038
136,445
356,498
50,554
(4,301)
1,079,235
150,424
84,187
Dividend income
-
-
5,151
-
5,666
10,817
255
-
Net trading income
131,181
101,687
374,812
270,560
(123,856)
754,384
87,082
36
Result on investment activities
-
-
-
-
9,612
9,612
-
-
Result on hedge accounting
-
-
-
-
13,267
13,267
-
-
Other operating income and expenses
(45,442)
(5,075)
(5,009)
(656)
(33,285)
(89,464)
(2,707)
(26,118)
Result from derecognition of financial assets measured at
amortized cost due to material modification
(2,159)
-
-
-
-
(2,159)
-
-
Result of allowance for expected credit losses of financial
assets and provisions for contingent liabilities
(361,675)
48,059
47,920
(19,178)
2,157
(282,717)
(73,528)
(71,025)
Result on provisions for legal risk related to foreign currency
loans
(740,000)
-
-
-
-
(740,000)
-
-
General administrative expenses
(1,172,113)
(130,593)
(329,668)
(102,583)
(789,108)
(2,524,066)
(19,030)
(246,824)
Depreciation and amortization
(103,380)
(2,205)
(44,070)
(13,596)
(248,672)
(411,923)
(276)
(14,730)
Expense allocation (internal)
(672,880)
(188,654)
(176,004)
17,085
1,020,453
-
-
(117,006)
Operating result
(970,344)
288,885
1,112,982
277,446
505,757
1,214,728
639,820
281,121
Tax on financial institutions
(218,647)
(31,487)
(103,864)
(18,834)
(53,721)
(426,553)
-
(49,785)
Gross profit
(1,188,991)
257,398
1,009,118
258,612
452,036
788,176
639,820
231,336
Income tax expenses
-
-
-
-
-
(417,284)
-
-
Net profit
-
-
-
-
-
370,892
639,820
231,336
Statement of financial position as at 31.12.2022*
Segment assets
45,713,130
6,588,219
26,614,813
5,236,106
61,956,231
146,108,498
13,501,108
11,663,097
Segment liabilities
61,380,829
15,786,581
42,768,174
-
14,957,641
134,893,224
15,553,122
-
* As the figures have been rounded and presented in PLN ‘000, in some cases their total may not correspond to the exact grand total
JEDNOSTKOWE SPRAWOZDANIE FINANSOWE BNP PARIBAS BANK POLSKA S.A. za rok zakończony dnia 31 grudnia 2022
Bank
zmieniającego się
świata
98
Retail and
Business
Banking
SME
Banking
Corporate
Banking
CIB
Other
Operations
Total
including
Agro
customers
including
Personal
Finance
Statement of profit or loss for the period of 12 months ended 31.12.2021*
Net interest income
1,702,741
232,542
538,422
52,213
541,661
3,067,580
383,000
593,924
external interest income
1,621,109
166,866
420,375
88,860
1,007,976
3,305,185
394,141
768,840
external interest expenses
(35,520)
(4,845)
(11,234)
(123)
(185,883)
(237,605)
(5,410)
-
internal interest income
638,985
130,002
268,613
(101)
(1,037,498)
-
110,151
-
internal interest expenses
(521,832)
(59,481)
(139,332)
(36,422)
757,067
-
(115,883)
(174,916)
Net fee and commission income
514,602
127,978
318,257
54,150
(12,937)
1,002,050
146,019
101,305
Dividend income
978
-
2,894
-
5,656
9,528
255
-
Net trading income
99,160
82,928
282,817
188,600
(19,846)
633,658
59,662
110
Result on investment activities
-
-
-
-
(8,740)
(8,741)
-
-
Result on hedge accounting
-
-
-
-
50,369
50,369
-
-
Other operating income and expenses
(17,484)
(4,452)
(7,208)
135
(40,081)
(69,090)
(1,529)
(20,964)
Result of allowance for expected credit losses of financial
assets and provisions for contingent liabilities
(128,315)
(38,216)
(71,815)
2,250
(866)
(236,963)
(82,224)
(41,601)
Result on provisions for legal risk related to foreign currency
loans
(1,045,304)
-
-
-
-
(1,045,304)
-
-
General administrative expenses
(980,225)
(112,077)
(225,234)
(82,856)
(644,361)
(2,044,754)
(17,326)
(244,152)
Depreciation and amortization
(102,866)
(2,904)
(27,851)
(8,806)
(255,892)
(398,319)
(563)
(19,593)
Expense allocation (internal)
(580,917)
(175,598)
(119,088)
8,147
867,455
-
-
(106,639)
Operating result
(537,630)
110,201
691,194
213,833
482,418
960,014
487,294
262,390
Tax on financial institutions
(171,619)
(26,771)
(83,591)
(17,160)
(38,970)
(338,110)
-
(41,517)
Gross profit
(709,249)
83,430
607,603
196,673
443,448
621,904
487,294
220,873
Income tax expenses
(437,378)
Net profit
-
-
-
-
-
184,526
487,294
220,873
Statement of financial position as at 31.12.2021*
Segment assets
47,348,129
6,841,953
23,046,527
4,599,816
44,524,835
126,361,260
13,672,778
11,570,453
Segment liabilities
57,053,058
12,957,356
31,951,823
-
13,006,378
114,968,617
10,287,839
-
*As the figures have been rounded and presented in PLN ‘000, in some cases their total may not correspond to the exact grand total.
JEDNOSTKOWE SPRAWOZDANIE FINANSOWE BNP PARIBAS BANK POLSKA S.A. za rok zakończony dnia 31 grudnia 2022
Bank
zmieniającego się
świata
99
54. LITIGATION AND CLAIMS
Legal risk
As of 31 December 2022, there were no proceedings in the court, arbitration tribunal or state administration authorities regarding
liabilities or receivables of the Bank, the value of which would exceed 10% of the Bank's equity.
Court decision regarding calculation of the interchange fee
On 6 October 2015, the Court of Appeals issued a decision regarding calculation of the interchange fee by banks acting in
agreement. Thus, the decision of the 1st instance (Regional) Court of 2013 was changed by dismissing the banks’ appeals in
whole, while upholding the appeal brought by the Office of Competition and Consumer Protection (UOKiK), which had questioned
a considerable reduction in the fines by the 1st instance court. This denotes that the penalty imposed under the first decision of
the President of UOKiK of 29 December 2006 was upheld. It involved a fine levied on 20 banks, including Bank BGŻ S.A. and
Fortis Bank Polska S.A., for practices limiting competition by calculating interchange fees on Visa and MasterCard transactions in
Poland in agreement.
The total fine levied on Bank BGŻ BNP Paribas S.A. (presently BNP Paribas Bank Polska S.A.) amounted to PLN 12.54 million
and included:
• a fine for the practice of Bank Gospodarki Żywnościowej in the amount of PLN 9.65 million; and
• a fine for the practice of Fortis Bank Polska S.A. (FBP) in the amount of PLN 2.89 million.
The penalty was paid by the Bank on 19 October 2015. The Bank prepared a last resort appeal against the aforesaid court decision
and brought it on 25 April 2016. On 25 October 2017, the Supreme Court overruled the judgment of the Court of Appeal and
remitted the case. Acquisition of the core business of RBPL did not change the situation of the Bank as RBPL was not a party to
this claim.
On 23 November 2020, the Court of Appeal quashed the judgment of the first instance court and remitted the case for re-
examination. In November 2022, the first hearing was held.
Corporate claims against the Bank (interchange fee)
As of 31 December 2022 the Bank received:
33 requests for settlement from companies (merchants), due to interchange fees paid in relation to the use of payment cards,
(two from companies which submitted their requests twice and, one from the company which submitted its request three
times and one from a company which submitted two requests for different payment methods). The total amount of these
claims was PLN 1.028.02 million, including PLN 1.018.05 million where the Bank had joint responsibility with other banks.
4 requests for mediation before the PFSA. The requests were sent to the Bank by the same entrepreneurs who had previously
submitted requests for a settlement attempt. The total value of claims arising from the above applications amounts to PLN
40.29 million, of which PLN 37.79 million relates to joint liability with other banks.
Litigation and claims of investment fund participants in connection with the performance of the function of investment
fund depositary
As of 31 December 2022, the Bank had received a total of 72 individual lawsuits and one collective lawsuit by investment fund
participants, related to the performance of the function of investment fund depositary (including the performance of this function
by Raiffeisen Bank Polska S.A.). The total amount of claims covered by the above-mentioned lawsuits is PLN 144 million. The
vast majority of the lawsuits were filed by participants of the Retail Parks Fund Fundusz Inwestycyjny Zamknięty Aktywów
Niepublicznych in Liquidation (hereinafter RPF Fund) and participants of the EPEF Fundusz Inwestycyjny Zamknięty Aktywów
Niepublicznych and EPEF2 Fundusz Inwestycyjny Zamknięty Aktywów Niepublicznych. The collective lawsuit was filed on behalf
of 397 participants of the RPF Fund, and concerns claims in the total amount of PLN 96,220,800. The allegations raised by the
plaintiffs in the lawsuits focus, in particular, on the improper performance by Raiffeisen Bank Polska S.A., and then the Bank, of
its obligations to ensure that the value of an investment fund's net assets and the value of net assets per investment certificate are
calculated in accordance with the law and the investment fund's statute, and the obligation to verify the compliance of an investment
fund's operations with the law governing investment funds or with the statute. The Bank's position is that the claims of fund
participants are unfounded. All legal proceedings are pending before courts of first instance. No verdict has yet been issued in any
of the cases.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Proceedings regarding recognizing a standard contract as prohibited
On 22 September 2020, the Bank received a decision of the President of the Office of Competition and Consumer Protection
(UOKiK) No. DZOIK 14/2020, in which the President of UOKiK:
found certain provisions of the standard contract (the so-called anti-spreading annex) concerning the principles of determining
currency exchange rates illegal and prohibited their application;
obligated the Bank to inform all customers who are parties to the annex about the decision and its consequences and to post
information about the decision and its content on its website;
imposed a fine on the Bank in the amount of PLN 26.626 thousand payable to the Financial Education Fund.
The Bank appealed against the decision within the statutory deadline. The Bank has established a provision for the above penalty
in full amount. The first hearing was set for 29 June 2022. The court requested the Bank to submit additional explanations and
documents and adjourned the hearing until 21 September 2022, on which the court delivered his judgment and annulled the
decision of UOKiK. The President of UOKiK filed an appeal against the judgment.
Proceedings on practices violating collective consumer interests - unauthorised transactions
On 8 July 2022, the UOKiK initiated proceedings related to the practices violating the collective interests of consumers. The UOKiK
alleges that the Bank, upon receipt of a consumer complaint regarding an unauthorised transaction, did not automatically return
funds to customers within the D+1 deadline, but instead conducted a preliminary investigation procedure to determine whether the
incident could be classified as a security incident (fraud) or a transaction accepted/conducted by the customer. The second
allegation of the UOKiK relates to the Bank providing inappropriate information to customers when rejecting complaints about the
disputed transaction. When rejecting such complaints, the Bank explains that, according to its systems, the transaction is
considered authorised, and thus, if the customer questions this the situation should be considered as customer negligence.
On 31 August 2022, the Bank replied to the UOKiK, using the following reasoning:
The Bank refunds the amounts of transactions that were unauthorised - the lack of authorisation is verified in the banking systems
due to the provisions of the agreement concluded with the customer. The agreement specifies the procedure and factors required
to authenticate and accept transactions in accordance with European and Polish law.
The Bank disagrees with the UOKiK's position that the questioning of any transaction by a customer automatically triggers an
obligation to return it. Such a position is contrary to Article 72 of the PSD. This obligation should arise and be reviewed taking into
account all provisions of the PSD, the Regulatory Technical Standards (RTS) and the Polish Payment Services Act, not only in
terms of authentication, but also in terms of liability for the transaction or fraud disclosed by the customer.
According to the Bank, the UOKiK's position is the result of incorrect implementation of the PSD into Polish law. According to the
PSD, the Bank should prove proper authentication, and not authorisation. Under Polish law, the Bank is obliged to demonstrate
that authorisation has been carried out by the Client.
When rejecting complaints, the Bank correctly informs customers of the verification of the correct authentication of the transaction,
which at this stage constitutes proof that the Client has performed it. Accordingly, the Bank informs the customer that if the customer
still claims that such a transaction was not authorised, the transaction must be the result of fault or negligence on the part of the
customer.
Proceedings for practices violating the collective interests of consumers - credit holidays
On 5 September 2022, the Bank received the UOKiK's decision to initiate proceedings against practices that violate the collective
interests of consumers by limiting the possibility to apply for a mortgage loan withholding by limiting one application to 2 months,
whereas the customer should be able to apply for all periods at the same time (up to 8 months).
In addition, the Bank disagreed with the allegations and has sent its reply to UOKiK, in which it pointed that BNP accepted and
processed all individual applications applied by customers (for any number of months). Thus, there was no violation of the collective
interests of consumers, as the Bank did not deprive customers of their rights, but only failed to fully automate the electronic
application as of the effective date of the law. At the same time, the Bank informed UOKiK that it had changed the questioned
practice by launching a new application form in Goonline e-banking on 8 September 2022, allowing customers to apply for any/all
periods simultaneously (up to 8 months).
On 17 January 2023. The Bank received the Decision of the UOKiK, in which:
- it recognized the questioned practice as violating the collective interests of consumers;
- the practice was found to be abandoned;
- it ordered publication of the decision;
- it imposed a penalty on the Bank in the amount of PLN 2,720,515.50 (reduced by 50% (30% - for cessation of the practice, 20%
as a result of initiating a meeting and expressing willingness to cooperate).
The Bank has appealed the decision to the SOKIK.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Litigation concerning CHF credit agreements in the banking sector
After the judgment of the Court of Justice of the European Union in the CHF-indexed mortgage case (C-260/18), the number of
lawsuits related to CHF mortgages against banks is gradually increasing. According to the Association of Polish Banks (ZBP), the
number of pending lawsuits related to CHF loan agreements at the end of October 2022 reached over 104 thousand compared to
77 thousand at the end of 2021. During the first nine months of 2022, over 27 thousand new claims related to foreign currency
loans were issued against the banks. This resulted in an increase in provisions for these proceedings created by banks having
CHF mortgage loan portfolios. The amount of these provisions created by listed banks in 2021 amounted to approximately PLN
7.8 billion, and in the third quarter of 2022 to PLN 7.3 billion, contributing to the total value of provisions created for this purpose in
the amount of PLN 18.9 billion at the end of 2021 and PLN 27.2 billion at the end of the third quarter of 2022.
Proceedings instigated by the Bank’s customers being parties to CHF denominated loan agreements
The gross balance sheet value of mortgage and housing loans granted to individual customers in CHF as of 31 December 2022
amounted to PLN 4.09 billion, compared to PLN 4.53 billion at the end of 2021.
As of 31 December 2022 the Bank was the defendant in 3,470 (1,649 new cases in 2022) pending court proceedings (including
validly closed cases, clients brought a total of 3,819 claims against the Bank), in which the Bank's customers demanded the
annulment of mortgage loan agreements regarding foreign currency loans or loans denominated in CHF, or declaration that the
contract is permanently ineffective. The claims are based in particular on a contravention of Article 69 of the Banking Act or on the
occurrence of abusive clauses which cause the contract cannot be remained in force (article 353¹ of the Civil Code). The Bank is
not a party to any collective claim regarding these loans. The total value of claims pursued in the currently pending cases as of 31
December 2022 was PLN 1 549.46 million (as of 31 December 2021 was PLN 858.03 million), and in legally binding cases PLN
150.36 million (PLN 41.36 million as of 31 December 2021).
As of 31 December 2022, the following judgments have been issued in 349 proceedings that have been legally concluded: 97
judgments in favour of the Bank, including 60 proceedings in case of which a court settlement agreement was concluded, and in
252 cases the courts ruled against the Bank by declaring the loan agreement invalid or permanently ineffective).
The Bank creates provisions on an ongoing basis for pending litigation involving denominated or foreign currency loans, taking
into account the current status of judgments in cases against the Bank and the developing line of case law.
The total value of provisions created as at 31 December 2022 amounted to PLN 1 892.4 million (as at 31 December 2021 it
amounted to PLN 1 290.4 million), with an impact on the Bank's income statement of PLN 740 million in 2022 (in 2021 it amounted
to PLN 1 045.3 million).
The provision is created in accordance with IAS 37 ‘Provisions, contingent liabilities and contingent assets’. Provision for pending
cases is calculated on an individual basis, while for future cases using the portfolio method. While calculating the provision, the
Bank takes into account, inter alia, the number of certificates downloaded by clients for trial purposes, the estimated probability of
clients filing cases, the estimated number of future claims, the number of claims filed, the probability of losing the case, and the
Bank's estimated loss in the event of an unfavourable judgment. In addition, the Bank included in the provisioning model the
estimated number of settlements to be signed with customers. The amount of the provision for the estimated settlements was PLN
397.7 million from the total balance of provisions.
It should be stressed that the Polish courts, despite contrary indications arising from CJEU rulings (C-19/20 and C-932/19), in the
vast majority rule that credit agreements are invalid or ineffective. A number of Supreme Court judgments have been handed down
in recent months (according to data at the end of December, there were 80 judgements, of which less than half concerned
denominated loans); more than half of these already have written justifications, including 15 cases related to denominated loans.
The Bank estimates the probability of losing a case based on historical judgments, separately for the foreign currency and
denominated loan portfolios. Due to the observed volatility in case law, the Bank, when estimating the probability of an adverse
judgment, takes into account judgments made after 31 December 2020.
In estimating the loss in the event of a judgment declaring the loan invalid, the Bank assumes that the customer is obliged to return
the principal paid without taking into account the remuneration for the use of the principal, the Bank is obliged to return the sum of
the principal and interest instalments paid by the client, together with the statutory interest for late payment, cases in progress and
the Bank writes down the loan exposure.
The accounting effect of signing a settlement agreement with a customer is the derecognition of a CHF loan, recognition of a new
loan in PLN and the recognition of a result from the derecognition as well as the use of a provision for legal risk of CHF loans. In
2022, the Bank used PLN 150 million of the provision for legal risk of CHF loans in connection with the concluded settlements.
The accounting effect of the final judgment declaring the loan agreement invalid is the derecognition of CHF loan exposure as well
as the utilization of the provision for legal risk of CHF loans. In 2022, the Bank used PLN 85 million of the provision for legal risk
of CHF loans in connection with the receipt of final judgments declaring loan agreements invalid.
Should the assumed average loss change by +/- 5%, with all other significant assumptions unchanged, the amount of the provision
would change by +/- PLN 78 million.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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The Bank conducted a sensitivity analysis of the model used to estimate the number of lawsuits lost. A change in this estimate
would have the following impact on the estimated loss due to legal risk related to CHF loans.
Parameter
Scenario
Impact on Bank’s loss
due to legal risk
Percentage of lawsuits lost
+5 p.p.
+PLN 66 million
-5 p.p.
-PLN 80 million
The Bank conducted a sensitivity analysis of the model used to estimate the number of future lawsuits. A change in the number of
future lawsuits would have the following impact on the estimated loss due to legal risk related to CHF loans.
Parameter
Scenario
Impact on Bank’s loss
due to legal risk
Percentage of lawsuits lost
+20%
+PLN 91 million
-20%
- PLN 91 million
Additionally, if 1% of customers with CHF loans filed a lawsuit against the Bank, the loss due to legal risk would increase by approx.
PLN 35 million.
When calculating the expected loss on legal risk related to CHF loans, the Bank takes into account the available historical data,
including the content of judgments in concluded cases. The Bank monitors the number of collected certificates and the changing
number of lawsuits in order to update the provision estimate accordingly.
The current line of jurisprudence in cases involving actions by borrowers is unfavourable to the banks, but it is important to note a
number of still unclarified legal issues relating to foreign currency-linked loans, in particular relating to the effects of declaring a
loan agreement invalid, including the banks' ability to demand remuneration for the use of capital. The above issues are important
for assessing the risks associated with the proceedings in question.
The Bank monitors the courts’ rulings on an ongoing basis and will adjust the level of reserves to the current case-law. At the same
time, the Bank is aware that the assumptions made are subject to a subjective assessment of the current situation, which may
change in the future. In determining the value of the provision, the Bank relies on all information available at the date of signing
the Financial Statements.
Current case law of CJEU and of the Supreme Court on loans in CHF
There was one ruling before the CJEU in 2022 concerning the issues related to CHF loans. On 8 September 2022, the CJEU
handed down a judgment in three joined cases concerning indexed and denominated loans granted in Poland (C-80/21 to C-
82/21). The Court confirmed that:
a national court may not replace an abusive contract term (in order to avoid the invalidity of the contract) by an interpretation
of the parties' statement of intent or by a provision of national law of a dispositive nature.
it is possible to declare only part of a contract term abusive, provided that that abusive part can be severed in a way which
does not affect the substance of the rest of the contract term. If the deletion would amount to altering the content of the term
by changing its essence, this is prohibited. It is for the national court to examine in this respect.
the limitation period for a consumer's claims for reimbursement of sums unduly paid on the basis of an abusive contractual
term starts to run from the time when the consumer became aware, or should have become aware, of the unfair nature of the
contractual term. On the other hand, it is for the national court to determine that point in time, taking into account the
circumstances of the particular case.
Pending at the CJEU is the preliminary question in Case C-520/21 of Millennium Bank, which concerns whether, in the event of
the cancellation of a loan agreement, the parties have any claim for the use of the capital by the other party (including the
entrepreneur as well as the consumer). The question relates to any possible claim by both parties (remuneration, compensation,
reimbursement of expenses or valorisation of the benefit) when the court finds that the contract has collapsed. The hearing was
held on 12 October 2022. The hearing was attended by representatives of the European Commission, the Polish government, the
Financial Ombudsman, the Ombudsman, the Polish Financial Supervision Authority (among others).
In December 2022, the CJEU received another preliminary question relating to the ability of a bank to assert claims for the use of
capital (the case was designated sig. C-756/22).
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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In an opinion C-520/21 issued on 16 February 2023, the Ombudsman General of the CJEU pointed out that Directive 93/13 does
not specify what are the effects of declaring that a consumer contract becomes legally non-existent once unfair terms are removed
from it. These effects are determined by member states on the basis of their national law in a manner consistent with the Union
law.
With regard to the consumer's claims against the Bank, the Ombudsman General assumed that the provisions of Directive
93/13 do not preclude a judicial interpretation of national law, according to which, if a credit agreement concluded between a
consumer and a bank is declared invalid from the outset because it contains fraudulent contractual terms, the consumer, in addition
to a refund of the money paid under the agreement and the payment of statutory interest for late payment from the time of the
demand for payment, may, following such a declaration, also claim additional benefits from the bank. It is for the national court to
determine, in light of national law, whether consumers are entitled to assert such claims and, if so, to rule on their merits.
With regard to the bank's ability to assert claims of a similar nature against consumers, the Ombudsman General proposed
that the Court should rule that the bank may not pursue claims against the consumer that go beyond the return of the loan principal
transferred and the payment of statutory interest for delay from the time of the request for payment.
According to the Ombudsman General, the proposed solutions are in line with the purpose of the directive, i.e. to grant consumers
a high level of protection.
The Ombudsman General's opinion does not prejudge the outcome and is not binding on the CJEU. The date of the CJEU's
judgment is unknown.
Due to the fact that the Ombudsman's opinion is not binding, it does not prejudge the outcome, leaves wide scope for interpretation,
the judgment of the CJEU is impossible to predict, as well as the application of this judgment by national courts, the opinion cannot
be the basis for changing the level of provisions for legal risk related to mortgage loans in CHF in these financial statements.
Assuming that the future ruling of the CJEU will be entirely consistent with the theses of the above-mentioned opinion of the
Ombudsman General and finds that banks do not have the right to remuneration for the use of capital, the Bank points out that the
remuneration for the use of capital for the Bank is not a parameter used in the current model of the Bank's provisions and does
not have a direct impact on the Bank's risk expressed by the level of provisions related to the effects of cancellation of loan
agreements. However, in the previous models, the Bank did not take into account the remuneration for the client for the use by the
Bank of the instalments repaid by him relating to loan, which was considered invalid. Estimating the amount of potential costs
related to this risk requires specifying the assumptions on the basis of establishing a judical interpretation, and then the line of
jurisprudence, and will be possible at the earliest after the CJEU has issued a ruling.
Currently, the theses of the resolution of the 7 judges of the Civil Chamber of the Supreme Court of 7 May 2021 in the case ref. III
CZP 6/21 (resolution having the force of legal principle) are taken into account in judicial decisions. In the ruling responding to a
legal issue presented by the Financial Ombudsman, the Supreme Court indicated by reasoning the grounds that:
(1) the borrower may agree to the continued validity of terms which may be unfair, in which case they take effect from the date of
conclusion of the contract,
(2) if the contract falls due to the unfair terms contained therein, each party has a claim for repayment of the performance made
by that party (the so-called two-condition theory) ,
(3) the limitation period for the Bank's claims for reimbursement of the principal begins to run only from the moment when the
agreement has become definitively ineffective (the basis for the performance has been lost).
(4) the agreement becomes permanently ineffective from the moment when the borrower, having been informed of all the
consequences of the failure of the agreement, including the possible specific negative consequences of such a failure, makes
a declaration to not keep the agreement in force. The borrower should be informed of the consequences of the failure of the
agreement by the court in the course of the proceedings.
The meeting of the full bench of the Civil Chamber of the Supreme Court concerning the legal issues presented on 29 January
2021 by the First President of the Supreme Court in the case III CZP 11/21 (the current signature is III CZP 25/22) was postponed
without a date, following the Supreme Court's formulation of preliminary questions to the CJEU. The preliminary questions are
aimed to establish whether the Civil Chamber in its current composition can be regarded as an independent court and thus whether
it has the capacity to pass a resolution on the legal questions posed at all.
The First President of the Supreme Court requested a resolution of the Civil Chamber on the following issues:
1. If it is concluded that a provision in an index-linked or denominated loan agreement, which relates to the method of determining
the exchange rate of the foreign currency, constitutes an illicit contractual term and is not binding on the consumer, may it be
assumed that that provision is replaced by another method of determining the exchange rate of the foreign currency which results
from legal or customary rules?
If the answer to the above question is negative:
2. If it is not possible to establish a foreign currency exchange rate binding on the parties in a loan agreement indexed to such a
currency, can the agreement be binding on the parties in its remaining scope?
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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3. If it is not possible to establish a foreign currency exchange rate in a loan agreement denominated in a foreign currency, can
the parties remain bound by the agreement?
Irrespective of the answers to questions 1 to 3:
4. If a loan agreement is invalid or ineffective, and as a result of such agreement the Bank has disbursed to the borrower the whole
or part of the amount of the loan and the borrower has made repayments on the loan, do separate claims for wrongful performance
arise in favour of each of the parties, or does only one claim arise, equal to the difference in performance, in favour of the party
whose total performance was higher?
5. If a loan agreement is invalid or ineffective as a result of the unlawful nature of certain of its terms, does the limitation period for
the Bank's claim for repayment of the amount paid under the loan start to run from the moment at which those sums were paid?
6. If, in the case of the invalidity or ineffectiveness of a loan agreement, either party has a claim for repayment of the performance
made under such agreement, may that party also claim remuneration for the use of its funds by the other party?
If the CJEU confirms the ability of the Civil Chamber of the Supreme Court to rule and the Supreme Court passes a resolution, the
Bank will analyse the content of the resolution after its publication, including its impact on further case law and the value of the
parameters used to determine the value of legal risk provisions. At this moment it is not possible to predict whether the resolution
will be adopted and even more its impact on the provisions estimation.
On 28 April 2022, the Supreme Court (composed of 3 judges) adopted a resolution with a signature III CZP 40/22, according to
which: "Contrary to the nature of the legal relationship of a loan indexed to a foreign currency are provisions in which the lender is
authorised to unilaterally determine the exchange rate of the currency relevant for calculating the amount of the borrower's
obligation and for determining the amount of the loan instalments, if objective and verifiable criteria for determining this rate do not
arise from the content of the legal relationship. If the provisions meet the criteria for being considered prohibited contractual
provisions, they are not invalid, but are not binding on the consumer within the meaning of Article 385(1) of the Civil Code." An
analysis of the justification of the Supreme Court's resolution, indicates that when there occur the prerequisites for the application
of the provision of Article 385(1) and Article 353(1) of the Civil Code, the court should apply the sanction of ineffectiveness of the
contractual provision, without ruling it invalid on general principles. Although the ruling was issued in a case concerning indexed
credit, it can also be applied to denominated and foreign currency loans.
On 20 May 2022, the Supreme Court issued its first ruling on a foreign currency loan granted by the Bank (II CSKP 713/22).
According to the Supreme Court, a foreign currency loan exists only if the agreement unambiguously establishes the amount of
the loan granted and actually disbursed to the borrower exclusively in a foreign currency and provides for repayment of instalments
exclusively in the currency of the loan granted. According to the Court, the parties entered into a loan agreement denominated in
CHF, and nothing in the agreement directly provided for the client's claim for payment of the amount of loan made available in
CHF.
However, it should be noted that in another decision, the Supreme Court took a different stance (decision of 24 June 2022, I CSK
2822/22), stating that the features of a foreign currency loan are the expression of the amount of the loan granted in a foreign
currency and the repayment of the loan instalments in that currency, while not indicating as a characteristic the making of the loan
payment in a foreign currency. The above shows that there is no clear position of the Supreme Court in this regard.
As of the end of December 2022, 145 cassation appeals have been filed with the Supreme Court in cases of CHF loans granted
by the Bank, 11 appeals have been accepted by the Supreme Court for examination and are awaiting substantive decision, as to
12 cassation appeals, the Supreme Court has issued a decision on refusal to accept for examination.
Individual settlements offered by the Bank
Since December 2021, the Bank is involved in individual negotiation processes with its customers with whom the Bank is in dispute
or about whom there is a reasonable risk of entering into a dispute. The Bank took this parameter into account when updating the
amount of the provision.
As at 31 December 2022, the Bank has made individual settlement proposals to 6,541 Customers and 1,514 Customers accepted
the terms of the proposals presented. This resulted in 1,142 settlement agreements.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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55. FINANCIAL RISK MANAGEMENT
55.1. Financial instrument strategy
The Bank’s core business focuses on financial products offered to customers: retail customers, entrepreneurs and enterprises,
public sector and budget institutions as well as non-banking financial institutions. Short-term fixed rate deposits as well as current
and savings accounts are the key items of the Bank’s liabilities. On the other hand, the Bank’s assets comprise such credit
products as mortgage loans, cash loans, credit cards, overdrafts, investment and revolving loans, subsidized loans, factoring
facilities, leasing, guarantees, international trade finance transactions (e.g. letters of credit), the majority of which are medium- and
long-term instruments bearing interest based on short-term market rates.
The Bank uses financial market instruments in the first place to manage the liquidity, interest rate and currency risk inherent in its
core business, considering the internal risk appetite as well as market trends in the medium and long term.
Additionally, the Bank offers access to financial market instruments to its customers for purposes of hedging market (currency,
interest rate or commodity) risk inherent with their core business.
55.2. Credit risk
Credit risk is inherent in the core financial operations of the Bank, the scope of which includes both lending and providing funding
with the use of capital market products. Consequently, credit risk is identified as the risk with the highest potential to affect the
present and future profits and equity of BNP Paribas. Proof of the key nature of credit risk is its 75% share in the total economic
capital estimated by the Bank for purposes of covering major risks involved in the Bank’s operations, in addition to its 89% share
in the total value of regulatory capital.
Credit risk management is primarily aimed at implementation of the Bank’s strategy through a harmonious increase in the loan
portfolio, accompanied by maintenance of the credit risk appetite at an acceptable level.
Credit risk management principles adopted by the Bank include:
each credit transaction requires comprehensive credit risk assessment expressed in internal rating or scoring;
in-depth and careful financial analysis serves as the basis for regarding the customer’s financial information and collateral-
related data as reliable; prudential analyses performed by the Bank always take into account a safety margin;
as a rule, financing is provided based on the customer’s ability to generate cash flows that ensure payment of liabilities to the
Bank;
credit risk assessment is additionally verified by credit risk assessment personnel, independent of the business;
pricing terms of a credit transaction have to take account of the risk involved in such a transaction;
credit risk is diversified with regard to geographical regions, industries, products and customers;
credit decisions may only be taken by competent employees;
the Bank enters credit transactions only with known customers and long-term relationships are the basis for cooperation with
customers;
the customer and the transactions made with the customer are monitored transparently from the perspective of the customer,
in a manner strengthening the relationship between the Bank and the customer.
Concentration risk is the Bank’s risk inherent to its statutory operations, which is appropriately defined and managed.
The Management Board assesses the concentration risk policy in terms of its application. In particular, it analyses the efficiency
and adequacy of the principles applied in the context of the current and planned operations and risk management strategy.
The adequacy of the concentration risk management is reviewed if any material changes are observed in the Bank’s environment
or if the risk management strategy is modified.
The appropriate assessment of the concentration risk of the Bank is highly dependent on correct identification of all key
concentration risks. In justified cases, the Bank identifies concentration risk when planning its new activities involving
the development and launch of new products, services, expansion to new markets, considerable alterations of products and
services or market changes.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Credit portfolio diversification is one of the key credit risk management tools. The Banks avoids excessive credit concentration, as
it increases the risk. Possible losses pose a considerable threat, and therefore the concentration level should be monitored,
controlled and reported to the Bank’s management. Key concentration risk mitigation tools include risk identification and
measurement mechanisms and exposure limits in individual Bank portfolio segments and in subsidiaries. These tools enable
internal differentiation of the loan portfolio and mitigation of negative effects of adverse changes in the economy.
A significant concentration area (aspect) is the one whose share in the Bank’s balance sheet total is equal or higher than 10% or
5% of the net profit planned for a given year. In such cases, a given concentration area (aspect) is subject to analyses, reporting
and management under the concentration risk management process.
High concentration of the Bank’s credit exposures to each entity or group of entities with equity or organizational relationships is
one of the potential sources of credit risk. For purposes of its reduction, the Regulation No. 575/2013 specifies the Bank’s maximum
exposure limit. Under Article 395 of the Regulation No. 575/2013: the institution does not assume any exposure to the client or
related clients, the value of which, taking into account the effect of limiting credit risk in accordance with Articles 399-403, exceeds
25% of the value of its Tier 1 capital. If a client is an institution or if a group of related clients include at least one institution, the
value does not exceed 25% of its Tier 1 capital or of the amount of EUR 150 million, depending on which one of these two amounts
is higher, provided that the sum of the exposure to all related non-institutional customers, after taking into account the effect of
credit risk mitigation under Articles 399-403, does not exceed 25% of the value of the institution's Tier 1 capital.
As at the end of 2022: unit limits set out in Art. 395 of EU Regulation No. 575/2013 have been exceeded with regard to entities of
the BNP Paribas S.A. Group. In accordance with the applicable regulations, the Bank provided information on the above-mentioned
exceedances to the supervisory authorities and took steps to eliminate similar exceedances in the future.
In the case of the exposure limit to entities outside the BNP Paribas S.A. Group, the limits were not exceeded, the largest exposure
was 11.43% of Tier 1 capital on a stand-alone basis
Concentration risk tolerance in the Bank is determined by a system of internal limits, including both assumed development
directions and speed of the Bank’s business, an acceptable level of credit risk and liquidity, as well as external conditions,
macroeconomic and sectoral perspective. Among others, internal limits for credit concentration risk are determined for:
selected sectors / industries;
exposures denominated in foreign currencies;
customer segments (intra-bank customer segmentation);
loans secured with a given type of collateral;
geographical regions;
average probability of default;
exposures with a specified rating (the Bank’s internal rating scale);
exposures with a specified debt-to-income ratio;
exposures with a specified loan-to-value ratio.
Activities that limit Bank’s exposure to concentration risk may include systemic measures and one-off / specific decision and
transactions. Systemic measures that limit concentration risk include:
reduction of the scope of crediting of determined customer types through credit policy adjustment;
reduction of limits charged with concentration risk;
diversification of asset types on the level of the Bank’s statement of financial position;
change of business strategy to ensure prevention of excessive concentration;
diversification of accepted collateral types.
Systemic measures that limit concentration risk include:
reduction of further transactions with a given customer or a group of related customers;
sale of selected assets/loan portfolios;
securitization of assets;
establishing of new collateral types (e.g. credit derivatives, guarantees, sub-participation, and insurance contracts) for existing
or new credit exposures.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
A concentration analysis by industry focuses on all credit exposures of the Bank to institutional customers. The Bank defines
industries based on Polish statistical classification of economic activities (NACE/PKD 2007). The Bank’s exposure to industries
analysed at the end of 2022, similarly as at the end of December 2021, is concentrated in the following industries: Agriculture,
Forestry, Hunting and Fishing, manufacturing. As at the end of December 2022, the share of manufacturing decreased by 1 p.p.
to the level of 23% as compared to the end of 2021, while the share of agriculture, forestry and fishing decreased by 4 p.p. as
compared to the end of 2021 to the level of 18% of industrial exposure.
The table below presents a comparison of the share of impaired loans in industries (gross balance sheet value) as at 31 December
2022 and 2021.
Exposure*
Share of impaired loans
Industry
31.12.2022
31.12.2021
31.12.2022
31.12.2021
AGRICULTURE, FORESTRY AND FISHING
8,761,345
10,008,679
8.0%
7.7%
MINING AND QUARRYING
64,181
25,111
2.1%
11.1%
MANUFACTURING
11,122,711
10,760,109
2.6%
3.1%
ELECTRICITY, GAS, STEAM AND AIR CONDITIONING
SUPPLY
1,088,671
1,621,826
0.3%
0.3%
WATER SUPPLY; SEWERAGE, WASTE MANAGEMENT AND
REMEDIATION ACTIVITIES
105,938
83,977
3.2%
3.9%
CONSTRUCTION
3,152,036
2,389,043
5.6%
7.2%
WHOLESALE AND RETAIL TRADE; REPAIR OF MOTOR
VEHICLES AND MOTORCYCLES
7,465,622
6,612,763
4.3%
5.2%
TRANSPORTATION AND STORAGE
2,002,865
1,587,329
2.2%
3.3%
ACCOMMODATION AND FOOD SERVICE ACTIVITIES
263,138
243,428
21.7%
20.2%
INFORMATION AND COMMUNICATION ACTIVITIES
2,528,694
1,003,200
1.9%
1.3%
FINANCIAL AND INSURANCE ACTIVITIES
1,674,688
947,307
3.7%
7.7%
REAL ESTATE ACTIVITIES
5,606,907
5,032,112
2.3%
2.3%
PROFESSIONAL, SCIENTIFIC AND TECHNICAL ACTIVITIES
3,027,291
3,065,019
1.5%
1.3%
ADMINISTRATIVE AND SUPPORT SERVICE ACTIVITIES
908,587
912,769
4.3%
5.0%
PUBLIC ADMINISTRATION AND DEFENCE, COMPULSORY
SOCIAL SECURITY
54,854
82,654
0.0%
0.0%
EDUCATION
67,836
78,082
9.0%
10.5%
HUMAN HEALTH AND SOCIAL WORK ACTIVITIES
778,285
695,139
3.0%
2.6%
ARTS, ENTERTAINMENT AND RECREATION ACTIVITIES
12,106
15,037
13.5%
21.3%
OTHER ACTIVITIES
100,758
93,916
4.1%
5.0%
Total
48,786,515
45,257,500
4.0%
4.5%
*Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total
sum.
The Bank manages the risk of collateral concentration. For this purpose, the Bank introduced limits for the involvement of particular
types of collateral, ensuring their appropriate diversification. As at the end of 2022, as well as at the end of 2021, the limits were
not exceeded.
In the case of an individually assessed exposures as at 31 December 2022, the Bank expects to recover, due to established
collaterals, the amount of PLN 229,608 thousand, which is 22% of the total exposure assessed individually with recognised
impairment (PLN 325,251 thousand and 29% as at 31 December 2021).
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Maximum exposure on credit risk
The table below presents the Bank's maximum exposure to credit risk for financial instruments both recognised and not recognised
in the financial statements. The maximum exposure was presented in its gross value, before considering the impact of collateral
and other credit quality improvement instruments.
31.12.2022
Assets
Maximum exposure on
credit risk – no
collaterals included
Maximum exposure on credit
risk – collaterals included
Cash and balances at Central Bank
2,718,251
2,718,242
Amounts due from other banks
11,711,087
11,709,582
Derivative financial instruments
3,224,272
3,224,272
Adjustment of the hedged item fair value
33,025
33,025
Loans and advances to customers measured at amortised cost
86,792,070
83,893,270
Loans and advances to customers measured at fair value through
profit or loss
949,298
949,298
Securities measured at amortised cost
22,212,240
22,167,261
Securities measured at fair value through profit or loss
311,236
311,236
Securities measured at fair value through other comprehensive
income
17,384,793
17,384,793
Deferred tax assets
822,122
822,122
Other financial assets
732,468
675,250
Total assets
146,890,862
143,888,351
Total contingent liabilities
11,234,325
11,234,325
Total exposure on credit risk
158,125,187
155,122,676
31.12.2021
Assets
Maximum exposure on
credit risk – no
collaterals included
Maximum exposure on credit
risk – collaterals included
Cash and balances at Central Bank
4,631,693
4,631,410
Amounts due from other banks
2,260,064
2,254,621
Derivative financial instruments
1,901,919
1,901,919
Adjustment of the hedged item fair value
65,465
65,465
Loans and advances to customers measured at amortised cost
82,968,369
80,124,751
Loans and advances to customers measured at fair value through
profit or loss
1,219,027
1,219,027
Securities measured at amortised cost
23,313,693
23,268,041
Securities measured at fair value through profit or loss
320,216
320,216
Securities measured at fair value through other comprehensive
income
9,143,353
9,143,353
Deferred tax assets
719,650
719,650
Other financial assets
436,717
378,151
Total assets
126,980,166
124,026,604
Total contingent liabilities
8,692,582
8,692,582
Total exposure on credit risk
135,672,748
132,719,186
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Exposure to credit risk by credit quality ratings
The table below presents significant credit risk exposures to which the expected credit loss model was applied. The breakdown
was based on the rating scale presented below:
31.12.2022
Gross loans and advances measured at amortised cost, for which impairment allowance is estimated as*:
Rating
12-month
expected credit
loss - exposures
without
impairment
Expected credit loss
during the exposure
period - exposures
without impairment
Expected credit loss
during the exposure
period - exposures with
impairment
Expected credit
loss during the
exposure period -
POCI exposures
Gross
portfolio
value for a
given rating
category
Net portfolio
value for a
given rating
category
1
-
-
-
-
-
-
2
1,432
1
-
-
1,433
1,432
3
1,724,592
3
-
-
1,724,594
1,723,490
4
2,468,896
7,701
-
-
2,476,597
2,471,780
5
10,085,709
114,926
297
9
10,200,935
10,176,927
6
15,706,897
905,968
14,382
1,667
16,628,921
16,510,607
7
9,905,531
1,451,450
9,450
19,514
11,385,920
11,218,233
8
703,193
1,459,438
5,673
3,946
2,172,117
2,069,194
9
11,144
772,328
6,664
868
791,001
690,659
10
3,581
449,564
388,442
8,674
850,252
500,387
11 to 12
-
2,773
1,225,275
91,632
1,319,633
547,322
Total
40,610,975
5,164,152
1,650,183
126,310
47,551,403
45,910,031
31.12.2021
Gross loans and advances measured at amortised cost, for which impairment allowance is estimated as*:
Rating
12-month
expected credit
loss - exposures
without
impairment
Expected credit loss
during the exposure
period - exposures
without impairment
Expected credit loss
during the exposure
period - exposures with
impairment
Expected credit
loss during the
exposure period -
POCI exposures
Gross
portfolio
value for a
given rating
category
Net portfolio
value for a
given rating
category
1
-
-
-
-
-
-
2
98,886
1
-
-
98,887
98,885
3
1,461,345
4
-
-
1,461,350
1,461,101
4
2,132,459
6,304
-
-
2,138,764
2,138,091
5
6,818,671
157,526
-
-
6,976,186
6,966,437
6
14,090,040
551,295
9,536
2,685
14,653,566
14,577,861
7
11,174,622
925,306
14,693
3,751
12,118,177
11,950,818
8
1,787,901
1,473,872
8,119
8,754
3,278,619
3,162,806
9
74,578
668,710
31,611
3,488
778,379
701,852
10
22,888
462,700
420,250
11,388
917,176
615,748
11 to 12
17
8,450
1,149,275
133,959
1,291,659
603,895
Total
37,661,407
4,254,168
1,633,484
164,025
43,712,763
42,277,494
*Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total
sum.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
For large enterprises and clients from the SME segment that prepare full financial reporting, the Bank determines internal rating
classes in accordance with the adopted credit policy. The rating classes are based on the risk model dedicated to this part of the
loan portfolio and are the basis for estimating the amount of the provision in accordance with IFRS 9. The Bank's customers are
assigned ratings from 1 (clients for whom the Bank identifies the lowest credit risk) to 12 (clients for whom the Bank identifies the
highest credit risk). In order to assign ratings, the annual financial data provided by the client and the general quality assessment
of its market situation are used.
The structure of overdue receivables
The purpose of repayment overdue analysis is to indicate the level of potential credit loss (in respect of receivables without
impairment). The higher delinquency in repayment, the more likely it is to identify an objective impairment trigger in the future. An
increase in the delay in repayment above zero days increases the chance of identifying impairment trigger, but does not itself
constitute grounds for giving this trigger. In the case of exposures overdue below 91 days, the impairment trigger may, however,
be identified based on additional information about the economic and financial situation of the client.
The structure of the loan portfolio (measured at amortised cost and measured at fair value through profit or loss) divided into
impaired exposures and not impaired exposures along with the level of arrears in repayment are presented in the tables below.
31.12.2022
Structure of overdue loan
portfolio (net balance sheet
value)*
not impaired
impaired
Total
0 days
1-30 days
31-60 days
61-90
days
Mortgage loans and advances
25,983,101
96,966
9,857
4,490
198,927
26,293,341
Cash loans
8,789,784
84,523
11,527
4,447
143,937
9,034,218
Car loans
1,673,748
5,688
1,029
694
12,214
1,693,373
Credit cards
871,162
10,190
2,002
690
20,429
904,473
Investment loans
22,821,582
1,431,021
11,874
1,599
337,492
24,603,568
Limits in current accounts
11,104,687
134,661
15,271
1,409
156,574
11,412,602
Corporate revolving loans
9,110,133
722,720
29,731
7,511
301,573
10,171,668
Leases
326,265
4,568
-
-
35,383
366,216
Other
353,724
1,648
-
-
7,737
363,109
Total
81,034,186
2,491,985
81,291
20,840
1,214,266
84,842,568
31.12.2021
Structure of overdue loan
portfolio (net balance sheet
value)
not impaired
impaired
Total
0 days
1-30 days
31-60 days
61-90
days
Mortgage loans and advances
26,290,199
22,813
5,965
782
269,685
26,589,444
Cash loans
8,497,311
60,781
9,149
3,176
175,663
8,746,080
Car loans
1,736,309
4,433
1,650
442
12,836
1,755,670
Credit cards
1,005,430
8,466
1,560
438
22,489
1,038,383
Investment loans
20,942,964
312,572
10,756
655
374,149
21,641,096
Limits in current accounts
10,398,990
73,858
6,663
1,068
160,716
10,641,295
Corporate revolving loans
9,783,352
88,918
5,106
1,459
308,431
10,187,266
Leases
470,759
5,028
154
22
67,350
543,313
Other
185,434
6,277
-
-
9,520
201,231
Total
79,310,748
583,146
41,003
8,042
1,400,839
81,343,778
* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total
sum.
With regard to the mortgage loan portfolio, the Bank defines the DTI (debt to income) ratio as the ratio of monthly credit charges,
financial charges, which are permanent and irrevocable in nature, and the instalment of the requested Loan (taking into account
the interest rate risk buffer) to the amount of average monthly net income. In accordance with the credit policy for mortgage loans,
the Bank sets the maximum DTI levels at 0.65 or 0.50, depending on the customer's income and follows the requirements of
Recommendation S. The Bank monitors the level of DTI/DSTI ratios during annual credit policy reviews, as well as in dedicated
ad hoc analyses.
The Bank has noted rising DTI/DSTI ratios as a result of rising interest rates and increasing instalments for mortgages. In 2022,
credit policy changes were introduced to limit the availability of mortgages with DTI ratios exceeding 50% for selected customer
groups. At the same time, business offerings were restricted resulting in a significant reduction in loan production.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
At the end of 2022, the Bank does not observe increased credit risk for new loan production as well as the existing mortgage loan
portfolio. Both Vintage ratios and NPL (non-performing loan) levels in the mortgage segment are stable, at the levels no higher
than those observed in the Polish banking market.
Impairment allowances
Impairment allowances reflect the expected credit loss calculated using the three-step approach required by IFRS 9, as described
in Note 3.
Collaterals
Description of collateral held or other mechanisms that improve the credit quality
The Bank assesses the creditworthiness of each client on an individual basis. The value of collateral obtained, if it is deemed
necessary by the Bank due to the granting of a loan, is subject to valuation by the Bank. The Bank accepts various forms of
collateral for loans, while the main categories include:
- real estate mortgage;
- insurance of real estate being the subject of a mortgage;
- life insurance of the borrower;
- registered pledge.
Impact of collaterals on the valuation of exposure with impairment identified (loans measured at amortised cost and at fair value
through profit or loss)*:
31.12.2022
Gross value with
impairment
Collateral value
Net value with impairment
Loans and advances to:
Other financial institutions
1,927
36
229
Retail customers
997,436
511,432
373,750
Corporates:
1,896,676
1,441,764
804,290
including retail farmers
630,609
567,607
309,707
Public sector entities
796
766
377
Lease receivables
65,253
-
35,620
Total gross loans and advances
2,962,088
1,953,998
1,214,266
Allowances (negative value)
(1,747,822)
Total net loans and advances
1,214,266
31.12.2021
Gross value with
impairment
Collateral value
Net value with impairment
Loans and advances to:
Other financial institutions
1,616
-
294
Retail customers
1,127,360
594,143
505,491
Corporates:
1,915,927
1,424,520
823,475
including retail farmers
702,602
636,185
423,209
Public sector entities
-
-
-
Lease receivables
137,253
-
71,579
Total gross loans and advances
3,182,156
2,018,663
1,400,839
Allowances (negative value)
(1,781,317)
Total net loans and advances
1,400,839
* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total
sum.
In the period covered by the present financial statements, there were no significant changes in the quality of collateral as a result
of deterioration or changes in the Bank's collateral policy.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Mortgage loans denominated in foreign currencies
Mortgage loans to individual customers account for ca. 30% of the loan portfolio of non-financial sector of the Bank (gross carrying
amount), with 15% being loans in foreign currencies a major part of which (99%) are denominated in CHF (the Swiss franc). The
total gross carrying amount of mortgage loans in foreign currencies is PLN 4,127,187 thousand.
The Bank performs revaluation of the residential property pledged as collateral for loans on an annual basis, on the following
assumptions:
where the debt is below PLN 12 million at the revaluation date – the property is revalued using a statistical method;
where the debt is more than PLN 12 million at the revaluation date – the property is revalued on a case-by-case basis.
The revalued amount is the basis for calculation of the current LTV for a single exposure and the average LTV for the entire
portfolio as the average weighted by the gross carrying amount of individual LTVs.
The total on-balance sheet exposure and the average LTVs for mortgage loans in foreign currencies considering impairment and
delinquency in days is presented below.
days past due
gross balance sheet value
average LTV weighted with
gross balance sheet value
0-30 days
3,866,848
80.30%
31-60 days
6,309
96.77%
61-90 days
11,057
62.26%
over 90 days
239,973
91.40%
Total
4,124,187
80.92%
impairment identified
gross balance sheet value
average LTV weighted with
gross balance sheet value
NO
3,816,519
80.13%
YES
307,668
90.66%
Total
4,124,187
80.92%
The average current LTV for the entire foreign currency mortgage loan portfolio was at the level of 81%, while the average current
LTV for mortgage loans in the Polish currency was 63%.
Exposure structure and average current LTV by loan granting year (mortgage loans in foreign currencies) are presented in the
table below:
date of agreement
number of loans granted
gross balance
sheet value
average LTV
weighted with gross
book value
gross balance sheet
value*
2005 and before
2,076
276,463
44.55%
264,790
2006
4,285
949,391
59.07%
906,610
2007
3,799
1,281,205
82.90%
1,198,441
2008
4,579
1,387,675
99.99%
1,263,136
2009
559
122,520
69.13%
115,609
2010 and beyond
263
106,933
111.26%
67,933
Total
15,561
4,124,187
80.92%
3,816,519
* non-impaired loans
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Forbearance practices
The Bank treats its exposures as forborne if the obligor is provided with a forbearance due to economic reasons (financial
difficulties), including any forbearance granted for exposures with identified impairment triggers. In case the forbearance is granted
for a customer with a material economic loss, the Bank classifies such a customer as default.
A facility is understood as the occurrence of at least one of the following events:
a change to the repayment schedule, especially extending the loan maturity date;
cancellation of overdue amounts (e.g. capitalization of an overdue amount, which can be repaid at a later date);
redemption of principal, interest or fees;
consolidation of loans into one new product, if the amounts of payments of the consolidated loan are lower than the sum of
payments of these loans separately before the consolidation occurred;
decrease of the base interest rate or margin;
originating a new loan to repay the existing debt;
conversion of an existing credit,
amendment or waiver of significant provisions of the agreement (e.g. a condition of the agreement that was breached as a result
of financial difficulties),
additional collateral presented by the Borrower (if present together with another event meeting the definition of a facility) or sale
of the collateral agreed with the Bank, with the proceeds from the repayment of the collateral being used to repay the Bank's
loan obligation.
Only in the period of customer’s financial difficulties or, in the period when, due to changes on the market, such difficulties may
occur, i.e.:
the exposure is subject to debt collection; or
the exposure is not subject to debt collection but there is evidence (provided by the customer or obtained in the decision-making
process) that the customer is facing financial difficulties or may be facing them in the near future.
A material economic loss is defined by the Bank as the drop of present value of expected cash flows, resulting from forbearance
granted, equal or higher than 1%. The drop of the present value is calculated in accordance with the below formula:
𝑁𝑃𝑉
0
− 𝑁𝑃𝑉
1
𝑁𝑃𝑉
0
where:
NPV0 – the present value of expected cash flows (including interest and fees / commissions) prior to the introduction of changes
in loan terms, discounted with the original effective interest rate,
NPV1 – the present value of expected cash flows (including interest and fees / commissions), after the introduction of changes in
the loan terms, discounted using the original effective interest rate. In the case of consolidation of many loans for the original
interest rate for the purpose of assessing the significance of economic loss, the average EIR weighted with the gross balance
sheet exposure at the moment of granting the facility is assumed.
The change in the present value of expected cash flows shall be calculated at the level of single exposure.
In justified cases resulting from complex restructuring measures for a given client (e.g. priority repayment of loans with a collateral
of a low value), it is permissible to calculate NPV at the level of a client.
The “forborne” status is no longer assigned if the following conditions have been satisfied:
• exposure reclassified to performing portfolio as a result of the analysis of financial situation (in case of corporate portfolio), which
proved that the customer does not meet the criteria for being classified to the impaired portfolio;
• the exposure has not been considered impaired for 24 months in a row;
• none of the exposures to the customer are past due by more than 30 days;
• the obligor has been making regular and considerable payments for at least a half of the trial period.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2022
Forborne exposures
Total portfolio
including
forbearance
exposures
including
change of terms
including
refinancing
Loans and advances for
87,741,368
1,408,241
1,345,495
62,746
Non-banking financial institutions
1,390,575
17
17
-
Retail customers
38,845,108
589,367
576,374
12,993
Corporate customers
47,046,313
793,427
743,674
49,753
including retail farmers
7,671,915
332,111
329,900
2,211
Public sector institutions
58,956
-
-
-
Lease receivables
400,416
25,430
25,430
-
Expected credit losses on loans and receivables
for
(2,898,800)
(500,814)
(482,098)
(18,716)
Non-banking financial institutions
(3,333)
(14)
(14)
-
Retail customers
(1,178,889)
(198,261)
(194,407)
(3,854)
Corporate customers
(1,681,691)
(292,701)
(277,839)
(14,862)
including retail farmers
(483,836)
(105,382)
(105,194)
(188)
Public sector institutions
(922)
-
-
-
Lease receivables
(33,965)
(9,838)
(9,838)
-
Total loans and advances (net)
84,842,568
907,427
863,397
44,030
31.12.2021
Forborne exposures
Total portfolio
including
forbearance
exposures
including
change of terms
including
refinancing
Loans and advances for
84,187,396
1,467,746
1,404,311
63,435
Non-banking financial institutions
796,523
-
-
-
Retail customers
38,820,173
569,119
551,405
17,714
Corporate customers
43,865,769
869,455
823,734
45,721
including retail farmers
8,823,433
383,741
380,732
3,009
Public sector institutions
84,487
-
-
-
Lease receivables
620,444
29,172
29,172
-
Expected credit losses on loans and receivables
for
(2,843,618)
(438,438)
(420,751)
(17,687)
Non-banking financial institutions
(2,075)
-
-
-
Retail customers
(935,977)
(188,839)
(184,177)
(4,662)
Corporate customers
(1,831,067)
(238,627)
(225,602)
(13,025)
including retail farmers
(389,619)
(59,306)
(58,948)
(358)
Public sector institutions
(1,542)
-
-
-
Lease receivables
(72,957)
(10,972)
(10,972)
-
Total loans and advances (net)
81,343,778
1,029,308
983,560
45,748
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
In 2022, the Bank no longer participated in any assistance programs, under non-statutory moratoria, related to the COVID-19
pandemic due to their official cessation after 31 March 2021. Statutory moratoria, on the other hand, are executed on the basis of
a statement that the customer has lost his job or other main source of income. The Bank also continues to monitor the behaviour
of exposures supported by moratoria, both those statutory and non-statutory ones.
The data in the tables below are based on balance sheet value and present the amounts recognized in the Bank’s books as at 31
December 2022 and 31 December 2021.
31.12.2022
Loans and advances to customers subject to
a moratorium
Number of clients
granted with
moratoriums
Value of loans
and advances
covered by
ongoing and
expired
moratoriums
including
regulatory
moratorium
including ongoing
moratorium
not
impaired
impaired
Gross balance sheet value
28,215
4,147,287
199,613
-
-
Non-banking financial institutions
23,416
2,502,997
199,163
-
-
Corporates
4,640
1,474,271
450
-
-
including retail farmers
1,229
376,905
145
-
-
Public sector institutions
2
1,000
-
-
-
Lease receivables
157
169,019
-
-
-
Allowance
x
(384,319)
(56,596)
-
-
Non-banking financial institutions
x
(220,677)
(56,448)
-
-
Corporates
x
(153,546)
(148)
-
-
including retail farmers
x
(45,345)
(57)
-
-
Public sector institutions
x
(423)
-
-
-
Lease receivables
x
(9,673)
-
-
-
Total net loans and advances to customers
subject to the moratorium
28,215
3,762,968
143,017
-
-
31.12.2021
Loans and advances to customers subject to
a moratorium
Number of clients
granted with
moratoriums
Value of loans
and advances
covered by
ongoing and
expired
moratoriums
including
regulatory
moratorium
including ongoing
moratorium
not
impaired
impaired
Gross balance sheet value
34,532
5,385,081
255,747
126
12,704
Non-banking financial institutions
28,547
2,960,346
255,374
126
12,486
Corporates
5,888
2,175,882
373
-
218
including retail farmers
1,411
460,274
218
-
218
Public sector institutions
2
1,041
-
-
-
Lease receivables
95
247,812
-
-
-
Allowance
x
(381,290)
(71,923)
(10)
(3,666)
Non-banking financial institutions
x
(207,870)
(71,904)
(10)
(3,647)
Corporates
x
(149,628)
(19)
-
(19)
including retail farmers
x
(35,025)
(19)
-
(19)
Public sector institutions
x
(201)
-
-
-
Lease receivables
x
(23,591)
-
-
-
Total net loans and advances to customers
subject to the moratorium
34,532
5,003,791
183,824
116
9,038
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2021
Residual maturity of the ongoing moratoria
Gross balance sheet value
Total
up to 3 months
3 – 6
months
Retail customers
12,612
12,612
-
Corporate clients
218
218
-
including retail farmers:
218
218
-
Total gross loans and advances to customers subject to the moratorium
12,830
12,830
-
31.12.2022
Newly granted loans and
advances to customers
covered by public guarantee
programs
Number of
clients who
have used the
public
guarantee
Including: residual maturity of the public guarantee
Value
up to 6
months
from 6 to 12
months
from 1 to 2
years
from 2 to 5
years
over 5
years
Gross balance sheet value
6,551
2,549,438
329,528
1,067,556
568,423
365,582
218,349
Non-banking financial
institutions
8
981
195
-
31
335
420
Corporate clients
6,543
2,548,457
329,333
1,067,556
568,392
365,247
217,929
including retail farmers:
582
127,207
1,346
6,048
32,987
86,826
-
Allowance
x
(59,216)
(7,100)
(18,907)
(5,245)
(19,572)
(8,392)
Non-banking financial
institutions
x
(21)
(6)
-
-
(6)
(9)
Corporate clients:
x
(59,195)
(7,094)
(18,907)
(5,245)
(19,566)
(8,383)
including retail farmers:
x
(716)
(7)
(43)
(80)
(586)
-
Total net newly granted loans
and advances to customers
covered by public guarantee
programs
6,551
2,490,222
322,428
1,048,649
563,178
346,010
209,957
31.12.2021
Newly granted loans and
advances to customers
covered by public guarantee
programs
Number of
clients who
have used the
public
guarantee
Including: residual maturity of the public guarantee
Value
up to 6
months
from 6 to 12
months
from 1 to 2
years
from 2 to 5
years
over 5
years
Gross balance sheet value
5,306
2,519,663
173,596
997,446
997,298
150,263
201,060
Corporate clients
5,306
2,519,663
173,596
997,446
997,298
150,263
201,060
including retail farmers
245
60,173
216
1,508
8,040
50,409
-
Allowance
x
(24,226)
(1,329)
(9,160)
(7,869)
(2,372)
(3,496)
Corporate clients
x
(24,226)
(1,329)
(9,160)
(7,869)
(2,372)
(3,496)
including retail farmers
x
(260)
(10)
(1)
(144)
(105)
-
Total net newly granted loans
and advances to customers
covered by public guarantee
programs
5,306
2,495,437
172,267
988,286
989,429
147,891
197,564
As at 31 December 2022, the value of expired moratoriums amounted to PLN 4,147,287 thousand (PLN 5,372,251 thousand as
at 31 December 2021).
Due to the ongoing war in Ukraine and the economic sanctions issued against Russia and Belarus, the Bank analysed credit
exposures directly related to these countries and, based on this, did not identify any significant exposures in both the corporate
and individual client portfolios.
At the same time, the Bank monitors the situation of clients on an ongoing basis with a view to safeguarding the credit portfolio
and maintaining its high quality. Preventive measures taken in the first quarter of 2022 are being continued. As part of these
activities, institutional clients whose business activities are:
1) related to the economies of the above countries and thus may be exposed to the effects of war and imposed sanctions;
2) particularly sensitive to inflation;
3) vulnerable to the Russian gas embargo.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
For the purpose of selecting the war-exposed loan portfolio, the Bank considers the following factors (among others):
1) exports/imports to/from countries at risk;
2) capital or organizational relations with citizens of Russia or Belarus;
3) transportation services provided in countries at risk or logistic channels passing through countries at risk;
4) production carried out in countries at risk;
5) investments in fixed assets and capital investments in risk countries;
6) existence of commercial contracts in risk countries (especially construction contracts);
7) employment of workers from Russia, Ukraine or Belarus;
8) distribution of Russian and Belarusian goods or services (risk of boycott of goods).
In the case of inflation, based on information provided by the Department of Economic and Sectoral Analysis, the Bank made a
selection of particularly sensitive industries. The shares of energy and material prices in operating costs (as the main drivers of
inflation) and gross margin were taken into account. A threshold of increased risk was defined for each of these factors. Information
on the possibility of passing on price increases to customers was also included in the sensitivity assessment.
The group of customers selected on this basis was subjected to further detailed analysis to identify activities with higher risk levels.
The risk assessment is updated on a semi-annual basis.
Country risk
Within credit risk, the Bank additionally distinguishes country risk, which covers all risks related to conclusion of financial
agreements with foreign parties, assuming that it is possible that economic, social or political events will have an adverse effect
on creditworthiness of the Bank’s obligors in that country or where intervention of a foreign government could prevent the obligor
(which could also be the government itself) from discharging his liabilities.
The Bank’s policy concerning country risk has been conservative. Country limits have been reviewed periodically and the limit level
modified to precisely match the anticipated business needs and risk appetite of the Bank.
As at the end of 2022, 53% of the Bank's exposure to countries other than Poland were transactions related to the Bank's foreign
lending activities, treasury transactions (including placement and derivative transactions) accounted for 34% while the remaining
part, i.e. 13% was related to foreign trade transactions (letters of credit and guarantees). France accounted for 57%, Luxembourg
for 16%, the Netherlands and Austria for 7% both, Italy for 5% and Belgium for 3% of the exposure. The remaining exposure was
concentrated in Mexico, the Great Britain and Germany.
The Bank had no material credit exposures in Russia, Ukraine and Belarus.
55.3. Counterparty risk
Counterparty risk is the credit risk concerning the counterparty transactions in case of which the amount of liability may change in
time depending on market parameters. Therefore, the counterparty risk is related to transactions on instruments whose value may
change over time depending on such factors as interest rates or foreign exchange rates. The varying exposure may affect
the customer’s solvency and is of crucial importance to the customer’s ability to discharge its liabilities when the transaction is
settled. The Bank’s customers may enter into financial market transactions. The exposure is determined by the Bank on the basis
of the current measurement of contracts as well as the potential future changes in the exposure, depending on the transaction
type, customer type and the settlement dates.
At the end of December 2022, the counterparty risk was calculated for the following types of transactions: foreign exchange
transactions, interest rate swap transactions, FX options, interest rate options and commodity derivatives.
Counterparty credit risk, for transactions which generate counterparty risk, is assessed using the same methodology as the one
applied to loans. This denotes that in the credit process, these transactions are subject to limits, the value of which results directly
from assessment of customer creditworthiness. However, the assessment also takes into account the specific nature of
transactions, in particular their changing value in time or direct dependence on market parameters.
The principles applicable to foreign exchange transactions, derivative transactions as well as credit limit granting, use and
monitoring for transactions subject to counterparty risk limits have been laid down in dedicated procedures. According to the policy
in place at the Bank, all transactions are entered into considering individual limits and knowledge of the customer. The Bank
diversifies availability of products, which are offered to customers depending on their knowledge and experience. The Bank has
transparent rules applicable to hedging the counterparty credit risk exposure in place.
At the end of December 2022, the Bank's exposure to the counterparty risk due to concluded derivative transactions was PLN 2.4
billion. Corporate and financial clients constituted 70% of the exposure, while the remaining 30% were banks.
In connection with COVID-19 pandemic as well as the war in Ukraine and the economic sanctions issued against Russia and
Belarus, the Bank observes increased volatility in market risk parameters, which translates into fluctuations in counterparty risk
exposure. The Bank assesses counterparty risk on an ongoing basis by conducting reviews of the portfolio of clients in case of
whom this risk exists.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The Bank maintains the application of its basic principle of "Know Your Customer". Due to the non-standard situation, some clients
may be asked for additional information related to the change in business. The Bank also takes into account the higher volatility of
the above parameters in risk assessment when entering into new transactions.
The Bank have not observed significant changes in the materialisation of counterparty risk.
55.4. Market risk (interest rate risk in the trading book and currency risk)
Market risk management organization
The operations of BNP Paribas Bank Polska S.A. are recorded in the trading and in the banking book. In relation to market risk,
covering interest risk in the trading book and the currency risk, the Bank is sensitive for changes in market interest rates, foreign
exchange rates, security prices and implied volatility of option instruments leading to changes in the result on measurement of the
financial instruments present value. The risk of adverse changes in the value, driven by the aforesaid factors, is recognised by the
Bank as market risk. The risk is monitored and managed with the use of the defined and specially designed tools and measures.
In order to reflect the characteristics of financial market transactions appropriately, i.e. the intentions of the parties entering into
the transactions, the major risks and the accounting treatment, the Bank allocates all on- and off-balance sheet items to
the banking or trading book. Detailed allocation criteria are established in the documents (“policies” and “methodologies”) adopted
by resolutions of the Management Board of the Bank and defining the purpose of keeping each book, the profile and types of risks
assumed by the Bank, the measurement and mitigation methods as well as the authorizations and place of each organizational
unit of the Bank in the risk generation, measurement, mitigation and reporting process.
The process of concluding transactions and their recording, as well as risk level supervision and adoption of risk limits is performed
by independent units. In line with the long-term strategy adopted by the Bank, as well as with its financial plan, the Supervisory
Board determines the Bank’s risk tolerance, i.e. an acceptable risk level and profile, which is subsequently allocated by the Risk
Management Committee. The Financial Markets Division takes responsibility for daily operational management of the risk inherent
in trading book in line with the defined market risk limits, including limits related to interest rate in the trading book and the currency
risk, which is managed at a centralized level for the entire Bank. The Integrated Risk Management Department are in charge of
measuring and reporting risk and limit overrides. Additionally, the Integrated Risk Management Department ensures that financial
instruments are measured properly. The management result is calculated by the Financial Market Transactions Monitoring Unit,
while transactions are recorded and settled by the Financial Market Transactions Processing Department. The system of limit
override acceptance is hierarchical. It depends on the period of such override and its scale, and is managed by the Division head
or Members of the Bank’s Management Board exercising supervision of the Risk Function and the function responsible for the risk
override. Irrespective of the process, all limit overrides are reported immediately after they occur and discussed at monthly Risk
Management Committee meetings.
Interest rate risk in the trading book
The Bank’s trading activities are supplementary, as they support sales of financial products to corporate customers, non-banking
financial customers (directly) and retail customers (through structured products, which are officially classified into the banking
book). The Bank opens its own positions, thus generating income on short-term changes in price parameters (foreign currency
rates or interest rates), while maintaining the exposure within the adopted risk limits. The Bank offers commodity instruments but
does not maintain open position in commodity market.
As part of the interest rate risk exposure, which is the key exposure in the trading portfolio, the Bank could enter into IRS, OIS,
CIRS, FRA and basis swap transactions and purchase and sale of foreign currency options on interest options. The interest rate
risk was also determined by positions resulting from FX swap and FX Forward transactions. In 2022, as part of internal risk limits,
the Bank maintained an open option position in order to optimize the result, i.e. generate additional benefits due to the lack of
immediate closing of customer positions by reverse transactions on the interbank market. The priority of the Bank is to hedge the
interest rate risk and currency risk.
Sensitivity of items to shifts in the yield curve and the value at risk (VaR – which is a measure that estimates the potential loss
arising from a change in the market value of a portfolio under specified assumptions about market parameters, over a specified
period of time and with specified probability) are the key measures of the interest rate risk in the trading portfolio. Additionally, the
Bank conducts sensitivity analyses, where the changes in interest rates are more considerable than those typically observed
(stress tests).
In 2022, the interest rate risk for PLN items, measured by sensitivity to shifts in the yield curve in the trading portfolio, was lower
(PLN 4 thousand on average) than in 2021 (PLN 25 thousand).
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The following table presents the interest rate risk in the trading book based on BPV (Basis Point Value, in PLN ‘000):
* a measure of the sensitivity of instrument measurement to a shift in interest rate curves by 1 basis point
Interest rate risk exposure in the trading book measured by sensitivity to a 1 basis point movement in interest rate curves and
currency risk in 2022 was maintained at a relatively low level as a result of the war in Ukraine, crisis situation triggered by COVID-
19 pandemic and increasing uncertainty about future market behaviour. In contrast, the exposure measured with the use of the
external VaR limit increased slightly as compared to the previous year and averaged 19% of the granted limit (compared to 13%
a year earlier). The risk was mainly due to the open interest rate position, with an average utilization of the VaR for this risk was at
the level of 23% of the granted limit.
Currency risk
The Bank, while measuring the currency risk, limits the maximum allowable open currency position at the individual currency level
and for all currencies combined, and applies the value at risk method (VaR). For purposes of currency risk monitoring, it is assumed
that VaR is determined with a 99% confidence level and that a position is maintained for one day. The VaR methodology is validated
on an annual basis by means of an analysis which involves a comparison of the forecast figures and those determined on the
basis of actual changes in foreign exchange rates, assuming that the currency position is maintained (back-testing). The
comparative period covers the last 250 business days. The VaR model was back-tested in 2022 and the verification results indicate
that there is no necessity to make any adjustments.
Foreign currency transactions used for management of the Bank’s currency position were characterized by a stable exposure and
a low risk. The risk resulting from foreign currency transactions with customers was offset on the inter-bank market. The level of
risk exposure was maintained at a low level, i.e. around 24% of the utilisation of the available VaR limit and, as in the previous
year, this risk did not make a significant contribution to the overall risk level. The Bank maintained a small open position in foreign
exchange options to ensure the serviceability of customer transactions, for which the exposure was limited through a set of
additional dedicated limits for the Greek gamma and vega ratios.
The following table presents currency risk of the Bank expressed as FX VaR (in PLN ’000):
* The Bank uses a historical exponential method which assumes the confidence level 99% and that positions are held for 1 day
The table below presents the currency structure of assets and liabilities in their balance sheet value expressed in PLN ‘000:
31.12.2022
31.12.2021
Currency position items
Assets
Liabilities
Assets
Liabilities
USD
1,454,668
5,520,888
682,208
4,168,325
GBP
153,577
544,393
104,101
353,606
CHF
4,650,940
3,073,266
4,441,889
2,160,495
EUR
24,321,080
20,690,592
11,539,478
16,057,536
Other convertible currencies
102,862
264,585
99,144
270,020
PLN
115,425,371
116,014,774
109,494,440
103,351,278
Total
146,108,498
146,108,498
126,361,260
126,361,260
31.12.2022
31.12.2021
BPV
*
PLN
EUR
PLN
EUR
31.12.
(2)
(18)
10
(14)
average
(4)
(37)
25
(38)
max
80
35
107
209
min
(139)
(87)
(40)
(87)
31.12.2022
31.12.2021
FX VaR
*
average
596
354
max
2,739
1,725
min
58
71
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
55.5. Interest rate risk in the banking portfolio (ALM Treasury)
The banking book of BNP Paribas Bank Polska S.A. is composed of two parts: the first one is the ALM portfolio as part of which
structural interest rate, currency and liquidity risks resulting from the structure of the statement of financial position determined by
the core lending, deposit and investing operations of the Bank, are managed. On the other hand, the Treasury portfolio is subject
to daily and short-term liquidity management. It is also used by the Bank for purposes of performing its investing activities as well
as concluding hedging transactions on the financial market.
The ALM portfolio comprises accounts, deposits and loans, strategic items (long-term investments, own debt issues and long-term
loans), financial market transactions hedging the portfolio (derivative instruments) and zero-interest items (to include equity,
tangible assets, intangible assets, taxes and provisions and profit for the period), transferred under management of ALM Treasury
through the Fund Transfer Pricing (FTP) system.
The Treasury portfolio includes liquid securities (liquidity buffer), interbank deposits and placements, nostro and loro accounts as
well as financial market transactions hedging the market risk of the portfolio (derivative instruments).
The Bank’s policy in respect of the banking book – ALM and Treasury portfolios managed collectively – is to earn additional, stable
revenue in excess of the product margin, without any threat to the stability of funds deposited by customers, equity and profit.
The above mentioned objective is accomplished by the Bank by maintaining or matching its natural exposure generated by the core
lending and deposit operations, in line with the adopted risk limits which guarantee limited sensitivity of the Bank’s profit to changes
in market factors, in addition to bringing the exposure into line with financial market trends forecast in the medium and long term.
Competitive conditions of the local financial market and customer expectations are the main factors shaping the Bank's product
policy, in particular the application of variable interest rates for medium- and long-term credit products, and financing of these
assets with short deposits and interest-free accounts.
The real interest rate gap, net interest income sensitivity and economic capital sensitivity are the key measures of the market risk
in the banking book, which comprises the ALM portfolio and the Treasury portfolio.
The major assumptions adopted for measurement of interest rate risk in banking book are as follows:
a) individual assets, liabilities and off-balance sheet transactions are analysed at their nominal value which is used as the basis
for calculation of interest;
b) items and transactions based on floating reference rates, such as WIBOR, NBP rediscount rate etc. are taken into account for
purposes of determining the gap at the nearest repricing date for a given contract;
c) items based on floating reference rates scaled with a multiplier are taken into account for purposes of determining the gap at
the nearest repricing date for a given contract at nominal value scaled with a multiplier and the nominal amount scaled with a value
(1 – multiplier) is considered at the maturity date or proportionally at the principal payment dates;
d) fixed rate items and transactions are taken into account for purposes of determining the gap at the principal payment dates, at
the amounts of the principal paid at a given date or at the full amount at the maturity date for items in case of which the principal
is not repaid (e.g. term deposits). Items and transactions with unspecified maturity, repricing date or non-interest bearing are taken
into account in line with the profile determined as a result of modelling, which is aimed to ensure the best possible reflection of
the changes in interest and principal cash flows resulting from customer behaviours and in response to external factors, in particular
the market interest rates.
e) for the portfolio of impaired loans - for net values (decreased by the created reserves) - the average contractual maturity for
unimpaired exposures (IFRS stage 1 and 2) increased by two years is applied,
f) economic capital is calculated based on positions at internal prices.
As part of interest rate risk management in the banking portfolio, the Bank distinguishes structural elements consisting of interest-
free current accounts and the Bank's capital as well as other commercial items. In terms of structural elements, the Bank secures
a significant portion of them by long-term positions (bonds, interest rate exchange transactions). Regarding other commercial
items, the Bank plans to reduce interest rate risk.
For interest rate risk models, the Bank uses the provisions of the 'W' Recommendation regarding verification of the model's
operation, qualitative criteria, minimum model acceptance criteria and ongoing control of the model's accuracy.
Replication portfolio models for accounts with no specific maturity dates are behavioural models built on the basis of the historical
variability of deposit account balances and the analysis of the closing ratios for the modelled position. As part of modelling, the
portfolio is divided into the stable parts and a variable part, which is assigned the symbol ON in interest rate analyses. The stable
part is divided into a part that is insensitive to interest rate changes (the structural part) and a part sensitive to interest rate changes
(the unstructured part). A long-term interest rate repricing profile is determined for the structural part, while for the non-structural
part it depends on the current macroeconomic situation and forecasts of the behaviour of interest rates for individual currencies.
As regards loans with a fixed interest rate, prepayment ratios determined in accordance with the applicable models at the Bank
are used. Prepayments are analysed separately for individual types of loans (cash, car), due to the different characteristics of
these products. Factors included in the prepayment analysis: loan age, seasonality, financial incentive for the customer to prepay
the loan.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
The following tables present the Bank’s real interest rate gap as at 31 December 2022 and 31 December 2021 (PLN ‘000)* on a
separate basis:
31.12.2022
Interest rate gap
Up to 1 month
1-3 months
3-12 months
1-5 years
Over 5 years
Total
Cash and balances at Central
Bank
2,718,242
-
-
-
-
2,718,242
Amounts due from other banks
11,572,083
60,000
77,500
-
-
11,709,583
Loans and advances to customers
26,577,537
29,216,808
17,903,066
9,563,459
1,306,402
84,567,271
Investment securities
10,046,000
190,700
3,105,909
13,322,460
13,722,315
40,387,384
Other assets
1,702,759
48,747
219,359
1,169,917
584,958
3,725,740
Total assets
52,616,620
29,516,255
21,305,835
24,055,836
15,613,674
143,108,220
Amounts due to banks
(1,989,484)
(3,802,272)
(439,111)
-
-
(6,230,867)
Amounts due to customers
(47,767,879)
(13,265,387)
(23,941,192)
(22,274,193)
(11,854,695)
(119,103,346)
Other amounts due
(307,534)
(76,883)
-
-
-
(384,417)
Capital
748,669
(288,288)
(1,297,295)
(6,918,907)
(3,459,453)
(11,215,274)
Other liabilities
(5,932,892)
-
-
-
-
(5,932,892)
Total liabilities:
(55,249,120)
(17,432,831)
(25,677,598)
(29,193,100)
(15,314,148)
(142,866,796)
Net off-balance sheet liabilities
(3,294,687)
(6,851,631)
1,197,001
5,138,881
3,807,269
(3,167)
Interest rate gap
(5,927,186)
5,231,793
(3,174,762)
1,616
4,106,796
238,257
31.12.2021
Interest rate gap
Up to 1 month
1-3 months
3-12 months
1-5 years
Over 5 years
Total
Cash and balances at Central
Bank
4,631,410
-
-
-
-
4,631,410
Amounts due from other banks
2,175,621
69,000
10,000
-
-
2,254,621
Loans and advances to customers
29,346,300
35,600,673
9,778,615
5,751,559
1,129,680
81,606,828
Investment securities
1,550,400
77,990
1,607,950
10,891,497
18,397,040
32,524,878
Other assets
1,244,065
52,216
234,971
1,253,181
626,590
3,411,024
Total assets
38,947,796
35,799,880
11,631,537
17,896,237
20,153,310
124,428,760
Amounts due to banks
(3,064,819)
(3,382,743)
(415,356)
-
-
(6,862,918)
Amounts due to customers
(31,573,451)
(7,305,519)
(20,312,153)
(29,683,473)
(11,975,070)
(100,849,666)
Other amounts due
(415,356)
(178,675)
(30,790)
-
(137,103)
(761,924)
Capital
(259,987)
(268,257)
(1,207,156)
(6,438,163)
(3,219,081)
(11,392,644)
Other liabilities
(4,391,074)
-
-
-
-
(4,391,074)
Total liabilities:
(39,704,687)
(11,135,193)
(21,965,455)
(36,121,636)
(15,331,254)
(124,258,225)
Net off-balance sheet liabilities
(6,146,153)
(6,107,753)
(7,079,780)
15,151,152
4,050,232
(132,303)
Interest rate gap
(6,903,044)
18,556,934
(17,413,698)
(3,074,248)
8,872,288
38,231
* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total
sum.
Estimated decreases or increases in the net interest income for the banking portfolio between 1 and 3 years, resulting from changes
in market interest rates, are the measure of its sensitivity. For management and risk control purposes, the Bank calculates
sensitivity to a number of different market parameter change scenarios: immediate shifts and shifts in time, parallel and non-parallel
shifts, in normal and stress conditions, varying depending on the currency, market and instrument.
Annual net interest income sensitivity to an immediate shift of market rates by 100 bps (in PLN ’000) assuming the most probable
change in the product structure, especially in the corporate segment, is presented in the below tables:
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Immediate shift in market rates by 100 bps:
31.12.2022
31.12.2021
increase
261,201
202,614
decrease
(194,348)
(195,403)
Sensitivity of interest result by currency:
Immediate shift in market rates by 100 bps:
PLN
EUR
USD
CHF
increase
155,448
86,257
27,535
(7,874)
decrease
(88,595)
(86,257)
(27,535)
7,874
The economic sensitivity of capital to a sudden parallel shift of market rates by +/- 200 basis points in PLN ‘000 and as percentage
of own funds:
Immediate shift in market rates by 200 bps:
In PLN thousand
%
increase
(408,481)
-2.75%
decrease
(382 627)
-2.57%
In terms of base risk, the Bank analyses positions based on different types of rates with the same interest rate repricing date. The
largest potential change in the Bank's net interest income may result from a change in the spread between Wibor 1M rates and
the NBP reference rate. If the market rate changes by 50 bps compared to the reference rate, the change in the result will be PLN
3,796 thousand.
The COVID-19 pandemic and war in Ukraine did not fundamentally affect the method of managing the interest rate risk in the
banking portfolio.
Impact of IBOR Reform on BNP Paribas Bank Polska S.A.
In 2021 BNP Paribas Bank Polska S.A. (the "Bank") completed a project related to the implementation of IBOR Reform and
adjustment to the requirements of the Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016
on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds
and amending Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No 596/2014 (the "BMR Regulation").
The project concerned the liquidation of LIBOR rates for EUR, GBP, CHF, JPY and USD (ON, SW, 2M, 1Y) at the end of 2021
and LIBOR USD rate (1M, 3M, 6M) on 30.06.2023.
As at 31 December 2022 the Bank held:
- USD LIBOR-based financial assets of USD 51.7 million, of which USD 42.9 million maturing beyond 30.06.2023,
- USD LIBOR based financial liabilities of USD 0.3 million maturing in full before 30.06.2023,
The Bank did not hold any CHF LIBOR-based financial assets or liabilities, neither GBP LIBOR-based financial assets nor
liabilities.
As at 31 December 2022 the Bank also held interest rate swaps (IRS) under fair value hedge accounting based on USD LIBOR
for USD 70.0 million, of which USD 55.0 million matures beyond 30.09.2023. As at 31.12.2022, the Bank did not have hedging
relationships based on CHF LIBOR and GBP LIBOR or currency interest rate swaps (CIRS), which require LIBOR to be swapped
for alternative rates.
The Bank has a Contingency Plan for the continuity of benchmarks used in financial contracts and instruments, uses so-called
"fallback clauses" to regulate the establishment of substitute (alternative) indicators to those currently in use, and has developed
appropriate changes to the IT systems that allow for a multi-variant use of indicators in the event of cessation of the development
of a given reference indicator.
In the case of hedging instruments, the Bank, as recommended by the PFSA, has joined the ISDA IBOR Fallbacks Supplement
and Protocol and is actively working with its counterparties to introduce the rules in line with this methodology.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
In connection with the planned reform of reference indices leading to the replacement of the WIBOR interest rate reference index
with a new reference index, a National Working Group ("NWG") has been established to prepare a schedule of activities for the
smooth and safe implementation of the changes in this respect. The work of the NWG is supervised and coordinated by the
Steering Committee. The NWG Steering Committee has selected the WIRON index as an alternative interest rate benchmark. The
input data for WIRON is information representing ON (overnight) transactions. The administrator of WIRON within the meaning of
the BMR Regulation (Regulation of the European Parliament and of the Council (EU)) is the WSE Benchmark, registered with the
European Securities and Markets Authority. The NWG Steering Committee has approved a Roadmap for the process of replacing
the WIBOR benchmarks with the WIRON index. The document sets out the basic assumptions for the work of the NWG. Further
activities of the NWG Steering Committee are related, among other things, to the development of recommendations on standards
for the use of WIRON in banking, leasing and factoring products and financial instruments. According to the adopted assumptions,
it is assumed that WIRON will be used universally and that the Bank is ready to stop calculating and publishing WIBID and WIBOR
Reference Rates in 2025.
The Bank has established a team responsible for adapting its operations to the changes associated with the replacement of the
WIBOR interest rate reference index. The work of the team is supervised and coordinated by a dedicated Steering Committee. As
part of the team, persons delegated to participate in the work of the NWG have been identified and are responsible for carrying
out the relevant changes at the Bank within documentation, communication, IT systems. As envisaged, the Bank's adjustment in
this respect will take into account the decisions and recommendations of the NWG.
As at 31.12.2022. The Bank has identified:
- WIBOR-based financial assets for an amount of PLN 53,544.1 million,
- WIBOR and WIBID-based financial liabilities in the amount of PLN 11,884.4 million.
The Bank also held interest rate swaps (CIRS/IRS) based on WIBOR in the amount of PLN 10,732.5 million, of which PLN 8,637.5
million under fair value hedge accounting.
In 2022, the Bank had no WIRON-based products in its offering.
The Bank assumes that the replacement of the WIBOR interest rate reference index with a new reference index will be carried out
in an orderly manner, in accordance with the formal requirements of the BMR Regulation, and will include all instances of the
reference index used in the contracts and financial instruments indicated in the BMR Regulation. In the Bank's view, it is of utmost
importance to establish an appropriate method for determining the spread adjustment and applying the method to take into account
of the effects of a change in the reference index. In the Bank's view, all of the above-mentioned aspects would ensure that a
number of risks associated with the planned reform are limited. A hasty and disorderly implementation of the reform may cause:
- the lack of a transition period to allow an efficient derivatives market to take shape for the new indicator,
- high uncertainty regarding the valuation of on-balance sheet and off-balance sheet items,
- early closure of IRS contracts by central clearing houses in the case of absence of valuation options,
- abrupt and difficult to manage changes in financial institutions' interest rate risk exposures,
- questioning of flows arising from the application of spread adjustments that do not ensure economic equivalence in settlements
between parties.
The Bank assesses that the potential risks that may materialise during the implementation of the reform related to the replacement
of the WIBOR interest rate with the new reference rate may consequently lead to significant systemic disruptions in the functioning
of the entire national economy.
At present, it is not possible to identify any rationale for ending the publication of the EURIBOR index. Thus, the flows resulting
from this index are exchanged between the counterparties under the current rules.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
55.6. Liquidity risk
Risk management process organisation
The Bank’s comprehensive liquidity management system covers both immediate (intraday) and future (current, short-term as well
as structural medium- and long-term) liquidity. Risk is managed by the Bank by building the statement of financial position and the
financing structure reflected in the Bank’s financial statements including both balance and off-balance sheet items to ensure
liquidity at any time, taking into consideration the profile of the Bank’s business, customer characteristics and behaviours as well
as needs that may arise as a result of changes in the financial market. Additionally, the risk identification and measurement
methods used by the Bank enable it to forecast future liquidity levels, also in stress conditions.
The Bank ensures separation and independence of its operations, risk management, control and reporting functions. In particular,
transactions with contracting parties and customers are entered into by the business, confirmed and processed by Operations,
immediate (intraday) and future liquidity is managed by ALM Treasury, daily supervision of the risk level and compliance with risk
limits is the responsibility of the Risk Function, while supervisory liquidity measures are reported independently by the Finance
Division.
The liquidity risk limits adopted by the Bank reduce its exposure to this type of risk. Risk is monitored and controlled based on
documents adopted by resolutions of the Bank’s Management Board (risk measurement and monitoring policy and methodologies),
developed in compliance with the guidelines formulated in Recommendation “P” of the Polish Financial Supervision Authority and
European Commission Delegated Regulation 2018/60 of 13 July 2018 amending Commission Delegated Regulation (EU) 2015/61
of 10 October 2014. The Bank has an internal transfer pricing system in place, which reflects accurately the real financing cost for
each asset and liability type, and the transfer pricing structure stimulates optimization of the statement of financial position,
including diversification of the sources of funding, from the perspective of liquidity risk. LTD limits for each business line are an
important additional component of that system, as they facilitate maintenance of a secure level of assets relative to liabilities, which
is appropriate considering the characteristics of each line.
The level of liquidity risk appetite is determined by the Supervisory Board of the Bank and the risk management policy based on
that appetite, including definition of general liquidity risk measures, is approved by the Management Board, whereas specific risk
limits and their monitoring are the responsibility of ALCO. The Bank’s Management Board and Supervisory Board supervise the
effectiveness of the liquidity risk management process based on periodic information and current reports.
In compliance with the requirements of the Recommendation “P”, the Bank conducts numerous analyses verifying its ability to
maintain liquidity in crisis situations. Stress tests cover comprehensive scenarios considering internal and system factors and
combining different variants with possible interactions. Stress test results are taken into account in determining liquidity limits. The
Bank has a comprehensive emergency plan in place. It comprises various scenarios along with action plans for liquidity crisis
situations in the Bank and in the banking system as a whole. Stress test results are correlated with the emergency plan and
reaching defined warning levels triggers the emergency plan.
Risk measures
The Bank uses external and internal risk measures. The internal measures include, among others: an analysis of trends and
volatility of each source of funding relative to the loan portfolio (LTD), the contractual liquidity gap and the liquidity gap realigned
based on behavioural factors along with mismatch structure limits defined on its basis, an analysis of surplus liquidity and the
available sources of funding, an analysis of stability and concentration of the deposit base as well as a review of the structure of
funds placed with the Bank by the major depositors by volume and maturity. Additionally, sales plans (covering loans and deposits)
are monitored, by each business line, and simulation analyses are performed. Furthermore, the Bank analyses the costs of the
deposit base with a view to optimizing the liquidity buffer and the use of such tools as the liquidity margin or pricing policy.
The external measures include supervisory long- and short-term liquidity ratios: the liquidity coverage ratio (LCR), as defined in
European Commission Delegated Regulation 2018/60 of 13 July 2018 amending Commission Delegated Regulation (EU) 2015/61
of 10 October 2014, and the net stable funding ratio (NSFR) determined in the Regulation No. 2019/876 of 20 May 2019 amending
the Regulation (EU) No. 575/2013 of the European Parliament and of the Council and developed in line with the Commission
Implementing Regulation (EU) No. 680/2014 and the Basel document on the NSFR.
The on-going supervision includes early warning tools, such as monthly reviews of additional liquidity requirements defined in the
Commission Implementing Regulation (EU) No. 2016/313. In addition, the Bank conducts daily analyses of various liquidity
indicators with warning levels defined in the Emergency Liquidity Plan. Theses allow, when warning levels are reached, to introduce
remedial actions and restore the Bank's safety in terms of liquidity.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Liquidity risk profile
In 2022 the Bank’s financial liquidity was maintained at a safe level. The Bank’s funds were sufficient for payment of all its liabilities
upon maturity. The portfolio of the most liquid securities was maintained at a level, which was sufficient to offset a potential outflow
of funds placed with the Bank by the major depositors in whole.
2022 was a year of continuation of the COVID-19 pandemic situation, but already to a much lesser extent. The war in Ukraine
started at the beginning of the year, which required additional activities on the liquidity management side. The activities of the
ALMT Division focused on special monitoring of the Bank's liquidity situation in terms of customers' needs and access to cash.
The Bank maintained on its portfolio the government bond purchased and bonds issued by Bank Gospodarstwa Krajowego to
support pandemic relief efforts. Internal models and internal transfer prices were adjusted on an ongoing basis. The ALMT division
coordinated with the business lines through regularly held meetings and consultations discussing the liquidity situation and the
behaviour of customers.
As at the end of 2022 the Bank’s surplus liquidity was at the level of PLN 34,234 billion:
31.12.2022
31.12.2021
Cash at Central Bank (over the reserve requirement)
(4,016,670)
(491,888)
Cash at other banks
10,497,447
2,078,986
Highly-liquid securities
27,753,342
28,223,645
Surplus liquidity up to 30 days
34,234,119
29,810,743
Surplus liquidity has increased compared to the end of 2021 mainly due to an increase in funds in other banks placed within 30
days.
31.12.2022
31.12.2021
limit
Liquidity Coverage Ratio
169%
143%
100%
In 2022 the Bank continued to optimise its funding sources with the aim of reducing unnecessary, yet costly and unstable excess
funding. In 2022 the Bank maintained the level of medium and long-term borrowings from the BNPP Group and its subsidiaries,
including a subordinated loan from the BNP Group to meet the MREL requirement. The Bank raised new financing of PLN 450
million from the EBRD as financing under the MREL requirement to be used to finance green projects.
The Bank’s sources of funding remained highly stable throughout 2022 at a similar level as in the previous year
31.12.2022
31.12.2021
balance
stable (%)
balance
stable (%)
long-term loans from the Group
4,413,155
100%
4 327 140
100%
other long-term loans
492,266
100%
101,501
100%
securitization liabilities
384,417
100%
761,925
100%
retail
61,004,974
93%
56 293,236
93%
corporates
58,098,372
78%
44 556,433
82%
banks and other unstable sources
1,741,184
0%
2 598,201
0%
Total
126,134,368
85.1%
108 638,436
86.6%
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
Inflows and outflows – expected under the agreements concluded by the Bank is presented as contractual liquidity gap*
31.12.2022
Contractual liquidity gap
Up to 1 month
1-3 months
3-12 months
1-5 years
Over 5 years
Total
Assets
Loans and advances to
customers
13,580,048
2,274,055
9,631,631
31,230,956
26,204,999
82,921,690
Debt securities
8,500,000
1,700
1,105,914
16,432,455
14,347,315
40,387,384
Interbank deposits
11,373,064
60,000
77,500
-
-
11,510,564
Cash and balances at
Central Bank
2,783,709
-
-
-
-
2,783,709
Fixed assets
-
-
-
-
1,059,703
1,059,703
Other assets
738,008
-
-
-
1,517,533
2,255,541
Off-balance sheet
liabilities, including:
derivatives
16,634,202
6,514,981
10,845,664
21,712,927
1,316,691
57,024,465
Liabilities
Retail deposits
47,606,507
6,942,979
6,136,082
319,405
-
61,004,974
Corporate deposits
53,919,998
2,687,623
1,331,949
146,055
12,747
58,098,372
Interbank deposits
1,731,184
-
-
-
-
1,731,184
Loans from financial
institutions
68,935
44,704
164,017
599,023
3
876,683
Equity and subordinated
liabilities
313,712
-
-
1,476,458
13,711,571
15,501,741
Other equity and liabilities
4,073,364
-
-
-
-
4,073,364
Off-balance sheet
liabilities, including:
derivatives
16,615,317
6,491,816
10,758,931
21,799,715
1,351,877
57,017,656
Total receivables
53,609,031
8,850,737
21,660,709
69,376,338
44,446,241
197,943,056
Total liabilities
124,329,017
16,167,123
18,390,979
24,340,656
15,076,199
198,303,973
Liquidity gap
(70,719,986)
(7,316,386)
3,269,731
45,035,682
29,370,042
(360,917)
* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total
sum.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
31.12.2021
Contractual liquidity gap
Up to 1 month
1-3 months
3-12 months
1-5 years
Over 5 years
Total
Assets
Loans and advances to
customers
13,801,511
2,263,839
9,551,957
29,757,435
26,232,084
81,606,826
Debt securities
-
-
880,150
12,622,687
19,022,040
32,524,877
Interbank deposits
2,078,986
69,000
10,000
-
-
2,157,986
Cash and balances at
Central Bank
2,584,646
-
-
-
2,079,746
4,664,392
Fixed assets
-
-
-
-
2,446,968
2,446,968
Other assets
1,010,509
-
-
-
269,983
1,280,492
Off-balance sheet
liabilities, including:
derivatives
12,804,974
7,603,928
11,549,988
22,210,695
2,104,088
56,273,673
Liabilities
Retail deposits
52,989,326
1,930,056
1,321,014
52,787
53
56,293,236
Corporate deposits
42,985,027
778,536
532,831
243,898
16,141
44,556,433
Interbank deposits
2,563,201
20,000
15,000
-
-
2,598,201
Loans from financial
institutions
103,913
82,539
297,780
378,832
362
863,426
Equity and subordinated
liabilities
577,946
-
-
899,940
14,783,875
16,261,761
Other equity and liabilities
5,100,123
-
-
-
-
5,100,123
Off-balance sheet
liabilities, including:
derivatives
12,873,870
7,664,647
11,533,690
22,235,755
2,116,816
56,424,778
Total receivables
32,280,626
9,936,767
21,992,095
64,590,817
52,154,909
180,955,215
Total liabilities
117,193,405
10,475,778
13,700,314
23,811,212
16,917,246
182,097,958
Liquidity gap
(84,912,784)
(539,011)
8,291,781
40,779,605
35,237,663
(1,142,743)
* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total
sum..
Compared to 2021, the value of the contractual gap up to 1m has decreased, due to changes in customers' deposit products: in
an environment of significantly higher interest rates, the Bank's customers are more willing to set up term deposits than to keep
funds in current accounts. However, the stability of customer funds is still very high (88% of the total balance, better than last year)
with an average maturity of the stable parts of more than five years. At the end of 2022, off-balance-sheet liabilities outside
derivatives amounted to PLN 13,004 billion.
The Bank's liquidity position continued to improve throughout the year. Due to significant increases in interest rates, despite the
expiring Covid-19 pandemic, interest on loans fell sharply from the second quarter onwards. The outbreak of the war in Ukraine
had no impact on the Bank's overall liquidity situation and was only manifested during the first month of the conflict by increased
demand for cash, both at branches and ATMs, not only of the Bank but of the entire Euronet network. Due to the sharp increase
in NBP interest rates during the year, there was a significant reduction in the Bank's lending, particularly in mortgages. Inflationary
concerns, wage pressures as well as significant increases in energy prices are also holding back loan production in the corporate
segment.
The primary source of financing continues to be funds raised from non-bank customers.
55.7. Operational risk
The Bank’s operational risk is defined in accordance with the requirements of the Polish Financial Supervision Authority included
in Recommendation M as the risk of incurring a loss through the fault of inappropriate or unreliable internal processes, people,
technical systems or as a result of external factors. It comprises legal but not strategic risk. The Bank also recognizes as operational
risk events and losses which may result from the materialization of compliance risk
1
. Operational risk as such is inherent in any
banking operations. The Bank identifies the risk as permanently significant.
1
Compliance risk means the risk of the consequences of non-compliance with laws, internal regulations and market standards in
the Bank's processes.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Operational risk is managed with a view to reducing the losses and costs resulting from the aforesaid risk, ensuring top quality of
the services provided by the Bank in addition to security and compliance of the Bank’s operations with the applicable laws and
standards.
Operational risk management strategy and policy
Operational risk management consists in employment of measures aimed at operational risk identification, analysis, monitoring,
control, reporting and mitigating. Such measures take into account the structures, processes, resources and scopes of
responsibilities for the said processes at various organizational levels, within the three lines of defence. The operational risk
management strategy has been described in the Operational risk management strategy and internal control at BNP Paribas Bank
Polska S.A., which was approved by the Management Board of the Bank and accepted by the Supervisory Board. The Operational
Risk Policy of BNP Paribas Bank Polska S.A., adopted by the Risk Management Committee of the Bank, constitutes organizational
framework and standards for operational risk management. It addresses all aspects of the Bank’s operations in addition to defining
the Bank’s objectives and the methods of their achievement as regards the quality of operational risk management as well as
compliance with legal requirements set out in the recommendations and resolutions issued by national financial supervision
authorities. The Bank’s operational risk management objectives include, in particular, compliance with high operational risk
management that guarantee security of customer deposits, the Bank’s equity, stability of its financial performance as well as
maintenance of the operational risk level within the range of the operational risk appetite and tolerance defined by the Bank. When
developing the operational risk management system, the Bank complies with the applicable legal requirements, in particular, with
the recommendations and resolutions of the national financial supervision authorities and the standards adopted by the BNP
Paribas Group.
According to the Policy, operational risk management instruments include, among others:
the identification and assessment of operational risk, including through the collection of information on operational events,
the assessment of risks in processes and products, the self-assessment of operational risk and control, the assessment of
operational risk for contracts with external suppliers (outsourcing) and the determination of key risk indicators;
setting operational risk appetite and limits on a Bank-wide and individual business area level; operational risk analysis,
including operational risk scenario analysis and its monitoring and ongoing control;
reporting on operational risk.
The Bank's Management Board periodically assesses the implementation of the operational risk strategy and, if necessary, orders
necessary adjustments to improve the operational risk management processes. To this end, the Bank's Management Board is
regularly informed of the scale and types of operational risk to which the Bank is exposed, its effects and operational risk
management methods. In particular, both the Bank's Management Board and the Supervisory Board are regularly informed of the
development of the operational risk appetite measures set out in the Operational Risk Management Strategy.
As part of the implementation of the Operational risk management and internal control strategy, the Bank in 2022 undertook and
continued to undertake a number of measures to mitigate operational risk, strengthening the control mechanisms and processes
over this type of risk. In particular, processes and tools to prevent and combat fraud against the Bank were strengthened, including,
inter alia, the fight against credit fraud and phishing. In addition, a fraud risk mitigation programme was implemented at the Bank.
The Bank monitored its exposure to legal risk on an ongoing basis, including the risk arising from pending litigation concerning
CHF-denominated loans, in order to respond adequately to changes in the level of risk. Following the outbreak of war in Ukraine,
the Bank monitored potential risks to the Bank on an ongoing basis, including those relating to security and ensuring business
continuity. The Bank's Management Board and the Risk Committee of the Supervisory Board are informed about the effectiveness
of the solutions implemented by the Bank in this respect.
Internal environment
The Bank precisely defines the division of responsibilities for operational risk management, which is adapted to the organisational
structure. As part of the second line of defence, comprehensive supervision of the organisation of operational risk management
standards and methods is exercised by the Operational Risk, Internal Control and Anti-Fraud Division operating within the Risk
area. The Division's responsibilities include, inter alia, issues relating to operational risk management, combating fraud against the
Bank and the supervision of internal control, including the control of personal data protection processes.
The definition and implementation of the Bank's insurance strategy, as a method of risk mitigation, is the responsibility of the
Property and Administration Department, while business continuity management is the responsibility of the Security and Business
Continuity Management Division.
As part of legal risk management, the Legal Division monitors, identifies and analyses changes in law and their impact on the
Bank's operations, and is involved in judicial and administrative proceedings that affect the Bank. The ongoing monitoring of
compliance risk and the development and improvement of adequate techniques for its control are handled by the Compliance
Department.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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Risk management
The Bank places a strong focus on identification and assessment of the factors that trigger its present exposure to operational risk
in relation to banking products. It is the Bank’s objective to reduce the operational risk level through improvement of its internal
processes as well as mitigating the risk inherent in the process of launching new products and services and outsourcing operations
to third parties.
In accordance with the Operational Risk Management Policy of BNP Paribas Bank Polska S.A., the operational risk analysis is
aimed at acquiring an understanding of the interdependence between the risk generating factors and operational event types, and
it is performed primarily with the objective to define the operational risk profile.
The operational risk profile is an assessment of the level of significance of this risk, understood as the scale and structure of
operational risk exposures, determining the exposure levels to this risk (i.e. operational losses), expressed in the structural
dimensions selected by the Bank and the scale dimensions. Periodic assessment and review of the Bank's operational risk profile
is based on an analysis of the Bank's current risk parameters, changes and risks occurring in the Bank's environment,
implementation of the business strategy, as well as the adequacy of the organizational structure and the effectiveness of the risk
management and internal control system.
Internal control system
The purpose of internal control is effective risk control, including risk prevention or early detection. The role of the internal control
system is to achieve general and specific objectives of the internal control system, which should be considered at the design stage
of control mechanisms. The principles of the internal control system are described in the "Policy on internal control at BNP Paribas
Bank Polska S.A." document, approved by the Bank's Management Board. This document describes the main principles,
organizational framework and standards for the functioning of the control environment at the Bank, complying with the PFSA
requirements provided in Recommendation H and the Regulation of the Minister of Finance, Funds and Regional Policy of 8 June
2021 on the risk management system and the internal control system, the remuneration policy in banks. Detailed internal
regulations concerning specific areas of the Bank's activity are adapted to the specifics of the Bank's operations. The appropriate
organizational units of the Bank, in accordance with the scope of the tasks assigned to them, are responsible for developing
detailed regulations relating to the area of internal control.
The internal control system at the Bank is based on the 3 defence lines model, which consists of:
1st defence line, which consists of organizational units from particular areas of banking and support areas,
2nd defence line, which consists of organizational units responsible for risk management, regardless of the risk management
related to the first line of defence, and the compliance unit,
3rd defence line, which is independent and objective internal audit unit.
The Bank ensures internal control through independent monitoring of compliance with control mechanisms, including on-going
verification and testing.
Monitoring and reporting
The Bank periodically monitors the efficiency of the operational risk management system and its appropriateness for its current
risk profile. The organization of the operational risk management system is reviewed as part of periodic control exercised by the
Internal Audit Division, which is not directly involved in the operational risk management process but provides professional and
unbiased opinions supporting achievement of the Bank’s objectives. The operational risk management system is overseen, and
its appropriateness and efficiency are assessed by the Supervisory Board.
Capital requirements due to operational risk
The Bank estimates its regulatory capital necessary to cover operational risk in accordance with the applicable regulations.
Calculation of the requirements at individual level is performed using the standard approach (STA).
Risks arising from the impact of the pandemic
In terms of operational risk management, the Bank monitors the risks associated with the existing COVID-19 pandemic emergency,
being ready to take appropriate countermeasures to ensure the safety of both the Bank's employees and customers and to ensure
the uninterrupted execution of processes related to its operations.
Risks arising from the war in Ukraine
In terms of operational risk management, the Bank continuously analyses the risks related to the consequences of the hostilities
in Ukraine (including, in particular, cyber or physical attacks targeting payment or banking infrastructure that may result in business
continuity disruptions), and takes appropriate measures to ensure the security of both the Bank's employees and customers and
to ensure the uninterrupted execution of business-related processes.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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world
56. CAPITAL ADEQUACY MANAGEMENT
Own funds and capital ratios
Capital adequacy management is aimed to ensure the Bank’s compliance with macro-prudential regulations defining capital
requirements related to the risks incurred by the Bank, quantified in the form of the capital ratio.
Since 1 January 2014, banks have been subject to new principles applicable to calculation of capital ratios, following the
implementation of Regulation No. 575/2013 of the European Parliament and of the Council of 26 June 2013 on macro-prudential
requirements for credit institutions and investment firms, as amended by Regulation (EU) 2019/876 of the European Parliament
and of the Council of 20 May 2019 (CRR2) in relation to leverage ratio, net stable funding ratio, own funds and eligible liabilities
requirements, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment
undertakings, large exposures, reporting and disclosure requirements.
On 27 June 2020, Regulation (EU) 2020/873 of the European Parliament and of the Council of 24 June 2020, amending
Regulations (EU) No 272/2013 and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic, entered
into force, allowing, inter alia, a reduction in risk weights for some SME loans, a temporary partial exclusion from the calculation of
Common Equity Tier 1 items of the amount of unrealised profits or losses measured at fair value through other comprehensive
income in relation to the COVID-19 pandemic.
As at 31 December 2022, the adjustment related to the temporary partial exclusion from the calculation of common equity tier 1
items of the amount of unrealised profits or losses measured at fair value through other comprehensive income in relation to
pandemic COVID-19 amounted to PLN 373,716 thousand.
On 23 December 2020, Commission Delegated Regulation (EU) 2020/2176 of 12 November 2020, amending Delegated
Regulations (EU) No 241/2014 as regards the deduction of software assets from Common Equity Tier 1 items, entered into force.
As at 31 December 2022, the adjustment to Tier 1 capital related to other intangible assets amounted to PLN 388,016 thousand.
The capital ratios, capital requirements and equity have been calculated in accordance with the aforesaid Regulation with the use
of national options.
Pursuant to the Act of 5 August 2015 on macroprudential supervision of the financial system and crisis management in the financial
sector (Journal of Laws 2015, item 1513, as amended), an additional buffer of 2.5% was introduced starting from 1 January 2019.
The Financial Supervision Authority, in a release dated 8 November 2021, announced that, based on the provisions of the Act of
5 August 2015 on macroprudential supervision of the financial system and crisis management in the financial system and after
taking into account the opinion of the Financial Stability Committee, it confirmed the identification of ten banks as other systemically
important institutions (O-SII).
As a result of the review, the Commission concluded that there are no reasons justifying the repeal or amendment of its previous
decision of 4 October 2016, as amended by the Commission decision of 19 December 2017, concerning imposition of a buffer for
another systemically important institution on the Bank (on a consolidated and separate basis) in the amount of 0.25% of the total
risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013.
The Polish Financial Supervision Authority, by letter dated 23 December 2022, recommended that the risks inherent in the Bank's
activities be mitigated by the Bank through maintenance of own funds to cover the additional capital charge to absorb potential
losses arising from the occurrence of stressed conditions, at 0.80 p.p. at the individual level and 0.77 p.p. at the consolidated level
over the total capital ratio referred to in Article 92(1)(c) of Regulation (EU) No 575/2013, plus the additional own funds requirement
referred to in Article 138(2)(2) of the Banking Act and the combined buffer requirement referred to in Article 55(4) of the
Macroprudential Supervision Act. The additional surcharge should consist entirely of Common Equity Tier 1 capital.
The level of Tier I capital ratio and the total capital ratio (TCR) on individual basis, were above the requirements for the Capital
Group as at 31 December 2022.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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At the same time, the Bank meets the legal requirements under the Act of 5 August 2015 on macro-prudential supervision of the
financial system and crisis management in the financial sector.
31.12.2022
The minimum supervisory
separate solvency ratios of the
Bank
Separate capital adequacy
ratios of the Bank
CET I
8.05%
11.80%
Tier I
9.55%
11.80%
Total Capital Ratio
11.55%
16.25%
31.12.2021
CET I
7.25%
12.96%
Tier I
8.75%
12.96%
Total Capital Ratio
10.75%
17.77%
Requirement of a minimum level of own funds and eligible liabilities (MREL)
On 3 June 2022, the Bank received an announcement from the Bank Guarantee Fund ("BFG") regarding the joint decision of the
resolution authorities, i.e. the Single Resolution Board (“SRB”), Central Bank of Hungary, Finanstilsynet, Bank of England and
BFG, on the minimum level of own funds and eligible liabilities ("MREL").
The joint decision indicates that the Group's restructuring plan envisages a Single Point of Entry (SPE) strategy for the mandatory
restructuring. The Group's preferred tool for mandatory restructuring is the open bank bail-in tool.
The MREL target requirement set by the Fund, in consultation with the SRB, for BNP Paribas Bank Polska S.A. is:
15.99% of TREA, the total risk exposure amount (TREA) calculated in accordance with Article 92(3) and (4) of Regulation
(EU) No 575/2013 (hereinafter MREL-TREA), and
5.91% of TEM, the total exposure measure (TEM) calculated in accordance with Articles 429 and 429a of Regulation (EU) No
575/2013 (hereinafter MREL-TEM)
at the individual level.
The Bank is required to meet the MREL requirement by 31 December 2023.
At the same time, on 3 June 2022, the Fund, in consultation with the SRB, has set interim targets for the Bank to meet by the end
of each calendar year during the period of reaching the MREL target:
in relation to TREA these are: 11.99% at the time of communicating to the Bank the agreement and joint decision on MREL
and 13.99 % at the end of 2022,
in relation to TEM these are: 3.00% at the time of communicating to the Bank the agreement and joint decision on MREL
and 4.46% at the end of 2022.
On 22 September 2022, the Fund announced an update to the Methodology for the determination of MREL and, in particular, an
update to the pathway to the target minimum level of own funds and eligible liabilities expressed as a percentage of total risk
exposure (MREL-TREA). The Fund has adopted new assumptions for the determination of the interim MREL-TREA requirement
for entities for which the mandatory restructuring plans or group mandatory restructuring plans ("plans") assume the use of the
mandatory restructuring facility. For the current planning cycle, the Fund will determine the MREL-TREA interim requirement that
entities should meet by 31 December 2022, based on the same formula as for the MREL-TREA interim requirement that entities
are required to meet as of 1 January this year.
The Fund has indicated that it will apply the revised rules for determining the interim MREL requirement in accordance with the
timetable for adopting reviews and updates of TREAs and group TREAs. For domestic entities that are subsidiaries in cross-border
groups, for which the adoption of plans and the setting of minimum levels of own funds and eligible liabilities are made by way of
a joint decision, it may be that the adoption of joint decisions incorporating the revised path to the MREL-TREA target level will
occur after 1 January 2023.
In such cases, pending the adoption of new joint decisions taking into account the updated MREL-TREA interim requirements, the
Fund will take into account the fact of pending changes to the MREL-TREA interim level when monitoring compliance with the
MREL-TREA interim requirement.
In the context of the above, the Bank has assumed that the MREL-TREA requirement amounted to 11.99% at the end of 2022
until a new joint decision of the resolution authorities, i.e. the Single Resolution Board (SRB), the Central Bank of Hungary,
Finanstilsynet, the Bank of England and the BFG, on the level of the minimum level of own funds and eligible liabilities ("MREL")
is obtained.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
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The entire MREL requirement should be met in the form of own funds and liabilities meeting the criteria set out in Article 98 of the
Act on the BGF, which transposes Article 45f(2) of the BRRD2. According to the decision, the part of MREL corresponding to the
recapitalisation amount ( RCA) will be met in the form of AT1, T2 instruments and other subordinated eligible liabilities acquired
directly or indirectly by the parent company.
The Bank definitely complies with the defined MREL-TREA and MREL-TEM requirements as at 31 December 2022 and 2021.
31.12.2022
Minimum separate supervisory
MREL requirements for the Bank
Bank's separate MREL
requirements
MREL-TREA
11.99%
17.09%
MREL-TEM
3.00%
9.82%
31.12.2021
MREL-TREA
11.95%
17.91%
MREL-TEM
3.00%
11.19%
Commercial Bank Protection Scheme
A group of 8 commercial banks ("Participating Banks"): BNP Paribas Bank Polska S.A. (the "Bank"), ING Bank Śląski S.A., Alior
Bank S.A., Bank Millennium S.A., Bank Polska Kasa Opieki S.A., mBank S.A., Powszechna Kasa Oszczędności Bank Polski S.A.
and Santander Bank Polska S.A. decided to establish the Commercial Bank Protection Scheme ("CBPS"). On 14 June 2022, the
Participating Banks established a joint stock company as the management entity of the Protection System (the "Management
Unit"). The establishment of the Management Unit received approval from the Polish Financial Supervision Authority and approval
for concentration from the President of the Competition and Consumer Protection Office. On 1 August 2022, the company was
registered with the National Court Register.
The share capital of the Management Unit is PLN 1,000,000. The Bank subscribed for 9.441 shares in the Management Unit, with
a total nominal value of PLN 94,410, representing 9.4% of its share capital. Investments in the CBPS are measured by the Bank
at fair value through profit and loss and recognises under securities at fair value through profit and loss.
The purpose of the protection scheme is:
a) to ensure the liquidity and solvency of Participating Banks under the terms and conditions and to the extent set out in the
protection scheme agreement; and
b) to promote:
(i) the compulsory restructuring by the Bank Guarantee Fund ("BFG") of a bank that is a joint stock company; and
(ii) the acquisition of a bank that is a joint stock company pursuant to Article 146b(1) of the Banking Law.
Other national banks may join the CBPS, provided that they meet the conditions set out in the applicable legislation and in the
protection scheme agreement.
An Assistance Fund was established in the Management Unit to provide resources to finance the tasks of the Protection Scheme.
The Assistance Fund is created from the contributions of the Participating Banks in the amount of 0.4% of the guaranteed funds
of the respective bank covered by the mandatory deposit guarantee scheme referred to in Article 2(34) of the Bank Guarantee
Fund, Deposit Guarantee Scheme and Forced Restructuring Act of 10 June 2016 (the "BFG Act").
Based on the level of the Bank's guaranteed funds at the end of the first quarter of 2022, which amounted to PLN 47,004,279
thousand, the Bank has paid into the Assistance Fund the amount of PLN 188,017 thousand on 5 August 2022, which has been
charged to the Bank's results (general administrative costs) in the second quarter of 2022.
On the basis of an unanimously adopted resolution of the General Meeting of the Management Unit, the Bank paid the amount of
PLN 18,513 thousand into the Assistance Fund on 15 September 2022, which was charged to the Bank's results (general
administrative expenses) in the third quarter of 2022.
Pursuant to the provision of Article 287(2) et seq. of the BFG Act, the BFG Council may decide to reduce the level of funds of the
deposit guarantee scheme in banks, taking into account, inter alia, the amount of funds collected by the protection scheme. In
addition, in accordance with the provision of Article 15(1h)(5) of the Corporate Income Tax Act of 15 February 1992, the
contributions of the participants of the protection system to the Assistance Fund are tax deductible.
The liability of each Participating Bank, including BNP Paribas Bank Polska S.A., for obligations related to its participation in the
protection scheme is limited to the amount of contributions that the respective Participating Bank is obliged to make in order to
acquire shares in the Management Unit and contributions that the respective Participating Bank is obliged to make to the
Assistance Fund.
Each Participant Bank will be able to terminate the protection scheme agreement by giving 24 months' notice. Upon termination,
the agreement will continue to apply to the remaining Participating Banks.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
57. MAJOR EVENTS IN BNP PARIBAS BANK POLSKA S.A.
IN 2022
4.01.2022
Extraordinary General Meeting of Shareholders - adoption of resolutions, inter alia, on:
• adoption by the Bank of the principles contained in the "Code of Best Practices for WSE Listed
Companies 2021"
• adoption of the Policy for Appointment and Dismissal of the Members of the Bank's Supervisory Board
and the Policy for Adequacy Assessment of the Members of the Bank's Supervisory Board
• amendments to the Bank's Statutes and adoption of the By-laws of the General Meeting
18.01.2022
Rating of the Bank by Fitch Ratings Agency
• Long-Term Issuer Default Rating (IDR) at „A+” with stable perspective
• Viability Rating (VR) at „bbb-”
• Shareholder Support Rating (SSR) at „a+”
28.01.2022
Resolution of the Extraordinary Meeting of Shareholders of BFN ACTUS Sp. z o.o. to dissolve the
company by way of liquidation
From 1 February 2022, the company changed its name to Bank Real Estate Fund Actus Sp. z o.o. in
liquidation.
11.02.2022
Imposition by the Financial Supervision Commission (KNF) of additional capital charge recommended
under Pillar II (P2G)
KNF recommended the Bank to maintain at the individual and consolidated level own funds to cover the
additional capital charge (P2G) of 0.61 p.p. in order to absorb potential losses resulting from stress events.
1.03.2022
Entry into the National Court Register of the part of the amendments to the Statutes of BNP Paribas
Bank Polska S.A. adopted by the Extraordinary General Meeting of the Bank on 4 January 2022.
1.03.2022
Liquidation of the subsidiary BNP Paribas Solution Sp. z o.o.
The Extraordinary Meeting of Shareholders of BNP Paribas Solutions Sp. z o.o. adopted a resolution to open
liquidation of the company.
21.03.2022
Strategy of BNP Paribas Bank Polska S.A. for 2022-2025
The Bank's Management Board announced the main objectives of the development strategy of the Bank and
the BNP Paribas Bank Polska S.A. Group for 2022-25, adopted by the Bank's Supervisory Board on 21 March
2022.
Key financial goals 2025:
• return on equity ratio (ROE): ~12%
• costs to income ratio: max. 48%
• share of sustainable financing: 10%
4.04.2022
Issue of series M shares as part of conditional share capital increase and change in the value of share
capital of BNP Paribas Bank Polska S.A.
In accordance with the statements of the National Securities Depository S.A. (No. 513/2021 of 31 March 2021
and No. 311/2022 of 31 March 2022) and a resolution of the Management Board of the Warsaw Stock
Exchange S.A. (No. 348/2021 of 31 March 2021), on 4 April 2022, on the basis of the settlement orders
referred to in § 6 of the Detailed Rules of Operation of the NDS, 74,368 series M ordinary bearer shares of
the Bank were registered with the NDS and admitted to trading by the WSE with a nominal value of PLN 1
each and series M shares were recorded on the eligible persons' securities accounts.
Series M shares were subscribed for in exercise of the rights from previously subscribed A2 series registered
subscription warrants, each of which entitled to subscribe for one series M share.
At the same time, the Bank's share capital was increased from PLN 147 518,782 to PLN 147 593,150
which is divided into 147 593,150 shares with a nominal value of PLN 1.
14.04.2022
Determination by the Bank Guarantee Fund (BFG) for BNP Paribas Bank Polska S.A. of the amount of
the annual contribution to the banks' forced restructuring fund for the year 2022 in the amount of PLN
125,919 thousand.
19.05.2022
Entry into the National Court Register of a part of the amendments to the Articles of Association of
BNP Paribas Bank Polska S.A. adopted by the Extraordinary General Meeting of the Bank on 17 June 2021.
23.05.2022
Decisions of the Financial Supervision Commission to approve the inclusion of net profit for 2021, at
stand-alone (PLN 184,526 thousand) and consolidated level (PLN 176,298 thousand), in Tier 1 capital.
3.06.2022
Determination by the BFG of the minimum level of own funds and eligible liabilities (MREL) for the
Bank on an individual level:
• 15.99% of the total risk exposure amount (TREA) and
• 5.91% of the total exposure measure (TEM).
This requirement should be achieved by 31 December 2023.
MREL interim targets: in relation to TREA are: 11.99% as of receipt of the BFG letter and 13.99% at the end
of 2022, and in relation to TEM are: 3.00% as of receipt of the BFG letter and 4.46% at the end of 2022.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
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world
7.06.2022
Consent to participate in the establishment of the Commercial Bank Protection Scheme (CBPS)
referred to in Article 4(1)(9a) of the Act of 29 August 1997 - Banking Law
27.06.2022
Annual General Shareholders' Meeting
15.07.2022
Adoption of the Regulation on crowdfunding for business ventures and assistance to borrowers
The regulation enabled mortgage borrowers with PLN mortgages to suspend loan instalment payments with
interest for a period of four months in the current and the following year (two months in Q3 and Q4,2022 and
one month in each quarter of 2023).
The Bank recognised PLN 895 million of loan holiday costs in the 2022 interest result.
29.07.2022
Entry in the National Court Register of the amendments to the Statute of BNP Paribas Bank Polska
S.A. regarding the Bank's share capital increase up to PLN 147 593,150 as a result of the acquisition of series
M shares by the eligible persons.
5.08.2022
Rating action taken by Fitch Ratings
A Fitch Ratings has placed the Bank's Viability Rating (VR) (bbb-) on Rating Watch Negative.
This rating action has no impact on the Bank's other ratings.
9.09.2022
Entry in the National Court Register of the amendments to the Articles of Association of BNP Paribas
Bank Polska S.A. adopted at the Annual General Meeting of the Bank on 27 June 2022 concerning the
conditional increase in the Bank's share capital through the issue of up to 1 200,000 Series N ordinary bearer
shares.
24.11.2022
Effective deletion of BNP Paribas Solutions Sp. z o.o. from the National Court Register, ending the
liquidation process.
16.12.2022
Rating action taken by Fitch Ratings
The agency affirmed the Bank's Long-Term Issuer Default Rating (IDR) at “A+” with a stable outlook and
Shareholder Support Rating (SSR) at “a+”. The Viability Rating (VR) was affirmed at “bbb-“ and removed from
the Rating Watch Negative.
27.12.2022
Determination by KNF of the Pillar II capital charge (P2G)
KNF recommended the Bank to maintain own funds to cover the additional capital charge (P2G) - of 0.77 p.p.
at the consolidated level and 0.80 p.p. at the individual level - to absorb potential losses arising from stress
events..
58. SUBSEQUENT EVENTS
17.01.2023
Extraordinary General Meeting of Shareholders - adoption of resolutions on, inter alia:
• assessment the collective adequacy of the Bank's Supervisory Board in connection with the change in
the composition of the Supervisory Board,
• appointment of Mr Grégory Raison as a member of the Supervisory Board of the Bank with effect from
17 January 2023 until the end of the current five-year joint term of office of the members of the
Supervisory Board of the Bank,
• approval of the Policy for the assessment of the adequacy of the members of the Bank's Supervisory
Board,
• amendments to the Bank's Statutes.
On January 17, 2023, the Bank received the Decision of UOKiK on the fine imposed on the Bank in connection with practices
infringing collective consumer interests in the field of credit holidays, details are presented in Note 54.
On February 16, 2023, the opinion of the Advocate General of the CJEU was issued on whether, in the event of cancellation of
the loan agreement, the parties are entitled to any claim for the use of capital by the other party (entrepreneur and consumer),
details are presented in Note 54
.
SEPARATE FINANCIAL STATEMENTS OF BNP PARIBAS BANK POLSKA S.A. for the year ended 31 December 2022
The bank
for a changing
world
28.02.2023
Przemysław Gdański
President of the Management Board
qualified electronic signature
28.02.2023
Jean-Charles Aranda
Vice-President of the Management
Board
qualified electronic signature
28.02.2023
André Boulanger
Vice-President of the Management
Board
qualified electronic signature
28.02.2023
Przemysław Furlepa
Vice-President of the Management
Board
qualified electronic signature
28.02.2023
Wojciech Kembłowski
Vice-President of the Management
Board
qualified electronic signature
28.02.2023
Kazimierz Łabno
Vice-President of the Management
Board
qualified electronic signature
28.02.2023
Magdalena Nowicka
Vice-President of the Management
Board
qualified electronic signature
28.02.2023
Volodymyr Radin
Vice-President of the Management
Board
qualified electronic signature
28.02.2023
Agnieszka Wolska
Vice-President of the Management
Board
qualified electronic signature
Warsaw, 28 February 2023