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Annual report of the Bank Guarantee Fund
2020
At the end of 2020, the yield on the Fund’s total securities portfolio was 0.97%, while the duration was 0.95 years (compared
to a yield of 2.05% and duration of 0.61 years at the end of 2019). The decrease in the profitability of the Fund’s portfolio
was mainly due to a significant reduction in the profitability of NBP money bills and the decrease Warsaw Interbank Offered
Rate (WIBOR) as a result of the Monetary Policy Council’s decision to make successive reductions in the reference rate.
Thanks to the investment policy pursued in previous years and the purchases of floating rate bonds in periods of increasing
spreads between the profitability of the bonds and derivatives in question, which made it possible to obtain an additional
margin, the profitability of the bonds in the BFG portfolio remained at a relatively high level (1.38%), significantly exceeding
the profitability of Treasury bonds with a 10-year maturity.
In Q4 2020, the Investment Policy of the Bank Guarantee Fund in the area of investing financial resources in securities
in the period from 1 January to 31 December 2021 was also prepared. As part of it, the process of adjusting the maintained
security to the financial condition of entities from the banking and cash sector was optimised and a multivariant approach
to the Fund’s investment activities was presented, with particular attention to fluctuations in the market prices of securities.
As a result, the aim of the Investment Policy in 2021 will be to maintain high liquidity in the securities portfolio held and
to make investments in such a way as to limit interest rate risk while achieving the best possible financial results.
Share in the portfolio
Type
31.12.2019
31.12.2020
NBP money bills
49.9%
29.8%
Treasury bills
[-/-]
4.3%
Bonds
50.1%
65.9%
Total
100.0%
100.0%
Table 14.
BFG’s securities portfolio as of 31.12.2019 and 31.12.2020
The total result on financial transactions at the end of 2020 was PLN 287,609.1 thousand, which is PLN
49,003.8 thousand more than expected.
Contents
Annual report of the Bank Guarantee Fund
2020
At the end of 2020, the yield on the Fund’s total securities portfolio was 0.97%, while the duration was 0.95 years (compared
to a yield of 2.05% and duration of 0.61 years at the end of 2019). The decrease in the profitability of the Fund’s portfolio
was mainly due to a significant reduction in the profitability of NBP money bills and the decrease Warsaw Interbank Offered
Rate (WIBOR) as a result of the Monetary Policy Council’s decision to make successive reductions in the reference rate.
Thanks to the investment policy pursued in previous years and the purchases of floating rate bonds in periods of increasing
spreads between the profitability of the bonds and derivatives in question, which made it possible to obtain an additional
margin, the profitability of the bonds in the BFG portfolio remained at a relatively high level (1.38%), significantly exceeding
the profitability of Treasury bonds with a 10-year maturity.
In Q4 2020, the Investment Policy of the Bank Guarantee Fund in the area of investing financial resources in securities
in the period from 1 January to 31 December 2021 was also prepared. As part of it, the process of adjusting the maintained
security to the financial condition of entities from the banking and cash sector was optimised and a multivariant approach
to the Fund’s investment activities was presented, with particular attention to fluctuations in the market prices of securities.
As a result, the aim of the Investment Policy in 2021 will be to maintain high liquidity in the securities portfolio held and
to make investments in such a way as to limit interest rate risk while achieving the best possible financial results.
Share in the portfolio
Type
31.12.2019
31.12.2020
NBP money bills
49.9%
29.8%
Treasury bills
[-/-]
4.3%
Bonds
50.1%
65.9%
Total
100.0%
100.0%
Table 14.
BFG’s securities portfolio as of 31.12.2019 and 31.12.2020
The total result on financial transactions at the end of 2020 was PLN 287,609.1 thousand, which is PLN
49,003.8 thousand more than expected.
Contents
