Liquidity risk limiting covers supervisory and internal measures.
The first category includes four liquidity measures determined by the Polish Financial Supervision Authority: M1, M2, M3, M4 and LCR measure, which is additionally reported to the National Bank of Poland. NSFR measure is monitored.
The liquidity risk internal limit system is based mainly on defining acceptable level of gaps in stress conditions in specific time horizons and for different liquidity risk profiles (for all currencies in aggregate converted to PLN) and for specific foreign currencies.
The bank has a centralised approach to the Group’s funding management in order to increase the efficiency of liquidity resources used. Financing of subsidiaries is done from mBank via the Treasury Department, with the exception of mBank Hipoteczny and mLeasing. mBank Hipoteczny raises funding in the market by issuance of covered bonds, short-term debt securities and from mBank, mLeasing raises funding by issuance of short-term debt securities and from mBank, while other subsidiaries raise all of their funding from mBank.
The bank has the Contingency Plan in case of a threat of losing financial liquidity, which sets the strategy and procedures to be implemented in the event of a situation connected with the risk of losing liquidity by the mBank Group and aimed at neutralising this threat. The document defines the division of responsibility for monitoring and identifying threats, and actions during the emergency situation. The Contingency Plan is tested at least annually.
The bank has developed the Recovery Plan of mBank Group, functioning in parallel with the Contingency Plan and covering situations where a broader range of actions, than those defined in the Contingency Plan, is required.
Bank limits the volume and term concentration of foreign currency funding of mBank with FX swaps and CIRS. The limit is set in order to determine the relevant risk appetite accepted by the bank in this respect. In addition, the limit is decomposed into individual limits for CIRS and FX swaps as well as limits for funding in EUR and CHF. The limit structure reflects the bank’s preference for currency funding with long tenors.
In the bank the review of internal liquidity adequacy assessment process (ILAAP) is conducted. The process covers the bank and the mBank Group. The results of the review are presented to the Management Board and the Supervisory Board.