27.09.2023
Contents:

1. REPORT

3. INFORMATION ABOUT THE ENTITY

4. SIGNATURE OF PERSONS REPRESENTING THE COMPANY

POLISH FINANCIAL SUPERVISION AUTHORITY
REPORT No 62 / 2023
Date of issue: 2023-09-27
Short name of the issuer
mBank S.A.
Subject
Settlement of a synthetic securitization transaction concluded by the Bank on a portfolio of retail loans
Official market - legal basis
Art. 17 ust. 1 MAR - informacje poufne.
Contents of the report:
Settlement of a synthetic securitization transaction concluded by the Bank on a portfolio of retail loansThe Management Board of mBank S.A. with its registered office in Warsaw (hereinafter „Bank”) informs that on September 27th 2023, the Bank conducted the settlement of a synthetic securitization transaction referencing a portfolio of retail non-mortgage loans with a total value of PLN 9,962.8 million as of June 30th 2023 (hereinafter "Transaction"). As part of the Transaction, the Bank transferred a significant part of the credit risk of a selected securitized portfolio to investors. The selected securitized credit portfolio remains on the balance sheet of the Bank. The risk transfer of the securitized portfolio is performed through a credit protection instrument, in the form of a credit linked notes (hereinafter "Credit Linked Notes”). On September 27th 2023, the Bank issued Credit Linked Notes with a total nominal value of PLN 731 million, which were purchased by investors. Credit Linked Notes with the ISIN code XS2675207802, were introduced to trading in the alternative trading system on Vienna MTF operated by Wiener Börse AG (Vienna Stock Exchange). September 27th 2023 has been set as the first trading day for Credit Linked Notes. As part of the Transaction, the Bank is obliged to pledge collateral for the benefit of the noteholders in the form of eligible debt securities (and/or cash) deposited with an independent custodian – The Bank of New York Mellon. The value of the collateral on any date will be determined based on the nominal value of the outstanding Credit Linked Notes. The Transaction will increase the Common Equity Tier 1 (CET1) capital ratio by approximately 0.9 percentage points at the consolidated level, when referenced to reported figures for mBank Group at the end of June 2023. The majority of the impact will be recognized in the results for Q3 2023 and the full impact is expected to be recognized in Q4 2023. The Transaction meets the requirements for significant risk transfer specified in the CRR Regulation and has been structured as meeting the STS criteria (simple, transparent and standard securitization) in accordance with Regulation 2021/557. UniCredit Bank AG acted as arranger and placement agent for the Transaction.

INFORMATION ABOUT THE ENTITY    >>>

SIGNATURE OF PERSONS REPRESENTING THE COMPANY
Date Name Position / Function Signature
2023-09-27 Maciej Mołdawa Wicedyrektor ds. nadzoru inwestycyjnego Departament Compliance