The banking sector is a very important part of the financial market. That is why banks, along with the spread of the pandemic, began to implement various strategies and solutions to protect people’s finances against the negative effects of the coronavirus crisis (Flotyński, 2020, 20). Today, it is clear that the pandemic has surprised everyone and the solutions used so far have not been perfect. Therefore, the banking sector requires corrections in current forecasts as well as the preparation of new forecasting models for the financial market. This is particularly important in times of economic, social, and financial instability caused by random events such as the COVID-19 pandemic. The present article examines the distribution mechanisms shaping and influencing the selection of the appropriate class of models depending on the current economic situation of chosen processes important for the banking sector, that is assets and reserves. The author recognizes the mechanisms shaping both processes during a stable period as well as the way in which the pandemic changed these mechanisms, thus affecting the prognostic abilities of the models used. The analysis shows that the Polish banking sector was well prepared for the economic slowdown, but despite this, the COVID-19 pandemic caused some perturbations.