On 8 September 2015 Moody’s Investors Service assigned a long-term provisional rating of (P)Aa3 to PKO Bank Hipoteczny’s covered bonds – the highest possible rating for Polish securities.
The rating reflects the following attributes of the securities:
1) PKO Bank Hipoteczny SA’s credit strength, as seen in the long-term issuer rating at the level of Baa1 and a Counterparty Risk (CR) Assessment at A3(cr), assigned by the agency on 7 September 2015;
2) a stressed level of losses on the cover pool assets following a CB anchor event of 31%
Moody’s took the following factors into account:
1) the current legal regulations on covered bonds and mortgage banks;
2) the 0% level of over-collateralisation declared by the issuer;
3) the credit quality of the assets backing the covered bonds (Polish residential mortgage loans) – the agency assigned a collateral score (the level of the potential loss from a worsening of the assets’ credit quality) of 11.1%;
4) exposure to market risk at a level of 23.6% (this risk describes the agency’s estimated level of potential losses related to the risk of refinancing the covered bonds, interest-rate risk and currency risk)
The rating assigned to PKO Bank Hipoteczny S.A.’s covered bonds is the highest possible rating for Polish securities, which is limited by Poland’s country ceiling of Aa3.
The provisional rating assigned by Moody’s is an initial opinion issued by the agency before the sale process of the covered bonds is completed. The final rating will be assigned by the agency after a review of the final transaction documentation.
Moody’s ratings for PKO Bank Hipoteczny S.A. as of 8 September 2015:
Type | Level | Outlook |
Long-term provisional rating of covered bonds | Aa3 | n/a |
Long-term Counterparty Risk (CR) Assessment | A3(cr) | n/a |
Long-term issuer rating | Baa1 | Stable |
The full text of the statement and report on PKO Bank Hipoteczny S.A.’s covered bonds, as well as information on the rating methodology, are available on the Moody’s website:
- statement on the assignment of PKO Bank Hipoteczny S.A.’s issuer rating (link)
- statement on the assignment of PKO Bank Hipoteczny S.A.’s covered bonds (link)