Fundamental credit support is the primary rating driver for both capital centres, providing six notches of uplift above the issuer rating. Only four notches are needed to raise the covered bond ratings to the highest achievable level.

We classified the interplay between complexity and transparency with a CPC Score of ‘1’, allowing for the maximum additional uplift from cover pool support of three notches on top of the fundamental uplift. Together, the programme benefits from a five-notch buffer against an issuer downgrade.

The potential cover pool support benefits from the strong credit characteristics of both capital centres and the balance principle, almost fully eliminating market risk, particularly asset-liability mismatches.

This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. On 3 August 2021, Scope affirmed the covered bonds of both capital centres at AAA/Stable. Click here for the corresponding press release.

Download the performance update