Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for OTP KMRP I 2031 on 30 November 2023 and considered the reporting up to 28 November 2023. The credit rating remains as follows:

OTP KMRP I 2031 Bond (ISIN HU0000361100), HUF 100bn: B

The no action of the current OTP KMRP I bond rating reflects the stabilisation of both (i) the value of the OTP Bank shares and (ii) the available liquidity in the vehicle, since previous monitoring.

In the following year after closing, the OTP Bank share price exhibited a large drawdown of about 60%. Since the price trough established in October 2022, the share price value has partly recovered. Share price may continue to recover over the remaining eight years, but price volatility and downside risks continue to constitute a material risk driver.

This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

Existence of a guarantee on 80% of the notes’ notional (positive). The single class of notes issued by OTP KMRP I are guaranteed by MFB for a proportional amount of 80% of the notes’ face value.

Share price volatility (negative). Most of the assets of the vehicle are OTP Bank Plc. Shares. These shares are publicly traded with a volatile value, exposing the vehicle to a large market risk.

Availability of liquidity (negative). The liquidity required for the issuer to pay all costs and fees would come from different sources of revenues that are not contractual commitments. However, OTP Bank has shown a strong commitment to the vehicles since closing.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 25 January 2023; Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Olivier Toutain, Executive Director

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