mbank Polish Corporate Bond Index (mbank PCBI) Monthly Report September Publication Date: 7 th October Overview The mbank Polish Corporate Bond Index has been designed to track the performance of corporate bonds in Poland. The Index represents performance on a total-return basis and is based only on liquid and semiliquid bonds which trade on the Catalyst market. The mbank PCBI is a market-value weighted index subject to monthly rebalancing. Daily historical levels are available from st October. mbank PCBI is the first Index of corporate bonds in Poland. Index Criteria & Constraints Currency: Instrument Type: Market: Minimum Size of Bond Issue: Max. Single Issuer Exposure, for the purposes of calculating bond weights: Minimum Original Maturity: Minimum Remaining Maturity: Maximum Remaining Maturity: Domicile: Rating Requirements: Liquidity: New Issues: PLN The Index includes both fixed and floating rate corporate bonds according to the Catalyst classification. Instruments issued or guaranteed by governments are excluded. Excluded are also convertibles, perpetual, asset backed, covered bonds, zero-coupon bonds, and inflation linked bonds. Catalyst (WSE and/or BondSpot) PLN mm (notional amount) PLN mm (notional amount) years months years Poland None Only the most liquid bonds are included in the Index, as well as bonds which are deemed as important from a market representation perspective A bond must be listed for at least one full calendar month in order to be eligible for addition. For full list of criteria please check Rules & Methodology document. Karol Prażmo, CFA Index Administrator + 9 7 karol.prazmo@brebank.pl Łukasz Gula Index Administrator + lukasz.gula@brebank.pl Ernest Pytlarczyk, CFA Director Department of Economic Analysis + 9 ernest.pytlarczyk@brebank.pl General Index Questions Monthly Report Requests mbankpcbi@mbank.pl Data Source Department of Economic Analysis BRE Bank website brebank.pl/mbankpcbi Bloomberg MBANKPCB Index <Go> BRE Bank SA, -9 Warszawa, ul. Senatorska, tel. + () 9, fax + () 9, e-mail: info@brebank.pl Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 7, NIP: ---. mbank.pl Według stanu na dzień.. r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi..9 złotych.
Index Performance Monthly Performance Report (%) Jan Feb Mar Apr May June July Aug Sept Oct Nov Dec N/A N/A N/A N/A N/A N/A N/A N/A N/A..7..99.7 -..9.7..79.7.,9 - - Please Note:. The return for October is the Month-to-Date return from October st to October th.. The Index Base Date is September th,. Returns are not computed prior to October. Source: BRE Bank s calculations on the basis of data from gpwcatalyst.pl and documents of issuers. Index Values Current index value:,9 Data as of October th,. 7 mbank Polish Corporate Bond Index,9 99 9 97 9 - - - - - - - - - 7- - 9- - Source: BRE Bank s calculations on the basis of data from gpwcatalyst.pl and documents of issuers. BRE Bank SA, -9 Warszawa, ul. Senatorska, tel. + () 9, fax + () 9, e-mail: info@brebank.pl Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 7, NIP: ---. mbank.pl Według stanu na dzień.. r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi..9 złotych.
Index Constituents Issuer Ticker Bond Notional (PLN mm) Base Rate Spread / Coupon Notional in Index (PLN mm) Date of inclusion Maturity Years to Maturity Bank Ochrony Środowiska BOE, Wibor M 7, -9- --, Best BST 9, Wibor M 7 9, -- --,7 Capital Park CAP7, Wibor M, -- -7-9, Czerwona Torebka CZT, Wibor M, -7- --, Energa ENG9, Wibor M, -- 9--, Fast Finance FFI, Wibor M 7, -9- --, 7 Ferratum Capital Poland FRR, Wibor M 7, -9- --, Ferro FRO, Wibor M,9-9- --, 9 Getin Noble Bank GNB, Wibor M 7, -9- --, Giełda Papierów Wartościowych GPW7, Wibor M 7, -9-7--, Kredyt Inkaso KRI, Wibor M, -9- --, Kruk SA KRU7, Wibor M, -7-7--7, Kruk SA KRU, Wibor M, -- --, Meritum Bank MRT 7, Wibor M 7, -- --9 7, Mo-Bruk MBR, Wibor M, -9- --,9 Multimedia Polska MMP, Wibor M, -7- --, 7 MW Trade MWT, Wibor M, --9 --, OT Logistics ODR, Wibor M, -9- --, 9 PCC Rokita PCR, Fixed 7, -- --, PCC Rokita PCR7, Fixed, -7-7--,7 PCC Rokita PCR, Fixed, --9 --,7 PCC Rokita PCR, Fixed 9, -- --, PCZ PCZ,9 Fixed,9-7- --, PCZ PCZ, Fixed, -- --, PGE PGE, Wibor M 7, -9- --7,7 PGNIG PGN7, Wibor M, -9-7--9,7 7 PKN Orlen PKN9, Wibor M, -9-9--7, PKN Orlen PKN7, Wibor M 7, -7-7--,7 9 PKO Bank Polski PKO9,7 Wibor M, -- -9-9, Polnord PND, Wibor M, -7- --, Pragma Faktoring PRF, Wibor M, -- --, Pragma Faktoring PRF, Wibor M, -9- --, Presco Group PRE, Wibor M, -9- --,9 Robyg ROB, Fixed 9, -9- --, TOTAL 9 7, WAS (bps) 7,9 WAL, Please Note: The weighted average spread (WAS) is computed based on the notional of the relevant bond in the Index. The weighted average time to maturity in years (WAL) as of September th,.. KRU7: On July, bond series: KP7 (ISIN: PLKRK) and KRU7 (ISIN: PLKRK) has been assimilated. Bonds are coded under one ISIN: PLKRK. The current outstanding value of KRU7 series is mm PLN (KDPW, Resolution No. /).. KRU: On April, bond series: KP (ISIN: PLKRK) and KRU (ISIN: PLKRK) has been assimilated. Bonds are coded under one ISIN: PLKRK. The current outstanding value of KRU series is mm PLN (KDPW, Resolution No. 97/).. FRO: Ferro SA repurchased bonds for redemption. The current outstanding value of FRO is.mm PLN. Source: gpwcatalyst.pl and documents of the issuers Current changes in Index Constituents Issuer Ticker Notional in Index (PLN mm) Date of inclusion Date of exclusion PGE PGE, -9- - - Notes BRE Bank SA, -9 Warszawa, ul. Senatorska, tel. + () 9, fax + () 9, e-mail: info@brebank.pl Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 7, NIP: ---. mbank.pl Według stanu na dzień.. r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi..9 złotych.
GENERAL CHARACTERISTICS OF MBANK PCB INDEX CONSTITUENTS 7,% Issuers - notional in Index (%),%,%,%,%,%,%,%,%,%,%,%,%,%,%,%,9%,%,%,9%,%,%,%,%,%,7%,7%,7%,%,%,%,%,%,%,% Issuer Industry Sector - number of series Issuer Industry Sector - notional in Index (%) Oil & Gas Oil & Gas,% Medical Medical,% Chemicals Chemicals,% Logistics Logistics,% TMT TMT,% Banks Banks,% Industrials Industrials,% Debt Collectors Debt Collectors,% Utilities Utilities,% Real Estate Operator/Developer Real Estate Operator/Developer,% Other Financials Other Financials 9,7% % % % % % % BRE Bank SA, -9 Warszawa, ul. Senatorska, tel. + () 9, fax + () 9, e-mail: info@brebank.pl Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 7, NIP: ---. mbank.pl Według stanu na dzień.. r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi..9 złotych.
Coupon type - number of series 7 Fixed Wibor M Wibor M,%,%,%,%,% Coupon type - notional in Index (%) 7,% 9,%,% Fixed Wibor M Wibor M Floaters margin over WIBOR (in bps) - number of series,%,%,%,%,%,%,%,%,%,% 7 - - - - - > Floaters margin over WIBOR (in bps) - notional in Index (%),%,%,% 9,%,%,7%,% - - - - - > Collateral - number of series Collateral - notional in Index (%) % 9,9% % % %,% Secured Unsecured % Secured Unsecured BRE Bank SA, -9 Warszawa, ul. Senatorska, tel. + () 9, fax + () 9, e-mail: info@brebank.pl Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 7, NIP: ---. mbank.pl Według stanu na dzień.. r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi..9 złotych.
Year of origination - number of series 9 7 7 7 Year of maturity - number of series 7 9 % % % % % % % % % % % Year of origination - notional in Index,9% 7,%,7% % % % % % % Year of maturity - notional in Index (%),9% 7,9%,%,%,% 7,%,%,%,9% 7 9 Issue amount (in mm PLN) - number of series - -7 7- - - - > BRE Bank SA, -9 Warszawa, ul. Senatorska, tel. + () 9, fax + () 9, e-mail: info@brebank.pl Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 7, NIP: ---. mbank.pl Według stanu na dzień.. r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi..9 złotych.
Company Type - number of series Company Type - notional in Index (%) % 7%,% % % % %,% % % Public Private % Public Private Listing of public companies - number of series WSE Main Market listed issuers - number of series WSE Main Market New Connect WIG mwig swig Outside the main indices Please note: Data as of September th,. Source: gpwcatalyst.pl and documents of the issuers BRE Bank SA, -9 Warszawa, ul. Senatorska, tel. + () 9, fax + () 9, e-mail: info@brebank.pl Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 7, NIP: ---. mbank.pl 7 Według stanu na dzień.. r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi..9 złotych.
DISCLAIMER PLEASE READ CAREFULLY mbank PCBI as well as information related to the mbank PCBI are only informational and promotional purposes and do not include neither binding opinions nor advice and investment recommendation, thus are not basis for any claims or requests towards the Bank. The information presented is not a public offering in the understanding of the civil code or the Act on Public Offerings. The Bank does not accept liability for any damage arising from the usage of the information service. Investing in financial instruments carries risk and does not guarantee realization of the investment plan or expected return. Potential loss of principal and/or interest should be taken into account. A detailed description of risk factors is included in the documents determining terms and conditions of each issue, including the prospectus or the information memorandum where available. These documents are available at www.gpwcatalyst.pl/dokumenty_informacyjne. The Bank is active both in the field of corporate bonds issues and trading bonds on the secondary market. These bonds may be included in the index. The Bank does not offer the mbank PCBI as an investment product, nor does the Bank offer products which use mbank PCBI as a benchmark. The index history begins on October (Index base date: September ) as a result of low liquidity in corporate bonds prior to this date. Liquidity remains a challenge in the corporate bond market in Poland. The data presented in mbank PCBI refers to historical results and the past results do not guarantee future returns. mbank PCBI does not include fees, commissions, taxes and other burdens that may occur during the acquisition and sale of corporate bonds. The Bank does not perform credit analysis on the constituents of the index. The index results are a simulation only, which may not be achieved as a result of illiquidity, size and depth of the market. The Bank may trade bonds included and excluded from the mbank PCBI. The Bank is active as an arranger of corporate bonds in the primary market. The mbank PCBI does not include all corporate bonds in the market, but only those which in the opinion of the Bank are the most liquid or those which are important from the perspective of the overall market. Addition and removal of bonds from the Index is not automatic (solely on the basis of fulfilling the eligibility criteria & constraints) but requires subjective judgment of the Bank. This is the effect of the short history of the Catalyst market as well as material and frequent changes to the liquidity of bonds. Risks associated with investing in corporate bonds include but are not limited to: default risk of the issuer, low recovery in the event of default and illiquidity. The data source for the construction of the index is gpwcatalyst.pl and the documents of the issuers. Complaints about mbank PCBI and information related to mbank PCBI can be submitted electronically via email to the following address: "reklamacje_mbankpcbi@mbank.pl". The filing should identify the person submitting the complaint (first name / last name, name of firm, e-mail address) and a description of the event giving rise to the complaint. The Bank shall deal with complaints as soon as possible, in a time frame which should not exceed days from the date of its submission. In justified cases an extension beyond days may occur, provided that the complaining party is notified in this time period, that an investigation is being conducted and the expected date of response. Final date for responses should be no longer than 9 days from the date when the complaint was filed with the Bank. After investigating the complaint the Bank immediately responds by e-mail to the address indicated in the complaint, with notification of the outcome of the complaint procedure. If you wish to opt out of receiving mbank PCBI and information related to mbank PCBI, please send an email to the following address: "mbankpcbi@mbank.pl" with your statement of resignation from this service. Your email should contain your first name, last name, company name and email address. BRE Bank SA, -9 Warszawa, ul. Senatorska, tel. + () 9, fax + () 9, e-mail: info@brebank.pl Sąd Rejonowy dla m. st. Warszawy XII Wydział Gospodarczy Krajowego Rejestru Sądowego, nr rejestru przedsiębiorców KRS 7, NIP: ---. mbank.pl Według stanu na dzień.. r. kapitał zakładowy BRE Banku SA (w całości wpłacony) wynosi..9 złotych.