...Recovery Based Rating: The rating is based on Landesbank Hessen-Thueringen Girozentrale's (Helaba) Long-Term IDR of 'A+' and an unchanged IDR uplift of 2. This results in a floor for the Pfandbrief rating on a probability of default (PD) basis of 'AA'. As a result, Helaba's public sector Pfandbriefe can reach a `AAA' rating based solely on recoveries given default exceeding 91% and allowing for a two notch recovery uplift. The unchanged Discontinuity Cap (D-Cap) of 4 (moderate) is not driving the rating. Rating Sensitivities: The 'AAA' rating of Helaba's mortgage covered bonds would be vulnerable to downgrade if any of the following occurs: (i) Helaba's IDR was downgraded to 'BBB-' or below; (ii) the number of notches represented by the IDR uplift and the D-Cap (reflecting payment interruption risk) was reduced to 1 or lower; or (iii) the overcollateralisation (OC) that Fitch considers in its analysis drops below Fitch's 'AAA' breakeven level of 23%. An OC level of 0% on a nominal ¡ or...
