...One-Notch Buffer Against IDR Downgrade: The rating of UniCredit Bank AG's (HVB) covered bonds is based on its Long-Term Issuer Default Rating (IDR), an unchanged IDR uplift of two notches, an unchanged payment continuity uplift (PCU) of four notches and the 51.5% overcollateralisation (OC) Fitch Ratings relies upon, which provides more protection than the `AAA' breakeven OC of 16.0%. The Outlook is Stable despite the Negative Outlook on HVB's IDR, reflecting the one-notch buffer against a downgrade of the bank's IDR. Cash-Flow Valuation Drives Improved OC: The breakeven OC decreased by 3.5pp over the past 12 months, driven by a reduced cash flow valuation component of 8.9% (from 11.2%), reflecting the reduction of the initial open interest position for the programme. Higher excess spread earned on the programme, driven by a lower average interest rate due on the liabilities, also contributed to the improvement. The cash flow valuation component factors in 2pp commingling loss as HVB's Long-...
