...Stable Breakeven OC: UniCredit Bank AG's (UCB, A+/Negative/F1+) mortgage Pfandbrief programme's 'AAA' breakeven overcollateralisation (OC) of 19% is unchanged in comparison to last year's analysis. The main driver of the breakeven OC remains the credit loss component of 17.1%, which reflects the cover pool's significant share of commercial real estate-backed (CRE) loans and the worst case current loan-to-value (CLTV) assumptions Fitch has employed, which substantially reduce recovery expectations. IDR Uplift Allows Stable Outlook: The Outlook of the mortgage Pfandbriefe is Stable despite the Negative Outlook on UCB's IDR, reflecting Fitch's favourable view on the position of covered bonds under bank resolution frameworks, most notably the EU's Bank Recovery and Resolution Directive. The IDR uplift of '2' should offset potential negative rating actions on UCB's IDR following a weakening of sovereign support. Cushion Against IDR Downgrade: The 'AAA' rating would be vulnerable to downgrade...
