...OC Remains Unchanged: UniCredit Bank AG's (HVB, A-/Negative/F2/a-) mortgage Pfandbrief 49.4% overcollateralisation that Fitch Ratings relies upon provides more protection than the unchanged `AAA' breakeven OC of 23%. Lower Credit Loss Supports Rating: The main contributor to the `AAA' breakeven OC remains the credit loss component, which decreased to 19.5% from 21.6% since the last analysis. The decrease is driven by improved credit results in the real-estate investment companies' sub-portfolio. Lower loan-to-values improved both the weighted-average (WA) default rate of the total cover pool to 48.8% from 50.7% and the WA recovery rate to 66.6% from 65% in an `AAA' scenario. Prepayments Drive Cash Flow Valuation: High prepayments of up to 16% per annum reducing the WA calculated life until final maturity to 3.8 years from 9.1 years compress the programme`s excess spread over the lifetime to minus 5%. This explains the 6.5% cash flow valuation which remained relatively stable (down from...
