...Rating Affirmed: The affirmed 'AAA' rating of UniCredit Bank AG's (HVB, A-/Negative/F2) public sector Pfandbrief programme is based on its Long-Term Issuer Default Rating (IDR), the unchanged Discontinuity Cap (D-Cap) of five notches (low risk), an IDR uplift of two notches and the 37.5% overcollateralisation (OC) that Fitch takes into account in its analysis, which provides more protection than the breakeven OC of 15.5%. Issuer Outlook Supports Pfandbriefe: The Outlook on HVB's public sector Pfandbriefe programme is Stable, despite the Negative Outlook on HVB's IDR, as the combined buffer of seven notches (IDR uplift and D-Cap) is sufficient to compensate for the expected one-notch downgrade. See Fitch Downgrades Unicredit Bank AG to 'A-/F2' on Support Revision; Outlook Negative under Related Research for further details. Cash Flow Valuation Drives OC: HVB's breakeven OC increased to 15.5% from 11%, due to an increased cash flow valuation component of 10.1% (7% previously). Fitch modelled...
