The cover pool assets are secured by residential mortgages geographically diversified across Italy. There is a commitment to maintain a level of overcollateralization commensurate with the current rating and liquidity requirements are addressed for 12 months. The available credit enhancement exceeds our required credit enhancement for the maximum achievable rating. The exposure to refinancing risk limits the covered bonds' ratings to no more than five notches above our unsolicited long-term sovereign rating on Italy (BBB/Negative/A-2). S&P Global Ratings' negative outlook on the mortgage covered bonds ("Obbligazioni Bancarie Garantite"; [OBGs]) issued by Italy-based UniCredit SpA (BBB/Negative/A-2) reflects the negative outlook on Italy, as the bonds are capped by the sovereign rating. Therefore, a change to our ratings on Italy would result
