... rating of Barclays Bank plc's (Barclays, A/Stable/F1) mortgage covered bonds is based on the issuer's Long-Term IDR of `A', an IDR uplift of 1, a Discontinuity Cap (D-Cap) of 4 (moderate risk) and the asset percentage (AP) from Barclays' investor report (74.4%). This provides ample cushion compared with Fitch Ratings' breakeven AP of 85% (equivalent to 17.6% breakeven overcollateralisation (OC)) for the `AAA' rating. The Outlook mainly reflects the Stable Outlook of Barclays' IDR. Systemic Importance Enables Uplift: Fitch assigned an IDR uplift of one to reflect the global systemic importance of Barclays and therefore the increased likelihood that another resolution method than liquidation would be sought in the event of insolvency. Improved Liquidity Mitigant: The D-Cap, which reflects payment interruption risk, has been increased to 4 from 3 due to an update of the pre-maturity test within the programme completed in August 2014 (see...
