...Four-Notch Downgrade Buffer: The `AAA'/Stable rating of Barclays Bank plc's (A/Stable/F1) mortgage covered bonds is based on the issuer's Long-Term Issuer Default Rating (IDR) of `A', an IDR uplift of two notches, a Payment Continuity Uplift (PCU) of six notches and the asset percentage (AP) published in the investor report (66.5%). This provides ample cushion compared with Fitch Ratings' breakeven AP of 82.5% for the `AAA' rating. The Outlook reflects the Stable Outlook of Barclays' IDR and the four-notch IDR downgrade cushion. IDR Uplift of Two Notches: An IDR uplift of two notches has been assigned to the programme. This is to reflect the exemption from bail-in for all UK-regulated covered bonds, the fact that the resolution of the issuer is unlikely to result in the direct enforcement of recourse against the cover pool, and the low risk of undercollateralisation at the point of resolution. The two-notch uplift also factors in that Barclays' IDR is driven by its Viability Rating of `a'....
