...Highly Rated Issuer: The `AAA(EXP)' covered bond rating is based on DBS Bank Ltd.'s (DBS) `AA-' Long-Term Issuer Default Rating (IDR), a Discontinuity Cap (D-Cap) of 3 (moderate high risk) and the asset percentage (AP) that Fitch Ratings considers in its analysis, which we expect to be equivalent to or lower than our `AAA' breakeven AP of 85.5%. The Stable Outlook reflects that of DBS's IDR, and our view that the rating could be sustained even if DBS's IDR were downgraded to `A'. Two-Notch Cushion: The `AAA(EXP)' rating would be vulnerable to a downgrade if any of the following were to occur: DBS's IDR is downgraded by three notches to `A-'; the D-Cap falls by three categories to 0 (full discontinuity); or the AP rises above our `AAA' breakeven AP of 85.5%. Moderate High D-Cap Assigned: Fitch's D-Cap is driven by its assessment of liquidity gap and systemic risk, systemic alternative management and cover pool-specific alternative management. These three components are the weakest link in...
