...Highly Rated Issuer: The `AAA' 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) used in the programme's asset coverage test (ACT) (referred to here as the contractual AP) that Fitch Ratings gives credit to in its analysis, which is equivalent to the `AAA' breakeven AP of 85.5%. The Stable Outlook reflects that of DBS' IDR, and our view that the rating can be sustained even if DBS' IDR were downgraded to `A'. Two-Notch Cushion: The `AAA' rating would be vulnerable to a downgrade if any of the following were to occur: DBS' 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....
