...Issuer IDR `A': Danske Bank (A/Stable/F1) is the largest bank in Denmark with international operations in Scandinavian countries, Baltics and Ireland. IDR Uplift 2: The IDR uplift reflects (i) Fitch`s view on the likelihood of resolution methods being used other than liquidation for Danske Bank due to the bank`s large size in its domestic market and (ii) Denmark being classified as a covered bond intensive jurisdiction. D-Cap of 3: The category C covered bonds have been assigned a D-Cap of 3. The liquidity gap and systemic risk, cover pool specific alternative management and privileged derivatives are the weakest of the D-Cap components. OC Relied Upon: Fitch relies on the lowest over-collateralisation level (OC) over the past 12 months, which stands at 30.5%. It is above the calculated AAA` break-even OC of 27.0%. The breakeven OC is mainly driven by the asset and liability maturity mismatches and the expected loss on the assets. The weighted average life (WAL) on the bonds is two years...
