...Sound Issuer Profile: Danske Bank's category D Sµrligt Dµkkede Obligationers' (SDO) rating is based on Danske's Long-Term Issuer Default Rating (IDR) of 'A', a two-notch IDR uplift, a Discontinuity Cap (D-Cap) of 3 (moderate high risk), and overcollateralisation (OC) between the cover pool and the covered bonds. The agency takes into account the lowest observed nominal OC of the past 12 months (19.8%) in its analysis, as Danske's Short-Term IDR is above 'F3'.This compares with the 'AAA' breakeven OC of 12.0% for the programme. IDR Uplift of `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 by Fitch. Moderate High Discontinuity Risk: The D-Cap of 3, which reflects a moderately high payment interruption risk, is driven by the moderate high risk assessment of the liquidity gap and...
