...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 of 2: The IDR uplift reflects Fitch's view of the high likelihood of resolution methods being used other than liquidation for Danske Bank due to the bank's large size in its domestic market and Denmark being classified as a covered bond intensive jurisdiction. D-Cap of 3: Fitch assigned a D-Cap of 3 (moderate high discontinuity risk) to the Category I covered bonds, driven by the moderate high risk assessment of the liquidity gap and systemic risk, cover pool-specific alternative management, and privileged derivatives components. Overcollateralisation Relied Upon: Fitch relies on the lowest overcollateralisation level (OC) over the past 12 months, which stands at 17.4%. This level provides a cushion against the programme's `AAA' break-even OC of 15.0%, driven by the expected loss on the assets and by the asset liability maturity...
