NEW YORK--(BUSINESS WIRE)--Following a review of the discontinuity risk (D-Cap) analysis for the U.S. mortgage covered bond programs rated by Fitch Ratings, the agency has maintained its overall D-Cap at 0 notches or 'Full discontinuity' for WM Covered Bond Program (WMCBP) and at 1 notch or 'Very high' for BA Covered Bond Issuer (BACBI). For both programs, this is driven by the assessment of liquidity gap and systemic risk, which constitutes the weakest link among the D-Cap components. Factors
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