If you want to know what long-term negative interest rates are doing to banks, watch Denmark in the coming months.

Danes have lived with subzero rates longer than anyone else, after the central bank resorted to the policy in 2012 to defend its currency peg. But according to the country's financial watchdog, it's only now that the real cost of the regime will make itself felt.

In fact, the Danish Financial Supervisory Authority says the worst is yet to come.

Kristian Vie Madsen, deputy director general at the FSA in Copenhagen, says, "Now is the time that you, to a larger extent, will be able to see the problem in the profits of the banks."

Negative rates have made a mockery of some of the basic tenets of banking, namely: holding deposits and lending money at a profit. Across Europe, lenders are stepping up calls for an end to a regime that was originally intended as a short-term fix to an economic crisis. Some, such as Deutsche Bank AG CEO Christian Sewing, are worried Europe has "missed the exit."