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Mercyful Fate Essay Preview: Mercyful Fate Report this essay Formation (1981-1982) Mercyful Fate was founded in Copenhagen, Denmark in 1981[citation needed] from the remaining members of Hank Shermanns band Brats and King Diamonds band Black Rose. In early 1981 they helped out Michael Denner with demos for his band Danger Zone. Soon, Shermann, Denner, Diamond,.