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In the beam of a car’s headlights, a woman – buried shoulder-deep and gagged with gaffer tape – is stoned to death. She is the head of Denmark’s immigration board. Some members of her staff were recently filmed cracking open a bottle of champagne to celebrate success in a deportation case involving a gay Iranian man who could face execution on his return.

Henrik (Thure Lindhardt), still just about in the force, is on the case, with seriously unenlightened new partner Jonas (Mikael Birkkjær). But where the hell is Saga (Sofia Helin), The Bridge’s central pillar or keystone? She is over on the Swedish side, banged up, unjustly, for killing her mother, who set her up by staging her own, incriminating death. There is an appeal coming up. In the meantime, Saga is keeping her head down: ignoring the prison bore, avoiding the renowned cop killer, reading and doing pottery because it doesn’t require interaction. Solitary – for fighting – is easier.

Jail isn’t easy with the A-Word that never speaks its name, but is ever-present. I mean the more specific A-word, the one the continues -sperger’s. Henrik visits, for sex more than chat. It seems to be allowed during Swedish prison visits. Nice to see that, in these times of rising intolerance and suspicion, some good old-fashioned Scandi-enlightenment survives. Also, they serve spaghetti carbonara in the canteen.

Saga has been stripped not only of her job and her dignity, but her entire identity. That’s the key here, what looks like it’s going to be the major theme of this fourth and final series. Henrik has never really rediscovered his identity after losing his family. And here are a couple of identical twin brothers, the less successful one happy to borrow the identity of his TV reporter sibling in order to lure women into bed.

Doing porridge ... Saga Norén. Photograph: BBC / Filmlance International AB, Nimbus Film / Jens Juncker

It’s not yet clear how these twins fit in. Or the mother and son on the run from their dangerous violent husband/father, except that he – a taxi driver – was the last person to see the head of immigration alive. New characters – fascinating ones, The Bridge does characterisation so well – have been introduced. The strands for the series have been thrown down, apparently a knotty plotty tangle, but we know, from experience, that they are sure to be unpicked and spliced into something coherent, meaningful and beautiful.

Although a new series is a new start and a new case, there is a wider, series-spanning arc as well: Saga’s past, fragments of which have emerged; her condition; the gaping hole in Henrik’s life where his children once were; the relationship between the two of them; the relationship between their countries. Yes, there have been tensions between Denmark and Sweden as well, with different attitudes to border controls emerging since the previous series of The Bridge went out.

Take a step further back, and a bigger picture still comes into focus. As the skies above the Øresund strait darken (gloomier than ever it seems in this one, Nordic noir extra), the refugee crisis continues. Millions search for new lives and new identities. This in turn leads to a pandemic of paranoia, sharp rises in extremism, populism and polarisation, racism, all the isms. Homophobia, too, and a bubbly toast for a ruling to send a gay man possibly to his death, Skål! Before the toasters’ boss is stoned to her death – it’s so gruesome, that scene, it’s almost unwatchable.

Meanwhile, offscreen, in another northern European country: immigrant removal targets. The Bridge doesn’t just join Sweden and Denmark. It spans the world in which we live.