BANCO SANTANDER, S.A. 
Fitch Ratings has affirmed
The Outlooks are Stable.
KEY RATING DRIVERS
CH Privileged Position and PCU: The liquidity protection available to CH is reflected in the payment continuity uplift (PCU) assessment of three notches as per Fitch's Covered Bonds Rating Criteria. The PCU assessment reflects the majority hard bullet amortisation of the CH and the 180 days liquidity protection. However, none of the CH programmes are using the PCU uplift due to insufficient overcollateralisation (OC) to fully mitigate the cash flow and credit stresses associated with higher rating levels (Santander CH), or the liquidity concentration risk at the transaction account bank (CRG and Globalcaja CH).
The resolution uplift for each CH programme is unchanged, reflecting CH exemption from bail-in under a resolution scenario of the issuer, and the low risk of under-collateralisation at the point of resolution. It also captures our view that a resolution of any of the issuers, should it happen, is not likely to result in the direct enforcement of recourse against the cover pool. Similarly, the recovery uplift is unchanged for all CH programmes as Fitch has not identified any material downside risk to recoveries given default.
Relied Upon and Break-even OC: The relied upon OC for each CH programme of 14.0% for Santander and 17.5% for CRG CH and Globalcaja CH reflect Fitch's OC projections based on information provided by each issuer, instead of the lowest OC of the past 12 months as per the agency's Covered Bonds Rating Criteria. This is consistent with the new CH framework following the implementation of the EU Directive
The breakeven OC for the ratings is solely driven by the expected credit losses on the cover pool of 9.5%, 5.5% and 8.0% for Santander CH, CRG CH and Globalcaja CH, respectively, in a 'AA', 'A+' and 'A+' stress scenario. Under Fitch's rating criteria, this is commensurate with a recovery uplift above the resolution reference point for each programme. In all cases, Fitch's relied-upon OC for the programmes provides more protection than the break-even OC for the ratings.
Rating Cap for Timely Payments: Fitch's analysis considers a timely payment rating level cap to CRG CH and Globalcaja CH as the issuers' liquidity arrangements are exposed to significant concentration risk in one transaction account bank with no minimum ratings or replacement provisions in place.
Moreover, previously applied criteria variations for all CH (linked to the level of relied-upon OC) and one applied to only CRG CH and Globalcaja CH (linked to obligor concentration risk) have not been used in this review as both variations are now addressed in Fitch's credit analysis in line with its Covered Bonds Rating Criteria.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to positive rating action/upgrade:
An upgrade of the banks' Issuer Default Ratings (IDR) would lead to an equivalent upgrade of the CH given the direct link between the CH rating and the respective Long-Term IDR, subject to sufficient OC.
For Santander CH, larger relied-upon OC sufficient to fully compensate the credit and cash flow stresses commensurate with higher rating scenarios.
For CRG CH and Globalcaja CH, improved counterparty arrangements for the transaction account bank holding the liquidity buffer including minimum ratings and remedial actions in case of loss of eligibility as per Fitch's criteria.
Factors that could, individually or collectively, lead to negative rating action/downgrade:
A downgrade of the banks' IDRs could lead to an equivalent downgrade of the CH.
If the lifetime projected credit loss on the cover pools are not fully compensated by the OC Fitch relies upon. Breakeven OC ratios for a given rating can be affected by the profile of the cover assets relative to outstanding covered bonds, and can change over time.
If the nominal OC falls to the legal minimum of 5%, a one-notch downgrade is likely to occur in all cases.
Best/Worst Case Rating Scenario
International scale credit ratings of Financial Institutions and Covered Bond issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from '
SOURCES OF INFORMATION
The rating analysis has used the cover pool information received by each issuer as of
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
Each CH rating is driven by the credit risk of the respective issuer as measured by its Long-Term IDR.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
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