{"text_format":"5","workbook":"xlsx","n_sheets":4,"sheets":["Report","ISIN list","Definitions","Disclaimer"],"props":{"creator":"Patajalo, Mariuxi","last_modified_by":"Patajalo, Mariuxi","company":"Vereine Creditreform"},"not_rendered":{"charts":4,"images":1,"external_links":1},"read":"whole","date_system":"1900"}

{"sheet":"Report","index":0,"n_rows":105,"n_cols":7,"rows_kept":105,"merged":[[4,0,4,7],[5,0,5,1],[5,3,5,4],[5,5,5,7],[6,0,6,1],[6,3,8,4],[6,5,6,7],[7,0,7,1],[7,5,7,7],[8,0,8,1],[8,5,8,7],[9,0,9,1],[9,3,11,4],[9,5,9,7],[10,0,10,1],[10,5,10,7],[11,0,11,1],[11,5,11,7],[12,0,12,1],[13,0,13,7],[14,0,14,2],[14,3,14,7],[15,0,15,1],[15,3,15,4],[15,5,15,7],[16,0,16,1],[16,3,16,4],[16,5,16,7],[17,0,17,1],[17,3,17,4],[17,5,17,7],[18,0,18,1],[18,3,18,4],[18,5,18,7],[19,0,19,1],[19,3,19,4],[19,5,19,7],[20,0,20,1],[20,3,20,7],[21,0,21,1],[21,3,21,4],[21,5,21,7],[22,0,22,1],[22,3,22,4],[22,5,22,7],[23,0,23,1],[23,3,23,4],[23,5,23,7],[25,0,25,7],[26,0,26,1],[26,3,26,4],[26,5,26,7],[27,0,27,1],[27,3,27,4],[27,5,27,7],[28,0,28,2],[28,3,28,7],[29,0,29,1],[29,3,29,4],[29,5,29,7],[30,0,30,1],[30,3,30,4],[30,5,30,7],[31,0,31,1],[31,3,31,4],[31,5,31,7],[32,0,32,1],[34,0,34,2],[34,3,34,7],[47,0,47,2],[47,3,47,7],[64,0,64,2],[64,3,64,7],[65,4,65,5],[65,6,65,7],[66,4,66,5],[66,6,66,7],[67,4,67,5],[67,6,67,7],[68,4,68,5],[68,6,68,7],[69,4,69,5],[69,6,69,7],[70,4,70,5],[70,6,70,7],[71,4,71,5],[71,6,71,7],[72,4,72,5],[72,6,72,7],[73,4,73,5],[73,6,73,7],[75,0,75,2],[75,3,75,7],[76,4,76,5],[76,6,76,7],[95,0,95,2],[102,0,102,2],[103,0,103,1],[104,0,104,1]],"headers":{"footer":["© Creditreform Rating AG 20. May 2019","","/6"]}}
["Creditreform Covered Bond Rating"]
["Banco Santander, S.A"]
["Mortgage Covered Bond Program"]
[]
["Rating Object"]
["Country Issuer",null,"Spain","Repayment method",null,"Hard Bullet"]
["Cover pool asset class",null,"Mortgage","Overcollateralization ",null,{"v":0.25,"d":" Min (25.00%)"}]
["Legal framework",null,"Spanish Mortgage Market Law ",null,null,{"v":0.4462199398996214,"d":"Current (44.62%)"}]
["Nominal value   ",null,{"v":37836.7,"d":"EUR 37,836.70 m."},null,null,{"v":0.25,"d":"Committed (25.00% )"}]
["Cover pool value",null,{"v":54720.19,"d":"EUR 54,720.19 m."},"Covered bonds coupon type",null,{"v":0.7400011100333803,"d":"Fix (74.00%)"}]
["WAL maturity covered bonds",null,{"v":63.19,"d":"63.19 (Years)"},null,null,{"v":0.25999888996661974,"d":"Floating (26.00%)"}]
["WAL maturity cover pool",null,{"v":179.95,"d":"179.95 (Years)"},null,null,{"v":0,"d":"Other (0.00%)"}]
["Cut-off date Covered Pool Information:",null,"29.03.2019"]
["Rating Overview"]
["Rating Summary",null,null,"Credit Risk"]
["Issuer",null,"Banco Santander, S.A","Metrics date",null,"2019-01-30"]
["LT Issuer Rating",null,"A","Rating Case Default Rate",null,{"v":0.2045,"d":"20.45%"}]
["ST Issuer Rating",null,"L2","Rating Case Recovery Rate",null,{"v":0.5454,"d":"54.54%"}]
["+Legal and regulatory framework analysis",null,{"v":4,"d":"+4 Notches"},"Expected Loss",null,{"v":0.0929657,"d":"9.30%"}]
["+Liquidity and refinancing risk",null,{"v":1,"d":"+1 Notch"},"Rating Case Breakeven OC",null,{"v":0.2353,"d":"23.53%"}]
["= Rating after 1st uplift",null,"AAA","Program Key Counterparties"]
["Cover Pool & cash flow analysis",null,"A+","Servicer",null,"NA"]
["+ 2nd rating uplift ",null,"+/-0","Account Bank",null,"NA"]
["Rating covered bond program",null,"AAA","Sponsor",null,"NA"]
[]
["Cover Assets Composition"]
["Cover Pool Balance",null,{"$f":"C10","v":{"v":54720.19,"d":"EUR 54,720.19 m."}},"Average size Commercial Loans",null,{"v":392.59,"d":"EUR 392.59 k."}]
[" Average Seasoning",null,{"v":29.1,"d":"29.10 Months"},"Average size Residential Loans",null,{"v":78.34,"d":"EUR 78.34 k."}]
["Distribution by Type of Asset",null,null,"Distribution by Loan Size"]
["Mortgages",null,{"v":54720.19,"d":"EUR 54,720.19 m."},"Total Number of Loans",null,{"v":567112,"d":"567,112"}]
[{"$f":"'[1]A. HTT General'!B54","v":"Public Sector "},null,{"$f":"'[1]A. HTT General'!C54","v":{"v":0,"d":"EUR 0.00 m."}},"Number of Commercial Loans",null,{"v":32765,"d":"32,765"}]
["Substitute Assets",null,{"v":0,"d":"EUR 0.00 m."},"Number of Residential Loans",null,{"v":534347,"d":"534,347"}]
["Other",null,{"v":0,"d":"EUR 0.00 m."}]
[]
["Asset-liability Profile",null,null,"Interest Rate "]
{"$rows_empty":12}
["Arrears Distribution",null,null,"Seasoning Distribution"]
{"$rows_empty":12}
["Creditreform Covered Bond Rating"]
[{"$f":"'[1]A. HTT General'!$C$15","v":"Banco Santander, S.A"}]
["Mortgage Covered Bond Program"]
[]
["LTV Distribution Commercial Loans",null,null,"LTV Distribution Residential Loans"]
["LTV","Nominal","% Loans","LTV","Nominal",null,"% Loans"]
[">0 - <=40 %",5301.5,{"v":0.4122020835973661,"d":"41.22%"},">0 - <=40 %",{"v":14475.77,"d":"14,475.77"},null,{"v":0.3458240650645014,"d":"34.58%"}]
[">40 - <=50 %",1851.23,{"v":0.14393678453606565,"d":"14.39%"},">40 - <=50 %",{"v":6282.69,"d":"6,282.69"},null,{"v":0.1500925612482163,"d":"15.01%"}]
[">50 - <=60 %",1592.51,{"v":0.12382079414309939,"d":"12.38%"},">50 - <=60 %",{"v":6168.33,"d":"6,168.33"},null,{"v":0.14736051728228036,"d":"14.74%"}]
[">60 - <=70 %",1013.81,{"v":0.07882572750577113,"d":"7.88%"},">60 - <=70 %",{"v":5723.75,"d":"5,723.75"},null,{"v":0.13673956497049483,"d":"13.67%"}]
[">70 - <=80 %",506.17,{"v":0.039355716052905554,"d":"3.94%"},">70 - <=80 %",{"v":4353.59,"d":"4,353.59"},null,{"v":0.1040066394688616,"d":"10.40%"}]
[">80 - <=90 %",267.33,{"v":0.020785434878446453,"d":"2.08%"},">80 - <=90 %",{"v":1525.09,"d":"1,525.09"},null,{"v":0.0364341809374714,"d":"3.64%"}]
[">90 - <=100 %",251.32,{"v":0.01954062579452797,"d":"1.95%"},">90 - <=100 %",933.01,null,{"v":0.0222894748221221,"d":"2.23%"}]
[">100%",2077.54,{"v":0.16153283349181777,"d":"16.15%"},">100%",{"v":2396.54,"d":"2,396.54"},null,{"v":0.05725299620605191,"d":"5.73%"}]
[]
["Currency Distribution ",null,null,"Loan Distribution by Regions (as % of total Mortgages)"]
["Currency","Covered Bonds","Cover Assets","Region","% Residential Loans",null,"% Commercial Loans"]
[{"$f":"'[1]Aux Table'!A20","v":"EUR"},{"$f":"'[1]Aux Table'!B20","v":{"v":37836.7,"d":"37,836.70 m."}},{"$f":"'[1]Aux Table'!C20","v":{"v":54330.85,"d":"54,330.85 m."}},"Andalusia",{"v":0.1568,"d":"15.68%"},null,{"v":0.1108,"d":"11.08%"}]
["AUD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Aragon",{"v":0.0203,"d":"2.03%"},null,{"v":0.0342,"d":"3.42%"}]
["BRL",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Asturias",{"v":0.0194,"d":"1.94%"},null,{"v":0.0082,"d":"0.82%"}]
["CAD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Balearic Islands",{"v":0.0253,"d":"2.53%"},null,{"v":0.0313,"d":"3.13%"}]
["CHF",{"v":0,"d":"0.00 m."},{"v":29.97,"d":"29.97 m."},"Basque Country",{"v":0.045,"d":"4.50%"},null,{"v":0.0762,"d":"7.62%"}]
["CZK",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Canary Islands",{"v":0.046,"d":"4.60%"},null,{"v":0.0529,"d":"5.29%"}]
["DKK",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Cantabria",{"v":0.0194,"d":"1.94%"},null,{"v":0.0182,"d":"1.82%"}]
["GBP",{"v":0,"d":"0.00 m."},{"v":105.5,"d":"105.50 m."},"Castile La Mancha",{"v":0.0268,"d":"2.68%"},null,{"v":0.0224,"d":"2.24%"}]
["HKD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Castile León",{"v":0.0377,"d":"3.77%"},null,{"v":0.0216,"d":"2.16%"}]
["JPY",{"v":0,"d":"0.00 m."},{"v":85.42,"d":"85.42 m."},"Catalonia",{"v":0.1656,"d":"16.56%"},null,{"v":0.1754,"d":"17.54%"}]
["KRW",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Ceuta",{"v":0.0008,"d":"0.08%"},null,{"v":0.0006,"d":"0.06%"}]
["NOK",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Extremadura",{"v":0.0143,"d":"1.43%"},null,{"v":0.01,"d":"1.00%"}]
["PLN",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Galicia",{"v":0.0641,"d":"6.41%"},null,{"v":0.0336,"d":"3.36%"}]
["SEK",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"La Rioja",{"v":0.0044,"d":"0.44%"},null,{"v":0.0032,"d":"0.32%"}]
["SGD",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Madrid",{"v":0.2587,"d":"25.87%"},null,{"v":0.3327,"d":"33.27%"}]
["USD",{"v":0,"d":"0.00 m."},{"v":168.46,"d":"168.46 m."},"Melilla",{"v":0.0017,"d":"0.17%"},null,{"v":0.0008,"d":"0.08%"}]
["Other",{"v":0,"d":"0.00 m."},{"v":0,"d":"0.00 m."},"Murcia",{"v":0.014,"d":"1.40%"},null,{"v":0.014,"d":"1.40%"}]
[{"$nulls":3},"Navarra",{"v":0.0059,"d":"0.59%"},null,{"v":0.007,"d":"0.70%"}]
["Swap Counterparties",null,null,"Valencia",{"v":0.0737,"d":"7.37%"},null,{"v":0.0471,"d":"4.71%"}]
["Name","Type of arrangement","LEI"]
["NA","NA","NA"]
["NA","NA","NA"]
["NA","NA","NA"]
["NA","NA","NA"]
["NA","NA","NA"]
["Swap Agreements"]
["Interest Rate Swap ",null,"NA"]
["Currency Swap ",null,"NA"]

{"sheet":"ISIN list","index":1,"n_rows":51,"n_cols":6,"rows_kept":51,"headers":{"footer":["© Creditreform Rating AG 20 May 2019","","4/6"]}}
["Creditreform Covered Bond Rating"]
["Banco Santander, S.A"]
["Mortgage Covered Bond Program"]
[]
["ISIN Lists"]
["Issuer","ISIN","Coupon Type","Coupon Rate (%)","Issue date","Maturity date"]
["Banco Santander, S.A","ES0413900517","Floating","EIEUR3M + 0.15","2018-06-26","2023-06-26"]
["Banco Santander, S.A","ES0413790132","Floating","EIEUR3M + 2.3","2011-06-24","2019-06-24"]
["Banco Santander, S.A","ES0413790322","Floating","EIEUR6M + 2.4","2013-12-20","2021-12-20"]
["Banco Santander, S.A","ES0413790413","Fix",0.75,"2015-07-30","2020-09-29"]
["Banco Santander, S.A","ES0413900434","Fix",{"v":0.129,"d":"0.13"},"2016-06-21","2021-06-21"]
["Banco Santander, S.A","ES0413900467","Fix",0.45,"2016-12-20","2021-12-20"]
["Banco Santander, S.A","ES0413900541","Fix",{"v":0.403,"d":"0.40"},"2018-11-20","2023-11-20"]
["Banco Santander, S.A","ES0413790256","Floating","EIEUR6M + 2.70","2013-04-05","2021-04-05"]
["Banco Santander, S.A","ES0413790355","Fix",{"v":2.125,"d":"2.13"},"2014-04-08","2019-10-08"]
["Banco Santander, S.A","ES0413900087","Fix",{"v":4,"d":"4.00"},"2005-04-07","2020-04-07"]
["Banco Santander, S.A","ES0413900384","Fix",0.75,"2015-09-09","2022-09-09"]
["Banco Santander, S.A","ES0413900491","Fix",0.16,"2017-06-26","2022-06-26"]
["Banco Santander, S.A","ES0413770100","Fix",4.55,"2010-04-26","2020-07-31"]
["Banco Santander, S.A","ES0413790298","Floating","EIEUR3M + 2.00","2013-07-31","2027-10-30"]
["Banco Santander, S.A","ES0413790397","Fix",{"v":1,"d":"1.00"},"2015-04-07","2025-04-07"]
["Banco Santander, S.A","ES0413790470","Floating","EIEUR6M + 0.77","2017-03-30","2024-04-02"]
["Banco Santander, S.A","ES0413900194","Floating","EIEUR3M + 0.55","2010-01-08","2022-01-10"]
["Banco Santander, S.A","ES0413900418","Fix",{"v":1.517,"d":"1.52"},"2016-03-22","2028-03-22"]
["Banco Santander, S.A","ES0413900525","Fix",{"v":0.295,"d":"0.30"},"2018-10-05","2022-10-05"]
["Banco Santander, S.A","ES0413790330","Floating","EIEUR3M + 2.5","2014-02-17","2026-02-17"]
["Banco Santander, S.A","ES0413790421","Fix",{"v":0.875,"d":"0.88"},"2015-10-01","2021-09-28"]
["Banco Santander, S.A","ES0413900368","Fix",{"v":1.125,"d":"1.13"},"2014-11-27","2024-11-27"]
["Banco Santander, S.A","ES0413900442","Floating","EIEUR6M + 0.13","2016-06-27","2020-06-27"]
["Banco Santander, S.A","ES0413900475","Fix",0.13,"2017-06-26","2022-06-26"]
["Banco Santander, S.A","ES0413790264","Fix",5.28,"2013-07-03","2029-06-28"]
["Banco Santander, S.A","ES0413790454","Floating","EIEUR1Y + 0.07","2016-10-27","2021-10-27"]
["Banco Santander, S.A","ES0413900129","Fix",{"v":3.875,"d":"3.88"},"2006-02-06","2026-02-06"]
["Banco Santander, S.A","ES0413900392","Fix",{"v":1.5,"d":"1.50"},"2016-01-25","2026-01-25"]
["Banco Santander, S.A","ES0413900509","Floating","EIEUR6M + 0.16","2017-11-29","2029-11-29"]
["Banco Santander, S.A","ES0413790082","Fix",{"v":4.2,"d":"4.20"},"2010-06-17","2019-06-17"]
["Banco Santander, S.A","ES0413790306","Floating","EIEUR3M + 2.25","2013-07-31","2028-11-30"]
["Banco Santander, S.A","ES0413790405","Floating","EIEUR6M + 0.4","2015-06-08","2023-06-08"]
["Banco Santander, S.A","ES0413790488","Floating","EIEUR6M + 1.04","2017-04-26","2027-04-26"]
["Banco Santander, S.A","ES0413900293","Floating","EIEUR3M + 3.20","2012-06-25","2020-06-25"]
["Banco Santander, S.A","ES0413900533","Fix",{"v":1.125,"d":"1.13"},"2018-10-25","2028-10-25"]
["Banco Santander, S.A","ES0413790348","Floating","EIEUR6M + 1.6","2014-03-14","2022-03-14"]
["Banco Santander, S.A","ES0413790439","Fix",{"v":1,"d":"1.00"},"2016-03-03","2022-03-03"]
["Banco Santander, S.A","ES0413900376","Fix",{"v":2,"d":"2.00"},"2014-11-27","2034-11-27"]
["Banco Santander, S.A","ES0413900483","Fix",{"v":0.025,"d":"0.03"},"2017-06-26","2021-06-26"]
["Banco Santander, S.A","ES0413790280","Floating","EIEUR3M + 1.75","2013-07-31","2026-09-30"]
["Banco Santander, S.A","ES0413790389","Floating","EIEUR6M + 0.75","2014-09-29","2022-09-29"]
["Banco Santander, S.A","ES0413790462","Fix",{"v":1.133,"d":"1.13"},"2016-12-23","2024-12-23"]
["Banco Santander, S.A","ES0405035009","Floating","EIEUR1Y + 3","2014-07-17","2028-07-17"]
["Banco Santander, S.A","ES0413900160","Fix",{"v":4.625,"d":"4.63"},"2007-05-04","2027-05-04"]
["Banco Santander, S.A","ES0413900400","Fix",{"v":2.038,"d":"2.04"},"2016-02-29","2036-02-29"]

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["Creditreform Covered Bond Rating"]
["Banco Santander, S.A"]
["Mortgage Covered Bond Program"]
[]
["Data Definitions"]
[]
["Field Name","Source","Definition"]
["Cover pool asset class","Issuer","The asset type in the cover pool (public sector assets or mortgage assets)"]
["Legal framework","CRA","The set of legislative and regulatory rules of the respective jurisdiction that regulates the covered bonds (CB) program"]
["Nominal value   ","Issuer","The total amount of outstanding covered bonds as of cut-off date expressed in millions"]
["Cover pool value","Issuer","Aggregate value of all assets in the cover pool as of cut-off date expressed in millions  "]
["WAL maturity covered bonds","Issuer","The weighted average remaining maturity of all outstading covered bonds in years"]
["WAL maturity cover pool","Issuer","The weighted average remaining maturity of all outstading covered assets in years"]
["Repayment method","Issuer","Hard Bullet: Covered bonds are repaid on the maturiry date which cannot be extended\nSoft Bullet: The maturity date of the covered bonds can be extended by a fixed period\nConditional pass-through (CPT): Covered bonds with a scheduled maturity date, and an extension mechanism defined by certain conditions"]
["Overcollateralization ","Issuer","Current OC: The proportion of covel assets that exceeds the proportion of currrently outstanding covered bonds, calculated as ([Cover pool value]/[outstanding covered bonds]-1)*100 \nMin OC: The OC level that the issuer must maintain according to the respective CB legislation\nCommitted OC: The minimum OC level that the issuer has committed to maintain  "]
["Covered bonds coupon type","Issuer","Type of interest rate paid on covered bonds, expressed as a percentage of bond's face value"]
["LT Issuer Rating","CRA","Long-term ratings assess the default risks for each category of a bank’s financial instruments \nwith a residual term-to-maturity of more than one year"]
["ST Issuer Rating","CRA","Short-term ratings assess the default risks for each category of a bank’s financial instruments \nwith a residual term-to-maturity of less than one year"]
["Legal and regulatory framework analysis","CRA","A qualitative assessement of legislative and regulatory rules of the covered bonds program"]
["Liquidity and refinancing risk","CRA","A qualitative assessement of regulatory requirements for liquidity and refinancing risk of the covered bonds program"]
["First rating uplift","CRA","The rating after adding up the notches from Legal and regulatory framework analysis and  Liquidity and refinancing risk with LT Issuer rating"]
["Cover pool and cash flow analysis","CRA","The quantitative assessment of the cover assets and covered bonds at different rating-level stressed scenarios"]
["Second rating upflift","CRA","The rating after adding up the notches from cash-flow analysis with 1st rating uplift (only effective if the rating from cash-flow analysis is higher than the 1st rating uplift)"]
["Metrics date","CRA","The date on which CRA assigned the initial / follow-up rating of the covered bond program "]
["Rating Case Default Rate (RDR)","CRA","Stressed default rate of the cover assets represented by the base case stressed scenario"]
["Rating Case Recovery Rate (RRR)","CRA","Stressed recovery rate of the defaulted assets represented by the base case stressed scenario"]
["Expected Loss","CRA","Stressed loss rate of the cover assets represented by the base case stressed scenario. The expected loss rate has been calculated as [RDR*(1-RRR)] [%]"]
["Rating Case Breakeven OC","CRA","The required stressed OC level compatible with the base case rating"]
["Average Seasoning","Issuer","Average length of the loans from the origination date to the cut-off date in months"]
["Loan Size","Issuer","Average size of the loans (i.e. Total value of cover assets / Number of loans)"]
["LTV","Issuer","The loan-to-value (LTV) is the ratio of a loan to the value of the property securing the loan"]
["LEI","CRA","Legal Entity Identifier (LEI) enables unique identification of legal entities in financial transactions"]
["Arrears Distribution","Issuer","The distrbution of arrears of the cover assets with respect to each asset class"]
["Seasoning Distribution","Issuer","The distrbution of seasoning of the cover assets with respect to each asset class"]
["Asset liability Profile","CRA","The maturity structure of the cover assets and liabilities "]
["% Residential Loans","Issuer","Outstanding value of loans that are secured by the residential property expressed as % of total outstadning loans in the cover pool"]
["% Commercial Loans","Issuer","Outstanding value of loans that are secured by the commercial property expressed as % of total outstadning loans in the cover pool"]
["Fixed Coupon","Issuer","All assets and liabilities in the covered bond program that yield a fixed interest rate"]
["Floating Coupon","Issuer","All assets and liabilities in the covered bond program that have variable interest rates"]
["EIEURxM","Reuters","Euro x Month EURIBOR"]
["EIEURxY","Reuters","Euro x Year EURIBOR"]

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["Creditreform Covered Bond Rating"]
["Banco Santander, S.A"]
["Mortgage Covered Bond Program"]
[]
["Disclaimer"]