IFRS 9-FL Template: Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs
Go to Table3
CC1
Composition of regulatory own funds
Go to Table4
CC2
Reconciliation: balance under accounting consolidation / balance under regulatory consolidation
Go to Table5
OV1
Overview of RWAs
Go to Table6
CR1
Performing and non-performing exposures and related provisions
Go to Table7
CR1_A
Maturity of exposures
Go to Table8
CR2
Changes in stock of general and specific credit risk adjustments
Go to Table9
CR2_A
Changes in stock of non-performing loans and debt securities
Go to Table10
CR3
Credit risk mitigation techniques - IRB and SA
Go to Table11
CR4
Credit risk exposure and CRM effects
Go to Table12
CR5
Standardised approach (including a breakdown of exposures post conversion factor and post mitigation techniques)
Go to Table13
CR6
AIRB approach. Credit risk exposures by portfolios class and PD range
Go to Table14
CR6
AIRB approach. Credit risk exposures by portfolios class and PD range. Retail portfolios
Go to Table15
CR6
FIRB approach. Credit risk exposures by portfolios class and PD range
Go to Table16
CR7
IRB approach. Effect on RWA of credit derivatives used as CRM techniques
Go to Table17
CR7_A
IRB approach - Disclosure of the extent of the use of CRM techniques
Go to Table18
CR8
RWA flow statement of credit risk exposures under IRB
Go to Table19
CR10_1
Specialised lending exposures under the simple riskweighted approach.Project finance (Slotting approach)
Go to Table20
CR10_2
Specialised lending exposures under the simple riskweighted approach.Income-producing real estate and high volatility commercial real estate (Slotting approach)
Go to Table21
CR10_3
Specialised lending exposures under the simple riskweighted approach.: Object finance (Slotting approach)
Go to Table22
CR10_4
Specialised lending exposures under the simple riskweighted approach.Commodities finance (Slotting approach)
Go to Table23
CR10_5
Equity exposures under the simple riskweighted approach
Go to Table24
CQ1
Credit quality of forborne exposures
Go to Table25
CQ2
Quality of forbearance
Go to Table26
CQ4
Quality of non-performing exposures by geography
Go to Table27
CQ5
Credit quality of loans and advances by industry
Go to Table28
CQ6
Collateral valuation - loans and advances
Go to Table29
CQ7
Collateral obtained by taking possession and execution processes
Go to Table30
CQ8
Collateral obtained by taking possession and execution processes - vintage breakdown
Go to Table31
CCR1
Analysis of the counterparty credit risk (CCR) exposure by approach
Go to Table32
CCR2
Credit valuation adjustment capital charge (CVA)
Go to Table33
CCR3
Standardised approach - CCR exposures by regulatory portfolio and risk
Go to Table34
CCR4
AIRB approach- CCR exposures by portfolio and PD scale
Go to Table35
CCR4
FIRB approach- CCR exposures by portfolio and PD scale
Go to Table36
CCR5
Impact of netting and collateral held on exposure values
Go to Table37
CCR6
Credit derivatives exposures
Go to Table38
CCR7
APR flow statement of counterparty risk exposures under the IMM method
Go to Table39
CCR8
Exposures to central counterparties
Go to Table40
SEC1
Securitisation exposures in the banking book
Go to Table41
SEC2
Securitisation exposures in the trading book
Go to Table42
SEC3
Securitisation exposures in the banking book and associated regulatory capital requirements (Bank acting as originator or sponsor)
Go to Table43
SEC4
Securitisation exposures in the banking book and associated regulatory capital requirements (bank acts as an investor)
Go to Table44
SEC5
Exposures securitised by the institution - Exposures in default and specific credit risk adjustments
Go to Table45
MR1
Market risk under standardised approach
Go to Table46
MR2_A
Market risk under IMA approach
Go to Table47
MR2_B
RWA flow statements of market risk exposures under IMA
Go to Table48
MR3
VaR, Stressed VaR and IRC by geography
Go to Table49
MR4
Comparison of VaR estimates with gains/losses
Go to Table50
LR1
Summary reconciliation of accounting assets and leverage ratio exposures
Go to Table51
LR2
Leverage ratio common disclosure
Go to Table52
LR3
Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
Go to Table53
LIQ1
Quantitative information of LCR
Go to Table54
LIQB
Qualitative information on LCR, which complements template EU LIQ1
Go to Table55
LIQ2
Net Stable Funding Ratio
Go to Table56
57
Capital instruments main features template
Go to Table57
CCyB1
Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (CCyB1)
Go to Table58
CCyB2
Amount of institution-specific countercyclical capital buffer (CCyB2)
Go to Table59
60
Information on loans and advances subject to legislative and non-legislative moratoria
Go to Table60
61
Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria
Go to Table61
62
Information on newly originated loans and advances provided under newly applicable public guarantee schemes introduced in response to COVID-19 crisis
Go to Table62
Note: TLAC information is published independently in Santander's website, section 'TLAC information', available between 'Pillar III disclosures Report' and the link 'Filings with other regulatory bodies'
Table1
Main capital figures and capital adequacy ratios.
CRR Fully loaded
CRR Phased-in
Million euro
Jun'21
Mar'21
Dec'20
Sep'20
Jun'21
Mar'21
Dec'20
Sep'20
Common Equity (CET1)
70,864
69,627
69,399
66,528
70,864
69,627
69,399
66,528
Tier 1
79,661
78,417
78,126
75,268
79,973
78,731
78,501
75,492
Total capital
92,270
91,466
90,933
86,398
92,539
91,550
91,015
86,479
Total risk-weighted exposure amount
584,999
567,797
562,580
555,122
584,999
567,797
562,580
555,122
Common Equity Tier 1 ratio (%)
12.11%
12.26%
12.34%
11.98%
12.11%
12.26%
12.34%
11.98%
Tier 1 ratio (%)
13.62%
13.81%
13.89%
13.56%
13.67%
13.87%
13.95%
13.60%
Total capital ratio (%)
15.77%
16.11%
16.16%
15.56%
15.82%
16.12%
16.18%
15.58%
Leverage ratio (%)
5.16%
5.06%
5.31%
5.16%
5.18%
5.08%
5.33%
5.17%
2020 and 2021 figures are calculated applying the transitional arrangements of IFRS 9 unless specified otherwise.
As indicated by the consolidating supervisor, a pay-out of 50%, the maximum within the target range (40%-50%) was applied for the calculation of the capital ratios in March 2021. Previously, a 40% pay-out was considered
For further information, please refer to the 1Q 2021 Financial Report (Solvency Ratios section) on the Group's website:
Table2
Key metrics template (KM1)
Million euros
Jun. 2021
Mar. 2021
Dec. 2020
Sep. 2020
Jun. 2020
Available own funds (amounts)
Common Equity Tier 1 (CET 1) capital
70,864
69,627
69,399
66,528
67,192
Tier 1 capital
79,973
78,731
78,501
75,492
76,476
Total capital
92,539
91,550
91,015
86,479
87,837
Risk-weighted exposure amounts
Total risk-weighted exposure amount
584,999
567,797
562,580
555,122
567,446
Capital ratios (as a percentage of risk-weighted exposure amount)
Common Equity Tier 1 ratio (%)
12.11%
12.26%
12.34%
11.98%
11.84%
Tier 1 ratio (%)
13.67%
13.87%
13.95%
13.60%
13.48%
Total capital ratio (%)
15.82%
16.12%
16.18%
15.58%
15.48%
Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)
Additional own funds requirements to address risks other than the risk of excessive leverage (%)
1.50%
1.50%
1.50%
1.50%
1.50%
of which: to be made up of CET1 capital (percentage points)
0.84%
0.84%
0.84%
0.84%
0.84%
of which: to be made up of Tier 1 capital (percentage points)
1.13%
1.13%
1.13%
1.13%
1.13%
Total SREP own funds requirements (%)
9.50%
9.50%
9.50%
9.50%
9.50%
Combined buffer requirement (as a percentage of risk-weighted exposure amount)
Capital conservation buffer (%)
2.50%
2.50%
2.50%
2.50%
2.50%
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)
0.00%
0.00%
0.00%
0.00%
0.00%
Institution specific countercyclical capital buffer (%)
0.01%
0.01%
0.01%
0.01%
0.02%
Systemic risk buffer (%)
0.00%
0.00%
0.00%
0.00%
0.00%
Global Systemically Important Institution buffer (%)
1.00%
1.00%
1.00%
1.00%
1.00%
Other Systemically Important Institution buffer
1.00%
1.00%
1.00%
1.00%
1.00%
Combined buffer requirement (%)
3.51%
3.51%
3.51%
3.51%
3.52%
Overall capital requirements (%)
13.01%
13.01%
13.01%
13.01%
13.02%
CET1 available after meeting the total SREP own funds requirements
35,975
37,609
Leverage ratio
Total exposure measure
1,543,833
1,549,821
1,471,480
1,459,771
1,588,446
Leverage ratio (%)
5.01%
4.91%
5.13%
5.00%
4.64%
Additional own funds requirements to address risks of excessive leverage (as a percentage of leverage ratio total exposure amount)
Additional own funds requirements to address the risk of excessive leverage (%)
0.00%
0.00%
0.00%
0.00%
0.00%
of which: to be made up of CET1 capital (percentage points)
0.00%
0.00%
0.00%
0.00%
0.00%
Total SREP leverage ratio requirements (%)
3.11%
0.00%
0.00%
0.00%
0.00%
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
Leverage ratio buffer requirement (%)
0.00%
0.00%
0.00%
0.00%
0.00%
Overall leverage ratio requirements (%)
3.11%
0.00%
0.00%
0.00%
0.00%
Liquidity Coverage Ratio
Total high-quality liquid assets (HQLA) (Weighted value - average)
269,735
264,802
250,857
239,572
225,110
Cash outflows - Total weighted value
211,076
206,796
204,842
202,016
198,095
Cash inflows - Total weighted value
50,190
49,371
49,980
50,949
51,573
Total net cash outflows (adjusted value)
160,886
157,426
154,862
151,068
146,522
Liquidity coverage ratio (%)*
168%
168%
162%
158%
154%
Net Stable Funding Ratio
Total available stable funding**
1,083,953
1,061,729
1,029,104
1,009,861
1,045,127
Total required stable funding**
874,940
874,195
854,193
847,093
894,610
NSFR ratio (%)**
124%
121%
120%
119%
117%
CRR Phased in-Phased in IFRS9
* Liquidity coverage ratio is the average of 12 months including June'21
** NSFR on periods T-1 to T-4 calculated according to BIS principles
Table3
Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs (IFRS 9-FL)
Million euros
June 2021
March 2021
December 2020
Available capital (amounts)
1
Common Equity Tier 1 (CET1) capital
70,864
69,627
69,399
2
Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
68,510
67,255
66,784
3
Tier 1 capital
79,973
78,731
78,501
4
Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
77,618
76,358
75,885
5
Total capital
92,539
91,550
91,015
6
Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
90,529
89,177
88,399
Risk-weighted assets (amounts)
7
Total risk-weighted assets
584,999
567,797
562,580
8
Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
585,379
567,342
561,850
Capital ratios
9
Common Equity Tier 1 (as a percentage of risk exposure amount)
12.11%
12.26%
12.34%
10
Common Equity Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
11.70%
11.85%
11.89%
11
Tier 1 (as a percentage of risk exposure amount)
13.67%
13.87%
13.95%
12
Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
13.26%
13.46%
13.51%
13
Total capital (as a percentage of risk exposure amount)
15.82%
16.12%
16.18%
14
Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
15.47%
15.79%
15.73%
Leverage ratio
15
Leverage ratio total exposure measure
1,545,183
1,548,789
1,471,480
16
Leverage ratio
5.18%
5.08%
5.33%
17
Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
5.01%
4.93%
5.15%
Note: CRR phased-in Grupo Santander applies the transitional provisions of IFRS 9 defined in art.473 a of Regulation 2013/575 (introduced in art.1 of Regulation 2395/2017 and amended in 2020 in response to COVID-19 pandemic), mitigating the impact of the adoption of IFRS9 when applying a static and dynamic phased-in on his capital ratios. In this way, Grupo Santander adds to its CET 1 the amounts calculated in accordance with sections 1 and following (included section 4, 473bis article) Grupo Santander has not applied article 468 of the CRR on the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the ongoing COVID-19 pandemic.
Table4
Composition of regulatory own funds (CC1)
30th Jun. 2021
Million euros
(A) Amounts
(B) Explanatory notes
Common Equity Tier 1 (CET1) capital: instruments and reserves
Capital instruments and the related share premium accounts
56,649
(a)
of which: Instrument type 1
of which: Instrument type 2
of which: Instrument type 3
Retained earnings
60,226
(b)
Accumulated other comprehensive income (and other reserves)
-37,254
(c)
Funds for general banking risk
0
Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET1
0
Minority interests (amount allowed in consolidated CET1)
6,347
(d)
Independently reviewed interim profits net of any foreseeable charge or dividend
1,293
(e)
Common Equity Tier 1 (CET1) capital before regulatory adjustments
87,259
Common Equity Tier 1 (CET1) capital: regulatory adjustments
Additional value adjustments (negative amount)
-565
(f)
Intangible assets (net of related tax liability) (negative amount)
-15,823
(g)
Empty set in the EU
Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) (negative amount)
-481
Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value
-64
(h)
Negative amounts resulting from the calculation of expected loss amounts
0
Any increase in equity that results from securitised assets (negative amount)
0
Gains or losses on liabilities valued at fair value resulting from changes in own credit standing
108
(i)
Defined-benefit pension fund assets (negative amount)
-912
Direct and indirect holdings by an institution of own CET1 instruments (negative amount)
-125
(j)
Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
0
Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
0
Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
0
Empty set in the EU
Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative
-176
of which: qualifying holdings outside the financial sector (negative amount)
0
of which: securitisation positions (negative amount)
-72
of which: free deliveries (negative amount)
0
Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met) (negative amount)
0
Amount exceeding the 17.65% threshold (negative amount)
0
of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities
0
Empty set in the EU
0
of which: deferred tax assets arising from temporary differences
0
Losses for the current financial year (negative amount)
0
Foreseeable tax charges relating to CET1 items except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses (negative amount)
Empty set in the EU
Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount)
0
Other regulatory adjusments
1,645
Total regulatory adjustments to Common Equity Tier 1 (CET1)
-16,395
Common Equity Tier 1 (CET1) capital
70,864
Additional Tier 1 (AT1) capital: instruments
Capital instruments and the related share premium accounts
7,355
(k)
of which: classified as equity under applicable accounting standards
2,982
of which: classified as liabilities under applicable accounting standards
6,095
Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 as described in Article 486(3) of CRR
312
(l)
Amount of qualifying items referred to in Article 494a(1) subject to phase out from AT1
0
Amount of qualifying items referred to in Article 494b(1) subject to phase out from AT1
0
Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties
1,471
of which: instruments issued by subsidiaries subject to phase out
0
Additional Tier 1 (AT1) capital before regulatory adjustments
Direct and indirect holdings by an institution of own AT1 instruments (negative amount)
-29
Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
0
Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
0
Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)
0
Empty set in the EU
Qualifying T2 deductions that exceed the T2 items of the institution (negative amount)
0
Other regulatory adjustments to AT1 capital
0
Total regulatory adjustments to Additional Tier 1 (AT1) capital
-29
Additional Tier 1 (AT1) capital
9,109
Tier 1 capital (T1 = CET1 + AT1)
79,973
Tier 2 (T2) capital: instruments
Capital instruments and the related share premium accounts
9,743
(m)
Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2 as described in Article 486 (4) CRR
-229
(n)
Amount of qualifying items referred to in Article 494a (2) subject to phase out from T2
0
Amount of qualifying items referred to in Article 494b (2) subject to phase out from T2
187
Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties
3,369
(o)
of which: instruments issued by subsidiaries subject to phase out
0
Credit risk adjustments
344
Tier 2 (T2) capital before regulatory adjustments
13,414
Tier 2 (T2) capital: regulatory adjustments
Direct and indirect holdings by an institution of own T2 instruments and subordinated loans (negative amount)
-478
(m)
Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
0
Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
0
Empty set in the EU
Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)
-25
Empty set in the EU
0
Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount)
Other regulatory adjusments to T2 capital
-344
Total regulatory adjustments to Tier 2 (T2) capital
-847
Tier 2 (T2) capital
12,567
Total capital (TC = T1 + T2)
92,539
Total risk exposure amount
584,999
Capital ratios and requirements including buffers
Common Equity Tier 1 (as a percentage of total risk exposure amount)
12.11%
Tier 1 (as a percentage of total risk exposure amount)
13.67%
Total capital (as a percentage of total risk exposure amount)
15.82%
Institution CET1 overall capital requirements
8.86%
of which: capital conservation buffer requirement
2.500%
of which: countercyclical buffer requirement
0.012%
of which: systemic risk buffer requirement
0.000%
of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer
1.00%
of which: additional own funds requirements to address the risks other than the risk of excessive leverage
0.84%
Common Equity Tier 1 available to meet buffer (as a percentage of risk exposure amount)
0
[non relevant in EU regulation]
[non relevant in EU regulation]
[non relevant in EU regulation]
Amounts below the thresholds for deduction (before risk weighting)
Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)
4,366
Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions)
3,783
Empty set in the EU
Deferred tax assets arising from temporary differences (amount below 17.65% threshold, net of related tax liability where the conditions in Article 38 (3) are met)
6,138
Applicable caps on the inclusion of provisions in Tier 2
Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)
0
Cap on inclusion of credit risk adjustments in T2 under standardised approach
3,400
Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)
344
Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach
1,241
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022)
Current cap on CET1 instruments subject to phase out arrangements
0
Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)
0
Current cap on AT1 instruments subject to phase out arrangements
312
Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)
-75
Current cap on T2 instruments subject to phase out arrangements
242
Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)
0
Phased-in CRR, phased-in IFRS9
(a) Amount included under the balance sheet items of capital (4) and share premium (5).
(b) Amount included under the balance sheet items of other equity instruments (6), reserves (7), including the adjustments for IFRS 9 transitional arrangements.
(c) Amount included for the balance sheet items of valuation adjustments (11 and 13) and other reserves (8).
(d) Total amount of eligible minority stakes in accordance with the criteria of article 84 of the CRR, included under the balance sheet item of non-controlling interests (12).
(e) Amount of the balance sheet item of profit attributable to the Group (10), net of expected dividend.
(f) Deduction of Common Equity Tier 1 of the additional valuation adjustments of assets measured at fair value in the balance sheet, as determined in Article 34 of the CRR and deductions not recorded for accounting purposes.
(g) Deduction for intangible assets (1), net of associated deferred tax liabilities (3)
(h) Amount for the gains and losses from cash flow hedges included under valuation adjustments (11 and 13), which are excluded from eligible Common Equity Tier 1 items, as established in the prudential filters of the CRR.
(i) Prudential filter of the gains or losses on liabilities measured at fair value resulting from changes in own credit quality.
(j) Amount of own shares (9) not eligible for capital purposes.
(k) Additional Tier 1 equity instruments issued by the parent, included under the balance sheet item of subordinated liabilities (2) which meet the conditions established in the CRR for them to be eligible as capital. See details of issuances included in Appendix II "Capital instruments main features template" ("Additional Tier 1 equity instruments" value in the "Post-transitional CRR rules" field issued by the parent or one of its holding companies).
(l) Additional Tier 1 equity instruments included under the balance sheet item of subordinated liabilities (2) subject to grandfathering. See details of issuances included in Appendix II "Capital instruments main features template" ("Additional Tier 1 equity instruments" value in the "Post-transitional CRR rules").
(m) Tier 2 equity instruments issued by the parent, included under the balance sheet item of subordinated liabilities (2) which meet the conditions established in the CRR for them to be eligible as capital. See details of issuances included in Appendix II "Capital instruments main features template" ("Tier 2 equity instruments" value in the "Post-transitional CRR rules" field issued by the parent or one of its holding companies).
(n) This item covers Tier 2 equity instruments included for accounting purposes under the balance sheet item of subordinated liabilities (2), subject to grandfathering. In addition, the Tier 2 equity instruments eligible as additional Tier 1 capital during the transitional period are eliminated. See details of issuances included in Appendix II "Capital instruments main features template" ("Tier 2 equity instruments" value in the "Transitional CRR rules" field which may also be classified as "Ineligible" in the "Post-transitional CRR rules" field, less "Additional Tier 1 equity instruments" in the field "Transitional CRR rules" which may also be "Tier 2 equity instruments" in the "Post-transitional CRR rules" field).
(o) Tier 2 equity instruments issued by Group subsidiaries, included under the balance sheet item of subordinated liabilities (2) which meet the conditions established in the CRR for them to be eligible as capital. See details of issuances included in Appendix II "Capital instruments main features template" ("Tier 2 equity instruments" value in the "Post-transitional CRR rules" field issued by Group subsidiaries).
Table5
Reconciliation: balance under accounting consolidation / balance under regulatory consolidation
Million euros
30th Jun. 2021
(A) ASSETS
(B) Balance under accounting consolidation
(C) Balance under regulatory consolidation
(D) Reference to transitional disclosure template (Table 2)
Comment
Difference in total assets between accounting and regulatory consolidation is not relevant (-14.573 MM €) and it corresponds to the exclusion of non-financial entities (-25.567 MM €), inclusion of multigroup entitites (+12.515 MM €) and intragroup (-1.521 MM €)
Cash and cash balances at central banks (010)
183,091
183,224
Financial assets held for trading (050)
102,792
102,784
Non-trading financial assets mandatorily measured at fair value through profit or loss (096)
4,838
3,146
Financial assets designated at fair value through profit or loss (100)
56,486
54,134
Financial assets at fair value through other comprehensive income (141)
114,505
100,197
Held-to-maturity investments (181)
1,003,417
1,007,504
Derivatives - Hedge accounting (240)
5,430
5,433
Fair value changes of the hedged items in portfolio hedge of interest rate risk (250)
1,434
1,434
Investments in subsidiaries, joint ventures and associates (260)
7,562
8,635
Reinsurance assets (265)
276
0
Tangible assets (270)
32,678
30,802
Intangible assets (300)
16,454
16,689
Tax assets (330)
24,707
24,737
Deferred tax assets (350)
19,751
19,800
Other assets (360)
9,889
10,148
Non-current assets and disposal groups classified as held for sale (370)
5,077
5,197
TOTAL ASSETS (380)
1,568,636
1,554,064
(A) LIABILITIES
(B) Balance under accounting consolidation
(C) Balance under regulatory consolidation
(D) Reference to transitional disclosure template (Table 2)
Financial liabilities held for trading (010)
68,982
69,011
Financial liabilities designated at fair value through profit or loss (070)
54,131
35,238
Financial liabilities measured at amortised cost (110)
1,310,433
1,315,842
Subordinated liabilities (149)
23,598
23,617
Derivatives - Hedge accounting (150)
6,573
6,585
Fair value changes of the hedged items in portfolio hedge of interest rate risk (160)
427
427
Liabilities under insurance contracts (165)
1,014
0
Provisions (170)
10,400
10,399
Tax liabilities (240)
9,154
9,039
Deferred tax liabilities (260)
6,443
6,323
Share capital repayable on demand (270)
0
0
Other liabilities (280)
11,777
11,800
TOTAL LIABILITIES (300)
1,472,891
1,458,341
(A) EQUITY
(B) Balance under accounting consolidation
(C) Balance under regulatory consolidation
(D) Reference to transitional disclosure template (Table 2)
Capital (010)
8,670
8,670
Share premium (040)
47,979
47,979
Equity instruments issued other than capital (050)
641
641
Other equity (080)
165
165
Retained earnings (190)
60,280
59,785
Revaluation reserves (200)
0
0
Other reserves (210)
-3,762
-3,268
(-) Treasury shares (240)
-96
-96
Profit or loss attributable to Owners of the parent (250)
** Correction from the mapping to {C 08.01, r0020, c0260, s0010} + {C 08.01, r0030, c0260, s0010}
***Correction from the mapping to {C 34.02, r0030, c0200, s0002} - RWEA pertaining to exposures to CCPs that are not QCCPs
****Correction from the mapping to the one apperaing in tables SEC3+SEC4
***** Correction from the mapping, 1250% deductions are not included in the total
Table7
Performing and non-performing exposures and related provisions. (CR1)
30th Jun. 2021
Gross carrying amount/nominal amount
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions
Accumulated partial write-off
Collateral and financial guarantees received
Exposiciones performing
Exposiciones performing
Exposiciones performing
Exposiciones performing
Performing exposures
Non-performing exposures
Performing exposures - accumulated impairment and provisions
Non-performing exposures - accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions
On performing exposures
On non-performing exposures
Of which, stage 1
Of which, stage 2
Of which, stage 2
Of which, stage 3
Of which, stage 1
Of which, stage 2
Of which, stage 2
Of which, stage 3
Million euros
De las cuales, stage 1
De las cuales, stage 2
De las cuales, stage 2
De las cuales, stage 3
De las cuales, stage 1
De las cuales, stage 2
De las cuales, stage 2
De las cuales, stage 3
Cash balances at central banks and other demand deposits
176,297
176,213
84
0
0
0
-2
0
-2
0
0
0
0
0
0
Loans and advances
1,027,810
908,763
64,508
37,551
2,871
31,779
-9,117
-4,160
-4,957
-14,814
-614
-13,448
-462
701,730
17,509
Central banks
18,444
13,563
0
0
0
0
0
0
0
0
0
0
0
5,886
0
General governments
22,549
19,662
414
46
3
38
-12
-10
-2
-13
0
-11
0
2,338
3
Credit institutions
63,620
39,709
0
18
0
0
-6
-6
0
0
0
0
0
32,262
0
Other financial corporations
76,929
57,823
358
310
1
225
-66
-52
-14
-63
0
-62
0
47,964
146
Non-financial corporations
303,501
266,286
32,921
16,247
898
14,132
-2,939
-1,244
-1,695
-6,999
-148
-6,354
-413
180,018
7,174
Of which SMEs
117,855
102,786
13,777
9,650
486
8,810
-1,065
-448
-617
-4,631
-67
-4,292
-181
82,065
4,186
Households
542,767
511,720
30,815
20,930
1,969
17,384
-6,094
-2,848
-3,246
-7,739
-466
-7,021
-49
433,262
10,186
Debt securities
117,875
116,854
120
458
0
441
-20
-17
-3
-288
0
-273
0
830
70
Central banks
5,062
5,062
0
0
0
0
0
0
0
0
0
0
0
0
0
General governments
80,937
80,935
3
0
0
0
-6
-6
0
0
0
0
0
326
0
Credit institutions
7,524
7,524
0
0
0
0
-1
-1
0
0
0
0
0
0
0
Other financial corporations
14,427
13,836
0
0
0
0
-2
-2
0
0
0
0
0
431
0
Non-financial corporations
9,925
9,497
117
458
0
441
-11
-8
-3
-288
0
-273
0
73
70
Off-balance-sheet exposures
339,887
332,306
7,579
1,718
479
1,107
450
325
125
209
51
150
0
5,808
246
Central banks
0
0
0
0
0
0
0
0
0
0
0
0
0
0
General governments
2,866
2,755
111
3
0
3
0
0
0
0
0
0
8
0
Credit institutions
38,629
38,625
4
6
0
4
3
3
0
1
0
1
188
0
Other financial corporations
23,166
22,887
279
29
4
25
8
7
1
1
0
1
189
1
Non-financial corporations
167,482
161,052
6,429
1,536
475
951
225
131
94
194
51
135
4,928
241
Households
107,744
106,987
756
144
0
124
214
184
30
13
0
13
495
4
Total
1,661,869
1,534,136
72,291
39,727
3,350
33,327
-8,689
-3,852
-4,837
-14,893
-563
-13,571
-462
708,368
17,825
Table8
Maturity of exposures (CR1-A)
30th Jun. 2021
Net exposure value
Net exposure value
31 Dec. 2019
Million euros
On demand
<= 1 year
r > 1 year <= 5 years
> 5 years
No stated maturity
Total
Loans and advances
59,335
275,613
282,487
423,995
- 0
1,041,430
Debt securities
- 0
29,585
47,747
41,587
- 0
118,919
Total
59,335
305,198
330,234
465,582
- 0
1,160,349
Table9
Changes in stock of non-performing loans and debt securities (CR2)
30th Jun. 2021
Million euros
Gross carrying amount
Opening balance
31,565
Inflows to non-performing portfolios
15,224
Outflows from non-performing portfolios
-4,725
Outflows due to write-offs
-4,513
Outflow due to other situations
0
Closing balance
37,551
Note: Figures are referred to net new non-performing. Mapping has been performed via F18
Table10
Changes in the stock of non-performing loans and advances and related net accumulated recoveries (CR2-A)
30th Jun. 2021
Million euros
Gross carrying amount
Related net cumulated recoveries
Initial stock of non-performing loans and advances
Inflows to non performing portfolios
Comment
As NPL threshold is below 5% this template and the corresponding Finrep are not elaborated
Outflows from non-performing portfolios
Outflow to performing portfolio
Outflow due to loan repayment, partial or total
Outflow due to collateral liquidations
Outflow due to taking possession of collateral
Outflow due to sale of instruments
Outflow due to risk transfers
Outflows due to write-offs
Outflow due to Other Situations
Outflow due to reclassification as held for sale
Final stock of non-performing loans and advances
Table11
CRM techniques overview: Disclosure of the use of credit risk mitigation techniques (CR3)
30th Jun. 2021
Unsecured carrying amount
Secured carrying amount
Of which secured by collateral
Of which secured by financial guarantees
Million euros
Of which secured by credit derivatives
Loans and advances
522,419
719,239
631,405
87,834
2,992
Debt securities
117,433
900
501
399
0
Total
639,852
720,139
631,906
88,233
2,992
Of which non-performing exposures
20,431
17,578
15,254
2,324
0
Of which defaulted*
16,858
6,308
6,114
194
0
*Defaulted information net of provisions
Table12
Standardised approach - Credit risk exposure and CRM effects (CR4)
30th Jun. 2021
Million euros
Exposures before CCF and befor CRM
Exposures post CCF and post CRM
RWAs and density RW
Exposure classes
On-balance-sheet amount
Off-balance-sheet amount
On-balance-sheet amount
Off-balance-sheet amount
RWAs
RW
Central governments or central banks
290,376
1,524
331,479
4,146
30,672
9%
Regional governments or local authorities
1,954
67
13,291
441
259
2%
Public sector entities
2,439
674
2,527
291
349
12%
Multilateral Development Banks
2,775
8
5,685
4
0
0%
International Organisations
14
0
14
0
0
0%
Institutions
20,260
2,696
17,951
438
5,000
27%
Corporates
54,383
28,983
44,617
4,082
45,291
93%
Retail
146,273
70,742
136,971
1,153
98,565
71%
Secured by mortgages on immovable property
88,107
9,461
87,038
322
32,676
37%
Exposures in default
9,874
311
9,771
135
11,377
115%
Items associated with particularly high risk
1,193
229
1,192
2
1,791
150%
Covered bonds
1,620
0
1,620
0
162
10%
Claims on institutions and corporates with a short-term credit assessment
44
1
46
0
32
70%
Collective investments undertakings (CIU)
235
0
235
0
300
128%
Equity
375
0
375
0
375
100%
Other items
71,491
17,568
72,892
3,666
42,775
56%
TOTAL
691,414
132,264
725,703
14,682
269,625
36%
Note: Securitisations not included.
CRR Fully phased-in IFRS9
Table13
Standardised approach - RW (CR5)
30th Jun. 2021
Risk Weight
Total
Million euros
0%
2%
4%
10%
20%
35%
50%
70%
75%
100%
150%
250%
370%
1250%
Otros
Central governments or central banks
298,977
- 0
- 0
- 0
15,772
- 0
2,541
- 0
- 0
12,973
37
5,325
- 0
- 0
- 0
335,625
Regional government or local authorities
13,235
- 0
- 0
- 0
276
- 0
37
- 0
- 0
181
3
- 0
- 0
- 0
- 0
13,732
Public sector entities
1,749
- 0
- 0
- 0
859
- 0
67
- 0
- 0
143
1
- 0
- 0
- 0
- 0
2,818
Multilateral development banks
5,689
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
5,689
International organisations
14
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
14
Institutions
- 0
- 0
- 0
- 0
16,422
- 0
527
- 0
- 0
1,404
36
- 0
- 0
- 0
- 0
18,389
Corporates
- 0
- 0
- 0
- 0
675
- 0
106
- 0
- 0
47,279
639
- 0
- 0
- 0
- 0
48,698
Retail
- 0
- 0
- 0
- 0
- 0
1,154
- 0
- 0
136,971
- 0
- 0
- 0
- 0
- 0
- 0
138,125
Secured by mortgages on immovable property
- 0
- 0
- 0
- 0
- 0
69,410
12,843
- 0
2,566
2,536
5
- 0
- 0
- 0
- 0
87,360
Exposures in default
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
6,964
2,942
- 0
- 0
- 0
- 0
9,906
Exposures associated with particularly high risk
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
1,194
- 0
- 0
- 0
- 0
1,194
Covered bonds
- 0
- 0
- 0
1,620
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
1,620
Institutions and corporates with a short-term credit assessment
- 0
- 0
- 0
- 0
1
- 0
26
- 0
- 0
19
0
- 0
- 0
- 0
- 0
46
Collective investment undertakings
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
235
235
Equity
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
375
- 0
- 0
- 0
- 0
- 0
375
Other items
22,290
242
- 0
- 0
14,041
- 0
15
- 0
58
39,911
- 0
- 0
- 0
- 0
- 0
76,557
Total
341,953
242
- 0
1,620
48,046
70,564
16,162
- 0
139,595
111,786
4,857
5,325
- 0
- 0
235
740,384
Note: Securitisations not included. Including counterparty credit risk
Table14
AIRB approach. Wholesale credit risk exposures by exposure class and PD range (CR6)
Million euros
30th Jun. 2021
PD scale
Original on-balance-sheet gross exposures
Off-balance-sheet exposures pre-CCF
Average CCF
EAD post CRM and post CCF
Average PD
Number of obligors
Average LGD
Average maturity
RWA
RW
EL
Value adjustments and provisions
Central banks and central governments
0.00 < 0.15
0.00 to < 0.10
0.10 to < 0.15
0.15 < 0.25
0.25 < 0.50
Comment
There are no exposures from central banks and central governments
0.50 < 0.75
0.75 < 2.50
0.75 to < 1.75
1.75 to < 2.50
2.50 < 10.00
2.50 to <5
5 to <10
10.00 < 100.00
10 to < 20
20 to < 30
30 to < 100
100.00 (Default)
Subtotal exposure class
Total (all exposures classes)
553,771
176,435
43.96%
589,680
4.63%
30,044,138
27.40%
1.98
174,191
29.54%
9,279
-9,391
Institutions
0.00 < 0.15
17,927
8,316
28.83%
23,146
0.05%
1,000
42.41%
1.13
2,851
12.32%
5
-18
0.00 to < 0.10
14,423
7,941
28.59%
22,482
0.05%
861
42.33%
1.13
2,640
11.74%
4
-16
0.10 to < 0.15
3,504
375
33.86%
665
0.13%
139
45.07%
1.00
212
31.86%
0
-2
0.15 < 0.25
3,686
1,357
25.69%
2,599
0.16%
334
40.67%
1.85
907
34.89%
2
-4
0.25 < 0.50
2,135
599
29.50%
1,076
0.33%
194
42.91%
1.59
534
49.64%
2
-2
0.50 < 0.75
1,470
1,229
24.24%
784
0.66%
334
40.98%
2.09
639
81.49%
2
-1
0.75 < 2.50
2,450
394
21.61%
1,326
1.10%
3,125
13.16%
4.56
467
35.21%
2
-1
0.75 to < 1.75
2,449
377
21.56%
1,321
1.09%
3,108
13.04%
4.57
464
35.12%
2
-1
1.75 to < 2.50
1
18
22.69%
5
2.43%
17
45.11%
1.37
3
59.36%
0
-0
2.50 < 10.00
459
32
96.28%
212
2.90%
66
20.10%
3.77
128
60.36%
1
-0
2.50 to <5
403
32
96.50%
211
2.89%
31
20.09%
3.77
127
60.26%
1
-0
5 to <10
56
0
30.50%
1
5.81%
35
22.30%
3.97
1
84.09%
0
-0
10.00 < 100.00
39
0
23.62%
0
0.00%
27
0.00%
0.00
0
0.00%
0
0
10 to < 20
0
0
0.00%
0
0.00%
0
0.00%
0.00
0
0.00%
0
0
20 to < 30
31
0
0.00%
0
0.00%
1
0.00%
0.00
0
0.00%
0
0
30 to < 100
8
0
23.62%
0
0.00%
26
0.00%
0.00
0
0.00%
0
0
100.00 (Default)
91
2
0.00%
91
100.00%
40
40.01%
1.06
14
15.56%
35
-1
Subtotal exposure class
28,257
11,931
27.97%
29,233
0.47%
5,120
40.74%
1.41
5,540
18.95%
48
-26
Total (all exposures classes)
553,771
176,435
43.96%
589,680
4.63%
30,044,138
27.40%
1.98
174,191
29.54%
9,279
-9,391
Corporates
0.00 < 0.15
38,245
55,404
49.74%
64,495
0.09%
2,854
43.00%
2.09
16,196
25.11%
24
-375
0.00 to < 0.10
24,274
38,367
54.65%
43,452
0.06%
1,640
42.23%
2.22
8,672
19.96%
11
-352
0.10 to < 0.15
13,971
17,036
38.68%
21,043
0.15%
1,214
44.58%
1.82
7,524
35.75%
14
-23
0.15 < 0.25
12,337
13,157
29.72%
13,675
0.24%
5,623
42.43%
1.71
5,959
43.58%
14
-352
0.25 < 0.50
38,126
21,065
31.07%
43,172
0.39%
23,370
46.26%
2.05
24,874
57.62%
76
-263
0.50 < 0.75
17,703
13,067
31.53%
13,211
0.64%
12,786
44.61%
2.08
9,767
73.93%
37
-38
0.75 < 2.50
31,734
10,692
30.22%
27,268
1.38%
51,978
44.01%
2.08
22,666
83.12%
165
-148
0.75 to < 1.75
25,979
8,007
28.43%
20,587
1.17%
38,694
44.29%
2.02
16,577
80.52%
106
-98
1.75 to < 2.50
5,755
2,685
35.58%
6,681
2.03%
13,284
43.14%
2.25
6,089
91.14%
58
-51
2.50 < 10.00
14,292
5,279
28.90%
10,658
4.47%
27,966
41.72%
2.11
11,531
108.19%
195
-180
2.50 to <5
9,863
3,886
29.58%
6,714
3.41%
17,741
41.91%
1.96
6,978
103.93%
94
-111
5 to <10
4,428
1,393
27.02%
3,944
6.29%
10,225
41.41%
2.38
4,553
115.46%
101
-69
10.00 < 100.00
3,092
977
57.07%
1,454
19.35%
4,054
43.35%
2.71
2,950
202.83%
120
-94
10 to < 20
916
238
39.81%
729
11.94%
2,294
43.21%
2.64
1,277
175.17%
37
-29
20 to < 30
1,854
666
66.66%
479
21.57%
1,107
44.89%
2.62
1,179
246.20%
46
-40
30 to < 100
321
72
25.62%
247
36.93%
653
40.77%
3.10
494
200.39%
37
-25
100.00 (Default)
8,150
1,258
24.43%
8,137
100.00%
9,768
45.85%
2.50
1,345
16.54%
3,688
-3,447
Subtotal exposure class
163,677
120,899
39.50%
182,070
5.28%
138,399
44.05%
2.07
95,288
52.34%
4,319
-4,899
Total (all exposures classes)
553,771
176,435
43.96%
589,680
4.63%
30,044,138
27.40%
1.98
174,191
29.54%
9,279
-9,391
Of which, SMEs
0.00 < 0.15
43
21
17.41%
47
0.09%
640
38.89%
1.79
6
13.53%
0
-0
0.00 to < 0.10
29
19
14.55%
32
0.08%
408
45.03%
1.15
4
13.41%
0
-0
0.10 to < 0.15
14
2
43.72%
15
0.11%
232
25.85%
3.13
2
13.78%
0
-0
0.15 < 0.25
874
276
32.09%
356
0.22%
2,864
38.20%
2.60
102
28.59%
0
-336
0.25 < 0.50
7,069
1,841
30.53%
7,045
0.38%
14,429
47.30%
2.44
3,102
44.03%
12
-18
0.50 < 0.75
2,665
577
32.81%
2,430
0.62%
7,321
46.68%
2.48
1,309
53.87%
7
-8
0.75 < 2.50
14,699
3,504
30.16%
11,887
1.43%
40,016
43.90%
2.38
7,825
65.83%
74
-61
0.75 to < 1.75
11,964
2,759
28.43%
8,513
1.17%
28,904
43.26%
2.40
5,278
62.00%
43
-40
1.75 to < 2.50
2,734
745
36.58%
3,373
2.08%
11,112
45.52%
2.34
2,547
75.51%
31
-21
2.50 < 10.00
8,268
2,227
27.56%
6,023
4.76%
22,361
39.83%
2.40
5,170
85.83%
113
-99
2.50 to <5
5,058
1,474
29.83%
3,234
3.53%
13,319
38.97%
2.26
2,462
76.15%
44
-52
5 to <10
3,210
753
23.13%
2,789
6.18%
9,042
40.82%
2.56
2,707
97.06%
70
-47
10.00 < 100.00
722
118
27.84%
600
19.90%
2,893
38.31%
3.16
781
130.21%
44
-31
10 to < 20
454
79
27.41%
351
11.96%
1,787
39.25%
2.95
423
120.21%
16
-13
20 to < 30
103
13
39.36%
109
22.68%
639
41.21%
3.04
169
155.52%
10
-5
30 to < 100
165
26
23.65%
140
37.73%
467
33.69%
3.74
189
135.66%
18
-13
100.00 (Default)
4,126
140
23.38%
3,942
100.00%
7,482
44.13%
2.60
660
16.75%
1,716
-1,815
Subtotal exposure class
38,467
8,704
29.64%
32,329
14.10%
98,006
43.94%
2.45
18,955
58.63%
1,967
-2,367
Total (all exposures classes)
553,771
176,435
43.96%
589,680
4.63%
30,044,138
27.40%
1.98
174,191
29.54%
9,279
-9,391
Table15
AIRB approach. Retail credit risk exposures by exposure class and PD range (CR6)
Million euros
30th Jun. 2021
PD scale
Original on-balance-sheet gross exposures
Off-balance-sheet exposures pre-CCF
Average CCF
EAD post CRM and post CCF
Average PD
Number of obligors
Average LGD
Average maturity
RWA
RW
EL
Value adjustments and provisions
Residential Mortgages
0.00 < 0.15
44,685
1,098
100.62%
45,789
0.07%
685,689
14.89%
1,419
3.10%
6
-51
0.00 to < 0.10
32,156
847
100.74%
33,009
0.05%
535,875
12.78%
628
1.90%
2
-38
0.10 to < 0.15
12,529
251
100.24%
12,781
0.13%
149,814
20.34%
791
6.19%
3
-12
0.15 < 0.25
14,509
704
79.66%
15,070
0.21%
179,658
19.86%
1,326
8.80%
6
-10
0.25 < 0.50
77,981
9,529
61.97%
84,009
0.39%
589,565
7.64%
4,354
5.18%
25
-43
0.50 < 0.75
19,244
986
57.39%
19,870
0.63%
193,101
8.33%
1,553
7.81%
10
-15
0.75 < 2.50
80,290
3,384
66.40%
82,790
1.33%
501,501
9.15%
11,669
14.09%
100
-85
0.75 to < 1.75
66,499
3,214
66.65%
68,846
1.18%
415,967
9.08%
8,897
12.92%
72
-59
1.75 to < 2.50
13,791
170
61.54%
13,944
2.10%
85,534
9.51%
2,772
19.88%
28
-26
2.50 < 10.00
39,686
227
63.82%
39,905
4.62%
251,216
11.17%
14,576
36.53%
213
-101
2.50 to <5
27,170
178
65.49%
27,340
3.51%
164,403
10.45%
8,156
29.83%
102
-53
5 to <10
12,516
49
57.79%
12,565
7.01%
86,813
12.73%
6,420
51.09%
111
-48
10.00 < 100.00
11,285
46
36.89%
11,331
26.38%
94,548
11.09%
6,632
58.53%
320
-183
10 to < 20
6,648
32
42.01%
6,679
14.44%
53,219
10.94%
3,879
58.07%
104
-71
20 to < 30
1,597
5
24.62%
1,603
24.62%
13,935
12.84%
1,219
76.02%
52
-32
30 to < 100
3,040
10
26.40%
3,049
53.47%
27,394
10.51%
1,535
50.34%
164
-80
100.00 (Default)
7,006
37
3.60%
7,007
100.00%
81,401
24.71%
1,544
22.04%
1,695
-1,587
Subtotal exposure class
294,686
16,011
65.87%
305,771
4.40%
2,576,679
10.76%
43,073
14.09%
2,375
-2,074
Total (all exposures classes)
553,771
176,435
43.96%
589,680
4.63%
30,044,138
27.40%
1.98
174,191
29.54%
9,279
-9,391
Qualifying Revolving
0.00 < 0.15
436
5,318
53.55%
3,284
0.08%
3,110,705
58.90%
99
3.02%
1
-5
0.00 to < 0.10
21
2,710
73.48%
2,013
0.05%
1,648,270
59.44%
40
1.99%
1
-3
0.10 to < 0.15
414
2,607
32.83%
1,271
0.13%
1,462,435
58.05%
59
4.65%
1
-2
0.15 < 0.25
162
5,639
76.13%
4,455
0.17%
6,923,520
67.39%
299
6.70%
5
-4
0.25 < 0.50
62
2,818
34.29%
1,029
0.31%
1,849,340
45.82%
76
7.38%
1
-84
0.50 < 0.75
126
1,097
62.21%
809
0.62%
1,128,996
55.98%
130
16.06%
3
-2
0.75 < 2.50
746
4,066
57.39%
3,084
1.41%
4,241,534
56.06%
910
29.49%
24
-10
0.75 to < 1.75
391
3,226
58.66%
2,285
1.17%
3,011,638
56.26%
593
25.95%
15
-6
1.75 to < 2.50
355
840
52.51%
799
2.10%
1,229,896
55.48%
317
39.62%
9
-4
2.50 < 10.00
904
1,335
64.58%
1,777
5.12%
2,421,473
60.78%
1,385
77.93%
55
-27
2.50 to <5
464
807
63.35%
979
3.56%
1,303,715
60.54%
610
62.25%
21
-8
5 to <10
440
528
66.47%
798
7.04%
1,117,758
61.08%
775
97.18%
34
-19
10.00 < 100.00
423
301
64.37%
641
25.32%
826,762
60.27%
983
153.36%
96
-58
10 to < 20
220
170
71.03%
349
13.57%
465,153
60.85%
493
141.37%
29
-22
20 to < 30
95
67
71.80%
151
24.13%
207,710
61.08%
273
180.33%
22
-16
30 to < 100
109
64
38.86%
141
55.66%
153,899
57.94%
217
154.07%
46
-20
100.00 (Default)
183
36
0.55%
184
100.00%
102,253
79.44%
24
12.98%
144
-135
Subtotal exposure class
3,042
20,610
59.09%
15,263
3.27%
20,604,583
60.29%
3,905
25.59%
331
-324
Total (all exposures classes)
553,771
176,435
43.96%
589,680
4.63%
30,044,138
27.40%
1.98
174,191
29.54%
9,279
-9,391
Retail Others
0.00 < 0.15
1,398
270
51.35%
1,532
0.08%
219,402
40.97%
145
9.47%
1
-3
0.00 to < 0.10
1,339
177
55.32%
1,433
0.08%
196,782
40.39%
131
9.16%
0
-2
0.10 to < 0.15
59
93
43.79%
99
0.13%
22,620
49.22%
14
13.97%
0
-1
0.15 < 0.25
6,165
788
52.86%
5,742
0.20%
899,298
44.65%
1,040
18.11%
5
-33
0.25 < 0.50
7,950
1,522
64.17%
7,933
0.34%
914,025
48.00%
2,385
30.06%
15
-44
0.50 < 0.75
8,381
783
54.19%
6,478
0.61%
661,622
43.85%
2,184
33.71%
17
-17
0.75 < 2.50
23,264
2,302
47.39%
20,870
1.32%
2,172,413
47.33%
10,701
51.27%
125
-122
0.75 to < 1.75
18,271
1,785
47.46%
16,257
1.10%
1,594,838
47.56%
7,959
48.95%
82
-85
1.75 to < 2.50
4,993
517
47.14%
4,613
2.08%
577,575
46.52%
2,742
59.45%
43
-37
2.50 < 10.00
11,797
1,040
55.73%
10,260
4.28%
1,046,901
48.26%
7,054
68.75%
204
-134
2.50 to <5
8,915
678
53.88%
7,610
3.37%
812,774
49.99%
5,327
70.00%
128
-75
5 to <10
2,882
363
59.20%
2,650
6.87%
234,127
43.30%
1,727
65.15%
76
-59
10.00 < 100.00
2,785
180
47.80%
2,348
26.26%
458,602
46.97%
2,363
100.64%
293
-129
10 to < 20
1,453
96
51.12%
1,197
14.36%
216,616
48.10%
1,107
92.50%
83
-30
20 to < 30
563
54
52.12%
493
25.91%
113,308
42.20%
496
100.52%
54
-28
30 to < 100
769
31
29.88%
658
48.18%
128,678
48.49%
760
115.52%
157
-72
100.00 (Default)
2,369
101
25.63%
2,179
100.00%
347,094
72.65%
515
23.62%
1,546
-1,585
Subtotal exposure class
64,110
6,985
53.52%
57,342
6.26%
6,719,357
47.71%
26,386
46.01%
2,206
-2,068
Total (all exposures classes)
553,771
176,435
43.96%
589,680
4.63%
30,044,138
27.40%
1.98
174,191
29.54%
9,279
-9,391
Of which, SMEs
0.00 < 0.15
199
226
50.59%
309
0.08%
81,275
45.82%
23
7.52%
0
-1
0.00 to < 0.10
199
137
55.55%
271
0.07%
67,205
45.59%
19
6.96%
0
-1
0.10 to < 0.15
0
89
43.00%
38
0.13%
14,070
47.46%
4
11.52%
0
-0
0.15 < 0.25
2,378
336
55.70%
1,725
0.20%
181,539
46.78%
267
15.50%
2
-23
0.25 < 0.50
2,277
1,070
54.84%
1,950
0.35%
183,697
49.64%
511
26.22%
4
-6
0.50 < 0.75
4,566
726
52.10%
2,618
0.64%
189,973
51.01%
908
34.70%
8
-8
0.75 < 2.50
8,623
1,813
40.67%
5,996
1.39%
533,803
48.38%
2,716
45.31%
40
-40
0.75 to < 1.75
6,531
1,526
40.86%
4,336
1.13%
347,359
48.77%
1,882
43.40%
24
-26
1.75 to < 2.50
2,093
287
39.68%
1,659
2.08%
186,444
47.36%
835
50.29%
16
-14
2.50 < 10.00
5,087
753
56.21%
3,489
4.04%
313,988
48.06%
1,977
56.67%
70
-43
2.50 to <5
3,872
521
55.05%
2,566
3.24%
238,124
46.96%
1,389
54.15%
40
-26
5 to <10
1,215
231
58.83%
923
6.27%
75,864
51.12%
587
63.67%
29
-18
10.00 < 100.00
1,247
147
40.52%
811
24.95%
128,985
46.94%
688
84.84%
95
-44
10 to < 20
652
71
37.87%
391
13.70%
60,036
46.60%
284
72.68%
25
-9
20 to < 30
253
49
51.40%
186
24.98%
34,853
45.73%
168
90.63%
21
-9
30 to < 100
342
27
28.11%
235
43.69%
34,096
48.46%
236
100.56%
50
-26
100.00 (Default)
1,291
93
26.08%
1,102
100.00%
115,457
76.33%
198
17.92%
829
-830
Subtotal exposure class
25,668
5,164
48.62%
18,001
8.65%
1,728,717
50.29%
7,290
40.50%
1,048
-996
Total (all exposures classes)
553,771
176,435
43.96%
589,680
4.63%
30,044,138
27.40%
1.98
174,191
29.54%
9,279
-9,391
Table16
FIRB approach. Wholesale credit risk exposures by exposure class and PD range (CR6)
Million euros
30th Jun. 2021
PD scale
Original on-balance-sheet gross exposures
Off-balance-sheet exposures pre-CCF
Average CCF
EAD post CRM and post CCF
Average PD
Number of obligors
Average LGD
Average maturity
RWA
RW
EL
Value adjustments and provisions
Central banks and central governments
0.00 < 0.15
0.00 to < 0.10
0.10 to < 0.15
0.15 < 0.25
0.25 < 0.50
Comment
There are no exposures from central banks and central governments
0.50 < 0.75
0.75 < 2.50
0.75 to < 1.75
1.75 to < 2.50
2.50 < 10.00
2.50 to <5
5 to <10
10.00 < 100.00
10 to < 20
20 to < 30
30 to < 100
100.00 (Default)
Subtotal exposure class
Total (all exposures classes)
11,113
5,877
24.93%
12,262
4.88%
7,313
44.25%
2.31
8,298
67.68%
267
-319
Institutions
0.00 < 0.15
1,282
1,533
12.32%
1,472
0.04%
188
44.72%
0.13
112
7.62%
0
-1
0.00 to < 0.10
1,278
1,312
11.04%
1,424
0.04%
158
45.00%
0.11
97
6.81%
0
-1
0.10 to < 0.15
4
222
19.89%
48
0.13%
30
36.55%
0.77
15
31.43%
0
-0
0.15 < 0.25
92
383
7.28%
120
0.17%
42
42.97%
2.14
59
49.64%
0
-0
0.25 < 0.50
58
196
11.65%
81
0.32%
37
9.70%
2.23
59
73.65%
0
-0
0.50 < 0.75
22
17
3.83%
22
0.66%
34
45.00%
2.49
24
107.88%
0
-0
0.75 < 2.50
0
12
20.18%
2
1.07%
6
0.00%
0.27
2
98.03%
0
-0
0.75 to < 1.75
0
12
20.18%
2
1.07%
6
0.00%
0.27
2
98.03%
0
-0
1.75 to < 2.50
0
0
0.00%
0
0.00%
0
0.00%
0.00
0
0.00%
0
0
2.50 < 10.00
0
0
0.00%
0
2.89%
1
0.00%
2.50
0
162.79%
0
-0
2.50 to <5
0
0
0.00%
0
2.89%
1
0.00%
2.50
0
162.79%
0
-0
5 to <10
0
0
0.00%
0
0.00%
0
0.00%
0.00
0
0.00%
0
0
10.00 < 100.00
0
0
0.00%
0
0.00%
0
0.00%
0.00
0
0.00%
0
0
10 to < 20
0
0
0.00%
0
0.00%
0
0.00%
0.00
0
0.00%
0
0
20 to < 30
0
0
0.00%
0
0.00%
0
0.00%
0.00
0
0.00%
0
0
30 to < 100
0
0
0.00%
0
0.00%
0
0.00%
0.00
0
0.00%
0
0
100.00 (Default)
0
0
0.00%
0
0.00%
0
0.00%
0.00
0
0.00%
0
0
Subtotal exposure class
1,454
2,142
11.33%
1,697
0.07%
308
42.87%
0.40
257
15.16%
1
-1
Total (all exposures classes)
11,113
5,877
24.93%
12,262
4.88%
7,313
44.25%
2.31
8,298
67.68%
267
-319
Corporates
0.00 < 0.15
2,089
1,365
48.80%
2,921
0.11%
56
45.00%
2.33
1,027
35.15%
1
-2
0.00 to < 0.10
1,109
387
58.51%
1,457
0.08%
23
45.00%
2.39
428
29.35%
1
-1
0.10 to < 0.15
980
978
44.95%
1,464
0.15%
33
45.00%
2.28
599
40.93%
1
-1
0.15 < 0.25
91
427
55.18%
360
0.24%
41
45.00%
2.37
199
55.14%
0
-0
0.25 < 0.50
1,368
193
56.14%
1,402
0.07%
1,474
45.00%
2.83
813
58.01%
2
-4
0.50 < 0.75
1,064
504
15.34%
996
0.92%
271
45.00%
2.78
749
75.20%
2
-4
0.75 < 2.50
2,368
765
8.96%
2,246
1.28%
1,824
44.23%
2.82
2,261
100.70%
13
-27
0.75 to < 1.75
1,660
213
25.01%
1,576
1.02%
1,461
45.00%
2.95
1,554
98.61%
8
-6
1.75 to < 2.50
708
553
2.79%
670
1.88%
363
42.42%
2.50
708
105.61%
5
-21
2.50 < 10.00
1,964
392
13.47%
1,913
3.65%
2,417
43.32%
2.67
2,429
126.94%
31
-79
2.50 to <5
1,791
335
14.95%
1,741
3.26%
2,102
43.33%
2.69
2,164
124.31%
25
-67
5 to <10
173
57
4.80%
172
7.58%
315
43.24%
2.52
265
153.47%
6
-12
10.00 < 100.00
276
70
12.24%
283
14.16%
678
43.18%
2.72
564
199.40%
17
-20
10 to < 20
255
69
11.11%
261
13.40%
556
43.15%
2.72
521
199.61%
15
-12
20 to < 30
19
1
83.28%
20
22.36%
89
43.33%
2.70
39
191.23%
2
-8
30 to < 100
1
0
0.00%
1
38.00%
33
45.00%
3.00
4
281.82%
0
-0
100.00 (Default)
440
20
27.22%
445
100.00%
244
44.68%
2.36
0
0.00%
199
-181
Subtotal exposure class
9,660
3,736
32.73%
10,565
5.66%
7,005
44.47%
2.62
8,041
76.11%
266
-318
Total (all exposures classes)
11,113
5,877
24.93%
12,262
4.88%
7,313
44.25%
2.31
8,298
67.68%
267
-319
Table17
IRB approach - Effect on the RWEAs of credit derivatives used as CRM techniques (CR7)
30th Jun. 2021
Million euros
Pre-credit derivatives RWAs
Actual RWAs
Exposures under FIRB
6,310
22,562
Central governments and central banks
0
0
Institutions
257
257
Corporates
6,052
22,304
of which Corporates - SMEs
1,174
1,174
of which Corporates - Specialised lending
-1,989
14,263
Exposures under AIRB
174,539
174,191
Central governments and central banks
- 0
- 0
Institutions
5,888
5,540
Corporates
95,288
95,288
of Corporates - which SMEs
18,955
18,955
of which Corporates - Specialised lending
- 0
- 0
Retail
73,364
73,364
of which Retail - SMEs - Secured by immovable property collateral
2,884
2,884
of which Retail - non-SMEs - Secured by immovable property collateral
40,189
40,189
of which Retail - Qualifying revolving
3,905
3,905
of which Retail - SMEs - Other
7,290
7,290
of which Retail - Non-SMEs- Other
19,096
19,096
TOTAL
180,849
196,753
* Does not include CCPs
Table18
IRB approach - Disclosure of the extent of the use of CRM techniques (CR7-A)
A-IRB
Total exposures
Credit risk Mitigation techniques
Credit risk Mitigation methods in the calculation of RWEAs
Funded credit Protection (FCP)
Unfunded credit Protection (UFCP)
RWEA without substitution effects (reduction effects only)
RWEA with substitution effects (both reduction and sustitution effects)
Part of exposures covered by Financial Collaterals (%)
Part of exposures covered by Other eligible collaterals (%)
Part of exposures covered by Other funded credit protection (%)
Part of exposures covered by Guarantees (%)
Part of exposures covered by Credit Derivatives (%)
Part of exposures covered by Immovable property Collaterals (%)
Part of exposures covered by Receivables (%)
Part of exposures covered by Other physical collateral (%)
Part of exposures covered by Cash on deposit (%)
Part of exposures covered by Life insurance policies (%)
Part of exposures covered by Instruments held by a third party (%)
Central governments and central banks
- 0
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
- 0
- 0
Institutions
29,233
0.42%
0.02%
0.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
7,183
5,540
Corporates
182,070
3.69%
6.83%
6.04%
0.07%
0.72%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
101,466
95,288
Of which Corporates - SMEs
32,329
2.77%
2.34%
0.01%
0.00%
2.33%
0.01%
0.00%
0.01%
0.00%
0.00%
0.00%
19,474
18,955
Of which Corporates - Specialised lending
- 0
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
- 0
- 0
Of which Corporates - Other
149,742
3.89%
7.80%
7.34%
0.09%
0.37%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
81,992
76,333
Retail
378,376
0.44%
82.40%
79.45%
0.00%
2.95%
0.02%
0.00%
0.02%
0.00%
0.00%
0.00%
73,277
73,364
Of which Retail - Immovable property SMEs
14,654
0.17%
93.56%
93.56%
0.00%
0.00%
0.01%
0.00%
0.01%
0.00%
0.00%
0.00%
849
2,884
Of which Retail - Immovable property non-SMEs
291,117
0.02%
99.29%
98.56%
0.00%
0.73%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
42,169
40,189
Of which Retail - Qualifying revolving
15,263
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
3,905
3,905
Of which Retail - Other SMEs
18,001
1.44%
8.41%
0.00%
0.00%
8.41%
0.03%
0.00%
0.03%
0.00%
0.00%
0.00%
5,303
7,290
Of which Retail - Other non-SMEs
39,342
3.33%
19.11%
0.00%
0.00%
19.11%
0.15%
0.00%
0.15%
0.00%
0.00%
0.00%
21,051
19,096
Total
589,680
1.44%
54.99%
52.85%
0.02%
2.12%
0.01%
0.00%
0.01%
0.00%
0.00%
0.00%
181,925
174,191
Fully phased-in IFRS9
F-IRB
Total exposures
Credit risk Mitigation techniques
Credit risk Mitigation methods in the calculation of RWEAs
Funded credit Protection (FCP)
Unfunded credit Protection (UFCP)
RWEA without substitution effects (reduction effects only)
RWEA with substitution effects (both reduction and sustitution effects)
Part of exposures covered by Financial Collaterals (%)
Part of exposures covered by Other eligible collaterals (%)
Part of exposures covered by Other funded credit protection (%)
Part of exposures covered by Guarantees (%)
Part of exposures covered by Credit Derivatives (%)
Part of exposures covered by Immovable property Collaterals (%)
Part of exposures covered by Receivables (%)
Part of exposures covered by Other physical collateral (%)
Part of exposures covered by Cash on deposit (%)
Part of exposures covered by Life insurance policies (%)
Part of exposures covered by Instruments held by a third party (%)
Central governments and central banks
- 0
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
- 0
- 0
Institutions
1,697
0.10%
0.16%
0.16%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
439
257
Corporates
30,731
0.01%
1.83%
1.74%
0.01%
0.07%
0.00%
0.00%
0.00%
0.00%
-2.86%
0.00%
24,480
22,304
Of which Corporates - SMEs
1,502
0.12%
22.39%
22.07%
0.00%
0.32%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
1,174
1,174
Of which Corporates - Specialised lending
20,166
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
16,252
14,263
Of which Corporates - Other
9,063
0.00%
2.50%
2.26%
0.05%
0.19%
0.00%
0.00%
0.00%
0.00%
-9.69%
0.00%
7,053
6,867
Total
32,428
0.01%
1.74%
1.66%
0.01%
0.07%
0.00%
0.00%
0.00%
0.00%
-2.71%
0.00%
24,918
22,562
Fully phased-in IFRS9
&"Times New Roman,Regular"&12&K000000Central Bank of Ireland - RESTRICTED
&"Times New Roman,Regular"&12&K000000Central Bank of Ireland - RESTRICTED
Table19
RWA flow statements of credit risk exposures under the IRB approach (CR8)
30th Jun. 2021
Million euros
RWA
RWA as Dec. 2020
201,504
Asset size
-288
Asset quality
0
Model updates
4,407
Comment
Regarding RWA variations from IRB Credit Risk (+4,648 MM RWA), TRIM impact has to be taken into consideration (targeted review of internal models) low defaults with an impact in -9 basis points
Methodology and policy
-51
Acquisitions and disposals
0
Foreign exchange movements
580
Other
0
RWA as Jun. 2021
206,152
Note: It includes capital requirements of equity.
CRR Fully phased-in IFRS9
Table20
Specialised lending exposures under the simple riskweighted approach. Project finance Slotting approach (CR10.1)
Specialised lending exposures under the simple riskweighted approach. Income-producing real estate and high volatility commercial real estate (Slotting approach) (CR10.2)
Million euros
30th Jun. 2021
Specialised lending:Income-producing real estate and high volatility commercial real estate (Slotting approach)
Regulatory Categories
Remaining maturity
On-balance-sheet amount
Off-balance-sheet amount
RW
EAD
RWA
Expected loss
Category 1
< 2.5 years
17
- 0
50%
17
9
0
>= 2.5 years
106
18
70%
109
76
0
Category 2
< 2.5 years
1,631
343
70%
1,717
1,142
7
>= 2.5 years
2,299
182
90%
2,393
2,007
19
Category 3
< 2.5 years
111
- 0
115%
111
119
3
>= 2.5 years
416
21
115%
420
436
12
Category 4
< 2.5 years
- 0
- 0
250%
0
0
0
>= 2.5 years
3
- 0
250%
3
7
0
Category 5
< 2.5 years
7
- 0
-
7
0
4
>= 2.5 years
35
- 0
-
35
0
17
Total
< 2.5 years
1,767
343
1,852
1,269
14
>= 2.5 years
2,860
222
2,959
2,526
49
Table22
Specialised lending exposures under the simple riskweighted approach. Object finance, slotting approach (CR10.3)
Million euros
30th Jun. 2021
Object finance, slotting approach
Regulatory Categories
Remaining maturity
On-balance-sheet amount
Off-balance-sheet amount
RW
EAD
RWA
Expected loss
Category 1
< 2.5 years
- 0
- 0
50%
0
0
0
>= 2.5 years
22
- 0
70%
22
15
0
Category 2
< 2.5 years
92
67
70%
94
66
0
>= 2.5 years
25
- 0
90%
25
23
0
Category 3
< 2.5 years
- 0
- 0
115%
0
0
0
>= 2.5 years
- 0
- 0
115%
0
0
0
Category 4
< 2.5 years
- 0
- 0
250%
0
0
0
>= 2.5 years
- 0
- 0
250%
0
0
0
Category 5
< 2.5 years
- 0
- 0
-
0
0
0
>= 2.5 years
- 0
- 0
-
0
0
0
Total
< 2.5 years
92
67
94
66
0
>= 2.5 years
47
- 0
47
38
0
Table23
Specialised lending exposures under the simple riskweighted approach. Commodities finance (Slotting approach)(CR10.4)
Million euros
30th Jun. 2021
Commodities finance slotting approach
Regulatory Categories
Remaining maturity
On-balance-sheet amount
Off-balance-sheet amount
RW
EAD
RWA
Expected loss
Category 1
< 2.5 years
- 0
- 0
50%
0
0
0
>= 2.5 years
- 0
- 0
70%
0
0
0
Category 2
< 2.5 years
- 0
- 0
70%
0
0
0
>= 2.5 years
24
- 0
90%
24
21
0
Category 3
< 2.5 years
- 0
- 0
115%
0
0
0
>= 2.5 years
- 0
- 0
115%
0
0
0
Category 4
< 2.5 years
- 0
- 0
250%
0
0
0
>= 2.5 years
- 0
- 0
250%
0
0
0
Category 5
< 2.5 years
- 0
- 0
-
0
0
0
>= 2.5 years
- 0
- 0
-
0
0
0
Total
< 2.5 years
- 0
- 0
0
0
0
>= 2.5 years
24
- 0
24
21
0
Table24
Equity exposures under the simple risk-weighted approach (CR10.5)
Million euros
30th Jun. 2021
Categories
On-balancesheet exposure
Off-balancesheet exposure
Risk weight
Exposure value
Risk weighted exposure amount
Expected loss amount
Private equity exposures
976
190%
976
1,855
8
Exchange-traded equity exposures
17
290%
17
50
0
Other equity exposures
370%
Total
993
0
0
993
1,905
7
Table25
Credit quality of forborne exposures (CQ1)
30th Jun. 2021
Gross carrying amount/nominal amount of exposures with forbearance measures
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions
Collateral received and financial guarantees received on forborne exposures
Performing forborne
Non-performing forborne
On performing forborne exposures
On non-performing forborne exposures
Of which collateral and financial guarantees received on non-performing exposures with forbearance measures
Million euros
Of which defaulted
Of which impaired
Cash balances at central banks and other demand deposits
0
0
0
0
0
0
0
0
Loans and advances
19,360
16,995
16,657
15,973
-1,612
-6,655
21,671
8,166
Central banks
- 0
0
0
0
0
0
0
0
General governments
23
3
3
3
0
-1
4
2
Credit institutions
- 0
0
0
0
0
0
0
0
Other financial corporations
154
82
82
82
-3
-21
179
50
Non-financial corporations
9,333
9,208
8,978
8,884
-376
-3,685
11,255
4,227
Households
9,850
7,702
7,594
7,004
-1,233
-2,948
10,233
3,887
Debt Securities
71
339
339
329
0
-2
70
70
Loan commitments given
1,150
12
11
7
2
1
1
0
Total
20,581
17,346
17,007
16,309
-1,610
-6,656
21,742
8,236
Table26
Quality of forbearance (CQ2)
30th Jun 2021
Million euros
Gross carrying amount of forborne exposures
Comment
As NPL threshold is below 5% this template and the corresponding Finrep are not elaborated
Loans and advances that have been forborne more than twice
Non-performing forborne loans and advances that failed to meet the non-performing exit criteria
Table27
Quality of non-performing exposures by geography (CQ4)
30th Jun. 2021
Gross carrying/Nominal amount
Accumulated impairment
Provisions on off-balance sheet commitments and financial guarantee given
Accumulated negative changes in fair value due to credit risk on non-performing exposures
of which: non-performing
of which: subject to impairment
Million euros
of which: defaulted
On balance sheet exposures
1,183,695
38,009
36,569
1,131,035
-24,225
-16
GB
292,188
3,327
2,749
288,145
-1,307
0
ES
228,619
15,522
15,482
219,179
-7,514
-3
BR
127,907
5,919
5,414
123,276
-4,536
0
US
124,259
3,141
3,134
116,827
-3,784
0
MX
49,964
1,563
1,437
45,711
-959
0
CL
50,880
2,010
2,008
50,879
-1,175
0
PL
48,283
1,941
1,929
48,393
-1,474
-13
PT
46,399
1,391
1,391
46,467
-1,099
0
DE
44,777
663
649
43,459
-578
-0
FR
29,245
362
271
22,856
-230
-0
Other countries
141,174
2,171
2,106
125,841
-1,568
-0
Off balance sheet exposures
341,604
1,717
1,628
661
ES
82,314
771
711
158
GB
56,892
96
96
59
US
44,628
17
17
64
BR
32,507
517
501
179
FR
23,208
3
3
8
DE
13,977
16
16
9
CL
12,924
21
21
37
PL
10,104
20
20
12
MX
9,800
13
13
39
PT
9,014
202
197
62
Other countries
46,235
41
33
34
Total
1,525,299
39,726
38,197
1,131,035
-24,225
661
-16
Table28
Credit quality of loans and advances to non-financial corporations by industry (CQ5)
30th Jun. 2021
Gross carrying amount
Accumulated impairment
Accumulated negative changes in fair value due to credit risk on non-performing exposures
of which: non-performing
of which: loans and advances subject to impairment
Million euros
of which: defaulted
Agriculture, forestry and fishing
7,796
488
488
7,633
-284
0
Mining and quarrying
6,346
181
111
6,280
-81
0
Manufacturing
52,709
2,606
2,586
51,859
-1,985
0
Electricity, gas, steam and air conditioning supply
13,180
309
283
13,167
-136
0
Water supply
1,882
42
42
1,834
-27
0
Construction
18,947
1,583
1,576
18,888
-968
0
Wholesale and retail trade
67,507
3,354
3,313
66,908
-2,232
0
Transport and storage
18,589
834
833
18,353
-485
0
Accommodation and food service activities
14,713
2,267
2,260
14,468
-796
0
Information and communication
14,327
403
394
14,295
-219
0
Real estate activities
43,807
1,480
1,480
43,033
-762
0
Financial and insurance actvities
0
0
0
0
0
0
Professional, scientific and technical activities
17,039
1,150
1,071
16,418
-750
0
Administrative and support service activities
11,585
535
530
11,458
-343
0
Public administration and defense, compulsory social security
1,644
0
0
1,568
-1
0
Education
2,073
121
118
2,040
-59
0
Human health services and social work activities
5,504
210
210
5,424
-151
0
Arts, entertainment and recreation
1,776
138
137
1,751
-77
0
Other services
20,324
546
460
20,103
-579
-3
Total
319,748
16,247
15,892
315,480
-9,935
-3
Table29
Collateral valuation - loans and advances (CQ6)
30th Jun 2021
Loans and advances
Performing
Non Performing
Unlikely to pay that are not past due or past due <= 90 days
Past due > 90 days
Million euros
of which past due > 30 days <= 90 days
of which Past due > 90 days <= 180 days
of which Past due > 180 days <= 1 year
of which Past due > 1 years <=2 years
of which Past due > 2 years <=5 years
of which Past due > 5 years <=7 years
of which Past due > 7 years
Gross carrying amount
Of which: secured
Of which: secured with Immovable property
Of which: instruments
Comment
As NPL threshold is below 5% this template and the corresponding Finrep are not elaborated
with LTV higher than
60% and lower or equal to 80%
Of which: instruments
with LTV higher than 80%
and lower or equal to 100%
Of which: instruments
with LTV higher than 100%
Accumulated impairment for secured assets
Collateral
Of which value capped at the value of exposure
Of which: Immovable property
Of which value above the cap
Of which: Immovable property
Financial guarantees received
Accumulated partial write-off
Table30
Collateral obtained by taking possession and execution processes (CQ7)
30th Jun. 2021
Collateral obtained by taking possession
Value at initial recognition
Accumulated negative changes
Property, plant and equipment (PP&E)
0
0
Other than PP&E
7,816
3,130
Residential immovable property
1,062
260
Commercial Immovable property
6,462
2,827
Movable property (auto, shipping, etc.)
254
43
Equity and debt instruments
38
0
Other
0
0
Total
7,816
3,130
Table31
Collateral obtained by taking possession and execution processes - vintage breakdown (CQ8)
Debt balance reduction
Total collateral obtained by taking possession
Foreclosed <=2 years
Foreclosed >2 years <=5 years
Foreclosed >5 years
Of which: Non-current assets held-for-sale
Million euros
Gross carrying amount
Accumulated negative changes
Value at initial recognition
Accumulated negative changes
Value at initial recognition
Accumulated negative changes
Value at initial recognition
Accumulated negative changes
Value at initial recognition
Accumulated negative changes
Value at initial recognition
Accumulated negative changes
Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E)
Collateral obtained by taking possession other than classified Property Plant and Equipment
Comment
As NPL threshold is below 5% this template and the corresponding Finrep are not elaborated
Residential immovable property
Commercial Immovable Property
Movable property (auto, shipping, etc.)
Equity and debt instruments
Other
Total
Table32
Analysis of CCR exposure by approach (CCR1)
30th Jun. 2021
Million euros
Replacement cost (RC)
Potential future exposure (PFE)
EEPE
Alpha used for computing regulatory exposure value
Exposure value pre-CRM
Exposure value-post CRM
Exposure Value
RWEA
EU - Original Exposure Method (for derivatives)
1.4
EU - Simplified SA-CCR (for derivatives)
1.4
SA-CCR (for derivatives)
12,377
9,899
1.4
52,716
26,110
25,859
11,133
IMM (for derivatives and SFTs)
1.4
- 0
- 0
- 0
- 0
Of which securities financing transactions netting sets
- 0
- 0
- 0
- 0
Of which derivatives and long settlement transactions netting sets
- 0
- 0
- 0
- 0
Of which from contractual cross-product netting sets
Transactions subject to own funds requirements for CVA risk (CCR2)*
30th Jun. 2021
Million euros
Exposure value
RWA
Total transactions subject to the Advanced method
- 0
- 0
(i) VaR component (including the 3× multiplier)
(ii) stressed VaR component (including the 3× multiplier)
Transactions subject to the Standardised method
8,302
1,818
Transactions subject to the Alternative approach (Based on the Original Exposure Method)
Total transactions subject to own funds requirements for CVA risk
8,302
1,818
Note: Figures applying 1 year floor
Table34
Standardised approach - CCR exposures by regulatory exposure class and risk weights (CCR3)
30th Jun. 2021
Risk Weight
Total
Million euros
0%
2%
4%
10%
20%
50%
70%
75%
100%
150%
Others
Central governments or central banks
4,706
- 0
- 0
- 0
192
78
- 0
- 0
- 0
- 0
4,976
Regional government or local authorities
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Public sector entities
- 0
- 0
- 0
- 0
0
0
- 0
- 0
- 0
- 0
0
Multilateral development banks
190
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
190
International organisations
10
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
10
Institutions
- 0
4,494
- 0
- 0
353
294
- 0
- 0
113
2
5,255
Corporates
- 0
- 0
- 0
- 0
- 0
32
- 0
- 0
2,339
5
2,377
Retail
- 0
- 0
- 0
- 0
- 0
- 0
- 0
55
- 0
- 0
55
Institutions and corporates with a short-term credit assessment
- 0
- 0
- 0
- 0
5
75
- 0
- 0
- 0
0
80
Other items
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
2
- 0
2
Total
4,906
4,494
- 0
- 0
550
479
- 0
55
2,455
7
12,946
Table35
AIRB approach - CCR exposures by exposure class and PD scale (CCR4)
Million euros
PD scale
Exposure value
Exposure weighted average PD (%)
Number of obligors
Exposure weighted average LGD (%)
Exposure weighted average maturity (years)
RWEA
Density of risk weighted exposure amount
Central banks and central governments
Comment
There are no CCR exposures related to central banks and central governments
0.00 < 0.15
- 0
- 0
- 0
0.15 < 0.25
- 0
- 0
- 0
0.25 < 0.50
- 0
- 0
- 0
0.50 < 0.75
- 0
- 0
- 0
0.75 < 2.50
- 0
- 0
- 0
2.50 < 10.00
- 0
- 0
- 0
10.00 < 100.00
- 0
- 0
- 0
100.00 (Default)
- 0
- 0
- 0
Sub-total
- 0
- 0
- 0
Institutions
0.00 < 0.15
9,754
0.07%
1,249
44.11%
1
1,577
16.16%
0.15 < 0.25
634
0.19%
63
44.48%
0
208
32.80%
0.25 < 0.50
715
0.30%
39
44.75%
0
330
46.16%
0.50 < 0.75
359
0.66%
26
43.70%
3
302
84.16%
0.75 < 2.50
110
1.13%
7
43.49%
1
104
93.92%
2.50 < 10.00
14
2.88%
0
45.00%
2
19
132.09%
10.00 < 100.00
- 0
- 0
100.00 (Default)
5
100.00%
1
85.75%
1
0
3.45%
Sub-total
11,591
0.16%
1,385
44.17%
1
2,539
21.90%
Corporates
0.00 < 0.15
7,183
0.10%
781
44.53%
2
1,922
26.75%
0.15 < 0.25
1,183
0.24%
444
44.97%
1
513
43.37%
0.25 < 0.50
1,400
0.39%
1,409
34.53%
2
1,015
72.48%
0.50 < 0.75
741
0.65%
535
41.01%
2
659
88.88%
0.75 < 2.50
462
1.38%
2,569
19.58%
3
485
104.96%
2.50 < 10.00
334
4.96%
1,839
30.68%
4
482
144.42%
10.00 < 100.00
38
16.96%
152
31.52%
4
87
226.54%
100.00 (Default)
27
100.00%
381
10.71%
2
0
1.78%
Sub-total
11,368
0.67%
8,109
41.57%
2
5,162
45.41%
Retail
0.00 < 0.15
- 0
- 0
0.15 < 0.25
- 0
- 0
0.25 < 0.50
2
0.44%
531
2.09%
1
1
76.76%
0.50 < 0.75
1
0.63%
318
0.00%
2
1
79.50%
0.75 < 2.50
4
1.35%
1,471
1.95%
3
3
75.20%
2.50 < 10.00
1
4.82%
1,049
0.72%
3
1
78.92%
10.00 < 100.00
39
11.73%
22,420
39.91%
2
27
69.41%
100.00 (Default)
1
100.00%
1,078
40.00%
2
0
13.75%
Sub-total
48
12.30%
26,868
33.87%
2
33
69.17%
Table36
FIRB approach - CCR exposures by exposure class and PD scale (CCR4)
Million euros
PD scale
Exposure value
Exposure weighted average PD (%)
Number of obligors
Exposure weighted average LGD (%)
Exposure weighted average maturity (years)
RWEA
Density of risk weighted exposure amount
Central banks and central governments
Comment
There are no CCR exposures related to central banks and central governments
0.00 < 0.15
- 0
- 0
- 0
0.15 < 0.25
- 0
- 0
- 0
0.25 < 0.50
- 0
- 0
- 0
0.50 < 0.75
- 0
- 0
- 0
0.75 < 2.50
- 0
- 0
- 0
2.50 < 10.00
- 0
- 0
- 0
10.00 < 100.00
- 0
- 0
- 0
100.00 (Default)
- 0
- 0
- 0
Sub-total
- 0
- 0
- 0
Institutions
0.00 < 0.15
563
0.07%
120
45.00%
0.57
88
16%
0.15 < 0.25
136
0.17%
12
45.00%
1.44
52
38%
0.25 < 0.50
64
0.33%
6
45.00%
0.98
33
52%
0.50 < 0.75
11
0.66%
1
45.00%
1.24
8
80%
0.75 < 2.50
- 0
- 0
2.50 < 10.00
0
2.89%
0
45.00%
2.50
0
165%
10.00 < 100.00
- 0
- 0
100.00 (Default)
- 0
- 0
Sub-total
774
0.12%
138
45.00%
0.77
181
23%
Corporates
0.00 < 0.15
107
0.13%
31
45.00%
2.01
37
35%
0.15 < 0.25
157
0.24%
12
45.00%
2.48
88
56%
0.25 < 0.50
6
0.40%
6
45.00%
2.50
5
73%
0.50 < 0.75
31
0.65%
13
45.00%
2.20
27
87%
0.75 < 2.50
23
1.69%
1
45.00%
2.50
29
127%
2.50 < 10.00
1
4.61%
1
45.00%
2.50
1
170%
10.00 < 100.00
- 0
- 0
100.00 (Default)
6
100.00%
1
45.00%
2.50
- 0
Sub-total
331
2.30%
64
45.00%
2.30
187
56%
Table37
Composition of collateral for CCR exposures (CCR5)
30th Jun. 2021
Collateral used in derivative transactions
Collateral used in SFTs
Fair value of collateral received
Fair value of posted collateral
Fair value of collateral received
Fair value of posted collateral
Million euros
Segregated
Unsegregated
Segregated
Unsegregated
Segregated
Unsegregated
Segregated
Unsegregated
Cash - domestic currency
75
4,588
3
6,705
8
39,337
0
57,288
Cash - other currencies
0
3,864
9
3,876
18
12,396
24
15,538
Domestic sovereign debt
2,435
949
1,020
927
782
68,461
3,741
55,493
Other sovereign debt
1,295
264
667
77
183
27,359
6,800
13,900
Government agency debt
1
26
0
0
2
114
42
0
Corporate bonds
672
41
158
4
831
13,689
3,443
12,423
Shares
305
620
415
0
5,235
4,062
8,487
1,108
Other collateral
0
0
0
0
0
989
0
590
Total
4,784
10,351
2,273
11,590
7,059
166,407
22,537
156,340
Table38
Credit derivatives exposures (CCR6)*
30th Jun. 2021
Credit derivatives hedges
Million euros
Protection bought
Protection sold
Notionals
Single-name credit default swaps
7,521
3,409
Index credit default swaps
4,640
807
Total return swaps
0
0
Credit options
0
0
Other credit derivatives
0
0
Total notionals
12,161
4,216
Fair values
Positive fair value (asset)
3
140
Negative fair value (liability)
-248
-3
Note: Bought credit derivatives do include loan coverage
Table39
RWEA flow statements of CCR exposures under the IMM (CCR7)
30th Jun. 2021
Million euros
RWEA
RWEA as at the end of the previous reporting period
0
Asset size
0
Comment
Banco Santander does not have advanced approach to calculate counterparty EAD.
Credit quality of counterparties
0
Model updates (IMM only)
0
Methodology and policy (IMM only)
0
Acquisitions and disposals
0
Foreign exchange movements
0
Other
0
RWEA as at the end of the current reporting period
0
Table40
Exposures to CCPs (CCR8)
30th Jun. 2021
Million euros
EAD (post CRM)
RWA
Exposures to QCCPs (total)
256
Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which
4,494
90
(i) OTC derivatives
1,489
30
(ii) Exchange-traded derivatives
1,671
33
(iii) Securities financing transactions
1,333
27
(iv) Netting sets where cross-product netting has been approved
Segregated initial margin
Non-segregated initial margin
Pre-funded default fund contributions
566
166
Unfunded default fund contributions
Exposures to non-QCCPs (total)
Exposures for trades at CCPs non-qualified (excluding initial margin and fund contributions); of which
(i) OTC derivatives
(ii) Exchange-traded derivatives
(iii) Securities financing transactions
(iv) Netting sets where cross-product netting has been approved
Segregated initial margin
Non-segregated initial margin
Pre-funded default fund contributions
Unfunded default fund contributions
Table41
Securitisation exposures in the non-trading book (SEC1)
30th Jun. 2021
Bank acting as originator
Bank acting as sponsor
Bank acting as investor
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
STS
Non-STS
of which SRT
STS
Non-STS
STS
Non-STS
Million euros
of which SRT
of which SRT
Total exposures
1,194
35
19,804
898
25,966
22,621
46,964
- 0
- 0
- 0
- 0
831
12,510
- 0
13,341
Retail (total)
1,194
35
19,469
898
3,021
3,021
23,685
- 0
- 0
- 0
- 0
831
6,406
- 0
7,237
Residential mortgages
- 0
- 0
7,030
- 0
- 0
- 0
7,030
- 0
- 0
- 0
- 0
125
2,729
- 0
2,854
Credit card
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
121
- 0
121
Other retail exposures
1,194
35
12,439
898
3,021
3,021
16,655
- 0
- 0
- 0
- 0
706
3,556
- 0
4,262
Resecuritisation
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Wholesales (total)
- 0
- 0
335
- 0
22,944
19,600
23,279
- 0
- 0
- 0
- 0
- 0
6,104
- 0
6,104
Loans to corporates
- 0
- 0
163
- 0
9,056
9,056
9,219
- 0
- 0
- 0
- 0
- 0
3,449
- 0
3,449
Commercial mortgage
- 0
- 0
- 0
- 0
476
476
476
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Finance leases and receivables
- 0
- 0
- 0
- 0
2
2
2
- 0
- 0
- 0
- 0
- 0
1,426
- 0
1,426
Other wholesale exposures
- 0
- 0
172
- 0
13,410
10,066
13,582
- 0
- 0
- 0
- 0
- 0
1,228
- 0
1,228
Resecuritisation
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Note: The securitisation portfolio has been considered as a whole (positions bought and retained)
CRR Fully phased-in IFRS9
Table42
Securitisation exposures in the trading book (SEC2)
30th Jun. 2021
Bank acting as originator
Bank acting as sponsor
Bank acting as investor
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
Traditional
Synthetic
Subtotal
Million euros
STS
Non-STS
STS
Non-STS
STS
Non-STS
Total
4
4
124
124
Retail (total)
4
4
124
124
Residential mortgages
1
1
86
86
Credit card
Other retail exposures
3
3
38
38
Resecuritisation
Wholesales (total)
Loans to corporates
Commercial mortgage
Finance leases and receivables
Other wholesale exposures
Resecuritisation
Table43
Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor (SEC3)
30th Jun. 2021
Exposure values (by RW bands/deductions)
Exposure values (by regulatory approach)
RWEA (by regulatory approach)
RWEA (by regulatory approach)
Million euros
<= 20%
> 20% to 50%
> 50% to 100%
> 100% to 1250%
1250% RW/ deductions
SEC-IRBA
SEC-ERBA (including IAA)
SEC-SA
1250%/ deductions
SEC-IRBA
SEC-ERBA (including IAA)
SEC-SA
1250%/ deductions
SEC-IRBA
SEC-ERBA (including IAA)
SEC-SA
1250%/ deductions
Total exposure
13,962
9,203
- 0
306
82
20,349
816
2,306
82
3,794
526
370
- 0
304
41
29
- 0
Traditional securitisation
236
685
- 0
- 0
11
704
218
- 0
11
167
83
- 0
- 0
13
6
- 0
- 0
Securitisation
236
685
- 0
- 0
11
704
218
- 0
11
167
83
- 0
- 0
13
6
- 0
- 0
Retail underlying
236
685
- 0
- 0
11
704
218
- 0
11
167
83
- 0
- 0
13
6
- 0
- 0
Of which STS
26
5
- 0
- 0
4
30
2
- 0
4
3
1
- 0
- 0
0
0
- 0
- 0
Wholesale
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Of which STS
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Re-securitisation
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Synthetic securitisation
13,726
8,518
- 0
306
71
19,646
598
2,306
71
3,627
443
370
- 0
290
35
29
- 0
Securitisation
13,726
8,518
- 0
306
71
19,646
598
2,306
71
3,627
443
370
- 0
290
35
29
- 0
Of which, retail underlying
2,566
414
- 0
14
27
2,423
306
264
27
402
71
40
- 0
32
5
2
- 0
Of which, wholesale underlying
11,160
8,104
- 0
292
44
17,222
292
2,042
44
3,225
372
330
- 0
258
30
26
- 0
Of which, resecuritisation
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Note: RWA do not include tranches that have a risk weight of 1250% due to they are deducted from Common Equity Tier 1.
Fully CRR phased-in IFRS9
Table44
Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor (SEC4)
30th Jun. 2021
Million euros
Exposure values (by RW bands/deductions)
Exposure values (by regulatory approach)
RWEA (by regulatory approach)
RWEA (by regulatory approach)
<= 20%
> 20% to 50%
> 50% to 100%
> 100% to 1250%
1250% RW/ deductions
SEC-IRBA
SEC-ERBA (including IAA)
SEC-SA
1250%/ deductions
SEC-IRBA
SEC-ERBA (including IAA)
SEC-SA
1250%/ deductions
SEC-IRBA
SEC-ERBA (including IAA)
SEC-SA
1250%/ deductions
Total exposure
10,610
2,064
421
242
4
- 0
2,090
11,247
4
- 0
892
1,900
- 0
- 0
71
152
- 0
Traditional securitisation
10,610
2,064
421
242
4
- 0
2,090
11,247
4
- 0
892
1,900
- 0
- 0
71
152
- 0
Securitisation
10,610
2,064
421
242
4
- 0
2,090
11,247
4
- 0
892
1,900
- 0
- 0
71
152
- 0
Retail underlying
6,933
10
170
120
4
- 0
1,181
6,052
4
- 0
420
958
- 0
- 0
34
77
- 0
Of which STS
774
- 0
57
- 0
- 0
- 0
572
259
- 0
- 0
101
26
- 0
- 0
8
2
- 0
Wholesale
3,677
2,054
252
122
0
- 0
909
5,195
0
- 0
472
942
- 0
- 0
38
75
- 0
Of which STS
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Re-securitisation
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Synthetic securitisation
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Securitisation
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Of which, retail underlying
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Of which, wholesale underlying
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Of which, resecuritisation
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
- 0
Fully CRR phased-in IFRS9
Table45
Exposures securitised by the institution - Exposures in default and specific credit risk adjustments (SEC5)
30th Jun. 2021
Exposures securitised by the institution - Institution acts as originator or as sponsor
Total outstanding nominal amount
Total amount of specific credit risk adjustments made during the period
Of which exposures in default
Million euros
Total exposures
110,112
2,052
146.6
Retail (total)
81,695
970
91.5
residential mortgage
19,533
520
21.5
credit card
0
0
0.0
other retail exposures
62,163
450
70.0
re-securitisation
0
0
0.0
Wholesale (total)
28,417
1,081
55.0
loans to corporates
13,713
252
21.8
commercial mortgage
562
28
-1.1
lease and receivables
871
1
-0.2
other wholesale
13,271
801
34.5
re-securitisation
0
0
0.0
CRR Fully phased-in IFRS9
Table46
Market risk under the standardised approach (MR1)
30th Jun. 2021
Million euros
RWEAs
Outright products
Interest rate risk (general and specific)
1,818
Equity risk (general and specific)
410
Foreign exchange risk
3,455
Commodity risk
809
Options
Simplified approach
- 0
Delta-plus method
157
Scenario approach
- 0
Securitisation (specific risk)
19
Total
6,667
Table47
Market risk under the internal Model Approach IMA (MR2-A)
30th Jun. 2021
Million euros
RWA
Capital requirements
VaR (higher of values a and b)
2,361
189
(a) Previous day's VaR (Article 365(1) of the CRR (VaRt-1))
1,485
119
(b) Average of the daily VaR (Article 365(1)) of the CRR on each of the preceding 60 business days (VaRavg) x multiplication factor (mc) in accordance with Article 366 of the CRR
2,361
189
SVaR (higher of values a and b)
5,973
478
(a) Latest SVaR (Article 365(2) of the CRR (SVaRt-1))
2,193
175
(b) Average of the SVaR (Article 365(2) of the CRR) during the preceding 60 business days (SVaRavg) x multiplication factor (ms) (Article 366 of the CRR)
5,973
478
IRC (higher of values a and b)
4,513
361
(a) Most recent IRC value (incremental default and migration risks calculated in accordance with Article 370 and Article 371 of the CRR)
1,900
152
(b) Average of the IRC number over the preceding 12 weeks
4,513
361
Comprehensive risk measure (higher of values a, b and c)
0
0
(a) Most recent risk number for the correlation trading portfolio (Article 377 of the CRR)
0
0
(b) Average of the risk number for the correlation trading portfolio over the preceding 12 weeks
0
0
(c) 8% of the own funds requirement in the standardised approach on the most recent risk number for the correlation trading portfolio (Article 338(4) of the CRR)
0
0
Other*
1,379
110
Total
14,226
1,138
* Other includes Risks not in Model not included in Var or Svar
Table48
RWA flow statements of market risk exposures under the IMA (MR2-B)
30th Jun. 2021
Million euros
VaR
SVaR
IRC
Comprehensive risk measure
Other*
Total RWAs
Total capital requirements
RWA Dec. 2020
3,047
6,767
2,928
194
12,936
1,035
Regulatory adjustment
2,418
5,465
1,639
0
9,523
0
RWAs at the previous quarter-end (end of the day)
629
1,301
1,288
194
3,413
1,035
Movement in risk levels
-686
-794
1,586
1,184
1,290
103
Model updates/changes
Methodology and policy
Acquisitions and disposals
Foreign exchange movements
Other
RWAs at the end of the reporting period (end of the day)
1,485
2,193
1,900
1,379
6,956
556
Regulatory adjustment
877
3,780
2,613
0
7,270
582
RWA Jun. 2021
2,361
5,973
4,513
1,379
14,226
1,138
* Other includes Risks not in Model not included in Var or Svar
Table49
IMA values for trading portfolios (MR3)
Million euros
Spain
Jun-21
2020
Variation
Chile
CHILE
Jun-21
2020
Variation
Var (10 days - 99%)
Var (10 días - 99%)
Comment
Santander does not hold CTP positionsunder IMA in the trading book
1
Maximum
32
114
-72%
1
Máximo
14
36
-62%
2
Average
24
29
-19%
2
Media
8
11
-34%
3
Minimum
16
15
2%
3
Mínimo
4
5
-18%
4
End of period
26
27
-4%
4
Cierre del periodo
4
7
-36%
Stressed VaR (10 days - 99%)
Stressed VaR (10 días - 99%)
5
Maximum
90
110
-18%
5
Máximo
28
38
-28%
6
Average
70
74
-4%
6
Media
15
25
-41%
7
Minimum
53
53
0%
7
Mínimo
8
10
-19%
8
End of period
74
62
19%
8
Cierre del periodo
11
11
-1%
Incremental Risk Charge (99.9%)
Incremental Risk Charge (99.9%)
9
Maximum
155
159
-3%
9
Máximo
16
10
52%
10
Average
112
106
6%
10
Media
6
3
71%
11
Minimum
58
58
0%
11
Mínimo
1
0
609%
12
End of period
141
98
44%
12
Cierre del periodo
10
1
583%
Comprehensive risk measure (99.9%)
Medición riesgo global (99.9%)
13
Maximum
13
Máximo
14
Average
14
Media
15
Minimum
15
Mínimo
16
End of period
16
Cierre del periodo
Figures do not include Risks not in model
Figures do not include Risks not in model
Santander London Branch
Jun-21
2020
Variation
México
Jun-21
2020
Variation
Var (10 days - 99%)
Var (10 días - 99%)
1
Maximum
18
27
-33%
1
Máximo
25
45
-44%
2
Average
9
10
-5%
2
Media
13
21
-37%
3
Minimum
6
4
61%
3
Mínimo
4
8
-55%
4
End of period
12
7
57%
4
Cierre del periodo
22
10
130%
Stressed VaR (10 days - 99%)
Stressed VaR (10 días - 99%)
5
Maximum
28
28
-1%
5
Máximo
42
42
0%
6
Average
18
19
-7%
6
Media
20
26
-22%
7
Minimum
13
13
0%
7
Mínimo
6
13
-49%
8
End of period
20
18
10%
8
Cierre del periodo
15
13
19%
Incremental Risk Charge (99.9%)
Incremental Risk Charge (99.9%)
9
Maximum
67
27
150%
9
Máximo
7
21
-66%
10
Average
13
4
235%
10
Media
3
3
-14%
11
Minimum
0
0
527%
11
Mínimo
0
0
0%
12
End of period
0
2
-84%
12
Cierre del periodo
1
2
-46%
Comprehensive risk measure (99.9%)
Medición riesgo global (99.9%)
13
Maximum
13
Máximo
14
Average
14
Media
15
Minimum
15
Mínimo
16
End of period
16
Cierre del periodo
Figures do not include Risks not in model
Figures do not include Risks not in model
Table50
Comparison of VaR estimates with gains/losses (MR4)
Table51
Summary reconciliation of accounting assets and leverage ratio exposures (LR1 - LRSum)
Million euros
30th Jun. 2021
Total assets as per published financial statements
1,568,638
Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation
-14,573
(Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference)
-9,372
(Adjustment for temporary exemption of exposures to central banks (if applicable))
-55,545
(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the total exposure measure in accordance with point (i) of Article 429a(1) CRR)
0
Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting
-1,331
Adjustment for eligible cash pooling transactions
0
Adjustments for derivative financial instruments
-34,667
Adjustment for securities financing transactions (SFTs)
2,420
Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)
120,521
(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital)
0
(Adjustment for exposures excluded from total exposure measure in accordance with point (c ) of Article 429a(1) CRR)
0
(Adjustment for exposures excluded from total exposure measure in accordance with point (j) of Article 429a(1) CRR)
0
Other adjustments
-30,908
Total exposure measure
1,545,183
CRR Fully phased-in IFRS9
Table52
Leverage ratio common disclosure (LR2- LRCom)
Million euros
30th Jun. 2021
31st Mar. 2021
On-balance sheet exposures (excluding derivatives and SFTs)
On-balance sheet items (excluding derivatives, SFTs, but including collateral)*
1,363,038
1,333,892
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework
0
0
(Deductions of receivables assets for cash variation margin provided in derivatives transactions)
-13,786
-8,194
(Adjustment for securities received under securities financing transactions that are recognised as an asset)
0
0
(General credit risk adjustments to on-balance sheet items)
0
0
(Asset amounts deducted in determining Tier 1 capital)
-17,122
-18,589
Total on-balance sheet exposures (excluding derivatives and SFTs)
1,332,130
1,307,109
Derivative exposures
Replacement cost associated with SA-CCR derivatives transactions (ie net of eligible cash variation margin)
525
11,315
Derogation for derivatives: replacement costs contribution under the simplified standardised approach
0
0
Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions
20,799
25,479
Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach
0
0
Exposure determined under Original Exposure Method
0
0
(Exempted CCP leg of client-cleared trade exposures) (SA-CCR)
0
-2,141
(Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach)
0
-1,197
(Exempted CCP leg of client-cleared trade exposures) (original exposure method)
0
0
Adjusted effective notional amount of written credit derivatives
4,312
8,862
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)
0
-5,763
Total derivatives exposures
25,637
36,554
Securities financing transaction (SFT) exposures
Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions
77,305
76,753
(Netted amounts of cash payables and cash receivables of gross SFT assets)
0
0
Counterparty credit risk exposure for SFT assets
2,420
2,772
Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR
0
0
Agent transaction exposures
0
0
(Exempted CCP leg of client-cleared SFT exposure)
0
0
Total securities financing transaction exposures
79,725
79,525
Other off-balance sheet exposures
Off-balance sheet exposures at gross notional amount
325,857
330,935
(Adjustments for conversion to credit equivalent amounts)
-218,165
-205,334
(General provisions deducted in determining Tier 1 capital and specific provisions associated with off-balance sheet exposures)
0
0
Off-balance sheet exposures
107,692
125,601
Excluded exposures
(Exposures excluded from the leverage ratio total exposure measure in accordance with point (c ) of Article 429a(1) CRR)
0
0
(Exposures exempted in accordance with point (j) of Article 429a (1) CRR (on and off balance sheet))
0
0
(-) Excluded exposures of public development banks - Public sector investments
0
0
(Excluded exposures of public development banks (or units) - Promotional loans): - Promotional loans granted by a public development credit institution - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution)
0
0
( Excluded passing-through promotional loan exposures by non-public development banks (or units): - Promotional loans granted by a public development credit institution - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution)
0
0
(Excluded guaranteed parts of exposures arising from export credits )
0
0
(Excluded excess collateral deposited at triparty agents )
0
0
(Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR)
0
0
(Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR)
0
0
(Reduction of the exposure value of pre-financing or intermediate loans )
0
0
(Total exempted exposures)
0
0
Capital and total exposure measure
Tier 1 capital
79,973
78,731
Total exposure measure
1,545,183
1,548,789
Leverage ratio
Leverage ratio
5.18%
5.08%
Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%)
5.18%
5.08%
Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves)
5.00%
4.88%
Regulatory minimum leverage ratio requirement (%)
3%
0%
Additional own funds requirements to address the risk of excessive leverage (%)
0%
0%
of which: to be made up of CET1 capital (percentage points)
0%
0%
Leverage ratio buffer requirement (%)
0%
0%
Overall leverage ratio requirement (%)
3%
0%
Choice on transitional arrangements and relevant exposures
Choice on transitional arrangements for the definition of the capital measure
Transitional
Transitional
Disclosure of mean values
Mean value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables
68,692
76,753
Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables
77,305
76,753
Total exposure measure(including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)
1,536,571
1,548,789
Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)
1,592,116
1,613,109
Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)
5.20%
5.08%
Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)
5.02%
4.88%
Notes
Tier 1 Capital - transitional definition
Total Leverage Ratio exposure - using a transitional definition of Tier 1 capital
Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (LRSpl-LR3)
Million euros
30th Jun. 2021
CRR leverage ratio exposures
Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:
1,349,252
Trading book exposures
47,912
Banking book exposures, of which:
1,301,339
Covered bonds
1,640
Exposures treated as sovereigns
295,683
Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns
3,019
Institutions
42,595
Secured by mortgages of immovable properties
343,422
Retail exposures
239,163
Corporate
192,601
Exposures in default
27,838
Other exposures (eg equity, securitisations, and other non-credit obligation assets)
155,379
Fully phased-in IFRS9
Table54
Quantitative information of LCR (LIQ1)
Scope of consolidation (consolidated)
Total unweighted value (average)
Total weighted value (average)
Currency and units (Million euros)
Quarter ending on (DD Month YYY)
30 June 2021
31 March 2021
31 December 2020
30 September 2020
30 June 2021
31 March 2021
31 December 2020
30 September 2020
Number of data points used in the calculation of averages
12
12
12
12
12
12
12
12
HIGH-QUALITY LIQUID ASSETS
Total high-quality liquid assets (HQLA), after application of haircuts in line with Article 9 of regulation (EU) 2015/61
270
265
251
240
CASH - OUTFLOWS
retail deposits and deposits from small business customers, of which:
539
529
523
521
38
38
37
37
Stable deposits
323
315
305
298
16
16
15
15
Less stable deposits
191
188
188
188
22
22
22
22
Unsecured wholesale funding
229
225
220
215
107
104
102
100
Operational deposits (all counterparties) and deposits in networks of cooperative banks
53
56
57
59
12
13
13
14
Non-operational deposits (all counterparties)
170
162
155
148
88
84
81
78
Unsecured debt
7
7
8
8
7
7
8
8
Secured wholesale funding
5
5
5
5
Additional requirements
199
199
196
196
42
43
44
43
Outflows related to derivative exposures and other collateral requirements
21
22
23
22
21
22
23
22
Outflows related to loss of funding on debt products
2
2
2
2
2
2
2
2
Credit and liquidity facilities
176
174
172
172
20
19
19
19
Other contractual funding obligations
11
10
11
10
11
10
10
10
Other contingent funding obligations
118
114
111
107
7
7
7
7
TOTAL CASH OUTFLOWS
211
207
205
202
CASH - INFLOWS
Secured lending (e.g. reverse repos)
41
44
44
45
2
2
2
2
Inflows from fully performing exposures
52
52
53
55
36
36
36
36
Other cash inflows
15
14
15
16
12
12
13
13
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)
0
0
0
0
0
0
0
0
(Excess inflows from a related specialised credit institution)
0
0
0
0
0
0
0
0
TOTAL CASH INFLOWS
108
110
112
115
50
49
50
51
Fully exempt inflows
0
0
0
0
0
0
0
0
Inflows subject to 90% cap
0
0
0
0
0
0
0
0
Inflows subject to 75% cap
104
107
109
112
50
49
50
51
TOTAL ADJUSTED VALUE
LIQUIDITY BUFFER
270
265
251
240
TOTAL NET CASH OUTFLOWS
161
157
155
151
LIQUIDITY COVERAGE RATIO
168%
168%
162%
158%
Table55
Qualitative information on LCR, complementing LIQ1 (LIQB)
in accordance with Article 451a(2) CRR
Row number
Qualitative information - Free format
(a)
Explanations on the main drivers of LCR results and the evolution of the contribution of inputs to the LCR's calculation over time
The Group LCR in June 2021 was 163,75%, comfortably exceeding the internal and regulatory requirements. Key to this levels was the size of the HQLA buffers upheld by all subsidiaries. Group´s strong stable retail deposits base and low dependence on short-term funding make the movements in the commercial gap and the issuances maturities as key drivers of the LCR.
(b)
Explanations on the changes in the LCR over time
The evolution of the Group's LCR showed an upward trend in first half of 2020 and remained quite stable since then with a moderate reduction driven by optimization initiatives carried out mainly in the Parent Company. This improvement has been generalized in almost all geographies. Compared with 2020 year-end, levels for both ratios have not substantially changed during the first half of 2021.
(c)
Explanations on the actual concentration of funding sources
Achieving a diversified funding base is a key element of Santander's liquidity risk management. The principle of prudence states that the Board expects subsidiaries to provide effective diversification in the sources, products and funding tenors while limiting the recourse to short-term wholesale funds. The Group has a set of additional metrics in order to identify and monitor those counterparties that are of such significance that withdrawal of the funding they are providing to the entity could trigger liquidity problems. At the end of 2020 and first half of 2021, the Group levels of concentration risk were within management limits, ensuring diversity of wholesale funding at subsidiary level.
(d)
High-level description of the composition of the institution`s liquidity buffer.
The Group buffer is mainly composed by Level 1 assets: cash and sovereign debt, well diversified between different issuers. Additionally to the regulatory buffer, the Group has an internal buffer with a set of unencumbered liquid resources that are available for immediate use as collateral to obtain additional funding.
(e)
Derivative exposures and potential collateral calls
Other contingent exposures are limited as (i) the derivatives position is covered by collateral, and (ii) credit and liquidity lines are monitored daily with a limited impact.
(f)
Currency mismatch in the LCR
Regarding the composition by currency, the units present a consistent position between buffer composition and net outflows. Occasionally some units in Latino America present higher positions on USD buffers in order to optimize the position while ensuring strong currency convertibility.
(g)
Other items in the LCR calculation that are not captured in the LCR disclosure template but that the institution considers relevant for its liquidity profile
There are no other relevant items in the LCR calculation not captured in the LCR disclosure template
Table56
Net Stable Funding Ratio (LIQ2)
ASF
Million euros
30th Jun. 2021
(in currency amount)
Unweighted value by residual maturity
Weighted value
No maturity
< 6 months
6 months to < 1yr
≥ 1yr
Capital items and instruments
95,587
0
0
12,943
108,530
Own funds
95,587
0
0
12,936
108,523
Other capital instruments
0
0
7
7
Retail deposits
548,223
5,970
7,995
524,451
Stable deposits
350,681
2,977
4,246
340,221
Less stable deposits
197,542
2,993
3,749
184,230
Wholesale funding:
385,780
43,304
301,197
432,686
Operational deposits
33,952
0
0
1,087
Other wholesale funding
351,828
43,304
301,197
431,599
Interdependent liabilities
0
0
0
0
Other liabilities:
8,005
70,425
1,921
17,949
18,287
NSFR derivative liabilities
8,005
All other liabilities and capital instruments not included in the above categories
70,425
1,921
17,949
18,287
Total available stable funding (ASF)
1,083,953
RSF
Million euros
30th Jun. 2021
(in currency amount)
Unweighted value by residual maturity
Weighted value
No maturity
< 6 months
6 months to < 1yr
≥ 1yr
Total high-quality liquid assets (HQLA)
24,716
Assets encumbered for more than 12m in cover pool
1
2,013
58,557
51,485
Deposits held at other financial institutions for operational purposes
5,658
0
0
2,829
Performing loans and securities:
220,790
74,509
665,050
649,622
Performing securities financing transactions with financial customerscollateralised by Level 1 HQLA subject to 0% haircut
49,056
6,821
4,453
8,279
Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions
24,034
1,584
20,331
23,410
Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:
108,847
58,002
341,725
591,405
With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk
10,405
4,257
34,114
223,556
Performing residential mortgages, of which:
6,258
2,390
277,358
0
With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk
3,989
2,102
267,101
0
Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products
32,595
5,712
21,183
26,528
Interdependent assets
0
0
0
0
Other assets:
65,533
848
124,081
136,304
Physical traded commodities
5
4
Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs
210
0
8,453
7,363
NSFR derivative assets
9,458
1,453
NSFR derivative liabilities before deduction of variation margin posted
26,356
1,318
All other assets not included in the above categories
29,510
848
115,624
126,166
Off-balance sheet items
206,842
13,280
84,630
9,985
Total RSF
874,940
NSFR
30th Jun. 2021
Million euros
Weighted value
Net Stable Funding Ratio (%)
124%
Table57
Capital instruments main features template. June 2021
Million euros
1
Issuer
Banco Santander, S.A.
Banco Santander, S.A.
Santander UK Group Holdings plc
Santander UK Group Holdings plc
Banco Santander, S.A.
Banco Santander, S.A.
Santander UK plc
Santander UK plc
Santander UK plc
Banca PSA Italia S.p.A
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander Totta, S.A.
Santander Bank Polska S.A.
Santander Bank Polska S.A.
Santander Bank Polska S.A.
Santander Bank Polska S.A.
PSA Banque France
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Santander UK Group Holdings plc
Santander UK Group Holdings plc
Santander UK plc
Santander UK plc
Santander UK plc
Santander UK plc
Santander UK plc
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander Chile
Banco Santander Chile
Banco Santander Chile
Banco Santander Chile
Banco Santander Chile
Banco Santander Chile
Banco Santander Chile
Banco Santander Chile
Banco Santander Chile
Banco Santander, S.A.
PSA Bank Deutschland GmbH
PSA Bank Deutschland GmbH
PSA Bank Deutschland GmbH
PSA Bank Deutschland GmbH
Banca PSA Italia S.p.A
Santander Mexico
Banco Santander.SA
Banco Santander Chile
Banco Santander Chile
Banco Santander Chile
Banco Santander.SA
Banco Santander.SA
PSA Financial Services, Spain, EFC, SA
Grupo Alliance&Leicester
Banco Santander.SA
Banco Santander.SA
2
Unique identifier (ex CUSIP, ISIN or Bloomberg identifier for private placement)
XS1692931121
XS1602466424
XS1244538523
XS1592884123
XS0202197694
XS0307728146
GB0000064393
GB0000044221
XS0124569566
n/p
XS1638160678
XS1638817301
PTBSREOM0028
n/p
PLBZ00000226
XS0531310182
PLBZ00000275
n/p
XS1201001572
XS1384064587
US05971KAA79
XS1502528570
XS1523197892
XS1489761392
XS0307473214
XS1492669509
XS1539846896
XS1524576342
XS1473878905
XS1423724522
XS0309495959
XS1548444816
XS1585005314
US80281LAA35 XS1291333760
US80281LAB18 XS1291352711
XS0989359756 US80283LAA17
US002920AC09
XS0060837068
XS0103012893
XS0117973429
XS1767931121
XS1793250041
USTD-M0301
USTD-X1107
USTD-Z1207
USTDG10508
USTDG20908
USTDG40710
USTDG30710
USTDG50411
USTDH10411
XS1951093894
n/p
n/p
n/p
n/p
n/p
USP1507SAG23
XS2102912966
USTDH20914
USTDH20914
USTDW20320
XS2247936342
US05971KAG40
n/p
XS0133956168
US05971KAH23
XS2342620924
3
Regulatory Treatment
Spanish law
Spanish law
English law
English law
Spanish law
Spanish law
English law
English law
English law
Italian law
English/Spanish law
English/Spanish law
Portuguese law
English law
Polish law
English/Polish law
Polish law
English/Spanish law
English/Spanish law
English/Spanish law
New York/Spanish law
English/Spanish law
English/Spanish law
English/Spanish law
English law
English/Spanish law
English/Spanish law
English/Spanish law
English/Spanish law
English/Spanish law
English/Spanish law
English/Spanish law
English/Spanish law
English law
English law
English law
New York law
English law
English law
English law
English/Spanish law
Spanish law
Chile General Banking Law
Chile General Banking Law
Chile General Banking Law
Chile General Banking Law
Chile General Banking Law
Chile General Banking Law
Chile General Banking Law
Chile General Banking Law
Chile General Banking Law
Spanish law
German law
German law
German law
German law
Italian law
New York law
Spanish law
Chile General Banking Law
Chile General Banking Law
Chile General Banking Law
Spanish law
Spanish/American law
Spanish law
English law
Spanish/American law
Spanish/American law
Governing law(s) of the instrument
4
Transitional CRR rules
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Additional Tier 1 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Additional Tier 1 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Additional Tier 1 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Additional Tier 1 capital
Additional Tier 1 capital
5
Post-transitional CRR rules
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Additional Tier 1 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Non Admissible
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Non admisible
Tier 2 capital
Additional Tier 1 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Additional Tier 1 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Additional Tier 1 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Additional Tier 1 capital
Additional Tier 1 capital
6
Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated
Solo and Consolidated
Solo and Consolidated
Consolidated
Consolidated
Solo and Consolidated
Solo and Consolidated
Solo and Consolidated
Solo and Consolidated
Solo and Consolidated
Solo, subconsolidated and Consolidated
Solo and Consolidated
Solo and Consolidated
Solo and Consolidated
Solo and Consolidated
Solo and Consolidated
Solo and consolidated
Solo and consolidated
Solo, subconsolidated and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Consolidado
Consolidado
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo, subconsolidated and consolidated
Solo, subconsolidated and consolidated
Solo, subconsolidated and consolidated
Solo, subconsolidated and consolidated
Solo, subconsolidated and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo and consolidated
Solo, subconsolidated and consolidated
Solo and Consolidated
Solo and Consolidated
Solo and Consolidated
7
Instrument type (types to be specified by each jurisdiction)
Contingent convertibles
Contingent convertibles
Additional Tier 1 capital
Additional Tier 1 capital
Preferred
Preferred
Preferred
Preferred
Preferred
Subordinated
Subordinated
Subordinated
Subordinated
Tier 2 capital
Tier 2 capital
Tier 2 capital
Tier 2 capital
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Contingente Convertibles
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Contingent convertibles
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Contingent convertibles
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Subordinated
Contingent convertibles
Contingent convertibles
8
Amount recognised in regulatory capital (Currency in million, as of most recent reporting date)
1,000
749
757
583
144
6
159
29
50
23
50
46
8
137
120
83
221
78
1,130
1,430
1,125
253
169
118
21
60
38
42
39
38
5
999
50
522
337
257
187
156
34
36
1,250
1,499
178
70
39
97
113
107
104
143
142
1,010
15
3
21
2
11
274
1,500
103
103
232
998
1,265
20
12
843
750
9
Nominal amount of instrument
1000 EUR
750 EUR
750 GBP
500 GBP
300 EUR
250 GBP
200 GBP
125 GBP
300 GBP
22,5 EUR
50 EUR
50 CHF
7,599 EUR
137,1 EUR
120 EUR
100 EUR
1000 PLN
77,5 EUR
1500 EUR
1500 EUR
1500 USD
300 USD
200 USD
140 USD
114 EUR
60 EUR
50 EUR
50 USD
5100 JPY
5000 JPY
25 EUR
1000 EUR
50 EUR
1000 USD
500 USD
1500 USD
1000 USD
200 GBP
150 GBP
275 GBP
1250 EUR
1500 EUR
153381,394310098 CLP
60531,2619532101 CLP
33607,7701235052 CLP
83953,3680648251 CLP
97553,7079461462 CLP
92038,1888469466 CLP
90099,9866390041 CLP
123017,795519377 CLP
122645,817644503 CLP
1200 USD
14,5 EUR
2,5 EUR
20,5 EUR
2 EUR
11 EUR
1300 USD
1500 EUR
89129,5176542749 CLP
89129,5176542749 CLP
200151,616818458 CLP
1000 EUR
1500 USD
20 EUR
150 GBP
1000 USD
750 EUR
9a
Issue price
100%
100%
100%
100%
100%
100%
100m @ 101.52%
102%
100.00%
100%
100%
100%
100%
100%
100%
100%
100% of nominal value
100%
100%
1
100%
100%
100%
100%
100%
100%
100%
98.85%
100%
100%
100%
100%
100%
100%
1
99.68%
99.63%
100.43%
99.56%
175m @ 97,712% 100m @ 109,744%
99.55%
100%
106%
100.080%
36.720%
89.80%
99.33%
102.65%
99.87%
102.21%
101.41%
100%
100.08%
100.08%
100.08%
100.08%
100.08%
100%
100%
100.230%
101%
136%
99.75%
100%
100.08%
98.88%
100.00%
100.00%
9b
Redemption price
100%
100%
100% (call)
100% (call)
100%
100%
n/p
n/p
100% (call)
100%
100%
100%
100%
100%
100%
100%
100% of nominal value
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
1
100% (call)
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100.08%
100.08%
100.08%
100.08%
100%
100%
100%
100%
100%
100%
100%
100.08%
100%
100.00%
100%
10
Accounting classification
Liability - amortised cost
Liability - amortised cost
Shareholders Equity
Shareholders Equity
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Shareholders Equity
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
Liability - amortised cost
11
Original date of issuance
29.09.2017
25.04.2017
10.06.2015
10.04.2017
30.09.2004
10.07.2007
23.10.1995
09.06.1997
14.02.2001
13.12.2017
05.07.2017
05.07.2017
06.10.2016
22.05.2017
02.12.2016
05.08.2010
05.04.2018
15.12.2017
18.03.2015
04.04.2016
19.11.2015
19.10.2016
30.11.2016
20.09.2016
06.07.2007
01.12.2016
29.12.2016
02.12.2016
23.08.2016
08.06.2016
20.07.2007
19.01.2017
24.03.2017
15.09.2015
15.09.2015
07.11.2013
26.10.1999
23.10.1995
21.10.1999
28.09.2000
08.02.2018
19.03.2018
08.09.2006
01.12.2007
01.12.2007
01.07.2008
01.06.2010
01.08.2010
01.03.2011
01.08.2011
13.12.2013
08.02.2019
18.12.2018
18.12.2018
24.10.2019
24.10.2019
22.11.2019
01.10.2018
14.01.2020
01.09.2014
01.09.2014
01.03.2020
22.10.2020
03.12.2020
28.12.2020
14/08/2001
12/05/2021
12/05/2021
12
Perpetual or dated
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Perpetual
Dated
Perpetual
Dated
Perpetual
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Perpetual
Dated
Dated
Dated
Dated
Dated
Dated
Perpetual
Dated
Dated
Dated
Dated
Dated
Vencimiento establecido
Dated
Perpetual
Perpetual
13
Original maturity date
No maturity
No maturity
No maturity
No maturity
No maturity
No maturity
No maturity
No maturity
No maturity
13.12.2027
5/07/2027
5/07/2027
6/10/2026
22/05/2027
3/12/2026
5/08/2025
5/04/2028
15/12/2027
18/03/2025
4/04/2026
19/11/2025
19/10/2026
30/11/2026
20/09/2026
6/07/2022
1/12/2026
29/03/2025
2/12/2026
23/08/2026
8/06/2026
20/07/2022
19/01/2027
24/03/2029
15/09/2025
15/09/2045
7/11/2023
26/10/2029
No maturity
21/10/2030
No maturity
8/02/2028
No maturity
1/09/2026
2/11/2032
1/12/2032
2/05/2033
1/03/2038
1/07/2040
1/07/2035
1/04/2031
1/04/2041
No maturity
18/12/2028
18/12/2028
24/10/2029
24/10/2029
22/11/2029
1/10/2028
No maturity
1/09/2034
1/09/2039
1/09/2035
22/10/2030
3/12/2030
28/12/2030
14/08/2031
No maturity
No maturity
14
Issuer call subject to prior supervisory approval
Yes
Yes
Yes
Yes
Yes
Yes
No
No
Yes
Yes
No
No
Yes
Yes
Yes
Yes
Yes
Yes
No
No
No
No
No
No
No
No
No
No
Yes
No
No
No
No
No
No
No
No
No
No
Yes
No
Yes
No
No
No
No
No
No
No
No
No
Yes
Sí
Sí
Sí
Sí
Sí
Sí
Yes
No
No
No
No
No
Sí
No
Yes
Yes
15
Optional call date, contingent call dates and redemption amount
29/09/2023
25/04/2022
24/06/2022
24/06/2024
30/09/2021
10/07/2021
n/p
n/p
14/02/2026
13/12/2022
n/p
n/p
En todo momento
5/22/22
12/3/21
5/08/2020
5/04/2023
15/12/2022
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
23/08/2021
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
9/28/30
n/p
3/19/25
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
2/8/24
12/18/23
12/18/23
10/24/24
10/24/24
11/22/24
10/1/23
1/14/26
n/p
n/p
n/p
n/p
n/p
28/12/2025
n/p
12/11/2026-12/05/2027
12/11/2027-12/05/2028
16
Subsequent call dates, if applicable
Quarterly
Quarterly
5 years
5 years
Semi-annually
Quarterly
n/p
n/p
Annually
n/p
n/p
n/p
n/p
each interest period, every 6 months (after five years)
each interest period, every 6 months
each interest period, every 3 months
each interest period, every 6 months (after five years)
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
5 years
n/p
Quarterly
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
Quarterly
n/p
n/p
n/p
n/p
n/p
n/p
Quarterly
n/p
n/p
n/p
n/p
n/p
n/p
n/p
Quarterly
Quarterly
Coupons & dividends
17
Fixed or floating dividend/coupon
Fixed to floating
Fixed to floating
Fixed to floating
Fixed to floating
Floating
Floating
Fixed
Fixed
Fixed to floating
Floating
Fixed
Fixed
Fixed
Floating
Floating
Floating
Floating
Floating
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Floating
De Fixed a Floating
De Fixed a Floating
Fixed
Fixed
Fixed
Floating
Fixed
De Fixed a Floating
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
De Fixed a Floating
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Floating
Floating
Floating
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Fixed
Floating
Fixed
Fixed
Fixed
18
Coupon rate and any related index
Y1-Y6: 5.25% / After: Mid-Swap 5 years + 4.999%
Y1-Y5: 6.75% / After: Mid-Swap 5 years + 6.803%
7.38%
6.75%
EURCMS10Y +0.05%
GBL3M +0.835%
10.38%
8.63%
7.04%
2.20% + 3 month Euribor payable quarterly
2.39%
1.55%
7.5% annually
above six-month EURIBOR for each interest period
above six-month EURIBOR for each interest period
above three-month EURIBOR for each interest period
Initial coupon rate is 5.95%. Initial coupon spread is 2.995%.
4.38%
3.00%
3.15%
3.50%
1.63%
2.75%
3 months Euribor + 2,24 % per annum. Zero floor
5.88%
4.75%
4.13%
19
Existence of a dividend stopper
No
No
No
No
Yes
Yes
Yes
Yes
Yes
No
No
No
No
Yes
No
Yes
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
20a
Fully discretionary, partially discretionary or mandatory (in terms of timing)
Fully discretionary
Fully discretionary
Fully discretionary
Fully discretionary
Partially discretionary
Partially discretionary
Partially discretionary
Partially discretionary
Partially discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Partially discretionary
n/p
Mandatory
Partially discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Partially discretionary
Partially discretionary
Mandatory
Partially discretionary
Mandatory
Fully discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Fully discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
n/p
Fully discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Fully discretionary
Fully discretionary
20b
Fully discretionary, partially discretionary or mandatory (in terms of amount)
Fully discretionary
Fully discretionary
Fully discretionary
Fully discretionary
Partially discretionary
Partially discretionary
Partially discretionary
Partially discretionary
Partially discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Partially discretionary
n/p
Mandatory
Partially discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Partially discretionary
Partially discretionary
Mandatory
Partially discretionary
Mandatory
Fully discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Fully discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
n/p
Fully discretionary
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Fully discretionary
Fully discretionary
21
Existence of step up or other incentive to redeem
No
No
No
No
No
No
No
No
Yes
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
Yes
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
22
Noncumulative or cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
n/p
n/p
Cumulative
n/p
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Non Cumulative
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
Non Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
n/p
Non Cumulative
n/p
n/p
n/p
Cumulative
Cumulative
Cumulative
Cumulative
Nonncumulative
Nonncumulative
23
Convertible or non-convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Non-convertible
Convertible
Non-convertible
Non-convertible
Non-convertible
Convertible
Convertible
Convertible
Convertible
Convertible
Convertible
24
If convertible, conversion trigger(s)
This instrument converts into ordinary shares when the Common Equity Tier 1 falls below 5.125% /Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
This instrument converts into ordinary shares when the Common Equity Tier 1 falls below 5.125%/Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Bail-in power by the relevant resolution authority (Italian Banking Act)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by internal resolution and equity instruments mantatory conversion/redemption
If: (1)The Bonds shall be converted into a senior loan if: (i) there is a change in the regulatory classification of the Bonds that would be likely to result in their exclusion from the Issuer's own funds (as defined in the CRR) or reclassification as a lower quality form of own funds; or (2) Under BGF Act as defined in Terms and Conditions: 'Under the BGF Act, the Issuer's obligations under the Bonds may be subject to write-down or conversion on the terms set out in the BGF Act. By purchasing the Bonds, each Bondholder acknowledges the results of a decision the Bank Guarantee Fund may make on exercising its write-down or conversion powers with respect to the Bonds.'
Bail-in power by internal resolution and equity instruments mantatory conversion/redemption
Bail-in power by internal resolution and equity instruments mantatory conversion/redemption
Bail-in power by internal resolution and equity instruments mantatory conversion/redemption
Bail-in power by the relevant resolution authority (French law by Ordinance n° 2020-1636 dated 21 December 2020)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
This instrument converts into ordinary shares when the Common Equity Tier 1 of the issuer or the Group falls below 5.125%/Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
This instrument converts into ordinary shares when the Common Equity Tier 1 falls below 5.125% / Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (the Gesetz zur Sanierung und Abwicklung von Instituten und Finanzgruppen Sanierungs- und Abwicklungsgesetz - SAG)
Bail-in power by the relevant resolution authority (the Gesetz zur Sanierung und Abwicklung von Instituten und Finanzgruppen Sanierungs- und Abwicklungsgesetz - SAG)
Bail-in power by the relevant resolution authority (the Gesetz zur Sanierung und Abwicklung von Instituten und Finanzgruppen Sanierungs- und Abwicklungsgesetz - SAG)
Bail-in power by the relevant resolution authority (the Gesetz zur Sanierung und Abwicklung von Instituten und Finanzgruppen Sanierungs- und Abwicklungsgesetz - SAG)
Bail-in power by the relevant resolution authority(Italian Banking Act)
n/p
This instrument converts into ordinary shares when the Common Equity Tier 1 falls below 5.125% / Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
n/p
n/p
n/p
Bail-in power by the relevant resolution authority (Ley 11/2015 y Real Decreto 1012/2015)
Bail-in power by the relevant resolution authority (Ley 11/2015 y Real Decreto 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1/2020)
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
This instrument converts into ordinary shares when the Common Equity Tier 1 falls below 5,125% / Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
This instrument converts into ordinary shares when the Common Equity Tier 1 falls below 5.125% / Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
25
If convertible, fully or partially
Always convert fully
Always convert fully
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
fully or partially
fully or partially
fully or partially
Always convert fully
fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Always fully
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
Always fully
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
n/p
Always fully
n/p
n/p
n/p
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Always fully
Always fully
26
If convertible, conversion rate
The market price at the time of conversion, with a floor price of EUR 3.79/share, subject to adjustment in accordance with Condition 5.3 of the Instruments.
The market price at the time of conversion, with a floor price of EUR 3.621/share, subject to adjustment in accordance with Condition 5.3 of the Instruments.
n/p
n/p
n/p
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine during conversion
To determine during conversion
To determine during conversion
The Bonds shall be converted into a senior loan at the price level agreed by both Parties.
To determine during conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
Contractual:100% Statutary: To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
The market price at the time of conversion, with a floor price of EUR 3.60/share, subject to adjustment in accordance with Condition 5.3 of the Instruments.
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
The higher of (i) the market price of the share at the time of conversion; (ii) the nominal value of the share at the time of conversion; and (iii) the established floor price of USD 3.09. If at the time of conversion, the issuer's shares are not listed on the stock market, then the higher of (i) and (ii).
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
To determine in conversion
n/p
The higher of (i) the market price of the share at the time of conversion; (ii) the nominal value of the share at the time of conversion; and (iii) the established floor price of USD 3.09. If at the time of conversion, the issuer's shares are not listed on the stock market, then the higher of (i) and (ii).
n/p
n/p
n/p
To determine in conversion
To determine in conversion
To determine in conversion
To be determined at conversion
The higher of (i) the Market Price of the common shares at the time of conversion; (ii) the nominal value share at the time of conversion; and (iii) the Floor Price established at USD 2.555. If at the time of conversion, the issuer's shares were not listed, the higher value between (ii) and (iii).
The higher of (i) the Market Price of the common shares at the time of conversion; (ii) the nominal value share at the time of conversion; and (iii) the Floor Price established at USD 2,129. If at the time of conversion, the issuer's shares were not listed, the higher value between (ii) and (iii).
27
If convertible, mandatory or optional conversion
Mandatory
Mandatory
Mantadory after fulfilling several condisions
Mantadory after fulfilling several condisions
Mandatory
Mandatory
Mandatory after fulfilling several conditions
Mandatory after fulfilling several conditions
Mandatory after fulfilling several conditions
Mandatory
Mandatory
Mandatory
Mandatory after fulfilling several conditions
Mandatory
Mandatory after fulfilling several conditions
Mandatory after fulfillment of several conditions
Mandatory after fulfillment of several conditions
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory after fulfillment of several conditions
Mandatory after fulfillment of several conditions
Mandatory after fulfillment of several conditions
Mandatory after fulfillment of several conditions
Contractual: issuer option. Statutay: Mandatory after fullfillment of several conditions
Mandatory tras el cumplimiento de determinadas condiciones
Mandatory tras el cumplimiento de determinadas condiciones
Mandatory
Mandatory
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
n/p
Mandatory
n/p
n/p
n/p
Mandatory
Mandatory
Mandatory
Mandatory after fullfillment of certain conditions
Mandatory
Mandatory
28
If convertible, specify instrument type convertible into
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1 or other instruments
Common Equity Tier 1 or other instruments
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1 or other instruments
Common Equity Tier 1 or other instruments
Common Equity Tier 1 or other instruments
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Senior loan or any other financial instrument defined under BGF Act, as mentioned above.
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1 or other instruments
Common Equity Tier 1 or other instruments
Common Equity Tier 1 or other instruments
Common Equity Tier 1 or other instruments
Contractual: Capital de Nivel 1 Adicional Estatutoria: Capital de Nivel 1 Ordinario u otros títulos
Common Equity Tier 1 or other instruments
Common Equity Tier 1 or other instruments
Common Equity Tier 1
Common Equity Tier 1
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
Common Equity Tier 1
n/p
Common Equity Tier 1
n/p
n/p
n/p
Common Equity Tier 1
Capital de Nivel 1 Ordinario
Capital de Nivel 1 Ordinario
CET1 or other securities
Common Equity Tier 1
Common Equity Tier 1
29
If convertible, specify issuer of instrument it converts into
Banco Santander S.A.
Banco Santander S.A.
Santander UK Group Holdings plc
Santander UK Group Holdings plc
Banco Santander, S.A.
Banco Santander, S.A.
Santander UK plc
Santander UK plc
Santander UK plc
Banca PSA Italia S.p.A
Banco Santander, S.A.
Banco Santander, S.A.
Santander Bank Polska S.A.
Santander Bank Polska S.A.
Santander Bank Polska S.A.
Santander Bank Polska S.A.
Santander Bank Polska S.A.
PSA Banque France
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Banco Santander, S.A.
Santander UK plc
Santander UK plc
Santander UK plc
Santander UK plc
Santander UK plc
Santander UK plc
Santander UK plc
Banco Santander, S.A.
Banco Santander S.A.
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
Banco Santander S.A.
PSA Bank Deutschland GmbH
PSA Bank Deutschland GmbH
PSA Bank Deutschland GmbH
PSA Bank Deutschland GmbH
Banca PSA Italia S.p.A
n/p
Banco Santander S.A.
n/p
n/p
n/p
Banco Santander.SA
Banco Santander.SA
PSA Financial Services, Spain, EFC, SA
Santander UK plc
Banco Santander S.A.
Banco Santander S.A.
30
Write-down features
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Under the BGF Act, the Issuer's obligations under the Bonds may be subject to write-down or conversion on the terms set out in the BGF Act. By purchasing the Bonds, each Bondholder acknowledges the results of a decision the Bank Guarantee Fund may make on exercising its write-down or conversion powers with respect to the Bonds.
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
31
If write-down, write-down trigger(s)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Statutory: Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRAl. Contractual: Group's capital ratio < 7% (Losses absortion event)
Statutory: Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRAl. Contractual: Group's capital ratio < 7% (Losses absortion event)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Bail-in power by the relevant resolution authority (Italian Banking Act)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by internal resolution and equity instruments mantatory conversion/redemption
as above
Bail-in power by internal resolution and equity instruments mantatory conversion/redemption
Bail-in power by internal resolution and equity instruments mantatory conversion/redemption
Bail-in power by internal resolution and equity instruments mantatory conversion/redemption
Bail-in power by the relevant resolution authority (French law by Ordinance n° 2020-1636 dated 21 December 2020)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (the Gesetz zur Sanierung und Abwicklung von Instituten und Finanzgruppen Sanierungs- und Abwicklungsgesetz - SAG)
Bail-in power by the relevant resolution authority (the Gesetz zur Sanierung und Abwicklung von Instituten und Finanzgruppen Sanierungs- und Abwicklungsgesetz - SAG)
Bail-in power by the relevant resolution authority (the Gesetz zur Sanierung und Abwicklung von Instituten und Finanzgruppen Sanierungs- und Abwicklungsgesetz - SAG)
Bail-in power by the relevant resolution authority (the Gesetz zur Sanierung und Abwicklung von Instituten und Finanzgruppen Sanierungs- und Abwicklungsgesetz - SAG)
Bail-in power by the relevant resolution authority (Italian Banking Act)
A "Trigger Event" will be deemed to have occurred if the CNBV publishes a determination, in its official publication of capitalization levels for Mexican banks, that Banco Santander Mexico's Fundamental Capital Ratio is equal to or below 4.5%; or others (see Annex I -Main Features of the Instrument)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Triggers to statutory bail-in power under UK Banking Act 2009 at PONV - UK BoE/PRA
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
Bail-in power by the relevant resolution authority (Law 11/2015 and Royal Decree 1012/2015)
32
If write-down, full or partial
Full or partially
Full or partially
Contractual: Full Estatutoria: Full or partially
Contractual: Full Estatutoria: Full or partially
Full or partially
Full or partial
Full or partial
Full or partial
Full or partial
Full or partial
fully or partially
fully or partially
fully or partially
as above
fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Always partially
Always partially
Always partially
Always partially
Always partially
Always partially
Always partially
Always partially
Always partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Always partially
Always partially
Always partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
Fully or partially
33
If write-down, permanent or temporary
Permanently
Permanently
Permanently
Permanently
Permanently
Permanent
Permanent
Permanent
Permanent
Permanent
Permanent
Permanent
Permanent
as above
Permanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
Pemanent
34
If temporary write-down, description of write-up mechanism
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
as above
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
35
Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)
Tier 2 equity instruments
Tier 2 equity instruments
Tier 2 equity instruments
Tier 2 equity instruments
Tier 2 equity instruments
Tier 2 equity instruments
Tier 2 equity instruments
Tier 2 equity instruments
Tier 2 equity instruments
Subordinated debt instruments not eligible as capital
Specific subordinated debt instruments
Specific subordinated debt instruments
Subordinated debt instruments not eligible as capital
The lowest priority of satisfaction and will rank only to the extent permitted by applicable laws relating to creditors' right
The lowest priority of satisfaction and will rank only to the extent permitted by applicable laws relating to creditors' right
The lowest priority of satisfaction and will rank only to the extent permitted by applicable laws relating to creditors' right
The lowest priority of satisfaction and will rank only to the extent permitted by applicable laws relating to creditors' right
Subordinated debt instruments not eligible as capital
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Specific subordinated debt instruments
Senior
Senior
Senior
Senior
Tier 2 equity instruments
Senior
Tier 2 equity instruments
Specific subordinated debt instruments
Tier 2 equity instruments
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
Tier 2 equity instruments
Subordinated to all non-subordinated claims, Senior to CET1 instruments, Junior to Senior Debt and other Senior Creditors
Subordinated to all non-subordinated claims, Senior to CET1 instruments, Junior to Senior Debt and other Senior Creditors
The SANTANDER CONSUMER BANK Subordinates "Tier 2" Schuldscheindarlehen shall be considered to have the same rank as this Loan. The Loan is intended as a Tier 2 Instrument. The Loan constitutes the direct, unconditional, unsecured and subordinated (nachrangige) obligations of the Borrower. Claims under the Loan shall qualify for the rank according to article 63 sentence 1, lit. (d) CRR II, i.e. rank: (i) junior to claims: (A) under Eligible Liabilities Instruments; and (B) of other non-subordinated creditors of the Borrower (including, for the avoidance of doubt, non-preferred senior unsecured debt instruments within the ambit of section 46f (6) sentence 1 of the German Banking Act (Kreditwesengesetz) or any successor provision concerning such rank); (ii) pari passu with other subordinated indebtedness of the Borrower (including, for the avoidance of doubt, other Tier 2 Instruments); and (iii) senior to claims under Tier 1 Instruments.
The SANTANDER CONSUMER BANK Subordinates "Tier 2" Schuldscheindarlehen shall be considered to have the same rank as this Loan. The Loan is intended as a Tier 2 Instrument. The Loan constitutes the direct, unconditional, unsecured and subordinated (nachrangige) obligations of the Borrower. Claims under the Loan shall qualify for the rank according to article 63 sentence 1, lit. (d) CRR II, i.e. rank: (i) junior to claims: (A) under Eligible Liabilities Instruments; and (B) of other non-subordinated creditors of the Borrower (including, for the avoidance of doubt, non-preferred senior unsecured debt instruments within the ambit of section 46f (6) sentence 1 of the German Banking Act (Kreditwesengesetz) or any successor provision concerning such rank); (ii) pari passu with other subordinated indebtedness of the Borrower (including, for the avoidance of doubt, other Tier 2 Instruments); and (iii) senior to claims under Tier 1 Instruments.
The Lender and the Borrower mutually agree, for all legal purposes, that the Loan granted by virtue of this Agreement constitutes a subordinated loan, pursuant to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, as amended and restated from time to time, including by virtue of Regulation (EU) No 2019/876, (the "CRR") and that all obligations undertaken by the Borrower by virtue of this Agreement are subordinated obligations. In the event of the winding up of the Borrower, the right of the Lender to payment by the Borrower by virtue of or pursuant to this Agreement shall only be fulfilled upon fulfilment of all the other rights of all other creditors of the Borrower, whose rights rank senior to the rights of the Lender under this Loan. For the sake of clarity, the Santander Consumer Bank S.p.A "Tier 2" Subordinated Agreement shall be considered to have the same rank as this Loan.
The Lender and the Borrower mutually agree, for all legal purposes, that the Loan granted by virtue of this Agreement constitutes a subordinated loan, pursuant to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, as amended and restated from time to time, including by virtue of Regulation (EU) No 2019/876, (the "CRR") and that all obligations undertaken by the Borrower by virtue of this Agreement are subordinated obligations. In the event of the winding up of the Borrower, the right of the Lender to payment by the Borrower by virtue of or pursuant to this Agreement shall only be fulfilled upon fulfilment of all the other rights of all other creditors of the Borrower, whose rights rank senior to the rights of the Lender under this Loan. For the sake of clarity, the Santander Consumer Bank S.p.A "Tier 2" Subordinated Agreement shall be considered to have the same rank as this Loan.
Tier 2 equity instruments
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
The banks may issue subordinated bonds which, in case of liquidation in accordance with Title XV of this law, will be paid after the loans from unsecured creditors have been covered.
Specific subordinated debt instruments
Specific subordinated debt instruments
The payment obligations of the Borrower under the Tier 2 Loan shall constitute direct, unconditional, unsecured and subordinated obligations of the Borrower according to article 281.1.2º of the Insolvency Law and, in accordance with Additional Provision 14.3º of Law 11/2015, but subject to any other ranking that may apply as a result of of any mandatory provision of law (or otherwise), upon the insolvency of the Borrower (unless they qualify as créditos subordinados) in accordance with articles 281.1.3º to 281.1.7º of the Insolvency Law) range, as long as the Borrower's obligations with respect to the Level 2 Loan constitute a Level 2 Instrument of the Borrower, (a) pari passu with (i) all other claims for principal in respect of a Tier 2 Instrument of the Borrower which are not subordinated obligations under Articles 281.1.3º to 281.1.7º of the Insolvency Law, and (ii) any other subordinated obligations (créditos subordinados) of the Borrower which by law and/or by their terms, to the extent permitted by Spanish law, rank pari passu with the Borrower's obligations under the Tier 2 Loan; (b) junior to (i) any unsubordinated obligation (créditos ordinarios) of the Borrower, (ii) any subordinated obligation (créditos subordinados) of the Borrower pursuant to Article 281.1.1º of the Insolvency Law, (iii) any claim for principal in respect of Senior Subordinated Liabilities of the Borrower which are not subordinated obligations under articles 281.1.3º to 281.1.7º of the Insolvency Law and (iv) any other subordinated obligations (Subordinated credits) that by law and / or by their terms, to the extent permitted by Spanish law rank senior to the Borrower's obligations under the Tier 2 Loan; and (c) senior to (i) any claims for principal in respect of Additional Level 1 Instruments of the Borrower, (ii) any subordinated obligation (créditos subordinados) under Articles 281.1.3º to 281.1.7º of the Insolvency Law and (iii)) any other subordinated obligations (créditos subordinados) of the Borrower which by law and / or by their terms, to the extent permitted by Spanish law, rank junior to the obligations of the Borrower under the Tier 2 Loan
36
Non-compliant transitioned features
No
No
No
No
Yes
Yes
Yes
Yes
Yes
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
Yes
No
No
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
No
No
No
No
No
No
No
No
n/p
n/p
n/p
No
37
If yes, specify non-compliant features
n/p
n/p
n/p
n/p
Does not have a Common Equity Tier 1 conversion clause. Lack of flexibility in determining dividend or coupon payments.
Does not have a Common Equity Tier 1 conversion clause. Lack of flexibility in determining dividend or coupon payments.
No CET1 conversion or write down trigger Dividend Stopper
No CET1 conversion or write down trigger Dividend Stopper
No CET1 conversion or write down trigger Dividend Stopper Incentive to Redeem: Step Up
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
Incentive to Redeem: Step Up
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
n/p
No
No
No
No
No
n/p
n/p
n/p
n/p
n/p
Note:
The information in fields 23 to 24 may change with respect to the previous quarters, to incorporate the implications derived from the bank resolution regulation, which are incorporated since this quarter.
Table58
Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (CCyB1)
30th Jun. 2021
General credit exposures
Relevant credit exposures - Market risk
Securitisation exposures Exposure value for non-trading book
Total exposure value
Own fund requirements
Risk-weighted exposure amounts
Own fund requirements weights (%)
Countercyclical buffer rate (%)
Million euros
Exposure value under the standardised approach
Exposure value under the IRB approach
Sum of long and short positions of trading book exposures for SA
Value of trading book exposures for internal models
Relevant credit risk exposures - Credit risk
Relevant credit exposures - Market risk
Relevant credit exposures - Securitisation positions in the non-trading book
Total
Breakdown by country
España
39,185.11
177,554.35
6.75
1.69
9,414.24
226,162
9,156
1
114
9,270
115,880
25%
Reino Unido
26,851.11
254,525.40
22.93
327.92
6,651.78
288,379
5,278
36
135
5,449
68,117
15%
Estados Unidos
83,941.04
15,734.27
14.51
1,099.80
10,675.34
111,465
5,023
115
181
5,319
66,481
14%
Brasil
66,115.36
29,897.97
233.45
0.00
923.50
97,170
4,685
19
13
4,716
58,948
13%
Alemania
15,878.03
26,243.68
13.95
420.38
1,389.03
43,945
1,822
45
25
1,891
23,642
5%
Chile
39,077.54
3,539.94
0.00
27.84
0.00
42,645
1,758
3
- 0
1,760
22,005
5%
México
18,312.33
14,612.29
0.09
56.80
687.85
33,669
1,425
6
27
1,459
18,234
4%
Polonia
30,967.27
1,021.97
4.68
70.48
0.00
32,064
1,438
8
- 0
1,446
18,069
4%
Portugal
6,372.80
31,837.20
0.00
61.39
1,454.83
39,726
1,052
6
19
1,077
13,465
3%
Francia
1,901.17
19,124.01
12.56
237.77
3,921.52
25,197
954
26
63
1,042
13,025
3%
Italia
8,652.65
3,004.69
0.00
12.79
642.26
12,312
617
1
6
625
7,810
2%
Argentina
5,786.43
535.82
4.31
3.80
0.00
6,330
349
0
- 0
349
4,368
1%
Noruega
2,314.49
3,922.38
3.01
214.70
0.00
6,455
256
22
- 0
278
3,476
1%
1%
Países Bajos
1,761.09
4,544.75
19.34
46.09
132.00
6,503
254
6
2
262
3,279
1%
Suecia
2,277.23
2,075.53
1.00
32.93
541.23
4,928
231
4
6
241
3,008
1%
Luxemburgo
317.79
6,043.79
9.68
17.25
46.63
6,435
228
3
1
232
2,895
1%
1%
Dinamarca
3,446.06
298.84
0.00
53.54
0.00
3,798
221
6
- 0
226
2,828
1%
Austria
2,695.45
442.75
0.00
83.71
0.00
3,222
183
9
- 0
191
2,390
1%
Suiza
795.21
4,311.05
0.00
90.62
168.80
5,366
161
9
2
172
2,151
0%
Finlandia
1,409.75
1,469.26
0.00
62.25
0.00
2,941
149
6
- 0
156
1,948
0%
Uruguay
2,779.02
132.65
0.00
1.77
0.00
2,913
151
0
- 0
151
1,886
0%
Perú
1,514.39
597.35
0.00
0.00
0.00
2,112
128
- 0
128
1,602
0%
Irlanda
486.60
995.30
0.00
6.08
159.25
1,647
94
1
2
96
1,201
0%
China
1,167.33
1,014.31
0.00
3.50
0.00
2,185
93
0
- 0
94
1,171
0%
Bélgica
985.86
1,250.20
0.00
15.28
0.00
2,251
92
2
- 0
93
1,165
0%
Colombia
840.12
675.56
0.00
0.00
0.00
1,516
89
- 0
89
1,108
0%
Canadá
459.63
461.80
0.00
96.59
0.00
1,018
48
10
- 0
58
725
0%
Jersey
6.46
1,353.99
0.00
2.98
0.00
1,363
46
0
- 0
46
580
0%
Hong Kong
6.86
3,130.95
0.00
4.81
0.00
3,143
38
0
- 0
39
485
0%
1%
Singapur
1.19
2,001.30
0.00
0.00
0.00
2,002
38
- 0
38
474
0%
Australia
35.64
341.61
0.00
95.39
0.00
473
21
10
- 0
31
390
0%
Otros Paises
0.00
0.00
0.00
193.34
0.00
193
- 0
20
- 0
20
249
0%
Islas Vírgenes Británicas
3.48
308.25
0.00
0.73
0.00
312
17
0
- 0
17
218
0%
Liberia
0.00
71.21
0.00
0.00
0.00
71
16
- 0
16
199
0%
Guernsey
9.27
266.55
0.00
0.00
0.00
276
14
- 0
14
179
0%
Islas Caimán
7.66
492.87
0.00
0.00
0.00
501
13
- 0
13
157
0%
Japón
0.00
402.12
0.00
104.55
0.00
507
1
11
- 0
12
150
0%
Isla de Man
5.89
101.55
0.00
0.00
0.00
107
10
- 0
10
122
0%
Emiratos Árabes Unidos
1.58
103.72
0.00
0.00
0.00
105
4
- 0
4
50
0%
Panamá
8.09
49.68
0.00
0.00
0.00
58
3
- 0
3
43
0%
Malta
38.73
14.78
0.00
0.00
0.00
54
3
- 0
3
43
0%
Corea del Sur
0.08
101.53
0.00
5.77
0.00
107
3
1
- 0
3
42
0%
Islas Marshall
39.46
0.12
0.00
0.00
0.00
40
3
- 0
3
40
0%
Sudáfrica
2.56
48.72
0.00
0.00
0.00
51
3
- 0
3
39
0%
Ecuador
0.26
66.52
0.00
0.00
0.00
67
3
- 0
3
37
0%
Bermudas
4.14
43.64
0.00
0.00
0.00
48
3
- 0
3
36
0%
República Checa
104.34
35.79
0.00
0.00
0.00
140
2
- 0
2
30
0%
1%
Kuwait
0.00
63.91
0.00
0.00
0.00
64
2
- 0
2
30
0%
Tailandia
0.20
41.51
0.00
0.00
0.00
42
2
- 0
2
29
0%
Eslovaquia
0.09
86.67
0.00
1.01
0.00
88
2
0
- 0
2
26
0%
1%
Gibraltar
0.16
40.67
5.39
0.00
0.00
46
2
0
- 0
2
25
0%
Hungría
0.88
30.76
0.00
0.00
0.00
32
1
0
- 0
1
17
0%
Turquía
3.81
17.13
0.00
0.00
0.00
21
1
- 0
1
17
0%
Venezuela
7.32
69.29
0.00
0.00
0.00
77
1
- 0
1
17
0%
India
0.52
15.15
0.00
0.00
0.00
16
1
- 0
1
15
0%
Rusia
1.13
62.38
0.00
0.00
0.00
64
1
- 0
1
14
0%
Taiwán
0.04
18.09
0.00
0.00
0.00
18
1
- 0
1
13
0%
Bahamas
1.14
16.92
0.00
0.00
0.00
18
1
- 0
1
12
0%
Puerto Rico
12.13
0.97
0.00
0.00
0.00
13
1
- 0
1
13
0%
Armenia
0.01
3.76
0.00
0.00
0.00
4
1
- 0
1
11
0%
Chipre
0.19
16.81
0.01
0.00
0.00
17
1
0
- 0
1
11
0%
Malasia
0.00
20.95
0.00
0.00
0.00
21
1
- 0
1
11
0%
Bahréin
0.07
4.83
0.00
0.00
0.00
5
1
- 0
1
8
0%
Omán
0.00
9.28
0.00
0.00
0.00
9
1
- 0
1
8
0%
República Dominicana
0.62
19.95
0.00
0.00
0.00
21
1
- 0
1
8
0%
Indonesia
0.11
9.83
0.00
0.00
0.00
10
1
- 0
1
8
0%
Paraguay
0.04
14.80
0.00
0.32
0.00
15
1
0
- 0
1
7
0%
Grecia
4.18
12.14
0.00
0.00
0.00
16
1
- 0
1
7
0%
Pakistán
7.29
0.09
0.00
0.00
0.00
7
0
- 0
0
6
0%
Mozambique
0.68
9.36
0.00
0.00
0.00
10
0
- 0
0
5
0%
Barbados
0.00
27.63
0.00
0.00
0.00
28
0
- 0
0
4
0%
Rumania
2.05
11.25
0.00
0.00
0.00
13
0
- 0
0
4
0%
Andorra
0.99
16.94
0.00
0.00
0.00
18
0
- 0
0
4
0%
Qatar
0.54
15.99
0.00
0.00
0.00
17
0
- 0
0
3
0%
Angola
2.53
24.31
0.00
0.00
0.00
27
0
- 0
0
3
0%
Estonia
3.13
0.94
0.00
0.00
0.00
4
0
- 0
0
3
0%
Seychelles
1.33
5.08
0.00
0.00
0.00
6
0
- 0
0
3
0%
Cabo Verde
0.03
4.19
0.00
0.00
0.00
4
0
- 0
0
3
0%
Lituania
2.36
4.85
0.00
0.00
0.00
7
0
- 0
0
3
0%
Marruecos
0.01
8.26
0.00
0.00
0.00
8
0
- 0
0
2
0%
Egipto
0.01
33.06
0.00
0.00
0.00
33
0
- 0
0
2
0%
Arabia Saudita
1.13
8.92
0.00
0.00
0.00
10
0
- 0
0
2
0%
Argelia
0.01
6.34
0.00
0.00
0.00
6
0
- 0
0
2
0%
Curaçao
0.00
2.35
0.00
0.00
0.00
2
0
- 0
0
2
0%
Ucrania
1.76
5.10
0.00
0.00
0.00
7
0
- 0
0
2
0%
Bulgaria
0.33
4.16
0.00
0.00
0.00
4
0
- 0
0
1
0%
1%
Polinesia Francesa
1.63
0.13
0.00
0.00
0.00
2
0
- 0
0
1
0%
Belice
0.00
0.71
0.00
0.00
0.00
1
0
- 0
0
1
0%
Bielorrusia
0.61
1.81
0.00
0.00
0.00
2
0
- 0
0
1
0%
Camboya
0.00
0.50
0.00
0.00
0.00
1
0
- 0
0
0
0%
Irán
0.00
2.95
0.00
0.00
0.00
3
0
- 0
0
1
0%
Liechtenstein
0.63
3.02
0.00
0.00
0.00
4
0
- 0
0
1
0%
Mónaco
0.59
2.99
0.00
0.00
0.00
4
0
- 0
0
1
0%
Namibia
0.00
1.15
0.00
0.00
0.00
1
0
- 0
0
1
0%
Nigeria
0.04
0.96
0.00
0.00
0.00
1
0
- 0
0
1
0%
Vietnam
0.02
1.85
0.00
0.00
0.00
2
0
- 0
0
1
0%
Eslovenia
0.00
1.64
0.00
0.00
0.00
2
0
- 0
0
1
0%
Afganistán
0.02
0.07
0.00
0.00
0.00
0
0
- 0
0
0
0%
Albania
0.00
0.03
0.00
0.00
0.00
0
0
- 0
0
0
0%
Antigua y Barbuda
0.00
0.15
0.00
0.00
0.00
0
0
- 0
0
0
0%
Azerbaiyán
0.01
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Bangladesh
0.01
0.10
0.00
0.00
0.00
0
0
- 0
0
0
0%
Bután
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Bolivia
0.09
0.58
0.00
0.00
0.00
1
0
- 0
0
0
0%
Bosnia y Herzegovina
0.00
0.02
0.00
0.00
0.00
0
0
- 0
0
0
0%
Botsuana
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Territorio Británico del Océano
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Islas Salomón
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Brunéi
0.02
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Birmania
0.02
0.07
0.00
0.00
0.00
0
0
- 0
0
0
0%
Burundi
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Camerún
0.00
1.00
0.00
0.00
0.00
1
0
- 0
0
0
0%
República Centroafricana
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Sri Lanka
0.01
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Chad
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Comoras
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
República del Congo
0.00
0.02
0.00
0.00
0.00
0
0
- 0
0
0
0%
República Democrática del Congo
0.00
0.25
0.00
0.00
0.00
0
0
- 0
0
0
0%
Costa Rica
0.04
1.37
0.00
0.00
0.00
1
0
- 0
0
0
0%
Croacia
0.04
0.37
0.00
0.11
0.00
1
0
0
- 0
0
0
0%
Cuba
0.08
0.53
0.00
0.00
0.00
1
0
- 0
0
0
0%
Benín
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Dominica
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
El Salvador
0.01
0.42
0.00
0.00
0.00
0
0
- 0
0
0
0%
Guinea Ecuatorial
0.00
0.98
0.00
0.00
0.00
1
0
- 0
0
0
0%
Etiopía
0.00
0.14
0.00
0.00
0.00
0
0
- 0
0
0
0%
Eritrea
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Islas Feroe
0.25
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Islas Malvinas
0.00
0.83
0.00
0.00
0.00
1
0
- 0
0
0
0%
Islas Georgias del Sur y Sandwi
0.15
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Fiyi
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Guayana Francesa
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Territorios Australes Franceses
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Yibuti
0.33
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Gabón
0.00
0.14
0.00
0.00
0.00
0
0
- 0
0
0
0%
Georgia
0.02
0.07
0.00
0.00
0.00
0
0
- 0
0
0
0%
Gambia
0.00
0.03
0.00
0.00
0.00
0
0
- 0
0
0
0%
Territorios palestinos
0.01
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Ghana
0.11
1.17
0.00
0.00
0.00
1
0
- 0
0
0
0%
Groenlandia
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Granada
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Guadalupe
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Guam
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Guatemala
0.31
0.94
0.00
0.00
0.00
1
0
- 0
0
0
0%
Guinea
0.00
0.07
0.00
0.00
0.00
0
0
- 0
0
0
0%
Guyana
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Haití
0.01
0.93
0.00
0.00
0.00
1
0
- 0
0
0
0%
Ciudad del Vaticano
0.02
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Honduras
0.00
0.02
0.00
0.00
0.00
0
0
- 0
0
0
0%
Islandia
0.30
2.09
0.00
0.00
0.00
2
0
- 0
0
0
0%
Iraq
0.01
0.02
0.00
0.00
0.00
0
0
- 0
0
0
0%
Israel
0.15
1.46
0.00
0.00
0.00
2
0
- 0
0
0
0%
Costa de Marfil
0.03
0.28
0.00
0.00
0.00
0
0
- 0
0
0
0%
Jamaica
0.00
0.18
0.00
0.00
0.00
0
0
- 0
0
0
0%
Kazajistán
0.03
1.43
0.00
0.00
0.00
1
0
- 0
0
0
0%
Jordania
0.01
0.05
0.00
0.00
0.00
0
0
- 0
0
0
0%
Kenia
0.01
0.58
0.00
0.00
0.00
1
0
- 0
0
0
0%
Corea del Norte
0.03
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Kirguistán
0.00
0.19
0.00
0.00
0.00
0
0
- 0
0
0
0%
Laos
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Líbano
0.00
1.68
0.00
0.00
0.00
2
0
- 0
0
0
0%
Lesoto
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Letonia
0.09
1.40
0.00
0.00
0.00
1
0
- 0
0
0
0%
Libia
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Macao
0.10
2.10
0.00
0.00
0.00
2
0
- 0
0
0
0%
Madagascar
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Malaui
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Maldivas
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Malí
0.00
0.02
0.00
0.00
0.00
0
0
- 0
0
0
0%
Martinica
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Mauritania
0.00
0.76
0.00
0.00
0.00
1
0
- 0
0
0
0%
Mauricio
0.01
0.04
0.00
0.00
0.00
0
0
- 0
0
0
0%
Mongolia
0.04
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Moldavia
0.04
0.02
0.00
0.00
0.00
0
0
- 0
0
0
0%
Montenegro
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Nepal
0.05
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Aruba
0.00
0.12
0.00
0.00
0.00
0
0
- 0
0
0
0%
Nueva Caledonia
0.00
0.04
0.00
0.00
0.00
0
0
- 0
0
0
0%
Vanuatu
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Nueva Zelanda
0.09
0.49
0.00
0.00
0.00
1
0
- 0
0
0
0%
Nicaragua
0.25
0.16
0.00
0.00
0.00
0
0
- 0
0
0
0%
Níger
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Islas Marianas del Norte
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Islas ultramarinas de Estados U
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Palaos
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Papúa Nueva Guinea
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Filipinas
0.10
0.56
0.00
0.00
0.00
1
0
- 0
0
0
0%
Guinea-Bissau
0.00
0.26
0.00
0.00
0.00
0
0
- 0
0
0
0%
Timor Oriental
0.03
0.10
0.00
0.00
0.00
0
0
- 0
0
0
0%
Reunión
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Ruanda
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Santa Helena
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
San Cristóbal y Nieves
0.00
0.03
0.00
0.00
0.00
0
0
- 0
0
0
0%
Anguila
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Santa Lucía
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
San Martín (parte francesa)
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
San Pedro y Miquelón
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
San Vicente y las Granadinas
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
San Marino
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Santo Tomé y Príncipe
0.00
0.14
0.00
0.00
0.00
0
0
- 0
0
0
0%
Senegal
0.00
0.62
0.00
0.00
0.00
1
0
- 0
0
0
0%
Serbia
0.01
0.08
0.00
0.00
0.00
0
0
- 0
0
0
0%
Sierra Leona
0.00
0.06
0.00
0.00
0.00
0
0
- 0
0
0
0%
Somalia
0.01
0.08
0.00
0.00
0.00
0
0
- 0
0
0
0%
Zimbabue
0.02
0.02
0.00
0.00
0.00
0
0
- 0
0
0
0%
Sudán
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Surinam
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Suazilandia
0.00
0.07
0.00
0.00
0.00
0
0
- 0
0
0
0%
Siria
0.01
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Tayikistán
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Togo
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Tonga
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Trinidad y Tobago
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Túnez
0.01
0.28
0.00
0.00
0.00
0
0
- 0
0
0
0%
Turkmenistán
0.00
0.01
0.00
0.00
0.00
0
0
- 0
0
0
0%
Islas Turcas y Caicos
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Uganda
0.01
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Macedonia
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Tanzania
0.62
0.06
0.00
0.00
0.00
1
0
- 0
0
0
0%
Burkina Faso
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Uzbekistán
0.00
0.42
0.00
0.00
0.00
0
0
- 0
0
0
0%
Yemen
0.00
0.00
0.00
0.00
0.00
0
0
- 0
0
0
0%
Zambia
0.00
0.30
0.00
0.00
0.00
0
0
- 0
0
0
0%
TOTAL
366,631
615,611
352
3,454
36,808
1,022,855
36,204
385
596
37,185
464,814
0.0117%
Fully phased-in IFRS9
The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book expo-sures relevant for the calculation of the institution-specific countercyclical capi-tal buffer (CCB) in accordance with Article 140 CRD (relevant credit expo-sures).
Table59
Amount of institution-specific countercyclical capital buffer (CCyB2)
Million euros
30th Jun. 2021
Total risk exposure amount
584,999
Institution specific countercyclical capital buffer rate
0.01%
Institution specific countercyclical capital buffer requirement
68
CRR Fully phased-in IFRS9
EN Annex IX
&P
Table60
Information on loans and advances subject to legislative and non-legislative moratoria
30th Jun 2021
Gross carrying amount
Accumulated impairment, accumulated negative changes in fair value due to credit risk
Gross carrying amount
Performing
Non performing
Performing
Non performing
Inflows to non-performing exposures*
Of which: exposures with forberance measures
Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)
Of which: exposures with forberance measures
Of which: Unlikely to pay that are not past-due or past-due <= 90 days
Of which: exposures with forberance measures
Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)
Of which: exposures with forberance measures
Of which: Unlikely to pay that are not past-due or past-due <= 90 days
Million euros
Loans and advances subject to moratorium
8,695
8,016
381
1,969
678
459
636
-381
-109
-22
-78
-272
-197
-257
179
of which: Households
4,513
4,312
302
654
201
84
177
-90
-35
-15
-29
-55
-30
-49
135
of which: Collateralised by residential immovable property
4,154
3,974
272
484
180
76
164
-73
-26
-12
-22
-47
-27
-44
114
of which: Non-financial corporations
4,182
3,704
79
1,314
477
374
459
-291
-74
-7
-49
-217
-167
-208
43
of which: Small and Medium-sized Enterprises
2,426
2,134
45
357
293
231
280
-184
-52
-5
-33
-133
-104
-130
29
of which: Collateralised by commercial immovable property
2,023
1,707
31
251
317
266
302
-154
-33
-2
-21
-121
-102
-115
21
Note: Following indications from the Competent supervisory authority, information in this table is related to outstanding moratoria
* Inflows to non-performing exposures are biannual
Table61
Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria
30th Jun 2021
Number of obligors
Gross carrying amount
Of which: legislative moratoria
Of which: expired
Residual maturity of moratoria
<= 3 months
> 3 months <= 6 meses
> 6 months <= 9 months
> 9 months <= 12 months
> 1 year
Million euros
Loans and advances for which moratorium was offered
4,132,523
117,495
Loans and advances subject to moratorium
3,902,415
104,368
67,277
95,673
7,504
1,085
38
44
22
of which: Households
85,680
59,210
81,167
3,666
811
14
19
3
of which: Collateralised by residential immovable property
69,263
56,060
65,109
3,393
756
3
1
1
of which: Non-financial corporations
18,688
8,067
14,506
3,838
275
24
25
19
of which: Small and Medium-sized Enterprises
8,054
4,946
5,627
2,291
109
13
3
10
of which: Collateralised by commercial immovable property
4,234
1,892
2,210
1,850
149
13
3
9
Table62
Information on newly originated loans and advances provided under newly applicable public guarantee schemes introduced in response to COVID-19 crisis
30th Jun 2021
Gross carrying amount
Maximum amount of the guarantee that can be considered
Gross carrying amount
Million euros
of which: forborne
Public guarantees received
Inflows to non-performing exposures*
Newly originated loans and advances subject to public guarantee schemes
41,466
1
33,313
670
of which: Households
1,766
46
of which: Collateralised by residencial immovable property
2
0
of which: Non-financial corporations
39,695
1
31,890
624
of which: Small and Medium-sized Enterprises
28,450
388
of which: Collateralised by commercial immovable property
133
16
* Inflows to non-performing exposures are biannual
EN ANNEX IV
&P
Attachments
Original Link
Original Document
Permalink
Disclaimer
Banco Santander SA published this content on 25 October 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 22 November 2021 18:54:09 UTC.
Banco Santander, S.A. is Spain's largest banking group. The activity is organized into three sectors:
- commercial banking: retail banking activities and specialized financial services (consumer loans, mortgages, etc.);
- investment, financial and market banking: classic and specialized financing (financing acquisitions, projects, etc.), financial engineering (consulting on mergers and acquisitions, stock transactions, etc.), intervention in the stock, rate and exchange markets, etc.;
- asset management and private banking. The group also develops bank insurance activities through Santander Seguros and Banesto Seguros.
At the end of 2023, the group managed EUR 1,047.2 billion in current deposits and EUR 1,036.3 billion in current credits.
The products and services are marketed via a network of 8,518 branches worldwide.