EBA欧洲银行-ES059_11页_940kb

Summary of the 2011 EBA EU-wide Stress Test for BANCO SANTANDER S.A.

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Core Tier 1 Capital: 41,998 million EUR
  • Core Tier 1 Capital Ratio: 7.1%
  • Additional capital needed to reach 5% benchmark: 12,283 million EUR

• Outcomes of adverse scenario at 31 December 2012 (excluding mitigating actions):

  • Core Tier 1 Capital Ratio: 8.4%

• Outcomes of adverse scenario at 31 December 2012 (including mitigating measures up to 30 April 2011):

  • Core Tier 1 Capital: 54,364 million EUR
  • Core Tier 1 Capital Ratio: 8.4%
  • Additional capital needed to reach 5% benchmark: Not specified

• Supervisory recognised capital ratio after all mitigating actions:

  • Core Tier 1 Capital Ratio: 8.9%

Capital Adequacy Under Different Scenarios

A. Full Static Balance Sheet Assumption (No Mitigating Actions)

• Risk Weighted Assets (RWA):

  • 2010: 594,284 million EUR
  • 2011: 613,279 million EUR
  • 2012: 622,571 million EUR (Baseline) / 650,979 million EUR (Adverse)

• Core Tier 1 Capital:

  • 2010: 41,998 million EUR
  • 2011: 47,002 million EUR
  • 2012: 59,374 million EUR (Baseline) / 45,053 million EUR (Adverse)

• Core Tier 1 Capital Ratio:

  • 2010: 7.1%
  • 2011: 7.7%
  • 2012: 9.5% (Baseline) / 7.2% (Adverse)

B. Recognising Capital Issuance and Mandatory Restructuring (Up to 31 December 2010)

• RWA remains unchanged from the full static balance sheet assumption.
• Core Tier 1 Capital:
  • 2010: 41,998 million EUR
  • 2011: 47,002 million EUR
  • 2012: 59,374 million EUR (Baseline) / 45,053 million EUR (Adverse)
• Core Tier 1 Capital Ratio:
  • 2010: 7.1%
  • 2011: 7.7%
  • 2012: 9.5% (Baseline) / 7.2% (Adverse)

C. Recognising Mitigating Measures (Up to 30 April 2011)

• Capital after mitigating measures:

  • Core Tier 1 Capital: 54,364 million EUR
  • Tier 1 Capital: 57,668 million EUR
  • Total Regulatory Capital: 73,453 million EUR

• Capital Ratio (Adverse Scenario):

  • 8.9% (Supervisory Recognised)

• Operating Profit and Impairments:

  • 2011: 21,487 million EUR
  • 2012: 21,487 million EUR
  • Impairment losses: -14,771 million EUR

• Losses from Stress in Trading Book:

  • 2011: -859 million EUR
  • 2012: -859 million EUR
  • Valuation losses due to sovereign shock: -102 million EUR

• RWA in Banking Book:

  • 2011: 541,249 million EUR
  • 2012: 541,249 million EUR

• RWA in Trading Book:

  • 2011: 45,044 million EUR
  • 2012: 45,044 million EUR

• RWA on Securitisation Positions:

  • 2011: 47,287 million EUR
  • 2012: 47,287 million EUR

• Coverage Ratios:

  • Corporate (excluding Commercial Real Estate): 35.8%
  • Retail (excluding Commercial Real Estate): 45.9%
  • Commercial Real Estate: 26.4%

• Loss Rates:

  • Corporate: 1.0%
  • Retail: 2.1%
  • Commercial Real Estate: 1.7%

• Funding Cost (bps):

  • 2011: 291
  • 2012: 348

Mitigating Measures

• A) Use of provisions and/or other reserves:

  • Capital ratio impact: +0.5 percentage points
  • Amount: 3,304 million EUR
  • RWA impact: 0 million EUR

• B) Divestments and other management actions (up to 30 April 2011):

  • No capital or RWA impact specified

• C) Other disinvestments and restructuring measures:

  • No capital or RWA impact specified

• D) Future planned issuances of common equity instruments (private):

  • No capital ratio impact

• E) Future planned government subscriptions of capital instruments:

  • No capital ratio impact

• F) Other instruments recognised as appropriate back-stop measures:

  • No capital or RWA impact specified

Capital Composition at 31 December 2010

• Common Equity before deductions: 43,248 million EUR (7.3% of RWA)
• Eligible capital and reserves: 70,963 million EUR (11.9% of RWA)
• Intangible assets (including goodwill): -27,714 million EUR (-4.7% of RWA)
• Adjustment to valuation differences in other AFS assets: +1,286 million EUR (0.2% of RWA)
• Deductions from common equity: -1,251 million EUR (-0.2% of RWA)
• Common Equity (Net): 41,998 million EUR (7.1% of RWA)
• Tier 1 Capital: 47,972 million EUR (8.1% of RWA)
• Tier 2 Capital: 14,550 million EUR (2.4% of RWA)
• Total Capital: 62,522 million EUR (10.5% of RWA)

Notes and Definitions

• The stress test used the EBA common methodology with static balance sheet assumptions and regulatory transitional floors.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The results are not forecasts and should not be directly compared to other published information.
• The Core Tier 1 capital ratio is calculated based on risk weighted assets and capital components.
• Countercyclical provisions are included in mitigating measures, with an impact of +0.5 percentage points on the capital ratio.
• Deferred tax assets are included as part of capital calculations, at 12,715 million EUR.
• Provisions for non-defaulted exposures include sovereigns and financial institutions, based on EBA risk parameters.
• Coverage ratio = provisions on defaulted assets / EAD of defaulted assets.
• Loss rate = total impairment flow / total EAD of the portfolio (excluding securitisation and counterparty credit risk).
• All elements are reported net of tax effects.
• Supervisory recognised capital ratio includes additional mitigating measures not necessarily recognized by EBA.