Banco Santander S A : GSIBS Indicadores Cuantitativos

Boadilla del Monte, 26 Abril 2024

Indicadores para identificar Entidades Globalmente Sistémicas

Información referida a 31 de diciembre 2023

1. Introducción

Identificación de Entidades Globalmente Sistémicas

• Santander es una de las 29 entidades1 designadas en 2023 por el Comité de Basilea conjuntamente con el Financial Stability Board como entidad sistémica de importancia global.
• Esta designación obliga a Santander a cumplir requerimientos adicionales consistentes principalmente en:

1. colchón de capital

1. requerimientos de TLAC

1. 1. exigencia de publicar información relevante con mayor frecuencia o mayores exigencias regulatorias para los órganos de control interno o supervisión especial
      o exigencia de informes especiales a presentar a sus supervisores.
2. Se puede consultar la lista de entidades sistémicas de importancia global en:https://www.fsb.org/wp-content/uploads/P271123.pdf

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2. Realización del cálculo

Identificación de Entidades Globalmente Sistémicas

• La información se solicita anualmente a los bancos con exposición de apalancamiento superior a los 200.000 millones de euros, con la obligación de publicarla antes del 30 de abril del año siguiente.
• Con esta información se elabora un indicador global que determinará el tamaño del colchón de capital que se le exigirá en función de unos tramos definidos por los reguladores. Si supera 130, la entidad será designada entidad sistémica de importancia global.
• La medición empleada para la designación se basa en cinco categorías:

1. Tamaño

1. Actividad interjurisdiccional

• 1. Interconexión con otras entidades financieras o Sustituibilidad
     o Complejidad.
• En noviembre 2023 el Financial Stability Board publicó la lista de entidades sistémicas de importancia global donde Santander obtuvo una puntuación de 190.

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3. Información cuantitativa de los indicadores

Resumen

		Indicator value
Section 23 - Indicator Values (Revised methodology)	in million EUR
a. Section 2 - Total exposures indicator, including insurance subsidiaries	1.866.697
b. Section 3 - Intra-financial system assets indicator, including insurance subsidiaries	124.813
c. Section 4 - Intra-financial system liabilities indicator, including insurance	166.658
subsidiaries
d. Section 5	- Securities outstanding indicator, including insurance subsidiaries	341.370
e. Section 6	- Payments activity indicator	11.711.102
f. Section 7 - Assets under custody indicator	601.770
g. Section 8	- Underwriting activity indicator	85.657
h. Section 9.c - Trading Volume fixed income sub-indicator	2.003.849
i. Section 9.f - Trading Volume equities and other securities sub-indicator	623.464
j. Section 10 - OTC derivatives indicator, including insurance subsidiaries	7.929.049
k. Section 11 - Trading and AFS securities indicator	37.291
l. Section 12 - Level 3 assets indicator, including insurance subsidiaries	10.351
m. Section 13 - Cross-jurisdictional claims indicator	1.307.180
n. Section 14 - Cross-jurisdictional liabilities indicator	1.026.328

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3. Información cuantitativa de los indicadores

General Bank Data

Section 1 - General Information	GSIB	Response
a. General information provided by the relevant supervisory authority:
(1)	Country code	1001	ES
(2)	Bank name	1002	Banco Santander
(3)	Reporting date (yyyy-mm-dd)	1003	2023-12-31
(4)	Reporting currency	1004	EUR
(5)	Euro conversion rate	1005	1
(6)	Submission date (yyyy-mm-dd)	1006	2024-04-26
b. General Information provided by the reporting institution:
(1)	Reporting unit	1007	1.000.000
(2)	Accounting standard	1008	IFRS
(3)	Date of public disclosure (yyyy-mm-dd)	1009	2024-04-26
(4)	Language of public disclosure	1010	Spanish
(5)	Web address of public disclosure	1011	s/documentos/otras-presentaciones/
(6)	LEI code	2015	5493006QMFDDMYWIAM13

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3. Información cuantitativa de los indicadores

Size Indicator

Section 2 - Total Exposures	GSIB	Amount in million EUR
a. Derivatives
(1)	Counterparty exposure of derivatives contracts	1012	19.558
(2)	Effective notional amount of written credit derivatives	1201	7.067
(3)	Potential future exposure of derivative contracts	1018	18.985
b. Securities financing transactions (SFTs)
(1)	Adjusted gross value of SFTs	1013	100.108
(2)	Counterparty exposure of SFTs	1014	4.190
c. Other assets	1015	1.592.878
d. Gross notional amount of off-balance sheet items
(1)	Items subject to a 10% credit conversion factor (CCF)	1019	171.331
(2)	Items subject to a 20% CCF	1022	115.269
(3)	Items subject to a 40% CCF	2300	0
(4)	Items subject to a 50% CCF	1023	71.227
(5)	Items subject to a 100% CCF	1024	29.679
e. Regulatory adjustments	1031	21.637
f. Total exposures prior to regulatory adjustments (sum of items 2.a.(1) through 2.c, 0.1 times 2.d.(1), 0.2 times 2.d.(2), 0.4
times 2.d.(3), 0.5 times 2.d.(4), and 2.d.(5))	1103	1.848.266
g. Exposures of insurance subsidiaries not included in 2.f net of intragroup:
(1)	On-balance sheet and off-balance sheet assets of insurance subsidiaries	1701	21.338
(2)	Potential future exposure of derivatives contracts of insurance subsidiaries	1205	0
(3)	Investment value in consolidated entities	1208	1.442
h. Intragroup exposures included in 2.f to insurance subsidiaries reported in 2.g	2101	1.465
i. Total exposures indicator, including insurance subsidiaries (sum of items 2.f, 2.g.(1) through 2.g.(2) minus 2.g.(3) through
2.h)		1117	1.866.697

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3. Información cuantitativa de los indicadores

Interconnectedness Indicators (I/II)

Section 3 - Intra-Financial System Assets	GSIB	Amount in million EUR
a. Funds deposited with or lent to other financial institutions	1216	57.965
(1)	Certificates of deposit	2102	0
b. Unused portion of committed lines extended to other financial institutions	1217	32.145
c. Holdings of securities issued by other financial institutions
(1)	Secured debt securities	2103	1.549
(2)	Senior unsecured debt securities	2104	17.940
(3)	Subordinated debt securities	2105	369
(4)	Commercial paper	2106	0
(5)	Equity securities	2107	8.774
(6)	Offsetting short positions in relation to the specific equity securities included in item 3.c.(5)	2108	2.618
d. Net positive current exposure of SFTs with other financial institutions	1219	2.840
e. OTC derivatives with other financial institutions that have a net positive fair value
(1)	Net positive fair value	2109	3.300
(2)	Potential future exposure	2110	2.549
f. Intra-financial system assets indicator, including insurance subsidiaries (sum of items 3.a, 3.b through 3.c.(5), 3.d, 3.e.(1),
and 3.e.(2), minus 3.c.(6))	1215	124.813

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3. Información cuantitativa de los indicadores

Interconnectedness Indicators (II/II)

Section 4 - Intra-Financial System Liabilities	GSIB	Amount in million EUR
a. Funds deposited by or borrowed from other financial institutions
(1) Deposits due to depository institutions	2111	59.719
(2) Deposits due to non-depository financial institutions	2112	89.715
(3) Loans obtained from other financial institutions	2113	0
b. Unused portion of committed lines obtained from other financial institutions	1223	4.360
c. Net negative current exposure of SFTs with other financial institutions	1224	7.863
d. OTC derivatives with other financial institutions that have a net negative fair value
(1) Net negative fair value	2114	1.873
(2) Potential future exposure	2115	3.128
e. Intra-financial system liabilities indicator, including insurance subsidiaries (sum of items 4.a.(1) through 4.d.(2))	1221	166.658
Section 5 - Securities Outstanding	GSIB	Amount in million EUR
a. Secured debt securities	2116	50.242
b. Senior unsecured debt securities	2117	144.526
c. Subordinated debt securities	2118	30.327
d. Commercial paper	2119	29.721
e. Certificates of deposit	2120	16.449
f. Common equity	2121	69.903
g. Preferred shares and any other forms of subordinated funding not captured in item 5.c.	2122	202
h. Securities outstanding indicator, including the securities issued by insurance subsidiaries (sum of items 5.a through 5.g)	1226	341.370

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3. Información cuantitativa de los indicadores

Substitutability/Financial Institution Infrastructure Indicators (I/II)

Section 6 - Payments made in the reporting year (excluding intragroup payments)	GSIB	Amount in million EUR
a. Australian dollars (AUD)	1061	27.403
b. Canadian dollars (CAD)	1063	62.125
c. Swiss francs (CHF)	1064	82.205
d. Chinese yuan (CNY)	1065	215.541
e. Euros (EUR)	1066	4.221.196
f. British pounds (GBP)	1067	1.294.257
g. Hong Kong dollars (HKD)	1068	126.136
h. Indian rupee (INR)	1069	113
i. Japanese yen (JPY)	1070	54.743
j. Swedish krona (SEK)	1071	25.755
k. Singapore dollar (SGD)	2133	15.612
l. United States dollars (USD)	1072	5.586.017
m. Payments activity indicator (sum of items 6.a through 6.l)	1073	11.711.102

Section 7 - Assets Under Custody

a. Assets under custody indicator

GSIB	Amount in million EUR
1074	601.770

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3. Información cuantitativa de los indicadores

Substitutability/Financial Institution Infrastructure Indicators (II/II)

Section 8 - Underwritten Transactions in Debt and Equity Markets	GSIB	Amount in million EUR
a. Equity underwriting activity	1075	2.078
b. Debt underwriting activity	1076	83.579
c. Underwriting activity indicator (sum of items 8.a and 8.b)	1077	85.657

Section 9 - Trading Volume	GSIB	Amount in million EUR
a. Trading volume of securities issued by other public sector entities, excluding intragroup transactions	2123	1.068.099
b. Trading volume of other fixed income securities, excluding intragroup transactions	2124	935.750
c. Trading volume fixed income sub-indicator (sum of items 9.a and 9.b)	2125	2.003.849
d. Trading volume of listed equities, excluding intragroup transactions	2126	477.540
e. Trading volume of all other securities, excluding intragroup transactions	2127	145.924
f. Trading volume equities and other securities sub-indicator (sum of items 9.d and 9.e)	2128	623.464

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