11/29/2021 | Press release | Distributed by Public on 11/30/2021 02:29
September 2021 | ||
Pillar 3 Disclosure Grupo Santander | ||
KEY METRICS, CAPITAL RATIOS AND OWN FUNDS | ||
1 | Main capital figures and capital adequacy ratios | Go to Table1 |
KM1 | Key metrics template (KM1) | Go to Table2 |
NIIF-9FL | 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 |
4 | Transitional own funds disclosure template | Go to Table4 |
OV1 | Overview of RWAs (OV1) | Go to Table5 |
CREDIT RISK | ||
CR8 | RWA flow statement of credit risk exposures under IRB | Go to Table6 |
COUNTERPARTY CREDIT RISK | ||
CCR7 | APR flow statement of counterparty risk exposures under the IMM method | Go to Table7 |
MARKET RISK | ||
MR2_B | RWA flow statements of market risk exposures under IMA | Go to Table8 |
LIQUIDITY RISK | ||
LIQ1 | Quantitative information of LCR | Go to Table9 |
LIQB | Qualitative information on LCR, which complements template EU LIQ1 | Go to Table10 |
Notes | ||
A. 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' | ||
B. In case of any discrepancies, Spanish version will prevail. |
Main capital figures and capital adequacy ratios | ||||||||
CRR Fully loaded | CRR Phased-in | |||||||
Million euros | Sep'21 | Jun'21 | Mar'21 | Dec'20 | Sep'21 | Jun'21 | Mar'21 | Dec'20 |
Common Equity (CET1) | 70,787 | 70,864 | 69,627 | 69,399 | 70,787 | 70,864 | 69,627 | 69,399 |
Tier 1 | 80,585 | 79,661 | 78,417 | 78,126 | 80,897 | 79,973 | 78,731 | 78,501 |
Total capital | 93,240 | 92,270 | 91,466 | 90,933 | 93,537 | 92,539 | 91,550 | 91,015 |
Risk weighted assets | 577,209 | 584,999 | 567,797 | 562,580 | 577,209 | 584,999 | 567,797 | 562,580 |
CET1 Ratio | 12.26% | 12.11% | 12.26% | 12.34% | 12.26% | 12.11% | 12.26% | 12.34% |
Tier 1 Ratio | 13.96% | 13.62% | 13.81% | 13.89% | 14.02% | 13.67% | 13.87% | 13.95% |
Total capital ratio | 16.15% | 15.77% | 16.11% | 16.16% | 16.20% | 15.82% | 16.12% | 16.18% |
Leverage Ratio | 5.20% | 5.16% | 5.06% | 5.31% | 5.22% | 5.18% | 5.08% | 5.33% |
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 |
Key metrics template (KM1) | |||||
Million euros | Sep. 2021 | Jun. 2021 | Mar. 2021 | Dec. 2020 | Sep. 2020 |
Available own funds (amounts) | |||||
Common Equity Tier 1 (CET 1) capital | 70,787 | 70,864 | 69,627 | 69,399 | 66,528 |
Tier 1 capital | 80,897 | 79,973 | 78,731 | 78,501 | 75,492 |
Total capital | 93,537 | 92,539 | 91,550 | 91,015 | 86,479 |
Risk-weighted exposure amounts | |||||
Total risk-weighted exposure amount | 577,209 | 584,999 | 567,797 | 562,580 | 555,122 |
Capital ratios (as a percentage of risk-weighted exposure amount) | |||||
Common Equity Tier 1 ratio (%) | 12.26% | 12.11% | 12.26% | 12.34% | 11.98% |
Tier 1 ratio (%) | 14.02% | 13.67% | 13.87% | 13.95% | 13.60% |
Total capital ratio (%) | 16.20% | 15.82% | 16.12% | 16.18% | 15.58% |
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% | 0.01% |
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% | 3.51% |
Overall capital requirements (%) | 13.01% | 13.01% | 13.01% | 13.01% | 13.01% |
CET1 available after meeting the total SREP own funds requirements (%) | 36,715 | 35,975 | 37,609 | ||
Leverage ratio | |||||
Total exposure measure* | 1,549,988 | 1,543,833 | 1,549,821 | 1,471,480 | 1,459,771 |
Leverage ratio (%)* | 5.05% | 5.01% | 4.91% | 5.13% | 5.00% |
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 (%)**** | 3.06% | 3.06% | 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 (%)**** | 3.06% | 3.06% | 0.00% | 0.00% | 0.00% |
Liquidity Coverage Ratio | |||||
Total high-quality liquid assets (HQLA) (Weighted value - average) | 272,334 | 269,735 | 264,802 | 250,857 | 239,572 |
Cash outflows - Total weighted value | 218,089 | 211,076 | 206,796 | 204,842 | 202,016 |
Cash inflows - Total weighted value | 52,161 | 50,190 | 49,371 | 49,980 | 50,949 |
Total net cash outflows (adjusted value) | 165,928 | 160,886 | 157,426 | 154,862 | 151,068 |
Liquidity coverage ratio (%)** | 164% | 168% | 168% | 162% | 158% |
Net Stable Funding Ratio | |||||
Total available stable funding*** | 1,085,522 | 1,083,953 | 1,061,729 | 1,029,104 | 1,009,861 |
Total required stable funding*** | 868,570 | 874,940 | 874,195 | 854,193 | 847,093 |
NSFR ratio (%)*** | 125% | 124% | 121% | 120% | 119% |
CRR Phased in-Phased in IFRS9 | |||||
* Leverage ratio version is fully CRR, fully 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 | |||||
**** Modified according to FAQs on ECB supervisory measures in reaction to the coronavirus of 23 July 2021 regarding to the recalibration of the 3% leverage ratio requirement |
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 | September 2021 | June 2021 | March 2021 | |
Available capital (amounts) | ||||
1 | Common Equity Tier 1 (CET1) capital | 70,787 | 70,864 | 69,627 |
2 | Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 68,467 | 68,510 | 67,255 |
3 | Tier 1 capital | 80,897 | 79,973 | 78,731 |
4 | Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 78,577 | 77,618 | 76,358 |
5 | Total capital | 93,537 | 92,539 | 91,550 |
6 | Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 91,721 | 90,529 | 89,177 |
Risk-weighted assets (amounts) | ||||
7 | Total risk-weighted assets | 577,209 | 584,999 | 567,797 |
8 | Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 577,790 | 585,379 | 567,342 |
Capital ratios | ||||
9 | Common Equity Tier 1 (as a percentage of risk exposure amount) | 12.26% | 12.11% | 12.26% |
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 | 11.85% | 11.70% | 11.85% |
11 | Tier 1 (as a percentage of risk exposure amount) | 14.02% | 13.67% | 13.87% |
12 | Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 13.60% | 13.26% | 13.46% |
13 | Total capital (as a percentage of risk exposure amount) | 16.20% | 15.82% | 16.12% |
14 | Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 15.87% | 15.47% | 15.79% |
Leverage ratio | ||||
15 | Leverage ratio total exposure measure | 1,551,130 | 1,545,183 | 1,548,789 |
16 | Leverage ratio | 5.22% | 5.18% | 5.08% |
17 | Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied* | 5.07% | 5.03% | 4.93% |
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. | ||||
* Correction of the ratio as of Jun'21 to phased-in CRR, fully IFRS9 |
Transitional own funds disclosure template | ||
Sep-21 | ||
Million euros | CRR Phased-in amount | CRR Fully Loaded amount |
Common Equity Tier 1 (CET1): capital before regulatory adjustments | 88,871 | 88,871 |
Total regulatory adjustments to Common Equity Tier 1 (CET1) | -18,084 | -18,084 |
Common Equity Tier 1 (CET1) capital | 70,787 | 70,787 |
Additional Tier 1 (AT1) capital before regulatory adjustments | 10,140 | 9,827 |
Total regulatory adjustments to Additional Tier 1 (AT1) capital | -30 | -30 |
Additional Tier 1 (AT1) capital | 10,110 | 9,797 |
Tier 1 capital (T1 = CET1 + AT1) | 80,897 | 80,585 |
Tier 2 (T2) capital before regulatory adjustments | 13,360 | 13,375 |
Total regulatory adjustments to Tier 2 (T2) capital | -720 | -720 |
Tier 2 (T2) capital | 12,639 | 12,655 |
Total capital (TC = T1 + T2) | 93,537 | 93,240 |
Total risk weighted assets | 577,209 | 577,209 |
Capital Ratios and buffers | ||
Common Equity Tier 1 (as a percentage of total risk exposure amount) | 12.26% | 12.26% |
Tier 1 (as a percentage of total risk exposure amount) | 14.02% | 13.96% |
Total capital (as a percentage of total risk exposure amount) | 16.20% | 16.15% |
Phased-in IFRS9 |
Overview of RWAs (OV1) | |||
RWA | Minimum Capital Requirements | ||
Million euros | Sep'21 | Jun'21 | Sep'21 |
Credit risk (excluding CCR) | 479,618 | 485,259 | 38,369 |
Of which, standardised approach (SA) | 267,589 | 269,625 | 21,407 |
Of which, the foundation IRB (FIRB) approach | 7,799 | 8,298 | 624 |
Of which: slotting approach* | 14,621 | 14,263 | 1,170 |
Of which: equities under the simple riskweighted approach | 2,282 | 1,905 | 183 |
Of which, the advanced IRB (AIRB) approach | 170,622 | 174,191 | 13,650 |
Counterparty credit risk - CCR | 14,798 | 14,927 | 1,184 |
Of which the standardised approach** | 12,867 | 12,853 | 1,029 |
Of which internal model method (IMM) | - 0 | - 0 | - 0 |
Of which exposures to a CCP | 270 | 256 | 22 |
Of which credit valuation adjustment - CVA | 1,662 | 1,818 | 133 |
Of which other CCR | - 0 | - 0 | - 0 |
Empty set in the EU | |||
Empty set in the EU | |||
Empty set in the EU | |||
Empty set in the EU | |||
Empty set in the EU | |||
Settlement risk | 1 | 1 | 0 |
Securitisation exposures in the banking book (after the cap) | 9,182 | 8,537 | 735 |
Of which, SEC-IRBA approach | 4,180 | 3,794 | 334 |
Of which, SEC-ERBA approach | 1,283 | 1,407 | 103 |
Of which, SEC-SA approach*** | 2,344 | 2,257 | 188 |
Of which 1250%/ deduction | 1,374 | 1,079 | 110 |
Position, foreign exchange and commodities risks (Market risk) | 19,088 | 20,893 | 1,527 |
Of which, standardised approach | 6,388 | 6,667 | 511 |
Of which, IMA | 12,700 | 14,226 | 1,016 |
Large exposures | - 0 | - 0 | - 0 |
Operational risk | 55,896 | 56,461 | 4,472 |
Of which basic indicator approach | - 0 | - 0 | - 0 |
Of which, standardised approach | 55,896 | 56,461 | 4,472 |
Of which advanced measurement approach | - 0 | - 0 | - 0 |
Amounts below the thresholds for deduction (subject to 250% risk weight) | 24,295 | 24,802 | 1,944 |
Empty set in the EU | |||
Empty set in the EU | |||
Empty set in the EU | |||
Empty set in the EU | |||
Total**** | 577,209 | 584,999 | 46,177 |
It includes equities under the PD/LGD approach | |||
Fully CRR, phased-in IFRS9 | |||
* 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 |
RWA flow statements of credit risk exposures under the IRB approach (CR8) | |||
30th Sep. 2021 | |||
Million euros | RWA | ||
RWA as June 2021 | 205,828 | Comment | Regarding RWA variations from IRB Credit Risk (-3.615 MM RWA) mainly in Europe, North America and Brazil |
Asset size | -3,147 | ||
Asset quality | |||
Model updates | |||
Methodology and policy | |||
Acquisitions and disposals | -479 | ||
Foreign exchange movements | 12 | ||
Other | |||
RWA as Sep. 2021 | 202,213 | ||
It includes capital requirements of equity. | |||
CRR Fully phased-in IFRS9 |
RWEA flow statements of CCR exposures under the IMM (CCR7) | |||
30 thSep. 2020 | |||
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 |
RWA flow statements of market risk exposures under the IMA (MR2-B) | ||||||||
30th Sep. 2021 | ||||||||
Million euros | VaR | SVaR | IRC | Comprehensive risk measure | Other* | Total RWAs | Total capital requirements | |
RWA Jun. 2021 | 2,361 | 5,973 | 4,513 | 1,379 | 14,226 | 1,138 | Comment | The changes in the capital are mainly in the IRC and in Spain, due to the general reduction of the portfolio, because of the acquisition of hedges positions. Total exposure was also reduced in 960M during September compared to August. In addition, the Others raw, which contains the RNIV, increase due to methodological changes in Spain's models, exceeding the materiality thresholds. On the other side, VaR increase mainly in Mexico, because of the movements in the bonds and Swaps position and MXN/USD exchange rate position. No significant changes in SVAR. |
Regulatory adjustment | 877 | 3,780 | 2,613 | 0 | 7,270 | 582 | ||
RWAs at the previous quarter-end (end of the day) | 1,485 | 2,193 | 1,900 | 1,379 | 6,956 | 556 | ||
Movement in risk levels | 405 | -301 | -1,897 | 266 | -1,526 | -122 | ||
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) | 771 | 1,667 | 377 | 1,645 | 4,460 | 357 | ||
Regulatory adjustment | 1,996 | 4,005 | 2,239 | 0 | 8,240 | 659 | ||
RWA Sep. 2021 | 2,767 | 5,672 | 2,616 | 1,645 | 12,700 | 1,016 | ||
* Other includes Risks not in Model not included in Var or Svar |
Quantitative information of LCR (LIQ1) | ||||||||
Million euros | ||||||||
Scope of consolidation (consolidated) | Total unweighted value (average) | Total weighted value (average) | ||||||
Currency and units (Million euros) | ||||||||
Quarter ending on (DD Month YYY) | 30 September 2021 | 31 June 2021 | 31 March 2020 | 30 December 2020 | 30 September 2021 | 31 June 2021 | 31 March 2020 | 30 December 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 | 272,334 | 269,735 | 264,802 | 250,857 | ||||
CASH - OUTFLOWS | 0 | 0 | 0 | |||||
Retail deposits and deposits from small business customers, of which: | 547,332 | 538,698 | 529,254 | 522,981 | 39,231 | 38,307 | 37,590 | 37,082 |
Stable deposits | 328,635 | 322,790 | 315,291 | 305,053 | 16,432 | 16,139 | 15,765 | 15,253 |
Less stable deposits | 195,880 | 190,507 | 187,760 | 187,942 | 22,733 | 22,099 | 21,755 | 21,754 |
Unsecured wholesale funding | 237,321 | 229,467 | 224,989 | 219,570 | 112,891 | 107,332 | 103,919 | 102,346 |
Operational deposits (all counterparties) and deposits in networks of cooperative banks | 47,055 | 52,681 | 56,238 | 56,626 | 10,903 | 12,359 | 13,242 | 13,323 |
Non-operational deposits (all counterparties) | 182,736 | 169,590 | 162,060 | 155,391 | 94,457 | 87,778 | 83,986 | 81,470 |
Unsecured debt | 7,531 | 7,196 | 6,691 | 7,553 | 7,531 | 7,196 | 6,691 | 7,553 |
Secured wholesale funding | 4,970 | 4,839 | 4,784 | 4,588 | ||||
Additional requirements | 200,935 | 198,989 | 198,666 | 196,226 | 41,998 | 42,473 | 43,477 | 43,597 |
Outflows related to derivative exposures and other collateral requirements | 20,647 | 21,370 | 22,212 | 22,725 | 20,315 | 21,259 | 22,157 | 22,650 |
Outflows related to loss of funding on debt products | 1,769 | 1,690 | 1,975 | 1,776 | 1,769 | 1,690 | 1,975 | 1,776 |
Credit and liquidity facilities | 178,518 | 175,930 | 174,480 | 171,725 | 19,914 | 19,525 | 19,345 | 19,171 |
Other contractual funding obligations | 11,711 | 11,164 | 10,314 | 10,534 | 11,192 | 10,651 | 9,825 | 10,062 |
Other contingent funding obligations | 122,381 | 117,851 | 114,190 | 110,841 | 7,806 | 7,473 | 7,203 | 7,168 |
TOTAL CASH OUTFLOWS | 218,089 | 211,076 | 206,796 | 204,842 | ||||
CASH - INFLOWS | 0 | 0 | 0 | |||||
Secured lending (e.g. reverse repos) | 42,582 | 40,990 | 44,203 | 43,796 | 1,985 | 1,755 | 1,607 | 1,578 |
Inflows from fully performing exposures | 53,654 | 51,985 | 51,907 | 52,911 | 37,381 | 36,032 | 35,522 | 35,502 |
Other cash inflows | 15,230 | 14,550 | 14,114 | 14,902 | 12,795 | 12,403 | 12,242 | 12,900 |
(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 | 111,466 | 107,525 | 110,224 | 111,609 | 52,161 | 50,190 | 49,371 | 49,980 |
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 | 108,359 | 104,366 | 107,003 | 108,593 | 52,161 | 50,190 | 49,371 | 49,980 |
TOTAL ADJUSTED VALUE | 0 | 0 | 0 | |||||
LIQUIDITY BUFFER | 272,334 | 269,735 | 264,802 | 250,857 | ||||
TOTAL NET CASH OUTFLOWS | 165,928 | 160,886 | 157,426 | 154,862 | ||||
LIQUIDITY COVERAGE RATIO | 164% | 168% | 168% | 162% |
Qualitative information on LCR, complementing LIQ1 (LIQB) | |
in accordance with Article 451a(2) CRR | |
30th sep. 2021 | |
Qualitative information - Free format | |
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 September 2021 was 165,62%, 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. |
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 so far this year 2021. |
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 the remainder of 2021, the Group levels of concentration risk were within management limits, ensuring diversity of wholesale funding at subsidiary level. |
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. |
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. |
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. |
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 |