EBA欧洲银行-EBA_TR_ES_5493006QMFDDMYWIAM13_29页_5mb

报告摘要

2016 EU-wide Stress Test Summary for Banco Santander S.A.

Core Information

Bank Name: Banco Santander S.A.
LEI Code: 5493006QMFDDMYWIAM13
Country Code: ES (Spain)

Key Performance Indicators (31/12/2015 - 31/12/2018)

Metric	Actual (31/12/2015)	Baseline Scenario (31/12/2018)	Adverse Scenario (31/12/2018)
Cumulative 3y: Net Interest Income	-	87,769.65 mln EUR	76,067.55 mln EUR
Cumulative 3y: Gains or (-) losses on financial assets and liabilities	-	2,228.70 mln EUR	-2,517.39 mln EUR
Cumulative 3y: Impairment or (-) reversal of impairment	-	-26,657.09 mln EUR	-40,039.03 mln EUR
Cumulative 3y: Profit or (-) loss for the year	-	20,710.78 mln EUR	-1,225.82 mln EUR
Coverage Ratio - Default Stock	46.99%	41.83%	43.10%
Common Equity Tier 1 (CET1) Capital	73,454.09 mln EUR	77,654.93 mln EUR	51,514.76 mln EUR
CET1 Ratio	12.7%	13.2%	8.7%
Fully Loaded CET1 Ratio	10.2%	13.2%	8.2%
Tier 1 Capital	73,454.09 mln EUR	84,466.19 mln EUR	58,326.02 mln EUR
Leverage Ratio	5.4%	6.2%	4.3%
Fully Loaded Leverage Ratio	4.7%	6.1%	4.0%
Total Risk Exposure Amount	577,797.67 mln EUR	586,446.63 mln EUR	592,949.09 mln EUR

Memorandum Items

Item	Baseline Scenario	Adverse Scenario
Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions)	-	0
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital (conversion or write-down)	-	5,504 mln EUR
Of which: eligible instruments whose trigger is above CET1 ratio in adverse scenario	-	0

Detailed Exposure and Risk Analysis

United Kingdom

Exposure Values:
- A-IRB: 265,523 mln EUR
- F-IRB: 0
Risk Exposure Amounts:
- A-IRB: 169,961 mln EUR
- F-IRB: 34,211 mln EUR
Stock of Provisions:
- A-IRB: 3,276 mln EUR
- F-IRB: 9,821 mln EUR
Coverage Ratio - Default Stock: 956%

Spain

Exposure Values:
- A-IRB: 159,329 mln EUR
- F-IRB: 8,195 mln EUR
Risk Exposure Amounts:
- A-IRB: 67,929 mln EUR
- F-IRB: 5,355 mln EUR
Stock of Provisions:
- A-IRB: 705 mln EUR
- F-IRB: 84 mln EUR
Coverage Ratio - Default Stock: 44.8%

Brazil

Exposure Values:
- A-IRB: 8,195 mln EUR
- F-IRB: 8,362 mln EUR
Risk Exposure Amounts:
- A-IRB: 5,355 mln EUR
- F-IRB: 3,870 mln EUR
Stock of Provisions:
- A-IRB: 84 mln EUR
- F-IRB: 63 mln EUR
Coverage Ratio - Default Stock: 193%

Mexico

Exposure Values:
- A-IRB: 8,195 mln EUR
- F-IRB: 8,362 mln EUR
Risk Exposure Amounts:
- A-IRB: 5,355 mln EUR
- F-IRB: 3,870 mln EUR
Stock of Provisions:
- A-IRB: 84 mln EUR
- F-IRB: 63 mln EUR
Coverage Ratio - Default Stock: 193%

Chile

Exposure Values:
- A-IRB: 8,195 mln EUR
- F-IRB: 8,362 mln EUR
Risk Exposure Amounts:
- A-IRB: 5,355 mln EUR
- F-IRB: 3,870 mln EUR
Stock of Provisions:
- A-IRB: 84 mln EUR
- F-IRB: 63 mln EUR
Coverage Ratio - Default Stock: 193%

Key Observations

Capital Adequacy: The CET1 ratio decreased in the adverse scenario for all countries, indicating a potential risk to capital adequacy under severe stress conditions.
Profitability: Profit for the year was positive in the baseline scenario but turned negative in the adverse scenario, showing vulnerability to economic downturns.
Risk Exposure: Total risk exposure increased in the adverse scenario, suggesting that the bank may face higher credit risk in such conditions.
Provisions: The stock of provisions for defaulted assets increased in adverse scenarios, indicating the need for more provisions to cover potential losses.
Coverage Ratio: The coverage ratio for default stock was generally lower in the adverse scenario, highlighting the importance of monitoring this metric for risk assessment.

Conclusion

The 2016 EU-wide Stress Test provides an assessment of Banco Santander S.A.'s financial resilience under different economic scenarios. While the baseline scenario shows positive profitability and a stable CET1 ratio, the adverse scenario reveals a significant decline in profitability and a drop in capital ratios. The bank must closely monitor its exposure and provisions to ensure it remains solvent under severe economic conditions.

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