BANCO SANTANDER S.A. MORTGAGE COVERED BONDS INVESTORS PRESENTATION - "Cédulas hipotecarias (CH)"
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9M 2019 BANCO SANTANDER S.A. MORTGAGE COVERED BONDS INVESTORS PRESENTATION Here to help you prosper “Cédulas hipotecarias (CH)”
Important information
Non-IFRS and alternative performance measures
In addition to the financial information prepared in accordance with International Financial Reporting Standards (“IFRS”) and derived from our financial statements, this presentation contains
certain financial measures that constitute alternative performance measures (“APMs”) as defined in the Guidelines on Alternative Performance Measures issued by the European Securities and
Markets Authority (ESMA) on 5 October 2015 (ESMA/2015/1415en) and other non-IFRS measures (“Non-IFRS Measures”). The financial measures contained in this presentation that qualify as
APMs and non-IFRS measures have been calculated using the financial information from Santander Group but are not defined or detailed in the applicable financial reporting framework and
have neither been audited nor reviewed by our auditors. We use these APMs and non-IFRS measures when planning, monitoring and evaluating our performance. We consider these APMs
and non-IFRS measures to be useful metrics for management and investors to facilitate operating performance comparisons from period to period. While we believe that these APMs and non-
IFRS measures are useful in evaluating our business, this information should be considered as supplemental in nature and is not meant as a substitute of IFRS measures. In addition, other
companies, including companies in our industry, may calculate or use such measures differently, which reduces their usefulness as comparative measures. For further details of the APMs and
Non-IFRS Measures used, including its definition or a reconciliation between any applicable management indicators and the financial data presented in the consolidated financial statements
prepared under IFRS, please see 2019 3Q Financial Report, published as Relevant Fact on 30 October 2019 and 2018 Annual Financial Report, filed with the Comisión Nacional del Mercado
de Valores of Spain (CNMV) on 28 February 2019. These documents are available on Santander’s website (www.santander.com).
The businesses included in each of our geographic segments and the accounting principles under which their results are presented here may differ from the included businesses and local
applicable accounting principles of our public subsidiaries in such geographies. Accordingly, the results of operations and trends shown for our geographic segments may differ materially from
those of such subsidiaries
Forward-looking statements
Santander cautions that this presentation contains statements that constitute “forward-looking statements” within the meaning of the U.S. Private Securities Litigation Reform Act of 1995.
Forward-looking statements may be identified by words such as “expect”, “project”, “anticipate”, “should”, “intend”, “probability”, “risk”, “VaR”, “RoRAC”, “RoRWA”, “TNAV”, “target”, “goal”,
“objective”, “estimate”, “future” and similar expressions. These forward-looking statements are found in various places throughout this presentation and include, without limitation, statements
concerning our future business development and economic performance and our shareholder remuneration policy. While these forward-looking statements represent our judgment and future
expectations concerning the development of our business, a number of risks, uncertainties and other important factors could cause actual developments and results to differ materially from our
expectations. The following important factors, in addition to those discussed elsewhere in this presentation, could affect our future results and could cause outcomes to differ materially from
those anticipated in any forward-looking statement: (1) general economic or industry conditions in areas in which we have significant business activities or investments, including a worsening of
the economic environment, increasing in the volatility of the capital markets, inflation or deflation, and changes in demographics, consumer spending, investment or saving habits; (2) exposure
to various types of market risks, principally including interest rate risk, foreign exchange rate risk, equity price risk and risks associated with the replacement of benchmark indices; (3) potential
losses associated with prepayment of our loan and investment portfolio, declines in the value of collateral securing our loan portfolio, and counterparty risk; (4) political stability in Spain, the UK,
other European countries, Latin America and the US (5) changes in laws, regulations or taxes, including changes in regulatory capital and liquidity requirements, including as a result of the UK
exiting the European Union and increased regulation in light of the global financial crisis; (6) our ability to integrate successfully our acquisitions and the challenges inherent in diverting
management’s focus and resources from other strategic opportunities and from operational matters while we integrate these acquisitions; and (7) changes in our ability to access liquidity and
funding on acceptable terms, including as a result of changes in our credit spreads or a downgrade in our credit ratings or those of our more significant subsidiaries. Numerous factors could
affect the future results of Santander and could result in those results deviating materially from those anticipated in the forward-looking statements. Other unknown or unpredictable factors
could cause actual results to differ materially from those in the forward-looking statements.
2Important information
Forward-looking statements speak only as of the date of this presentation and are based on the knowledge, information available and views taken on such date; such knowledge, information
and views may change at any time. Santander does not undertake any obligation to update or revise any forward-looking statement, whether as a result of new information, future events or
otherwise.
No offer
The information contained in this presentation is subject to, and must be read in conjunction with, all other publicly available information, including, where relevant any fuller disclosure
document published by Santander. Any person at any time acquiring securities must do so only on the basis of such person’s own judgment as to the merits or the suitability of the securities for
its purpose and only on such information as is contained in such public information having taken all such professional or other advice as it considers necessary or appropriate in the
circumstances and not in reliance on the information contained in this presentation. No investment activity should be undertaken on the basis of the information contained in this presentation. In
making this presentation available Santander gives no advice and makes no recommendation to buy, sell or otherwise deal in shares in Santander or in any other securities or investments
whatsoever.
Neither this presentation nor any of the information contained therein constitutes an offer to sell or the solicitation of an offer to buy any securities. No offering of securities shall be made in the
United States except pursuant to registration under the U.S. Securities Act of 1933, as amended, or an exemption therefrom. Nothing contained in this presentation is intended to constitute an
invitation or inducement to engage in investment activity for the purposes of the prohibition on financial promotion in the U.K. Financial Services and Markets Act 2000.
Historical performance is not indicative of future results
Statements as to historical performance or financial accretion are not intended to mean that future performance, share price or future earnings (including earnings per share) for any period will
necessarily match or exceed those of any prior period. Nothing in this presentation should be construed as a profit forecast.
Third Party Information
In particular, regarding the data provided by third parties, neither Santander, nor any of its administrators, directors or employees, either explicitly or implicitly, guarantees that these contents
are exact, accurate, comprehensive or complete, nor are they obliged to keep them updated, nor to correct them in the case that any deficiency, error or omission were to be detected.
Moreover, in reproducing these contents in by any means, Santander may introduce any changes it deems suitable, may omit partially or completely any of the elements of this presentation,
and in case of any deviation between such a version and this one, Santander assumes no liability for any discrepancy.
3CONTENT
1. Spanish macroeconomic environment
2. Santander Business Model & Strategy
3. Santander Spain – Main figures
4. Mortgage Covered Bonds – Sep 19
5. Appendix
4Spanish
macroeconomic
environment
01Spanish macroeconomic environment
The expansionary cycle in the Spanish economy is expected to continue, but at
slower pace in a very low interest rate environment…
Annual GDP Growth (real, %) Interest rates (official rate, %)
2.9
2.4
2.0
1.7 1.5
0.00 0.00 0.0 0.00 0.00
2017 2018 2019 (e) 2020 (e) 2021 (e) 2017 2018 2019 (e) 2020 (e) 2021 (e)
Annual inflation rate (%) Unemployment rate1 (%)
16.6
14.5 14.0
2.0 13.2 12.8
1.7
1.4
1.1
0.7
2017 2018 2019 (e) 2020 (e) 2021 (e) 2017 2018 2019 (e) 2020 (e) 2021 (e)
Source: Santander Research Department 6
(1) End of periodSpanish macroeconomic environment
…backed by job creation, higher consumption and real estate recovery
Contribution to GDP growth (% YoY) Housing: sales and permits (k)
600 New building permits (RHS) 120
6
550 Sales (LHS) 110
4 100
500
90
2 450 80
400 70
0 60
350
50
-2 300 40
-4 250 30
2013 2014 2015 2016 2017 2018 2019(e) 2020(e) 2021(e)
Net external demand Domestic demand *Rolling 12m sum
Indebtedness (% GDP)
Current account balance (% GDP)
Public
3.2
Private
2.7 250%
2.0 2.0 200%
1.9
1.7 1.8 1.7
1.5
150%
100%
0.1
50%
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
(e) (e) (e)
0%
Source: Santander Research Department and Bloomberg 1995 2000 2005 2010 2013 2016 2018 7
Current account balance and GDP have been recently restatedSpanish macroeconomic environment: Financial system loans and customer deposits
Deleveraging continues, reducing stock of loans
Total loans (EUR bn)
Demand for housing loans declined in Q3’19. The factors that
explain this decline are, mainly, less consumer confidence and
regulatory changes. Also, lower to a lesser extent, the worsening
1,180 1,173 1,167 1,178 1,163 outlook in the housing market, higher funding by own funds and
greater use of loans from other institutions.
YoY
(%) -2.1 -1.2
-3.2 -3.9 Demand for consumer credit and others declined slightly due to a
-4.4
decrease in consumer confidence, lower spending on consumer
durables and a higher use of loans from other entities. Demand for
Sep-18 Dec-18 Mar-19 Jun-19 Aug-19 funds from companies declined between July and September 2019,
in both SMEs and corporates.
Total deposits (EUR bn)
1,040 1,061 1,079 1,104 1,090
6.3 5.3 6.1 In savings, slight decrease in volumes with varied performance by
YoY 4.2 product: migration from time to demand deposits, both in households &
(%) 3.3
non-financial entities.
Sep-18 Dec-18 Mar-19 Jun-19 Aug-19
Source: Bank of Spain. Comments from the Survey on banking loans (Encuesta sobre préstamos bancarios en España: Octubre 2019; Boletín Económico 4/2019) 8
Loans to Other Resident sectorsSpanish macroeconomic environment: Credit quality
Spanish NPL ratios in a downward trend and in line with EU average
Spain Mortgage NPL ratios (%) European Banks Total NPL ratio
by country (%)
6.50
12
5.50
4.50
8
3.50
2.50
4
1.50
0.50 0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 IT HU PL IE ES EU FR AT BE NL DK FI DE GB NO SE
Source: Bank of Spain (Jun-19) and EBA Q2 2019 Risk Dashboard 9Spanish macroeconomic environment: Spanish housing market adjustment
At an advanced stage: adjustment ended in flows and prices, started in stocks
Housing starts (thousand units) Total housing sales (thousand units)
* Accumulated 12 months Dec-18 vs Dec-17: Finished * Accumulated 12 months
+24,7% houses:
532 583 575
2013: 44 491 458
2014: 31 402
101 106 349 364 366
92 78 81 2015: 30 301
44 50 64 2016: 25
34 35
2017: 36
2018: 41
Aug-19*: 48
(thousands) 2010 2011 2012 2013 2014 2015 2016 2017 2018 Jun-19
Source: Ministry of Development Source: Ministry of Development and General Council of Notaries
Housing: Prices (price index per Price heterogeneity
m2 in real terms) (%yoy in nominal terms)
110 Base 100: Q3’07 “peak” 10%
100 Main Cities
Q4’18 / Q4’17:
100 Total
2,1% Other (ex. Touristic destinations)
(real terms) 5%
90
80 0%
Q2’19: 67
70
-5%
60
50 -10%
Q4'01 Q4'03 Q4'05 Q4'07 Q4'09 Q4'11 Q4'13 Q4'15 Q4'17
Source: Ministry of Development and Bank of Spain (appraisal methodology)
-15%
Mar-08 Sep-09 Mar-11 Sep-12 Mar-14 Sep-15 Mar-17 Sep-18 10
Source: Tinsa (appraisals)Grupo Santander
Business Model &
Strategy
02Grupo Santander: 9M 2019
Focus on increasing customer loyalty via unique personal banking relationships...
Total customers Loyal customers Loyal / Active
144 mn (+4%) 21.0 mn (+10%) customers
Individuals (mn) Companies (k)
+10% +5% 29.5% 30.2%
144 19.2 1,676 1,762
139 141 142 17.5
138
135 136 Sep-18 Sep-19
Increased loyalty ratio in
Mar-18 Jun Sep Dec Mar-19 Jun Sep Sep-18 Sep-19 Sep-18 Sep-19 8 core countries
Note: Year-on-year changes 12Grupo Santander: 9M 2019
… together with increased digitalisation
Digital customers1 # Accesses2 # Transactions3
(online and mobile) (monetary and voluntary)
36.2 mn (+20%) 5,742 mn in 9M'19 (+27%) 1,634 mn in 9M'19 (+25%)
36.2 545 573
33.9 34.8 2,016 498 517
32.0 1,895
30.1 1,768 1,830 443 456
27.5 28.4 1,624
1,521 409
1,381
Mar-18 Jun Sep Dec Mar-19 Jun Sep Q1'18 Q2 Q3 Q4 Q1'19 Q2 Q3 Q1'18 Q2 Q3 Q4 Q1'19 Q2 Q3
Note: YoY changes.
1. Data as of 30 September. Every natural or legal person that, being part of a commercial bank, has logged in to their personal area of internet banking or mobile phone (or both) in the
last 30 days. Digital customers in the last 90 days: 39.6 mn.
13
2. Private accesses. Logins of bank’s customers on Santander internet banking or apps. ATM accesses by mobile are not included.
3. Customer interaction through mobile or internet banking which resulted in a change of balance. ATM transactions are not included.Grupo Santander: 9M 2019
9M'19 underlying P&L YoY performance
9M'19 9M’18 % vs. 9M’18
EUR million Constant
Euros
euros Higher customer revenue due to
Net interest income 26,442 25,280 5 5 increased business volumes and
spread management
Net fee income 8,818 8,529 3 4
Lower market revenue and
Gains on fin. trans. and other 1,642 2,073 -21 -21 higher cost of FX hedging
Total income 36,902 35,882 3 3
Operating expenses -17,309 -16,843 3 3 Cost control with an individualised and
targeted cost management across the board
Net operating income 19,593 19,039 3 3
Loan-loss provisions -6,748 -6,418 5 5 Good credit quality
Other results -1,422 -1,391 2 3 with low cost of credit and better NPL ratio
Underlying PBT 11,423 11,230 2 2
Taxes -3,994 -4,053 -1 -1
Minority interests -1,249 -1,135 10 9
Underlying attributable profit 6,180 6,042 2 3
Net capital gains and provisions1 -2,448 -300 - - In 2019, mainly XXXXXX
UK goodwill impairment
and restructuring costs
Attributable profit 3,732 5,742 -35 -35
1. 2019 details on the next page 14Grupo Santander: 9M 2019
Customer revenue growth QoQ (+2%) and YoY (+5%) driven by developing markets
and consumer businesses
Net interest income
YoY growth due to higher volumes and spread management,
8,895 8,966 with improvements in 6 of our 10 core markets
8,663
QoQ positive evolution in developing markets while mature
8,232 markets are impacted by lower interest rates
Net fee income
YoY increase accelerating vs. previous quarters
2,821 2,910 3,024
2,774 QoQ improvement boosted by South America
Other revenue
9M'19 vs. 9M’18 affected by lower activity, markets and FX hedges
731 786 697
473 QoQ increase due to portfolio sales and the annual SRF
contribution recorded in Q2’19
Q1'18 Q2 Q3 Q4 Q1'19 Q2 Q3
Note: Constant euros.
Customer revenue: net interest income + net fee income 15
Other revenue includes gains/losses on financial transactions, income from the equity accounted method, dividends and other operating results. Contribution to the SRF
recorded in Q2'18 and Q2'19. Contribution to the DGF in Spain recorded in Q4’18.Grupo Santander: Business model
Our strategy has allowed us to generate high and recurring pre-provision profit,
leading to resilient growth through the economic cycle…
Resilient profit generation throughout the cycle PPP/Loans well above most European peers1
Group attributable profit, EUR bn %, Jun-19
Peer 1 3.2
2.8
9.1 8.9 8.9
8.2
Peer 2 2.4
7.6 7.8
6.6
6.0 6.2
5.3
5.8 Peer 3 2.0
4.2
2.3
Peer 4 1.9
Peer 5 1.7
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Peer 6 1.4
1. European peers include: BBVA, BNP Paribas, Credit Agricole, HSBC, ING and Unicredit. Santander calculations using publically available data. 16Grupo Santander: Business model
… and to generate stable and predictable growth
Predictable results with the lowest volatility among peers coupled with growth in earnings
Quarterly reported EPS volatility1, 1999-Q2’19
691% 341%
122%
108%
87%
76%
64%
44% 42%
35%
9%
US IT CH CH FR FR US US NL US
2x 2x 0x 0x 6x 4x 6x 4x 1x 10x 5x
Net income increase 1999-2018
1. Source: Bloomberg, with GAAP Criteria. Note: Standard deviation of the quarterly EPS starting from the first available data since Jan-99 17Grupo Santander: Business model
Geographic and business diversification, coupled with our subsidiaries model
Loan portfolio by country Loan portfolio by business
Breakdown of total gross loans excluding reverse repos, % of operating areas ex. SGP Breakdown of total gross loans excluding reverse repos, Sep-19
Sep-19
Argentina;
Other individuals;
Chile; 5% 1% Other S. Am.; 1% 10%
Brazil; 8%
Spain; 22%
Mexico; 4% CIB; 12%
Home
mortgages;
36%
US; 11%
SCF; 11% Corporates;
14%
Other Eur; 4%
Poland; 3%
Portugal; 4%
UK; 26% SMEs; 11% Consumer;
17%
Total gross loans excluding reverse repos: EUR 900 bn
RWAs as of Sep-19: EUR 614 bn 88% of loan portfolio is Retail, 12% Wholesale
18Grupo Santander: Asset Quality
Continued credit quality improvement on a YoY and QoQ basis…
%
0.98 0.98 1.00
Cost of credit Lower or stable cost of credit in 8 core
markets
3.87
3.51 3.47
NPL ratio NPL ratio fell YoY in most markets
68 68 67
High level of allowances to total loans:
Coverage strong first line of defense
ratio
Sep-18 Jun-19 Sep-19
19Grupo Santander: Asset Quality
…to levels well below previous years, supported by generalised improvements across
geographies
Credit quality ratios NPL ratios by country
% %
Q3 2018 Q3 2019
Spain 7.55 7.23
4.08% 4.02% SCF 2.45 2.25
3.93% 3.92% 3.87%
UK 1.12 1.08
3.73%
3.62% Poland 4.23 4.35
NPL ratio 3.51% 3.47% Portugal 7.43 4.90
US 3.00 2.18
Mexico 2.41 2.30
Brazil 5.26 5.33
1
2016 2017 Q1'18 Q2'18 Q3'18 Q4'18 Q1'19 Q2'19 Q3'19 Chile 4.78 4.48
Argentina 2.47 3.64
Cost of credit ratios by country
1.18% %
Q3 2018 Q3 2019
1.07% Spain 0.41 0.41
1.04%
Cost of credit 0.99% 0.98% 1.00% 0.97% 0.98% 1.00% SCF 0.40 0.38
UK 0.09 0.08
Poland 0.69 0.71
Portugal 0.03 0.00
USA 3.00 3.09
1
2016 2017 Q1'18 Q2'18 Q3'18 Q4'18 Q1'19 Q2'19 Q3'19 Mexico 2.72 2.55
Brazil 4.17 3.85
Chile 1.18 1.06
1. Acquisition of Banco Popular in 2017
Argentina 2.92 4.86 20Grupo Santander: Liquidity and Funding
Well-funded, prudent and highly liquid balance sheet with high contribution from customer
deposits and diversified wholesale instruments
Liquidity Balance Sheet
EUR bn, Sep-19 1,216 1,216 Liquidity Coverage Net Stable Funding
Ratio (LCR) Ratio (NSFR)
Aug-19 Jun-19
Loans and Customer
advances to 814 deposits 155% 113%
customers 916
Group
1
55 Securitisations and others 150% 124%
176 M/LT debt issuances
Financial assets 199
33 ST Funding
Fixed assets & other 100 137 Equity and other liabilities
Assets Liabilities 141% 105%
HQLAs2
EUR bn, Sep-19 HQLAs Level 1 195.0 1
162% 106%
HQLAs Level 2 15.3
Level 2A 7.1
Level 2B 8.2
Note: Liquidity balance sheet for management purposes (net of trading derivatives and interbank balances)
1. Spain: Parent bank, UK: Ring-fenced bank 21
2. 12 month average, provisionalGrupo Santander: Liquidity and Funding
Issuances show diversification across instruments and entities
Debt outstanding by type Debt outstanding by issuer entity
EUR bn and %, Sep-19 EUR bn and %, Sep-19
Preference shares; Other;
9.5; 5% 6.8; 4%
USA; 8.5; 5%
Sub debt;
12.8; 7% Brazil; 7.1; 4%
Chile; 10.5; 6%
Senior non- Senior;
preferred; San S.A.;
68.8; 39% SCF;
36.3; 21% 71.2; 41%
20.2; 11%
Covered bonds; UK; 51.6;
48.5; 28% 29%
22Santander Spain
Main figures
03Santander in Spain remains committed to maintaining its leadership while accomplishing a
best-in-class integration of Banco Popular
KEY DATA 9M’19 YoY Var.
STRATEGIC PRIORITIES
1
Gross loans 194,485 -6%
Largest bank4 in Spain and completed Banco
1
Popular integration Customer funds 312,918 +3%
Accelerate the Bank’s digital transformation Underlying att. profit1 1,185 +3%
towards a data driven company
Underlying RoTE 10.6% +43 bps
Keep on growing SMEs and corporate segments
backed by Banco Popular’s capabilities Efficiency ratio 53.4% -284 bps
2
Loans market share 17.4 -21 bps
Increase customer revenue and obtain cost
synergies related to Banco Popular’s integration 2
18.9 -14 bps
Deposits market share
Continue to reduce doubtful assets and leverage Loyal customers
3
2.5 +6%
our capital efficient model
Digital customers3 4.7 +20%
Branches 3,852 -12%
Employees 29,713 -5%
1. EUR mn. Volumes excluding Repos and Reverse Repos
2. Spain market share includes: SAN Spain (public criteria) + Openbank + Hub Madrid + SC Spain. As of Jun 2019. Other Resident sectors in Deposits.
24
3. Millions
4. In terms of total assetsSpain: profit up boosted by cost synergies, the improvement in customer spread (+20 bps vs.
9M’18) and portfolio management. QoQ profit evolution benefited by SRF contribution in Q2
P&L* Q3'19 % Q2'19 9M'19 % 9M'18
NII 967 -4.2 2,985 -1.8 +1%
31% +20%
Net fee income
1 614 -1.6 1,861 -6.5 Loyal/active Digital
customers customers
Total income 1,989 7.6 5,695 -2.0
Operating expenses -999 -2.1 -3,043 -7.0 -6%
LLPs -210 -8.0 -680 4.8
PBT 681 48.7 1,617 5.9
Underlying att. profit 491 45.3 1,185 3.3 +5% 0.41% 7.23%
(0 bps)
(*) EUR mn Changes excluding IFRS 16 impact (-32 bps)
Cost of
NPL ratio
credit
ACTIVITY
Volumes in EUR bn
313
2.03% 2.05% 2.06% 2.08% 2.02%
194 -1% Yield on loans
-3% QoQ
53.4% 11%
QoQ 1.94% 1.89% Efficiency
1.81% RoTE
+3% ratio
-6% YoY Cost of deposits
YoY 0.22% 0.19% 0.14% 0.14% 0.13%
Q3'18 Q4 Q1'19 Q2 Q3
Loans Funds
Note: Loans excluding reverse repos. Funds: deposits excluding repos + marketed mutual funds 25
Customers and credit quality ratios YoY change. Underlying RoTEMortgage Covered Bonds
Banco Santander S.A.
September 2019
04Mortgage covered bonds (Banco Santander S.A.)
Mortgage Covered Bonds are direct obligations of Banco Santander S.A. collateralised
by its mortgage portfolio
Banco Santander S.A.’s mortgage portfolio is a low risk profile business, focused on residential
and first home financing…
…well diversified by geography and maturity with an adequate LTV
Mortgage covered bonds (CH) show a high level of over-collateralisation…
…and have a three notch rating uplift in Banco Santander S.A.: rated Aa1 by Moody’s and AA by
Fitch
CH represent ~28% of total wholesale issuances at Santander Group. Santander is one of the top
issuers in Spain
Santander is a relevant player in the Spanish mortgage business (market share 15-20%1),
a key commercial product in our customer-focused business model
1. Estimation. Last data available of Spanish mortgage covered bonds outstanding is for 2017 (EUR 216,498 mn). Please see appendix. 27Mortgage covered bonds (Banco Santander S.A): Main figures
Collateral description 2 Mortgage covered bonds
1 (cover pool – 100% mortgage loans) description
EUR million EUR million
84,657
Outstanding
58,311 40,449
In the market 22,913
Retained 17,536
Total cover pool Eligible Portfolio
September 2019 September 2019 September 2019
Average loan size (€ thousand) 102
Number of loans (thousand) 826
Collateralisation 369%
Loan seasoning (years) 7.0 rate1
Remaining loan maturity (years) 14.9
Average cover pool LTV (%) 72
Maximum issuance capacity: EUR 46,649 mn
Eligible pool LTV (%) 46 (80% eligible cover pool portfolio)
Eligible portfolio NPL ratio (%) 3.0
Interest rate type 12% fixed; 88% FRN
1. Only as a percentage of mortgage covered bonds (CH) in markets. Considering 100% CH, 209% (September 2019) 28Mortgage covered bonds (Banco Santander S.A): Description of collateral (1/4)
Low risk portfolio focused on residential and first home financing…
Cover pool portfolio: EUR 84.7 bn
September 2019
Segments Guarantees
Developer 5% 4% Land
activities1 Second home2
Other 30% 1% 22% Other
business
activities
74% Residential3
Households 65%
99%
First home2
1. Developer mortgage product 29
2. Estimate from mortgages to individuals
3. Finished and under construction buildings for residential purposesMortgage covered bonds (Banco Santander S.A.): 1) Description of collateral (2/4)
... concentrated in urban areas with lower unemployment rates …
%
September 2019 Regions1 Back-
book
Castile-LM, Murcia Asturias
Extremadura Madrid 26.52
Canary Andalusia 18.04
Islands
Madrid Catalonia 16.32
Valencian Community 6.86
Andalusia Galicia 5.61
Canary Islands 4.36
71%
Castile and Leon 4.20
29%
Basque Country 3.29
Valencian Balearic Islands 3.26
Community
Catalonia Castile La Mancha 2.51
Balearic
Aragon 2.00
Islands
Galicia Castile and Murcia 1.88
Aragon, Nav., BasqueLeón Asturias 1.37
Cantabria La Rioja Country
Extremadura 1.32
Regions with unemployment rates < Spain’s average Cantabria 1.29
Regions with unemployment rates > Spain’s average Navarre 0.79
La Rioja 0.38
1. Andalusia includes Ceuta y Melilla 30Mortgage covered bonds (Banco Santander S.A.): 1) Description of collateral (3/4)
… well distributed by maturity…
Distribution by maturity1 Maturity profile2,3
September 2019 EUR million
29,820
30 years
4%
26%
20-30
years 3,612
3,235
39% 1,825 1,563 2,096 2,610 2,693 2,785 2,731 2,795
10-20 395 1,030 7
years
2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030- 2040- 2050- 2060-
2039 2049 2059 2100
1. Bucket “< 10 years” includes lines of credit and past due and non-performing loans undergoing legal proceedings. Also includes matured. 2. Excluding lines of 31
credit and past due and non-performing loans undergoing legal proceedings. 3. Further information in AppendixMortgage covered bonds (Banco Santander S.A.): 1) Description of collateral (4/4)
... and with an adequate loan-to-value
Cover pool portfolio Eligible portfolio1
September 2019 September 2019
72% = LTV 46% = LTV (weighted
(weighted average) average)
100
100 100 100
100
81
Cumulative (%)
Cumulative (%) 77
75 Outstanding by LTV 75
60 Outstanding by
interval (%)
LTV interval (%)
50 50
32 41
36
28
23 21 19 23
25 10 25 29
12
10 12 -
0 0
0-20% 20-40% 40-60% 60-80% >80% 0-20% 20-40% 40-60% 60-80% >80%
1) Total cover pool portfolio excluding high LTV loans (residential >80%
and commercial >60%, without additional guarantees); loans w/o
appraised value and non-euro loans; 100% developer loans; and others
1. Total cover pool portfolio excluding high LTV loans (residential >80% and commercial >60%, without additional guarantees); loans w/o appraised value and non-euro 32
loans; 100% developer loans; and othersMortgage covered bonds - 2) Description of bonds
Average maturity 6 years due to low issuance activity in recent years
Distribution by maturity Maturity profile
% total outstanding, September 2019 September 2019
2019 2020-2021
1,000
10,340
5,011 4,600
6,500
7,814 7,784
16,284 2022-2025 1,425
12,825 3,840
> 2026 -
1,000
2,475
2019 2020-2021 2022-2025 2026 >2026
In the market Retained
Average maturity: 6 years 100% issued in euros
33Appendix
05Appendix – Spanish CH market: Volumes
Spain. Covered bonds outstanding (EUR mn) Spain. Covered bonds issuance (EUR mn)
35Appendix – Spanish CH market: Volumes
Spain. Covered bonds outstanding by collateral, size, currency and coupon (EUR mn)
36Appendix - Mortgage covered bonds (Banco Santander S.A.): Description of collateral
Sep-19 Maturity profile of total cover pool
EUR million
2019 395,442,553 2036 2,780,175,089 2053 257,467,112
2020 1,029,848,956 2037 2,873,584,752 2054 312,660,017
2021 1,825,294,474 2038 2,193,622,552 2055 404,977,903
2022 1,562,834,788 2039 2,187,488,457 2056 377,746,627
2023 2,095,567,366 2040 2,011,290,646 2057 329,003,633
2024 2,610,131,548 2041 1,842,181,762 2058 108,290,680
2025 2,693,277,762 2042 2,139,744,634 2059 39,889,455
2026 2,785,273,674 2043 1,830,392,223 2060 3,709,894
2027 2,731,157,086 2044 2,125,888,515 2061 1,874,621
2028 2,794,545,965 2045 2,060,260,387 2062 353,989
2029 3,235,253,499 2046 2,123,265,801 2063 272,108
2030 3,234,514,336 2047 2,928,379,980 2065 344,304
2031 3,018,988,037 2048 2,697,412,002 2066 179,775
2032 2,947,269,213 2049 1,914,667,548 2072 227,987
2033 3,584,947,016 2050 702,666,043 2080 333,118
2034 3,772,499,033 2051 531,202,375 2100 87,322
2035 3,226,767,291 2052 548,316,148 Matured 5,785,863,533
(1) Lines of credit and past due and non-performing loans undergoing legal proceedings
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