Banco Santander S A : Q1 2024 Earnings Presentation (Supplementary information)

30 April 2024

Supplementary information

Q1'24

Important information

Non-IFRS and alternative performance measures

This document contains financial information prepared according to International Financial Reporting Standards (IFRS) and taken from our consolidated financial statements, as well as 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, and other non-IFRS measures. The APMs and non-IFRS measures were calculated with information from Grupo Santander; however, they are neither defined or detailed in the applicable financial reporting framework nor audited or reviewed by our auditors. We use these APMs and non-IFRS measures when planning, monitoring and evaluating our performance. We consider them to be useful metrics for our management and investors to compare operating performance between periods. APMs we use are presented unless otherwise specified on a constant FX basis, which is computed by adjusting comparative period reported data for the effects of foreign currency translation differences, which distort period-on-period comparisons. Nonetheless, the APMs and non-IFRS measures are supplemental information; their purpose is not to substitute IFRS measures. Furthermore, companies in our industry and others may calculate or use APMs and non-IFRS measures differently, thus making them less useful for comparison purposes. APMs using ESG labels have not been calculated in accordance with the Taxonomy Regulation or with the indicators for principal adverse impact in SFDR. For further details on APMs and Non-IFRS Measures, including their definition or a reconciliation between any applicable management indicators and the financial data presented in the consolidated financial statements prepared under IFRS, please see the 2023 Annual Report on Form 20-F filed with the U.S. Securities and Exchange Commission (the SEC) on 21 February 2024 (https://www.santander.com/content/dam/santander-com/en/documentos/informacion-sobre-resultados-semestrales-y-anuales-suministrada-a-la-sec/2024/sec-2023-annual-20-f-2023-en.pdf), as well as the section "Alternative performance measures" of the Banco Santander, S.A. (Santander) Q1 2024 Financial Report, published on 30 April 2024 (https://www.santander.com/en/shareholders-and-investors/financial-and-economic-information#quarterly-results). Underlying measures, which are included in this document, are non-IFRS measures.

The businesses included in each of our geographic segments and the accounting principles under which their results are presented here may differ from the businesses included 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.

Non-financial information

This document contains, in addition to financial information, non-financial information (NFI), including environmental, social and governance-related metrics, statements, goals, commitments and opinions.

NFI is not audited nor reviewed by an external auditor. NFI is prepared following various external and internal frameworks, reporting guidelines and measurement, collection and verification methods and practices, which are materially different from those applicable to financial information and are in many cases emerging and evolving. NFI is based on various materiality thresholds, estimates, assumptions, judgments and underlying data derived internally and from third parties. NFI is thus subject to significant measurement uncertainties, may not be comparable to NFI of other companies or over time or across periods and its inclusion is not meant to imply that the information is fit for any particular purpose or that it is material to us under mandatory reporting standards. NFI is for informational purposes only and without any liability being accepted in connection with it except where such liability cannot be limited under overriding provisions of applicable law.

Forward-looking statements

Santander hereby warns that this document contains "forward-looking statements" as per the meaning of the U.S. Private Securities Litigation Reform Act of 1995. Such statements can be understood through words and expressions like "expect", "project", "anticipate", "should", "intend", "probability", "risk", "VaR", "RoRAC", "RoRWA", "TNAV", "target", "goal", "objective", "estimate", "future", "commitment", "commit", "focus", "pledge" and similar expressions. They include (but are not limited to) statements on future business development, shareholder remuneration policy and NFI.

While these forward-looking statements represent our judgement and future expectations concerning our business developments and results may differ materially from those anticipated, expected, projected or assumed in forward-looking statements.

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Important information

In particular, forward looking statements are based on current expectations and future estimates about Santander's and third-parties' operations and businesses and address matters that are uncertain to varying degrees and may change, including, but not limited to (a) expectations, targets, objectives, strategies and goals relating to environmental, social, safety and governance performance, including expectations regarding future execution of Santander's and third-parties' (including governments and other public actors) energy and climate strategies, and the underlying assumptions and estimated impacts on Santander's and third-parties' businesses related thereto; (b) Santander's and third-parties' approach, plans and expectations in relation to carbon use and targeted reductions of emissions, which may be affected by conflicting interests such as energy security; (c) changes in operations or investments under existing or future environmental laws and regulations; (d) changes in rules and regulations, regulatory requirements and internal policies, including those related to climate-related initiatives; (e) our own decisions and actions including those affecting or changing our practices, operations, priorities, strategies, policies or procedures; and (f) the uncertainty over the scope of actions that may be required by us, governments and others to achieve goals relating to climate, environmental and social matters, as well as the evolving nature of underlying science and industry and governmental standards and regulations.

In addition, the important factors described in this document and other risk factors, uncertainties or contingencies detailed in our most recent Form 20-F and subsequent 6-Ks filed with, or furnished to, the SEC, as well as other unknown or unpredictable factors, could affect our future development and results and could lead to outcomes materially different from what our forward-looking statements anticipate, expect, project or assume.

Forward-looking statements are therefore aspirational, should be regarded as indicative, preliminary and for illustrative purposes only, speak only as of the date of this document, are informed by the knowledge, information and views available on such date and are subject to change without notice. Santander is not required to update or revise any forward-looking statements, regardless of new information, future events or otherwise, except as required by applicable law. Santander does not accept any liability in connection with forward-looking statements except where such liability cannot be limited under overriding provisions of applicable law.

Not a securities offer

This document and the information it contains does not constitute an offer to sell nor the solicitation of an offer to buy any securities.

Past performance does not indicate future outcomes

Statements about historical performance or growth rates must not be construed as suggesting that future performance, share price or results (including earnings per share) will necessarily be the same or higher than in a previous period. Nothing in this document should be taken as a profit and loss forecast.

Third Party Information

In this document, Santander relies on and refers to certain information and statistics obtained from publicly-available information and third-party sources, which it believes to be reliable. Neither Santander nor its directors, officers and employees have independently verified the accuracy or completeness of any such publicly-available and third-party information, make any representation or warranty as to the quality, fitness for a particular purpose, non-infringement, accuracy or completeness of such information or undertake any obligation to update such information after the date of this document. In no event shall Santander be liable for any use by any party of, for any decision made or action taken by any party in reliance upon, or for inaccuracies or errors in, or omission from, such publicly-available and third-party information contained herein. Any sources of publicly-available information and third-party information referred or contained herein retain all rights with respect to such information and use of such information herein shall not be deemed to grant a license to any third party.

Note: Quarterly series include adjustments relating to revenue sharing criteria between CIB and Retail & Commercial Banking to better reflect business dynamics of our new operating model with five global businesses as new primary segments; these adjustments do not affect results at the Group level, nor do they affect the full-year results of Retail & Commercial Banking and CIB. Quarterly series also include adjustments to some of the 2023 business volumes metrics in Retail & Commercial Banking, Digital Consumer Bank, CIB and Wealth Management & Insurance to better reflect our five global businesses' perimeters according to our new operating model; these adjustments do not affect business volumes metrics at the Group level.

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Supplementary information

Balance sheet and capital management

Yield on loans and cost of deposits

Efficiency ratio

Asset quality

Quarterly income statements

New primary segments (under the new definitions applicable from 1 January 2024)

Secondary segments (regions and countries)

Glossary

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Santander's capital levels, both phased-in and fully loaded, exceed minimum regulatory requirements

SREP capital requirements and MDA*

Assumed capital requirements (fully-loaded)**

Mar-24		16.59%
13.88%	+271bps	2.89%	T2
		1.42%

Mar-24

13.88%

+266bps

16.53%

>15%
2.86%	T2
2.40%

T2	2.44%	+226bps		AT1
AT1	1.83%	+266bps
G-SIB buffer2	1.25%	1
CCoB		CCyB,
2.50%	0.39%	12.28%	CET1
Pillar 2 R
0.98%
Pillar 1	4.50%

T2	2.44%
AT1	1.83%
G-SIB buffer2	1.25%
CCoB	2.50%
Pillar 2 R	0.98%
Pillar 1	4.50%

+224bps +264bps

CCyB,1 0.39%

1.42%	1.50%	AT1

12.26%

>12%

CET1

Regulatory Requirement	Group ratios Mar-24
2024

• The minimum CET1 to be maintained by the Group is 9.61%
• As of Mar-24, the distance to the MDA is 226bps3 and the CET1 management buffer is 266bps

Assumed regulatory	Group ratios Mar-24	2024 target
requirement 2024		ratios

• AT1 and T2 ratios are planned to be close to 1.5% and 2.4% of RWAs respectively

• The phased-in ratio includes the transitory treatment of IFRS 9, calculated in accordance with article 473 bis of the Capital Requirements Regulation (CRR2) and subsequent modifications introduced by Regulation 2020/873 of the European Union. Total phased-in capital ratios include the transitory treatment according to chapter 4, title 1, part 10 of the CRR2.
• Fully-loadedCRR and fully-loaded IFRS 9.

1. Estimated countercyclical buffer as of Mar-24.
2. On 1 January 2024, our systemic buffer requirement increased from 1% to 1.25% due to a higher D-SIB requirement due to i) a methodological change by the ECB which was later

adopted by Banco de España and ii) because institutions must hold capital at the consolidated level for the higher of the G-SIB (currently at 1%) and D-SIB requirements. Additionally,	5
the ECB revised Banco Santander, S.A.'s P2R requirement from 1.58% to 1.74%, mainly due to a change in the ECB's methodology.

1. MDA trigger = 2.66% - 0.40% = 2.26% (40bps of AT1 shortfall is covered with CET1). Santander Parent Bank has €66.4bn in Available Distributable Items, >100 times the full Parent AT1 budgeted for 2024.

Diversified bond portfolio represents just 7% of total assets

%, Mar-24

€127bn

Liquidity portfolio €25bn

ALCO IRRBB €102bn

Bond portfolio

			Other South
		Chile	America
		2%
		6%
	Brazil
	9%		Spain
			28%
US			€127bn
11%
		o/w HTC €78bn (61%)

Poland

Mexico 13%

16%

Portugal

SCF UK 5%

6% 4%

• Bond portfolio represents 7% of total assets
• HTC&S duration: 1.7 years
• Mark to market impact of the HTC portfolio equivalent to 1% of total
  FL CET1 (€78.5bn)

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Conservative and decentralized liquidity and funding model

€20.2bn1 issued in public markets in Q1'24

€ bn, Mar-24

	9.5		0.1
	0.5
	2.2
			0.03
4.2			4.0
1.0	6.7	2	0.9		2.4
3.2			3.1	0.0
Covered bonds	Senior	Senior non-	AT1	Tier 2
			preferred

• Other includes issuances in Brazil and Portugal

Spain		UK		SCF

	Very manageable maturity profile
€ bn, Mar-24
	Covered			11.3			15.0
	6.5		10.5
	4.6			4.7
	Bonds
	Senior	15.7	14.8				19.8
	11.3		9.8
			6.1
	Senior Non-				13.8		15.9
			8.6	8.5
		7.2
	Preferred	1.8
							23.0
	Other 3	-	3.4	2.5	1.2	1.9
		2024	2025	2026	2027	2028	>2028
Chile	US	Other

(1)	Data includes public issuances from all units with period-average exchange rates. Excludes securitizations.	7
(2)	Includes €6bn of Banco Santander, S.A., €0.7bn of Santander International Products PLC.
(3)	Included: AT1 / Preferred shares and Tier 2 / Subordinated.

2024 issuances against funding plan

€ bn, Mar-24

Banco Santander, S.A UK SCF SHUSA

TOTAL

YtD execution of 2024 funding plan

AT1 + Tier 2			SNP + Senior		Covered Bonds		TOTAL
Plan	Issued		Plan	Issued		Plan	Issued	Plan	Issued
4 - 5	5.0	1	16	- 18	15.4	2	0	- 1	-	20	- 24	20.4
-	-		1	- 2	0.0		5	- 6	3.2	6	- 8	3.3
-	-		3	- 5	2.2			-	-	3	- 5	2.2
-	-		2	- 3	0.9			-	-	2	- 3	0.9
4 - 5	5.0		22 - 28	18.6		5 - 7	3.2	31 - 40	26.7

Banco Santander, S.A.'s 2024 funding plan contemplates the following:

• Continue fulfilling the 1.5% AT1 and 2.4% T2 buffers subject to RWA growth
• MREL & TLAC ratios above regulatory requirements
• Liquidity position remains solid, with LCR and NFSR above minimum requirements and ample liquidity buffers
• Frontloading of issuances in the first half of the year, particularly focused on regulatory issuances

Note: Issuance plan subject to, amongst other considerations, market conditions and regulatory requirements. Other secured issuances (for example ABS, RMBS, etc.) are not considered in the
table above.	8
(1)	Includes: €2.56bn in Tier 2 debt issued in 2023 as prefunding for the 2024 funding plan.
(2)	Includes €3.25bn Senior Non-Preferred and €3.4bn Senior Preferred issued in 2023 as prefunding for the 2024 funding plan.

TLAC/MREL for the Resolution Group headed by Banco Santander, S.A.

TLAC Mar-24(e)

%

	27.2%
	5.1%
	4.1%
Req.
22.1%	18.0%

Requirement

CBR

Buffer

9.7%

2.9%

6.8%

% and € bn

38.7% 4.8% 4.1%

Req.2 33.9%

29.8%

MREL Mar-24(e)

Requirement

CBR

Buffer

16.9% 5.4%

11.5%

163.2 24.7

31.8

3.6 14.0

8.2

80.8

Senior

SNP

Sub debt T2

AT1

CET1

% RWAs	1

% LE	1

% RWAs	1	% LE	1	MREL instruments

Distance to M-MDA

€16.3bn

506 bps

€26.5bn

293 bps

€20.2bn

479 bps

€52.1bn

539 bps

Note: Figures applying the IFRS 9 transitional arrangements. Provisional data.

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1) TLAC RWAs are €322bn and leverage exposure (LE) is €903bn. MREL RWAs are €422bn and leverage exposure is €965bn.

2) MREL Requirement based on RWAs from Jan-24: 29.81% + Combined Buffer Requirement (CBR).

Well-funded, diversified, prudent and highly liquid balance sheet (large % contribution from customer deposits), reflected in solid liquidity ratios

Liquidity Balance Sheet

Liquidity Coverage

Ratio (LCR)

Net Stable Funding

Ratio (NSFR)

€ bn, Mar-24

Loans and advances to customers

Fixed assets & other Financial assets

1,531

1,050

92

389

1,531

1,044

59

218

165

43

Customer deposits

Securitizations and others M/LT debt issuances Equity and other liabilities ST Funding

			Mar-24	1	Dec-23
Spain	2	145%		159%
UK	2		163%		159%
Portugal	122%		150%
Poland	235%		221%
US			133%		138%
Mexico	183%		171%

Dec-23

117% 138% 117% 157% 117% 129%

Assets Liabilities

Brazil

137%

154%

113%

HQLAs1

€330bn o/w cash €170bn

HQLA Level 1	314.9
HQLA Level 2	14.6
o/w Level 2A	4.9
o/w Level 2B	9.7

Chile	179%	207%
Argentina	278%	226%
SCF	405%	357%
Group	160%	166%

115% 202% 111% 123%

Note: Liquidity balance sheet for management purposes (net of trading derivatives and interbank balances).	10
(1)	Provisional data.
(2)	UK: Ring-fenced bank; Spain: Banco Santander, S.A. standalone.