Executive Summary
The consolidated fully-loaded CET1 ratio stood at 12.75% at the end of December 2021, which represents an increase of 102 basis points compared to 2020, with the phased-in CET1 ratio of 12.98%, which represents an increase of 83 basis points compared to 2020. The difference between the two ratios is mainly explained by the effect of the temporary adjustments for the treatment of the solvency indicators of the impacts of IFRS 9.
These ratios include the effects of divestments in Paraguay in the first quarter and in the United States in the second quarter of 2021. Additionally, these ratios include the non-recurring negative impact of 696 million euros of the net costs associated with the restructuring process in Spain, as well as the deduction of the total amount of the share buyback program authorized by the European Central Bank, for an amount of €3.5 billion. Excluding these impacts, during the 2021 financial year a high organic generation of results has been registered, which net of shareholder remuneration and remuneration of the Contingent Convertible bonds (CoCos, for its acronym in English) have contributed +82 basis points to the CET1 ratio and have made it possible to cover the negative evolution of market variables, as well as supervisory impacts and regulatory changes.
Fully-loaded risk-weighted assets (RWA) decreased by approximately €-45.4 billion, mainly due to the aforementioned divestments in Paraguay and the United States.
Additional Tier 1 capital (AT1) fully-loaded stood at 1.87% (1.86% phased-in) at the end of December 2021, which includes the reduction effect of €1 billion due to early amortization of an issuance of CoCos dating back to 2016, offset by the positive effect of reducing RWAs.
The Tier 2 fully-loaded ratio stood at 2.37%, which represents an increase of +7 basis points compared to 2020, mainly explained by the effect of reducing RWA during the 2021 financial year. Regarding phased-in Tier 2 ratio, it stood at 2.40%, being the difference with respect to the fully-loaded Tier 2 ratio, mainly due to the temporary treatment of certain subordinated issues.
As a consequence of the foregoing, the fully-loaded total capital ratio stands at 16.99%, with the total phased-in ratio being 17.24% as of the same date.
The Liquidity Coverage ratio (LCR) and Net Stable Funding ratio (NSFR) in the Group remained well above 100% throughout 2021. As of December 31, 2021, these ratios stood at 165% (213% considering the excess liquidity of the subsidiaries) and 135%, respectively. Although these requirements are only established at the Group level, the minimum limit is widely exceeded in all the subsidiaries.
As for the leverage ratio, as of December 31, 2021, the fully-loaded ratio was 6.69% (6,80% in phased-in terms), above the minimum required ratio of 3.06%.
The following table includes the main regulatory metrics according to article 447 of the CRR:
EU KM1 –Key Indicators (Million Euros)
| 12-31-2021 | 9-30-2021 | 6-30-2021 | |
|---|---|---|---|
| Available own funds (amounts) | |||
| Common Equity Tier 1 (CET1) capital | 39,949 | 44,558 | 43,903 |
| Tier 1 capital | 45,686 | 50,329 | 49,599 |
| Total capital | 53,069 | 58,098 | 57,287 |
| Risk-weighted exposure amount | |||
| Total risk-weighted exposure amount | 307,795 | 303,002 | 305,599 |
| Capital ratios (as a percentage of risk-weighted exposure amount) | |||
| Common Equity Tier 1 ratio (%) | 12.98% | 14.71% | 14.37% |
| Tier 1 ratio (%) | 14.84% | 16.61% | 16.23% |
| Total capital ratio (%) | 17.24% | 19.17% | 18.75% |
| 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% |
| of which: to be made up of CET1 capital (percentage points) | 0.84% | 0.84% | 0.84% |
| of which: to be made up of Tier 1 capital (percentage points) | 1.13% | 1.13% | 1.13% |
| Total SREP own funds requirements (%) | 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% |
| Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) | — | — | — |
| Institution specific countercyclical capital buffer (%) | 0.01% | 0.01% | 0.01% |
| Systemic risk buffer (%) | — | — | — |
| Global Systemically Important Institution buffer (%) | — | — | — |
| Other Systemically Important Institution buffer | 0.75% | 0.75% | 0.75% |
| Combined buffer requirement (%) | 3.26% | 3.26% | 3.26% |
| Overall capital requirements (%) | 12.76% | 12.76% | 12.76% |
| CET1 available after meeting the total SREP own funds requirements (%) | 23,501 | 28,366 | 27,572 |
| Leverage ratio | |||
| Total exposure measure | 671,789 | 663,861 | 665,751 |
| Leverage ratio (%) | 6.80% | 7.58% | 7.45% |
| Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) | |||
| Additional own funds requirements to address the risk of excessive leverage (%) | — | — | — |
| of which: to be made up of CET1 capital (percentage points) | — | — | — |
| Total SREP leverage ratio requirements (%) | 3.06% | 3.06% | 3.06% |
| Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) | |||
| Leverage ratio buffer requirement (%) | — | — | — |
| Overall leverage ratio requirements (%) | 3.06% | 3.06% | 3.06% |
| Liquidity Coverage Ratio | |||
| Total high-quality liquid assets (HQLA) (Weighted value - average) | 103,823 | 109,943 | 108,610 |
| Cash outflows - Total weighted value | 87,615 | 86,066 | 84,470 |
| Cash inflows - Total weighted value | 24,712 | 21,575 | 23,775 |
| Total net cash outflows (adjusted value) | 62,903 | 64,491 | 60,696 |
| Liquidity coverage ratio (%) | 165.05% | 170.48% | 178.94% |
| Net Stable Funding Ratio | |||
| Total available stable funding | 430,759 | 431,415 | 429,074 |
| Total required stable funding | 319,017 | 320,752 | 320,838 |
| NSFR ratio (%) | 135.03% | 134.50% | 133.74% |
The following sections detail aspects related to the Group's solvency. These are supplemented by information included in the Group's Consolidated Annual Accounts and Management Report for the year 2021, which also contain the Group's main activity and profitability indicators.