SANTANDER UK GROUP HOLDINGS PLC ("Santander UK")

STATEMENT ON THE OUTCOME OF THE 2022/23 BANK OF ENGLAND STRESS TEST

Santander UK notes the publication of the results of the 2022/23 stress tests conducted on eight major UK banks and building societies by the Bank of England.

As a result of the exercise, the Bank of England does not require Santander UK to undertake any actions.

Since the introduction of IFRS 9 in January 2018, the stress test results are published on an IFRS 9 transitional and non-transitional basis, over a five-year stress period to 30 June 2027.  For Santander UK the IFRS 9 transitional and non-transitional results and hurdle rates are the same at the low points.

Santander UK's lowest post-stress common equity tier 1 ('CET 1') capital ratio was modelled to be 11.3% before management actions.  This is defined as CET1 capital expressed as a percentage of risk-weighted assets, where these are in line with CRR and the UK implementation of CRD V via the PRA Rulebook.

These results are in excess of the CET 1 hurdle rate established by the Bank of England of 8.1%.

Santander UK reported a CET 1 capital ratio of 15.4% as at 31 March 2023.

The Bank of England's CET1 hurdle rate comprises the CRR Pillar 1 minimum of 4.5% together with a Pillar 2A CET1 requirement, an estimate of the applicable Systemic Risk Buffer and an adjustment to offset the pro-cyclical impacts of IFRS 9. 

Santander UK's lowest post-stress Tier 1 leverage ratio was modelled to be 4.1% before management actions and 4.5% after strategic management actions.  The Tier 1 leverage ratio is Tier 1 capital expressed as a percentage of the leverage exposure measure excluding central bank reserves, as defined in Rule 1.2 of the Leverage Ratio part of the PRA Rulebook.

These results are in excess of the leverage hurdle rate established by the Bank of England of 3.5%.

Santander UK reported a leverage ratio of 5.2% as at 31 March 2023.

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