Solo El Banco Santander Se Libra de Un "Shock" en Cataluña

24 November 2017 | 6:29AM GMT
Spain Banks
Catalonia risk: Navigating through uncertainty; SAN to Buy, stock replacement

of domestics
Elevated uncertainty around Catalonia remains the most n Best risk-reward prole across no shock/stressed Jose Abad
+44(20)7051-4236 | jose.abad@gs.com
notable risk to Spains recovery. We test the seven Spanish scenarios at SAN; highest upside in a no shock Goldman Sachs International
For the exclusive use of KATE.SCOTT@GS.COM
banks for an uncertainty shock, and estimate: (1) a scenario at UNI. Izabel Cameron
+44(20)7051-0733 |
system-wide impact of -7%/-28% to our 2020 EPS izabel.cameron@gs.com
Goldman Sachs International
forecasts; (2) the market pricing some downside risk at just ...with higher household NPLs driving lower originations? Katherine Fogertey
BBVA/CABK/SAB, not elsewhere; (3) the highest upside for We see potential for consumer loan de-risking given
+1(212)902-6473 |
katherine.fogertey@gs.com
Goldman Sachs & Co. LLC
UNI in a no shock scenario; and (4) the best risk-reward ongoing deterioration in household NPLs since early 2016.
profile at SAN. Going into Catalonias Dec. 21 elections, we John Marshall
We estimate just a 1-STDEV de-risking shock to reduce +1(212)902-6848 |
john.marshall@gs.com
upgrade SAN to Buy, and our options strategists the sector avg loan yield by c.5% and average EPS by -8%. Goldman Sachs & Co. LLC
recommend stock replacement of the domestic banks.
Buy SAN, stock replacement of domestic banks

Heading into 2018, Catalonia risk to remain centre stage... As a result of our analysis, (1) we upgrade SAN to Buy
We run three different scenarios (benign/medium/adverse) (from Neutral) on the systems best risk-reward prole in a
and compare them to our no shock (GSe) scenario. We potential Catalonia-related slowdown in Spain; and (2) our
estimate: options strategists recommend stock replacement of
n
domestic banks by e.g. buying CABK Jan 2018 calls to
A mild system-wide impact in the benign scenario (-7%)
investors seeking to maintain exposure in domestic banks
to a moderate one in the adverse one (-28%) vs. our
but limit the downside in case of a negative outcome post
2020 EPS forecasts.
21 Dec. elections.
n The market is pricing in a benign/medium scenario at
BBVA/CABK/SAB, better than benign at BKIA/BKT.
Goldman Sachs does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the rm may
have a conict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their
investment decision. For Reg AC certication and other important disclosures, see the Disclosure Appendix, or go to www.gs.com/research/hedge.html.
Analysts employed by non-US afliates are not registered/qualied as research analysts with FINRA in the U.S. This report is intended for distribution to GS
institutional clients only.
Goldman Sachs Spain Banks
Table of Contents
Spain Banks: Buy SAN to navigate current uncertainty in Spain - Diversication pays off 4
Options Strategy: Spanish Banks ahead of Catalonia elections 5
Catalonia risk: Testing for the impact of economic uncertainty 6
Higher consumer NPLs today, lower originations tomorrow 19
Consumer NPL risks: Testing for impact 23

Mapping Catalonia and consumer loan-related risks onto stocks 29
Pricing data and key risks 31
Disclosure Appendix 32
24 November 2017
Exhibit 1: The AIREF estimates GDP impact of 0.7%-2.7% in Exhibit 2: Price action post referendum appears in line with Exhibit 3: In our Medium scenario, we see 7% avg.
Catalonia in 2018, depending on the duration of uncertainty our Benign scenario for CABK and SAB, with limited downside applying GS implied P/Es to stressed earnings
Differential impact on growth, 2018 across AIREF scenarios performance impact elsewhere Upside/downside of current share price to fair value derived
Absolute share price performance since September 1 vs. stress by implied 2019E P/Es at GS 12m TP applied to stressed GS
test impact to GS 2020E EPS across scenarios 2019E EPS by scenario. Nov 22 pricing
Central scenario Downside risk scenario 10%
GS PT
17%
1%
Spain Catalonia Spain Catalonia Benign
13%
12%
0%
11%
10%
Medium
9%
7%
-2%
-2%
-0.4% -0.4%
-3%
-3%
5%
-3%
-4%
4%
4%
4%
3%
3%
Adverse
-5%
-6%
1%
-10%
-7%
-7%
-7%
-7%
-8%
-9%
-10%
-10%
-0.3%
-11%
-1.2% -1.2%
-12%
-13%
-14%
-14%
-16%
-20%
-17%
-0.7%
(3%)
(4%)
-20%
(5%)
(6%)
(9%)
-26%
-26%
-30%
(12%)
Absolute performance
-28%
(15%)
(16%)
-31%
-32%
(18%)
EPS - 'Benign'
(21%)
-40%
-38%
(24%)
-1.5% EPS - 'Medium'
(32%)
(33%)
-50%
(36%)
-50%
EPS - 'Adverse'
Idiosyncratic (CAT) -60%

SAN BBVA CABK BKIA SAB BKT UNI Avg. Bankinter Bankia Unicaja Sabadell CaixaBank BBVA Santander
Common (ES) -2.7%
Source: AIREF, Goldman Sachs Global Investment Research Source: Company data, Goldman Sachs Global Investment Research, Datastream Source: Goldman Sachs Global Investment Research, Datastream
Exhibit 4: Mortgages and consumer loan NPLs are Exhibit 5: We see an average negative EPS impact of Exhibit 6: At the group level, CABK/SAB are the most
increasing compared to the previous year, despite an c.4%-8% from rising consumer NPL risk exposed banks to the consumer segment and to Catalonia
improving economy Consumer NPL risk stress test impact to GS 2020E EPS across Estimated deposit exposure in Catalonia as % group, 2Q17 vs.
Household NPL ratio by segment, % scenarios Estimated risk exposure to the Consumer segment as % Group,
2016. SAN and CABK shown pro forma for acquisitions in
deposits
25%
6.5% 14.0%
-1% CABK
Catalonia exposure
SAB
-1%
-2%
-2%
13.0%
-2%
6.0% -3% 20%

-3%
-3%
12.0% -5%
-4%
-4%
5.5%
-5%
-5%
15%
BBVA
-6%
11.0% -7%
-6%
-7%
-7%
5.0% Average
-7%
-7%
10.0% -9% 10% BKT
-8%
-9%
-9%
Mortgages Non-durables, rhs BKIA

-10%
EPS - 'Benign'
-10%
4.5%
-10%
9.0% -11%
EPS - 'Medium' 5% SAN + POP
-12%
4.0% 8.0% -13% Consumer exposure

EPS - 'Adverse'
Jan-14
Jan-15
Jan-16
Jan-17
Mar-13
Mar-14
Jul-13
Nov-13
Jul-14
Nov-14
Mar-15
Mar-16
Mar-17
Jul-15
Sep-13
Sep-14
Sep-15
Nov-15
Jul-16
Nov-16
Sep-16
May-13
May-14
May-15
May-16
May-17
-13%
UNI
-15% 0%
SAN BBVA CABK BKIA SAB BKT UNI Avg. 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5%
Source: Bank of Spain, Goldman Sachs Global Investment Research Source: Company data, Goldman Sachs Global Investment Research Source: Company data, Goldman Sachs Global Investment Research
24 November 2017
Spain Banks: Buy SAN to navigate current uncertainty in Spain - Diversication pays off
With this note, (1) we upgrade SAN to Buy (from Neutral) as it offers the best risk-reward profile out of all the 7
Spanish banks we cover in case of a Catalonia-related slowdown in Spain; and (2) our options strategists
recommend stock replacement of domestic Spanish banks by e.g. buying CABK Jan 2018 calls to investors seeking
to maintain exposure in domestic banks but limit downside in case of a negative outcome post 21 Dec. elections
-more on this below.
SAN offers the best risk-reward prole out of the seven Spanish banks we cover, with the second highest upside in the no
shock scenario (+13%) and the only upside in the adverse one (+5%). Therefore, SAN screens well in the context of our
European coverage, where we have an average upside of ~8% when excluding the Greek banks. Importantly, due to the
relatively higher international diversication and lower relative exposure to Spain, SAN screens best-in-class re the potential
impact from a slowdown in consumer loan originations: 1-STDEV de-risking shock to the banks consumer & other loan
book shaves ~2% off the 2020 Group EPS vs. 6% on average for our coverage. Finally, given signicant uncertainty on
Mexicos macro (as well as on the MXN) outlook on risks around both NAFTA negotiations and the July 2018 Presidential
elections, we also prefer SAN over BBVA going into 2018. See Thoughts on the Potential US Withdrawal from NAFTA, 19
Oct.; Mexico: Fourth Round of NAFTA Talks Ends with Significant Disagreements on Key Issues, 20 Oct; and Top of Mind
Podcast: Negotiating NAFTA, 24 Oct.
We keep estimates and price targets as published post 3Q17 (Local Picture 3Q17: A mixed quarter, focus on outlook, 23
Nov.). Our 12-month ROTE/COE-based price target is at 6.20, implying a +13% upside vs last close. Key risks to our price
target, estimates and rating are (1) worse-than-expected NIM, loan growth, credit quality, M&A or cost control in Spain; (2)
potential macro impacts from Catalonia-related developments; (3) worse-than-expected developments in EM, particularly in
Brazil, sharp FX moves, or M&A abroad; and(4) worse-than-expected macro and/or FX developments in the UK ahead of
Brexit in 1Q19.
24 November 2017
Options Strategy: Spanish Banks ahead of Catalonia elections
This section is authored by GS Options Strategy: Spanish Banks ahead of Catalonia elections
Options Strategists Katherine
Option investors are positioning for a modest amount of volatility around the Catalonia elections, supportive of our
Fogertey and John Marshall.
analysts view of what is priced into the equity. The options market is positioning for BBVA, Banco Santander, CaixaBank,
Bankia and Banco Sabadell to move up or down 10% on average by January 2018 expiration. While skew levels are elevated
in Banco Sabadell and BBVA suggesting greater concern around downside risks, skew levels elsewhere look more modest.
Exhibit 7: Option investors are pricing in higher volatility for Banco Sabadell and Bankia relative to BBVA and Banco Santander around Dec 21 election
Price of the January 2018 ATM straddle (ask), as of November 20, 2017
Ticker Name Jan Straddle (%) 3m implied vol %ile 3m Skew %ile
BBVA SM BBVA 8.4 30 64

SAN SM Banco Santander 8.6 24 14
CABK SM CaixaBank SA 10.6 69 54
BKIA SM Bankia 11.3 11 32
SAB SM Banco Sabadell 11.7 40 83
average 10.1 35 49
Source: Goldman Sachs Global Investment Research
If investors would like to maintain upside exposure in the Spanish banks, but limit the downside potential in the
event of a negative impact post the elections, we recommend stock replacement at current levels. As part of this
strategy, investors can replace their long exposure in the Spanish banks with call options. As an example, investors could
buy the CABK.MC Jan-2018 4.00 calls for 0.17 (4%, stock 3.94). Our analysts price target suggests 10% potential upside
in their no shock outcome, providing the potential for a 2-to-1 payout. However, in their adverse scenario, they see potential
downside of 16% to shares. In such a strategy, investors risk losing the premium they paid for the calls, or 4% of the stock
price, relative to holders of shares where our analysts see greater downside risks. Call buyers risk losing premium paid if
shares close below the strike price at expiration.
24 November 2017
Catalonia risk: Testing for the impact of economic uncertainty
Our economists forecast Spains real GDP to slow from +3.1% in 2017E to +2.5%/+2.2% over 2018/19, broadly unchanged
vs. before the referendum (Oct. 1) as they are of the view that the economic consequences of current political tensions will
be transitory and largely contained (see European Outlook: Good Growth, Feeble Inflation, Persistent Policy, Nov. 16, 2017).
However, other scenarios are possible and Spains Independent Fiscal Authority (AIREF) and Banco de Espana (BdE) have
both estimated Catalonia-related uncertainty to potentially impact overall Spanish GDP growth by 0.4-1.2pp in 2018 and by a
similar amount in 2019. While we take no view on the macro impact from Catalonia-related risk, for illustrative purposes we
carry out a scenario analysis testing the potential effect on earnings for the 7 Spanish banks we cover; here we simulate a
shock of a similar magnitude to that estimated by AIREF/BdE for 2018/19 to our gross loan growth and all-in COR forecasts.
(1) Our benign scenario envisages a 1/8 STDEV shock to GDP, in line with the AIREF/BdEs lower bound, while (2) our
adverse case assumes a 1/2 STDEV shock, in line with the AIREF/BdEs upper bound; (3) our medium case simulates a
STDEV shock. We compare these to our (4) a no shock scenario; this outcome is embedded in our current price targets.
When comparing our stressed EPS estimates with the share price performance since early Sept, we estimate the market is
pricing a scenario in between our benign and medium scenarios at CABK/SAB, but a better than benign elsewhere.
Applying 2019E P/Es implied by GS 12-month price targets to our stressed 2019 earnings by scenario implies:
n At CABK/SAB, c.3%/3% upside in case of a benign outcome and c.3%/5% downside in our medium scenario.
However, we see >10% upside in a no shock scenario, i.e our current price target. At BKIA/BKT, 6%-18% downside
potential even in case of a benign outcome and 15%-24% downside potential in our medium scenario. Even in a no
shock scenario, we only see marginal upside at BKIA (our price target implies +4%) and a still large downside at BKT
(-12%). At UNI, c.4% upside in our benign outcome and 9% downside in our medium scenario. However, at UNI, our
price target implies the largest upside in the sector (+17%) in case of a no shock scenario.
n At BBVA/SAN, 4%-11% upside in the case of a benign outcome; in the medium scenario, however, while we see some
small upside at BBVA (+1%), we still see a solid upside at SAN (+9%). In a no shock scenario, we see upside at SAN
and BBVA of +13% and +7%, respectively.
Following Catalonias independence referendum on Oct 1, the Catalan parliament voted to declare independence from Spain
and the Spanish Senate approved triggering Article 155 of the Spanish Constitution (both on Oct. 27) to close down the
government and run Catalonia from Madrid until regional elections are held on Dec. 21. This has led to signicant political and
economic uncertainty in Catalonia, but also in Spain, with Catalonias independence becoming Spaniards second most
pressing concern, according to Centro de Investigaciones Sociologicas (CIS).
24 November 2017
Exhibit 8: Economic uncertainty has risen sharply in Spain recently (since October) Exhibit 9: Catalonias independence is Spaniards second-biggest concern currently
Economic policy uncertainty index, rebased to 100 as of January 2010 Top three problems currently in Spain, multiple choice selection survey, %
350 Unemployment Economic Problems

90 Corruption Politics
Europe Spain
Catalonia's independence
300 80
70
250
60
200
50
150 40
100 30
20
50
10
0
0
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
Jan-17
May-15
May-10
Sep-10
May-11
Sep-11
May-12
Sep-12
May-13
Sep-13
May-14
Sep-14
Sep-15
May-16
Sep-16
May-17
Sep-17
Source: Measuring Economic Policy Uncertainty by Scott R. Baker and Nicholas Bloom and Steven J. Davis at Source: CIS
www.PolicyUncertainty.com.
Exhibit 10: Spanish sovereign risk premium has moderated, but remains elevated vs. Exhibit 11: Implied COE for Catalan-exposed banks is elevated
pre-referendum Implied COE, based on FY 1 EPS I/B/E/S estimates
Spain 5-year sovereign CDS, absolute and relative spread vs German 5-year sovereign CDS
70 10.5%
60 Spread vs. Germany Spain 5-yr senior CDS 10.0%

Spanish banks avg. CABK SAB
50
9.5%
40
9.0%
30
8.5%
20
8.0%
10
7.5%
0
7.0%
Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17
Source: Datastream, Goldman Sachs Global Investment Research Source: Datastream, Goldman Sachs Global Investment Research, IBES
24 November 2017
Whether political uncertainty will diminish in the short term or prove longer lived hinges on the outcome of the
upcoming regional elections (Dec. 21), where pro-independence candidates will come up against pro-union parties.
According to our economists, a pro-union party victory would likely immediately resolve the standoff, while a
pro-independence party victory would likely prolong the implementation of Article 155 and economic uncertainty further
(Europe Outlook: Good growth, feeble inflation, persistent policy, Nov. 16). Importantly, while we take no view regarding the
outcome of Catalonias upcoming regional elections, we note polls suggest a high probability of pro-independence
parties securing an absolute majority of seats in the regional parliament (see Exhibits 12-13). We believe the uncertainty
shock in this outcome would be in line with the adverse scenario in the analysis run by both AIREF/BdE.
Also, we also note the main pro-union parties (PP, PSOE and Cs) have all agreed to initiate talks in Parliament for a
constitutional reform that may help accommodate Catalan (and other regional) demands within the current Constitution.
Notably, as explained in a recent interview by the Spanish Foreign Affairs Minister, this not only may require a nationwide
referendum but it may also open the door to legal independence referendums in the future (BBC, Nov 8.).
Exhibit 12: Polls suggest support for pro-independence parties remains at similar levels to Exhibit 13: Views on Catalonias political status are varied
the last regional elections Question: Political status of Catalonia
Expected proportion of seats in Catalonias regional parliament by party, %
60% 60
An Independent Srtate
A State within Spain as a Federal State
50% 50 A Spanish Region (Current Status)
Other
40% 40
Pro-independence parties (ERC, PDeCAT, CUP) 30

30% Pro-union parties (C's, PSC-PSOE, PP)
Podemos (CatCom)
20
20% Abs. Maj. Threshold
10
10%
0
0%
2015 Socio GESOP/ El NC Report/ Sigma Dos/ GESOP/ Socio GAD3/ La NC Report/ JM&A/
regional Mtrica/ El Peridico La Razn El Mundo CEO Mtrica/ El Vanguardia La Razn Pblico
election Espaol Espaol
Source: Various press sources; Goldman Sachs Global Investment Research Source: CEO, Generalitat de Catalunya, Goldman Sachs Global Investment Research
Academic research has shown the negative effect political risk has on real investment decisions. In a model of
irreversible investment calibrated with data from the Quebec experience arguably the most similar to Catalonias, Altug et
al (2007) showed that political risk has a depressing impact on investment even if the bad regime (separation) has never
been observed in the sample. Also, using stock price data from around Quebecs 1995 independence referendum, Beaulieu
24 November 2017
et al (2006) concluded that uncertainty surrounding the 1995 Quebec referendum affected Quebec rms as well as the
overall Canadian market.
Spains Independent Fiscal Authority (AIREF) has estimated a common shock from Catalonia-related uncertainty to
overall Spanish GDP growth in 2018 of 0.4pp-1.2pp in 2018 (their central/downside scenario). Similarly, Banco de
Espana (BdE) has also estimated a cumulative impact of 0.3-2.5pp over the next two years (i.e. 0.15-1.25 per year, on
average, over 2018-19). For Catalonia, AIREF also estimates an additional idiosyncratic shock of 0.3-1.5pp, bringing the
aggregate shock to regional GDP growth to 0.7-2.7pp next year (see Exhibits 14-15).
The size of the potential shock at the Spanish/country level (which ranges from 1/8 to 1/2 STDEV, implied by the
AIREF/BdE range) is a function of how entrenched political tensions around Catalonia may become. If tensions prove
temporary (i.e. are contained within 4Q17), the size of the shock would likely be closer to the lower part of the range.
However, if tensions become more entrenched, the size of the shock may be closer to the upper bound of the range
Exhibit 14: Cumulative effects on real GDP of BdEs hypothetical scenarios of an increase in Exhibit 15: The AIREF estimates GDP impact of 0.7%-2.7% in Catalonia in 2018, depending on
uncertainty the duration of uncertainty
Cumulative differences in average GDP growth relative to the baseline scenario Differential impact on growth, 2018 across AIREF scenarios
Central scenario Downside risk scenario
0.00%
Spain Catalonia Spain Catalonia
-0.50%
-0.4% -0.4%
-1.00%
-0.3% -1.2% -1.2%
-1.50%
-0.7%
-2.00%
-2.50%
-3.00% -1.5%
2018 2019
Scenario 1: Differential effect of first alternative scenario

Scenario 2: Differential effect of second alternative scenario Idiosyncratic (CAT)
Common (ES) -2.7%
Source: Banco de Espana, Goldman Sachs Global Investment Research Source: AIREF, Goldman Sachs Global Investment Research
For banks, lower activity mechanically translates into: (1) lower credit demand, and (2) a higher COR, as lower growth
also brings about a higher probability of default (i.e. a higher NPL ratio) and a higher loss given default (on e.g. lower collateral
values). Indeed, there is already early evidence of slowing demand for REAs in Spain/Catalonia, with some large
already-announced transactions put on hold as a result of current political uncertainty. Hispania, the Spanish REIT,
24 November 2017
postponed on Oct 9 the divestment of its ofce assets portfolio (25 buildings valued at c.500 mn, for which it has been in
exclusive talks with Swiss Re since last Summer) until 1H18, due to current uncertainty in Catalonia. Reportedly, BBVA may
have also postponed the spin-off of its 20 bn bad bank Anida, for which the bank has been in exclusive talks with Cerberus
since at least September (El Condencial, Oct 9).
Based on this, we stress test all the Spanish banks under our coverage along these two dimensions (loan growth and COR),
assuming the shocks to these two variables are not just (1) homogeneous across banks i.e. do not take into account
differences in the composition of loan books and/or credit standards across banks, but are also (2) of the same magnitude (in
STDEV terms) of the shock to real GDP estimated by AIREF/BdE. Also, (3) we note we stress our all-in COR forecasts,
which include total (and not just credit-related) impairments. Our key ndings are as follows:
1. A mild impact in the benign scenario, moderate in the adverse one. (1) The impact of uncertainty on our 2020 EPS
forecasts ranges, on average, from -7% in the benign scenario (a 1/8 STDEV shock to GDP, in line with AIREF/BdEs
lower bound) to -28% in the adverse case (a STDEV shock, in line with AIREF/BdEs upper bound) . The medium case
(a STDEV shock) would yield a -14% impact, on average. However, we note (2) averages hide extremes; the implied
impact to 2020 EPS is highest at Unicaja (-26%) and lowest at Santander (-4%) in the medium ( STDEV shock)
scenario.
2. Market seems to be pricing a benign/medium scenario at CABK/SAB and a better than benign one elsewhere.
Even though Spanish banks have underperformed the sector over the last couple of months (on avg. down 5% since
September in absolute terms), share price performance does not seem to have captured the impact of even our benign
scenario outside CABK/SAB. Indeed, according to Datastream-compiled consensus EPS FY3, no large downward
revisions (ex UNI/SAB) have been made since Sept 1, with most of the underperformance since then being explained by
some increase in the implied COE (+50 bp on average, +100 bp for CABK/SAB). Whether these moves in the implied
COE (and no change to EPS) of Spanish banks over this period capture the growth risks of Catalonia-related uncertainty
is debatable.
3. Any investment conclusions are contingent on the outcome of Catalonias Dec 21 elections, but we see the best
risk-reward profile at SAN. Applying 2019E P/Es implied by GS price targets to our stressed 2019 earnings by scenario,
we nd +3%/+3%/+4% upside at CABK/SAB/UNI (+11%/+4% at SAN/BBVA) and -18%/-6% downside at BKT/BKIA as in
the benign scenario, and across-the-board downside (from -4% at BBVA to -33% at UNI) in the adverse one, with the
exception of Santander. Importantly, in a no shock scenario (embedded in our current price targets), we see the highest
upside at UNI (+17%) and SAN (+13%). The best risk-reward proles are at SAN and BBVA.
We note that even though the shocks to loan growth/COR as well as the impacts to EPS may be optically large, they are
consistent with their normal-times variability (i.e. excluding periods of excessive volatility). See Exhibits 16-19.
24 November 2017
Exhibit 16: Real GDP growth could slow down by 1.2pp in the adverse scenario vs GSe Exhibit 17: Gross loan growth could fall by up to c.5pp under our adverse scenario vs. our
Real GDP growth, historical and GSe / Adverse scenario forecasts, respectively current forecasts
Growth loan growth, yoy, nominal and ination adjusted. GSe is based on sample of SAN Spain,
BBVA Spain, CABK Spain, BKIA, SAB Spain, BKT.
8.0% 30%
25%
6.0%
20%
4.0% 15%
10%
2.0%
5%
0.0%
0%
-2.0% Real GDP -5%

-10%
GSe
-4.0% Gross loans, yoy % Real loan g, yoy %
Adverse -15% GSe, yoy % Benign Scenario
-6.0% -20% Medium Scenario Adverse Scenario
3Q 2012
2Q 2013
1Q 2014
4Q 2014
1Q 1996
4Q 1996
3Q 1997
2Q 1998
1Q 1999
4Q 1999
3Q 2000
2Q 2001
1Q 2002
4Q 2002
3Q 2003
2Q 2004
1Q 2005
4Q 2005
3Q 2006
2Q 2007
1Q 2008
4Q 2008
3Q 2009
2Q 2010
1Q 2011
4Q 2011
3Q 2015
2Q 2016
1Q 2017
4Q 2017
3Q 2018
2Q 2019
Q2 1980
Q3 1981
Q4 1982
Q1 1984
Q2 1985
Q3 1986
Q4 1987
Q1 1989
Q2 1990
Q3 1991
Q4 1992
Q1 1994
Q2 1995
Q3 1996
Q4 1997
Q1 1999
Q2 2000
Q3 2001
Q4 2002
Q1 2004
Q2 2005
Q3 2006
Q4 2007
Q1 2009
Q2 2010
Q3 2011
Q4 2012
Q1 2014
Q2 2015
Q3 2016
Q4 2017
Q1 2019
Source: Bank of Spain, Datastream, Goldman Sachs Global Investment Research Source: Bank of Spain, Company data, Goldman Sachs Global Investment Research, Datastream
Exhibit 18: A comparable COR shock would take our 2019 estimate to 65bp Exhibit 19: In our adverse scenario, we see domestic profits falling by c.30% vs our current
Provisions (total impairments including other gains and losses) over total loans, system-wide, forecasts
quarterly annualised Net prot, bn, system-wide vs GS forecasts adjusted for coverage market share of gross loans.
Illustrative purposes only.
6.0% 30
All-in COR (smoothed) Net profit, systemwide
5.0% All-in COR (raw) 25
GS forecast
GSe
4.0% Adverse 20 Adverse scenario
3.0% 15
2.0% 10
0.99%
0.70%
0.65%
1.0% 5
0.0% 0.33% 0
1Q85
3Q92
4Q78
1Q80
2Q81
3Q82
4Q83
2Q86
3Q87
4Q88
1Q90
2Q91
4Q93
1Q95
2Q96
3Q97
4Q98
1Q00
2Q01
3Q02
4Q03
1Q05
2Q06
3Q07
4Q08
1Q10
2Q11
3Q12
4Q13
1Q15
2Q16
3Q17
4Q18
4Q95
3Q96
2Q97
1Q98
4Q98
3Q99
2Q00
1Q01
4Q01
3Q02
2Q03
1Q04
4Q04
3Q05
2Q06
1Q07
4Q07
3Q08
2Q09
1Q10
4Q10
3Q11
2Q12
1Q13
4Q13
3Q14
2Q15
1Q16
4Q16
3Q17
2Q18
1Q19
4Q19
3Q20
Source: Bank of Spain, Goldman Sachs Global Investment Research Source: Banco de Espana, Company data, Goldman Sachs Global Investment Research
24 November 2017
Exhibit 20: We run a broad range of scenarios, with our medium case assuming -0.6% GDP growth impact, -2.3% loan growth impact and +0.16% cost of risk impact
Inputs for scenario analysis
Standard Real GDP Loan Growth All-in COR Benign' Scenario Medium' Scenario Adverse' Scenario
Scenario analysis
deviation Growth impact impact impact
0.32%
1 -2.5% -9.2% 0.65%
3/4 -1.9% -6.9% 0.49%
Adverse' Scenario 1/2 -1.3% -4.6% 0.32% -0.3%

-1.1%
0.16%
-0.6%
Medium' Scenario 1/4 -0.6% -2.3% 0.16% -2.3% 0.08%
-1.3%
Benign' Scenario 1/8 -0.3% -1.1% 0.08% -4.6%
1/16 -0.2% -0.6% 0.04% Real GDP Growth Loan Growth All-in COR
Exhibit 21: Summary of our stress test analysis in the Medium Scenario for SAN, BBVA, CABK
mn, unless otherwise indicated. Multiple gures have been estimated due to data availability. Figures for illustrative purposes only. SAN shown pro forma for POP full-year for 2017E in Spain and as of
acquisition date for Group.
Loan growth shock: -2.29% COR shock: 0.16% Loan growth shock: -2.29% COR shock: 0.16% Loan growth shock: -2.29% COR shock: 0.16%
Santander 2017E 2018E 2019E 2020E BBVA 2017E 2018E 2019E 2020E CaixaBank 2017E 2018E 2019E 2020E
Spain (p/f POP full year) Spain Spain
NII 4,748 4,764 4,904 5,127 NII 3,792 3,807 3,836 3,883 NII 4,378 4,427 4,533 4,679
Gross loans - GSe 239,611 240,169 242,960 244,410 Gross loans - GSe 185,029 183,640 184,546 186,241 Gross loans - GSe 201,788 203,752 208,099 211,843
NIM 1.88% 1.99% 2.03% 2.10% NIM 2.02% 2.07% 2.08% 2.09% NIM 2.15% 2.18% 2.20% 2.23%
Loan growth - GSe -9.8% 0.2% 1.2% 0.6% Loan growth - GSe -2.7% -0.8% 0.5% 0.9% Loan growth - GSe -1.5% 1.0% 2.1% 1.8%
Loan growth - Stress test -9.8% -2.1% -1.1% -1.7% Loan growth - Stress test -2.7% -3.0% -1.8% -1.4% Loan growth - Stress test -1.5% -1.3% -0.2% -0.5%
Gross loans - Stress test 239,611 234,676 232,023 228,089 Gross loans - Stress test 185,029 179,398 176,171 173,750 Gross loans - Stress test 201,788 199,126 198,809 197,828
NII - Stress test 4,748 4,710 4,737 4,840 NII - Stress test 3,792 3,764 3,704 3,664 NII - Stress test 4,378 4,377 4,380 4,419
[1] Impact on NII (pre-tax) 0 -55 -167 -287 [1] Impact on NII (pre-tax) 0 -44 -131 -219 [1] Impact on NII (pre-tax) 0 -51 -153 -260
Provisions - GSe -1,405 -674 -662 -625 Provisions - GSe -863 -617 -533 -505 Provisions - GSe -1,082 -873 -738 -740
COR - GSe 0.56% 0.28% 0.27% 0.26% COR - GSe 0.46% 0.33% 0.29% 0.27% COR - GSe 0.53% 0.43% 0.36% 0.35%
COR - Stress test 0.56% 0.44% 0.44% 0.42% COR - Stress test 0.46% 0.50% 0.45% 0.43% COR - Stress test 0.53% 0.59% 0.52% 0.51%
Provisions - Stress test -1,405 -1,052 -1,019 -964 Provisions - Stress test -863 -906 -804 -761 Provisions - Stress test -1,082 -1,188 -1,036 -1,021
[2] Impact on provisions (pre-tax) 0 -377 -356 -339 [2] Impact on provisions (pre-tax) 0 -289 -270 -256 [2] Impact on provisions (pre-tax) 0 -316 -298 -281
[3] Total impact (pre-tax) 0 -432 -523 -625 [3] Total impact (pre-tax) 0 -333 -402 -474 [3] Total impact (pre-tax) 0 -366 -451 -541
Tax rate 30% 30% 30% 30% Tax rate 30% 30% 30% 30% Tax rate 30% 30% 30% 30%
[4] Combined impact (post-tax) 0 -302 -366 -438 [4] Combined impact (post-tax) 0 -233 -281 -332 [4] Combined impact (post-tax) 0 -256 -316 -378
Net profit - GSe 733 1,509 1,897 2,544 Net profit - GSe 1,083 1,592 1,610 1,663 Net profit - GSe 1,692 2,063 2,319 2,517
Net profit - Stress test 733 1,207 1,531 2,107 Net profit - Stress test 1,083 1,359 1,329 1,331 Net profit - Stress test 1,692 1,806 2,003 2,139
[5] Net profit impact - Spain 0% -20% -19% -17% [5] Net profit impact - Spain 0% -15% -17% -20% [5] Net profit impact - Spain 0% -12% -14% -15%
Group Group Group
Net profit - GSe 6,917 8,543 9,739 11,849 Net profit - GSe 4,587 5,108 5,581 5,888 Net profit - GSe 1,885 2,386 2,656 2,783
Net profit - Stress test 6,917 8,240 9,373 11,411 Net profit - Stress test 4,587 4,875 5,299 5,557 Net profit - Stress test 1,885 2,130 2,340 2,405
[6] Net profit impact - Group 0% -4% -4% -4% [6] Net profit impact - Group 0% -5% -5% -6% [6] Net profit impact - Group 0% -11% -12% -14%
Source: Company data, Goldman Sachs Global Investment Research
24 November 2017
Exhibit 22: Summary of our stress test analysis in the Medium Scenario for BKIA, SAB, BKT
mn, unless otherwise indicated. Multiple gures have been estimated due to data availability. Figures for illustrative purposes only.
Loan growth shock: -2.29% COR shock: 0.16% Loan growth shock: -2.29% COR shock: 0.16% Loan growth shock: -2.29% COR shock: 0.16%
Bankia 2017E 2018E 2019E 2020E Sabadell 2017E 2018E 2019E 2020E Bankinter 2017E 2018E 2019E 2020E
Spain Spain Group
NII 1,943 1,886 1,914 1,948 NII 2,791 2,789 2,841 2,896 NII 1,050 1,063 1,101 1,141
Gross loans - GSe 107,790 107,258 108,295 109,575 Gross loans - GSe 112,143 112,372 114,019 116,101 Gross loans - GSe 53,727 55,758 57,886 60,103
NIM 1.78% 1.75% 1.78% 1.79% NIM 2.45% 2.48% 2.51% 2.52% NIM 1.98% 1.94% 1.94% 1.93%
Loan growth - GSe -2.5% -0.5% 1.0% 1.2% Loan growth - GSe -3.0% 0.2% 1.5% 1.8% Loan growth - GSe 2.5% 3.8% 3.8% 3.8%
Loan growth - Stress test -2.5% -2.8% -1.3% -1.1% Loan growth - Stress test -3.0% -2.1% -0.8% -0.5% Loan growth - Stress test 2.5% 1.5% 1.5% 1.5%
Provisions - GSe -382 -279 -175 -155 Provisions - GSe -2,138 -801 -746 -638 Provisions - GSe -223 -177 -143 -170
COR - GSe 0.35% 0.26% 0.16% 0.14% COR - GSe 1.88% 0.71% 0.66% 0.55% COR - GSe 0.42% 0.32% 0.25% 0.29%
COR - Stress test 0.35% 0.42% 0.32% 0.30% COR - Stress test 1.88% 0.88% 0.82% 0.72% COR - Stress test 0.42% 0.49% 0.41% 0.45%
Provisions - Stress test -382 -449 -338 -313 Provisions - Stress test -2,138 -972 -899 -779 Provisions - Stress test -223 -263 -227 -252
[2] Impact on provisions (pre-tax) 0 -169 -163 -158 [2] Impact on provisions (pre-tax) 0 -171 -152 -141 [2] Impact on provisions (pre-tax) 0 -86 -85 -81
Net profit - GSe 864 793 902 952 Net profit - GSe 736 772 850 923 Net profit - GSe 485 529 589 601
Net profit - Stress test 864 660 742 765 Net profit - Stress test 736 630 676 711 Net profit - Stress test 485 461 504 500
[5] Net profit impact - Spain 0% -17% -18% -20% [5] Net profit impact - Spain 0% -18% -20% -23% [5] Net profit impact - Group 0% -13% -14% -17%
Group Group Group
Net profit - GSe 864 793 902 952 Net profit - GSe 834 969 1,150 1,332 Net profit - GSe 485 529 589 601
Net profit - Stress test 864 660 742 765 Net profit - Stress test 834 827 976 1,120 Net profit - Stress test 485 461 504 500
Exhibit 23: Summary of our stress test analysis in the Medium Scenario for UNI and the Aggregate sample
Loan growth shock: -2.29% COR shock: 0.16%
Unicaja 2017E 2018E 2019E 2020E Aggregate 2017E 2018E 2019E 2020E
Spain Spain
NII 575 561 567 590 NII 19,277 19,298 19,696 20,263
Gross loans - GSe 31,414 31,812 32,623 33,705 Gross loans - GSe 931,503 934,761 948,428 961,978
NIM 1.79% 1.78% 1.76% 1.78% NIM 2.03% 2.07% 2.09% 2.12%
Loan growth - GSe -4.0% 1.3% 2.5% 3.3% Loan growth - GSe -4.2% 0.3% 1.5% 1.4%
Loan growth - Stress test -4.0% -1.0% 0.3% 1.0% Loan growth - Stress test -4.2% -1.9% -0.8% -0.9%
Gross loans - Stress test 31,414 31,092 31,172 31,491 Gross loans - Stress test 931,503 913,407 905,823 898,002
NII - Stress test 575 555 548 558 NII - Stress test 19,277 19,077 19,027 19,133
[1] Impact on NII (pre-tax) 0 -6 -19 -33 [1] Impact on NII (pre-tax) 0 -221 -669 -1,130
Provisions - GSe -236 -67 -64 -82 Provisions - GSe -6,331 -3,488 -3,062 -2,915
COR - GSe 0.74% 0.21% 0.20% 0.25% COR - GSe 0.67% 0.37% 0.33% 0.31%
COR - Stress test 0.74% 0.37% 0.36% 0.41% COR - Stress test 0.67% 0.54% 0.49% 0.47%
Provisions - Stress test -236 -117 -113 -129 Provisions - Stress test -6,331 -4,947 -4,435 -4,218
[2] Impact on provisions (pre-tax) 0 -50 -48 -46 [2] Impact on provisions (pre-tax) 0 -1,458 -1,373 -1,302
[3] Total impact (pre-tax) 0 -56 -68 -79 [3] Total impact (pre-tax) 0 -1,679 -2,042 -2,433
Tax rate 30% 30% 30% 30% Tax rate 30% 30% 30% 30%
[4] Combined impact (post-tax) 0 -39 -47 -55 [4] Combined impact (post-tax) 0 -1,175 -1,430 -1,703
Net profit - GSe 150 134 213 213 Net profit - GSe 5,742 7,393 8,379 9,413
Net profit - Stress test 150 95 165 158 Net profit - Stress test 5,742 6,217 6,950 7,710
[5] Net profit impact - Spain 0% -29% -22% -26% [5] Net profit impact - Spain 0% -16% -17% -18%
Group Group
[6] Net profit impact - Group 0% -29% -22% -26% [6] Net profit impact - Group 0% -6% -7% -7%
24 November 2017
Exhibit 24: Sensitivity analysis of our stress test forecasts across different degrees of standard variation / stress
% change to Group EPS (2020E) vs. current GS forecasts
Sensitivity analysis - 2020E EPS (Group)
Santander COR shock BBVA COR shock CaixaBank COR shock

-4% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65% -6% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65% -14% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65%
Loan g shock
Loan g shock
Loan g shock
-0.6% -1% -2% -3% -5% -7% -10% -0.6% -1% -2% -4% -8% -11% -15% -0.6% -4% -6% -10% -18% -27% -35%
-1.1% -1% -2% -3% -5% -8% -10% -1.1% -2% -3% -5% -8% -12% -15% -1.1% -5% -7% -11% -19% -28% -36%
-2.3% -2% -3% -4% -6% -8% -10% -2.3% -3% -4% -6% -9% -12% -16% -2.3% -8% -10% -14% -22% -30% -38%
-4.6% -3% -4% -5% -7% -9% -11% -4.6% -5% -6% -8% -11% -14% -17% -4.6% -13% -15% -18% -26% -34% -41%
-6.9% -5% -5% -6% -8% -10% -12% -6.9% -7% -8% -10% -13% -16% -19% -6.9% -18% -19% -23% -30% -38% -45%
-9.2% -6% -7% -7% -9% -11% -13% -9.2% -9% -10% -11% -14% -17% -20% -9.2% -23% -24% -28% -34% -41% -48%
Bankia COR shock Sabadell COR shock Bankinter COR shock

-20% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65% -16% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65% -17% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65%
Loan g shock
Loan g shock
Loan g shock
-0.6% -5% -8% -15% -28% -40% -53% -0.6% -4% -7% -11% -21% -31% -40% -0.6% -4% -7% -13% -24% -35% -46%
-1.1% -7% -10% -16% -29% -42% -54% -1.1% -6% -8% -13% -22% -32% -42% -1.1% -6% -9% -14% -25% -36% -47%
-2.3% -10% -14% -20% -32% -44% -56% -2.3% -9% -11% -16% -25% -34% -44% -2.3% -9% -11% -17% -27% -38% -48%
-4.6% -17% -20% -26% -38% -49% -61% -4.6% -15% -17% -22% -31% -39% -48% -4.6% -15% -17% -22% -32% -42% -52%
-6.9% -24% -27% -32% -43% -54% -65% -6.9% -21% -23% -27% -36% -44% -52% -6.9% -20% -23% -27% -37% -46% -55%
-9.2% -31% -33% -38% -48% -59% -69% -9.2% -27% -29% -33% -41% -48% -56% -9.2% -26% -28% -32% -41% -50% -59%
Unicaja COR shock Aggregate COR shock Average COR shock

-26% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65% -7% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65% 0.04% 0.08% 0.16% 0.32% 0.49% 0.65%
Loan g shock
Loan g shock
Loan g shock
-0.6% -7% -11% -20% -37% -55% -72% -0.6% -2% -3% -5% -10% -14% -19% -0.6% -4% -6% -11% -20% -29% -39%
-1.1% -9% -13% -22% -39% -56% -74% -1.1% -3% -4% -6% -10% -15% -19% -1.1% -5% -7% -12% -21% -30% -40%
-2.3% -13% -18% -26% -43% -59% -76% -2.3% -4% -5% -7% -12% -16% -20% -2.3% -8% -10% -14% -23% -32% -41%
-4.6% -22% -26% -34% -50% -65% -81% -4.6% -7% -8% -10% -14% -18% -22% -4.6% -13% -15% -19% -28% -36% -45%
-6.9% -30% -34% -42% -56% -71% -86% -6.9% -9% -10% -12% -16% -20% -24% -6.9% -18% -20% -24% -32% -40% -48%
-9.2% -38% -42% -49% -63% -77% -91% -9.2% -12% -13% -14% -18% -22% -25% -9.2% -23% -25% -28% -36% -43% -51%
Exhibit 25: Price action post referendum appears in line with our Benign scenario for CABK and SAB, with limited performance impact elsewhere
Absolute share price performance since September 1 vs. stress test impact to GS 2020 EPS across scenarios. Nov 17 pricing
10%
1%
0%
-2%
-2%
-10%
-3%
-3%
-3%
-4%
-5%
-6%
-7%
-7%
-7%
-7%
-8%
-9%
-10%
-10%
-11%
-12%
-20%
-13%
-14%
-14%
-16%
-17%
-20%
-30% Absolute performance
-26%
-26%
-28%
-31%
-32%
-40% EPS - 'Benign'
-38%
-50% EPS - 'Medium'
-50%
-60% EPS - 'Adverse'
SAN BBVA CABK BKIA SAB BKT UNI Avg.
Source: Company data, Goldman Sachs Global Investment Research, Datastream
24 November 2017
Exhibit 26: In our Medium scenario, we see 7% avg. downside applying implied P/Es at Exhibit 27: Using consensus current trading multiples, we see 9% avg downside
GS 12m PTs to stressed earnings Upside/downside of current share price to fair value derived by consensus trading P/E 2019E
Upside/downside of current share price to fair value derived by GS implied 2019E P/Es at target applied to stressed GS earnings by scenario. Nov 17 pricing
price applied to stressed GS 2019 earnings by scenario. Nov 22 pricing
GS PT
Benign Medium Adverse
17%
8%
Benign
6%
13%
12%
4%
3%
11%
2%
10%
2%
0%
Medium
9%
7%
5%
4%
4%
4%
3%
3%
Adverse
1%
(2%)
(4%)
(5%)
(5%)
(12%)
(13%)
(3%)
(4%)
(5%)
(6%)
(17%)
(9%)
(19%)
(21%)
(21%)
(12%)
(15%)
(26%)
(16%)
(18%)
(29%)
(21%)
(24%)
(37%)
(32%)
(33%)
(36%)
(48%)
Bankinter Bankia Unicaja Sabadell CaixaBank BBVA Santander Unicaja Bankia Bankinter Sabadell CaixaBank Santander BBVA
Source: Goldman Sachs Global Investment Research, Datastream Source: Goldman Sachs Global Investment Research, Datastream
Exhibit 28: Market-implied COE for CABK/SAB has increased by c.100 bp since September 1 Exhibit 29: ...while consensus EPS revisions have been modest in comparison over the same
Change (delta) in market-implied cost of equity (1/PE), based on Forward Year 3 Consensus period
forecasts (I/B/E/S). Nov 17 pricing Forward Year 3 EPS revisions by I/B/E/S consensus, % change, since September 1. Nov 17 pricing
1.2% 3.0% 2.7%

1.1% 1.0%
2.0%
1.0%
1.0% 0.6%
0.8% 0.2%
0.0%
0.6%
0.5% 0.5%
-1.0% -0.6% -0.6%
-0.9%
0.4%
-2.0%
0.2% 0.2%
0.2% 0.2%
0.2%
-3.0%
-3.2%
-3.3%
0.0% -4.0%
SAN BBVA CABK BKIA SAB BKT UNI Avg. SAN BBVA CABK BKIA SAB BKT UNI Avg.
Source: Datastream, Goldman Sachs Global Investment Research Source: Goldman Sachs Global Investment Research, Datastream
24 November 2017
Admittedly, the impact of Catalonia-related political and economic uncertainty may have a differentiated impact on the
revenue-generation profiles of the banks with the largest exposures to the region (CABK and SAB). We view potential
differentiated impacts across four dimensions:
1. Franchise quality: the managements of CABK and SAB conrmed a moderate loss of customer funds during the rst
1-2 weeks of October, which the press has quantied somewhere between 9 bn (6 bn at CABK and 3 bn at SAB,
according to El Condencial, Oct 18) and 12 bn (ABC, Oct 18). If conrmed, these outows would equate to 3%-4% of
their respective Group deposits. Importantly, the banks also commented that the situation stabilised post the move of
their respective HQs outside Catalonia (SAB on Oct 5, CABK on Oct 7) and suggested theyve been able to recover part
of these outows, with unconrmed press reports quantifying this amount in c.2 bn (same source as above).
2. Funding costs/margins: the managements of the two banks have also ruled out the possibility of increasing the
remuneration of their deposits as a way of avoiding new outows or to rather accelerate their recovery (its not
necessary to make any aggressive policy in terms of costs for deposits on CABKs 3Q call), despite reports of SAB
offering corporate clients structured deposits with rates at 0.25-0.75% since mid-Oct (El Condencial, 19 Oct).
3. Fee income generation: at times of stress, AUM and deposit (out)ows tend to be highly correlated. Interestingly, we
can track the evolution of mutual funds AUM on a daily basis; and even though the amount of AUM we can track is,
admittedly, just a fraction of the banks total off-balance sheet exposures, it may provide some early evidence on (1) the
size of total off-balance sheet ows and, crucially, (2) the direction of such ows. Indeed, available AUM data suggests
outows at BBVA/CABK/SAB (which seem to have been particularly strong at CABK) matched by inows at SAN/BKIA
since Oct 1. See Exhibit 30.
4. Credit demand & credit quality: given the larger exposure to Catalonia (c.20% of risk exposure, ex Govt) and the
intrinsic shock to the regions growth outlook, their shocks to both loan growth and COR may be higher vs peers.
All in, even though we acknowledge such differential risks at CABK and SAB vs other Spanish banks, we remain unable to
fully quantify their impact to our EPS forecasts. However, we think such differences should already be captured by our
valuation framework/price targets, as we had earlier increased the COE of all Spanish banks under our coverage pro-rata of
their deposit exposure to Catalonia, with CABKs COE uplift being the largest at +200 bp (Catalonia: Potential for disruption
calls for caution wait and see; Oct 6).
24 November 2017
Exhibit 30: AUM flows displayed some volatility post referendum

Net ows, % annualised by week and monthly, across banks. Estimated based on visible fund data. SAN October data is up until 30th Oct. November MTD data is up to Nov 17 for all except BKT which is
up to Nov 20.
September Post-Referendum: Week 1 Post-Referendum: Week 2 Post-Referendum: Week 3 Post-Referendum: Week 4 October November MTD
43%
37%
24%
23%
22%
19%
19%
17%
15%
15%
14%
11%
10%
10%
8%
7%
6%
5%
2%
0%
-1%
-2%
-2%
-5%
-6%
-10%
-11%
-13%
-14%
-16%
-16%
-16%
-18%
-19%
-22%
-24%
-24%
-25%
-25%
-33%
-37%
-41%
Santander BBVA CaixaBank Sabadell Bankia Bankinter
Source: Bloomberg, Goldman Sachs Global Investment Research
Exhibit 31: Catalonia exposures by bank across branches, deposits, risks. COE changes implemented in previous October 6, 2017 report.
All gures in mn, unless otherwise indicated. Deposits in Spain and Catalonia are estimated. Risk exposure gures exclude central government risk in Spain and for the Group. Risk data for CABK/BKIA
are unadjusted for BPI/BMN p/f. Deposit gures estimated based on 2016 branch data and 2Q17 pro forma deposit data in Spain. Risk in CAT for UNI estimated.
Bank Branches, 2016 Deposits, 2Q17 Risk exposure, 2016 Cost of equity
Name Spain Catalonia % Spain Group Spain Catalonia % Group Catalonia % Spain % Group COE old Add-on COE new
SAN + POP 4,481 620 14% 764,336 251,899 34,853 5% 34,237 11% 3% 9.50% 0.40% 9.90%
BBVA 3,303 1,009 31% 394,626 181,858 55,554 14% 56,236 22% 14% 9.50% 1.20% 10.70%
CABK 5,188 1,352 26% 203,497 181,162 47,211 23% 51,897 23% 20% 9.00% 2.00% 11.00%
SAB 2,119 638 30% 131,841 96,594 29,083 22% 32,355 30% 19% 10.00% 1.90% 11.90%
BKIA 1,866 148 8% 103,038 100,982 8,009 8% 14,690 10% 9% 8.00% 0.70% 8.70%
BKT 363 40 11% 44,703 40,703 4,485 10% 6,369 12% 10% 8.00% 0.90% 8.90%
UNI 1,279 2 0% 45,217 45,217 71 0% 58 0% 0% 8.50% 0.00% 8.50%
Aggregate 18,599 3,809 20% 1,687,258 898,415 179,267 11% 195,842 17% 8% -- -- --
Average 17% 12% 16% 11% 8.93% 1.01% 9.94%
Source: CECA, AEB, Goldman Sachs Global Investment Research
24 November 2017
Exhibit 32: Deposits: CABK/SAB most exposed Exhibit 33: On avg, 11% of risk sits in Catalonia
Catalonia estimated deposit exposure, % Group. Figures estimated based on 2016 branch data and Catalonia risk exposure, % Group, 2016, ex Govt. CABK/BKIA are unadjusted for BPI/BMN p/f.
2Q17 pro forma deposit data. POP deposits estimated based on Group disclosure, although may
include non-residents.
25% 25%
23%
22%
20%
20% 20% 19%
15% 14% 15% 14%
12%
11%
10% 10%
9%
10% 10%
8%
5%
5% 5%
3%
0% 0%
0% 0%
CABK SAB BBVA Average BKT BKIA SAN + UNI CABK SAB BBVA Average BKT BKIA SAN + UNI
POP POP
Source: CECA, AEB, Company data, Goldman Sachs Global Investment Research Source: Company data, Goldman Sachs Global Investment Research
Exhibit 34: Market shares in Catalonia (branches) Exhibit 35: Branches: 17% based in Catalonia (avg)
% share of total branches in Catalonia by bank, 2016. Note: System total is calculated based on Catalonia as % total domestic branches, 2016
savings and commercial banks total, including Cajamar, and is not adjusted for other banks.
35%
31% 30%
Other
30%
8%
26%
BBVA
24% 25%
SABE
15%
20%
17%
15% 14%
11%
SAN
9% 10% 8%
5%
CABK BKIA
POP 4% 0%
33%
6% BKT 0%
1% BBVA SAB CABK Average SAN + BKT BKIA UNI
POP
Source: CECA, AEB, Goldman Sachs Global Investment Research Source: CECA, AEB, Goldman Sachs Global Investment Research
24 November 2017
Higher consumer NPLs today, lower originations tomorrow
Despite the strength of Spains economic recovery, household NPLs have been picking up since early 2016, driven
particularly by consumer NPLs. According to the BdEs latest FSR (Nov 2017), this is likely due to higher risk taking
by banks in an effort to increase profitability. Going forward, given (1) attention will be paid to these
developments by the BdE, and (2) slower consumer loan demand on lower employment creation and a household
savings ratio close all-time lows, we think the combination of both supply- and demand-side factors may lead to a
slowdown in consumer loan originations over the coming quarters. A decline in the contribution of consumer &
other loans to overall private loans (c.15% of private loans, c.30% of the private sector yield) may have a
disproportionate impact on banks profitability profiles. For illustrative purposes we carry out a scenario analysis
testing the potential effect on earnings on the seven Spanish banks we cover; here we simulate a shock to our
customer spread and consumer loan growth forecasts. (1) Our benign scenario envisages a STDEV shock to
consumer & other (including loans to entrepreneurs/ self-employed) loans, which we assume is ~15% across banks,
while (2) our adverse scenario assumes a 1 STDEV shock; (3) our medium case simulates a STDEV shock. We
compare these to our (4) no shock scenario; this outcome is embedded in our current price targets. Our key findings
are: (1) Our 2020E EPS forecasts fall by -4%/-6%/-8% across benign/medium/adverse scenarios vs our no shock
(GSe) case, with the smallest impact at SAN and the largest at UNI; and (2) the shock in the adverse scenario
suffices to virtually eliminate the upside of BBVA/CABK/SAB and to significantly increase the downside at BKIA/BKT.
Interestingly, despite being the most impacted, (3) UNI also screens as the most resilient valuation-wise, with 4%
upside in the adverse scenario, second only to SAN.
As a way of mitigating the impact of an environment of still-declining volumes and very low (even negative) interest rates,
banks have been engineering a shift in their loan portfolios, away from the least protable segments (mortgages, large
corporates, public sector) and into the most protable ones (consumer loans, SMEs). Since 2011, (1) consumer lending has
increased from c.11% to c.15% of total private-sector lending currently, and (2) interest rates on consumer lending have also
increased (by >80bp) as rates on mortgage and corporate lending have fallen sharply (by c.150 bp) over the same period,
further widening the spread between the two. All in, the contribution of consumer lending to the overall private-sector asset
yield has been increasing from c.5% in late 2011 to c.30% currently. See Exhibits 36-38.
However, as strong as the recovery has proven to be until now, the household NPL ratio has increased by +13 bp (from
5.30% to 5.45%) between 3Q16 and 2Q17, driven by (1) a +78 bp increase (from 10.27% to 11.05%) in the NPL ratio of loans
for non-durable consumption since 1Q16, and (2) a at NPL ratio in the mortgage book (stable at c.4.7% since 2Q16). Also,
even though system-wide data provided by the BdE only reaches up to 2Q17, individual bank data suggests the same trend
continued in 3Q17 (e.g. CABKs household NPL ratio was up +50 bp qoq in 3Q17). The deterioration of the household NPL
24 November 2017
ratio is difcult to reconcile with (1) an economy which is still growing >3%, but also with (2) the corporate NPL ratio
continuing to improve/decline sharply quarter after quarter. See Exhibits 39-41.
Exhibit 36: Spanish banks have been increasing their Exhibit 37: Asset yields in consumer have been increasing Exhibit 38: Consumer lending has been the key driver of
exposure to the consumer segment over the past 6 years steadily vs. downward trend elsewhere asset yields over recent periods, as interest rates have
Contribution to overall system-wide loan portfolio by segment, System-wide asset yield by segment, % come down
% Systemwide asset yield across all segments, incl. and excl.
consumer lending (lhs, %) vs. contribution of consumer lending
to the total asset yield over time, %
60% 8.00 7.00 35%

Total
50.0%
2011
7.00 6.00 ex Consumer 30%
44.8%
2014
44.6%
50%
42.6%
40.9%
2017 Consumer (contrib.)
6.00
38.3%
5.00 25%
40% 5.00
4.00 20%
4.00
30% 3.00 15%
3.00 Mortgage
14.5%
20% Consumer 2.00 10%

12.6%
11.7%
2.00
Corporate
1.00 5%
10% 1.00
0.00 0%
0.00
Jan-03
Jul-06
Mar-04
Dec-05
Nov-08
Jun-09
Jan-10
Jun-16
Jan-17
Aug-03
May-05
Feb-07
Sep-07
Aug-10
Mar-11
Dec-12
Jul-13
Nov-15
Apr-08
May-12
Feb-14
Sep-14
Apr-15
Aug-17
Oct-04
Oct-11
Jan-03
Jul-03
Jul-04
Jul-05
Jul-06
Jul-07
Jul-08
Jul-09
Jul-10
Jul-15
Jul-16
Jul-17
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jul-11
Jul-12
Jul-13
Jul-14
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
Jan-17
0%
Mortgage Consumer Corporate
Source: Bank of Spain, Goldman Sachs Global Investment Research Source: Bank of Spain, Goldman Sachs Global Investment Research Source: Bank of Spain, Goldman Sachs Global Investment Research
Exhibit 39: Household NPLs on the rise vs. ongoing Exhibit 40: Mortgages and consumer loan NPLs are Exhibit 41: Individual bank data suggests that increases in
improvements in the corporate segment increasing compared to the previous year, despite an Consumer NPLs have continued into 2H17
Systemwide NPL ratio by segment, % improving economy Consumer NPL ratio, systemwide and at CaixaBank Spain , %
Household NPL ratio by segment, %
25% 8.0% 6.5% 14.0% 13.0%
Corporates 7.0% 12.0% CABK

13.0%
20% Households, rhs 6.0% System
6.0% 11.0%
12.0%
5.0% 10.0%
15% 5.5%
4.0% 11.0% 9.0%
10% 5.0% 8.0%

3.0%
10.0%
2.0% 7.0%
5% 4.5% Mortgages Non-durables, rhs
9.0%
1.0% 6.0%
0% 0.0% 4.0% 8.0% 5.0%

Jan-14
Jan-15
Jan-16
Jan-17
Mar-13
Mar-14
Mar-16
Mar-17
Jul-13
Nov-13
Jul-14
Nov-14
Mar-15
Jul-15
Sep-13
Sep-14
Sep-15
Nov-15
Jul-16
Nov-16
Sep-16
May-13
May-14
May-15
May-16
May-17
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Jun-11
Dec-11
Jun-12
Dec-12
Jun-13
Dec-13
Jun-14
Dec-14
Jun-15
Dec-15
Jun-16
Dec-16
Jun-17
Source: Bank of Spain, Goldman Sachs Global Investment Research Source: Bank of Spain, Goldman Sachs Global Investment Research Source: Bank of Spain, Company data, Goldman Sachs Global Investment Research
24 November 2017
We have highlighted this trend in the past (The local picture: 2Q17 A good quarter, but outlook on rates less upbeat, Aug
15; CaixaBank SA (CABK.MC): Downgrading to Neutral following outperformance, Sep 6) and continue to think that, going
forward, a combination of supply-side and demand-side factors may pose signicant downside risks (ceteris paribus) to
consumer loan growth. Importantly, while demand-side factors may weigh on volumes, supply-side factors may also weigh
on prices as (1) banks de-risk their portfolios and (2) competition for the premium segments increases. We see BKT
commercializing pre-approved consumer loans of up to 3,000 at 0% APR for premium clients (Expansion, Oct 31) as a rst
step in this direction.
1. Lower demand. With employment growth slowing down and the household savings ratio near an all-time low (at 6.55%
in 2Q17), we view demand-side risks to consumer loan growth as skewed to the downside.
2. De-risking. Consumer NPLs have been outgrowing consumer loans since early 2016. The increase in NPLs, which
accelerated to >9% in 2Q17, potentially signals a slowdown in consumer loan originations down the road as banks de-risk
their portfolios.
3. Supervisory actions. In its latest FSR (Nov 2017), BdE has explicitly warned about the risks associated with this trend
(the persistently low profitability faced by banks may have induced them to seek higher profits recently at the cost of
running higher risks), opening the door to potential supervisory actions (attention will be paid to these developments in
the coming months). This, in our view, adds downside, supply-side risks to consumer loan growth (and prices) over the
coming quarters.
In household lending, the behaviour of house purchase NPLs deferred markedly from that of consumer NPLs. The
former continued their downward course, falling by 1.9% year-on-year in June 2017, while consumer NPLs grew with
respect to the same month of the previous year (up by 8.5%). This type of credit is one of the most profitable business
segments and that which grew most in year-on-year terms. The persistently low profitability faced by banks may have
induced them to seek higher profits recently at the cost of running higher risks. The upsurge in nonperforming
loans of banks generally may be a sign of this higher risk. Attention will have to be paid to these developments in
the coming months.
24 November 2017
Exhibit 42: We expect a macro slowdown across indicators Exhibit 43: The household savings ratio is near an all-time Exhibit 44: The significant increase in Consumer NPLs
GS forecasts for Spanish GDP, demand and employment low suggests an anticipated slowdown in Consumer loan
Household savings ratio, % over disposable income originations based on past experience
Growth yoy, % , system-wide
4.0% 14 8.0% Consumer loan growth, yoy % 25%

6.0%
3.4%
3.4%
Real GDP 13 20%

3.3%
Consumer NPL stock, yoy %, rhs
3.5% 12 4.0% 15%
3.1%
Domestic Demand
3.0%
2.9% 2.0%
2.9%
Employment 11 10%
0.0%
2.7%
3.0%
2.6%
10 5%
2.5%
-2.0%
9 0%
2.2%
2.2%
2.5% -4.0%
2.1%
2.1%
8 -5%
2.0%
2.0%
2.0%
-6.0%
1.8%
7 -10%
1.7%
2.0% -8.0%
6 -10.0% -15%
1.4%
5 -20%
1.2%
1.5% -12.0%
4 -14.0% -25%
Q4 1999
Q2 2000
Q4 2000
Q2 2001
Q4 2001
Q2 2002
Q4 2002
Q2 2003
Q4 2003
Q2 2004
Q4 2004
Q2 2005
Q4 2005
Q2 2006
Q4 2006
Q2 2007
Q4 2007
Q2 2008
Q4 2008
Q2 2009
Q4 2009
Q2 2010
Q4 2010
Q2 2011
Q4 2011
Q2 2012
Q4 2012
Q2 2013
Q4 2013
Q2 2014
Q4 2014
Q2 2015
Q4 2015
Q2 2016
Q4 2016
Q2 2017
2Q 2010
4Q 2014
1Q 2016
1Q 2010
3Q 2010
4Q 2010
1Q 2011
2Q 2011
3Q 2011
4Q 2011
1Q 2012
2Q 2012
3Q 2012
4Q 2012
1Q 2013
2Q 2013
3Q 2013
4Q 2013
1Q 2014
2Q 2014
3Q 2014
1Q 2015
2Q 2015
3Q 2015
4Q 2015
2Q 2016
3Q 2016
4Q 2016
1Q 2017
2Q 2017
1.0%
2014 2015 2016 2017E 2018E 2019E 2020E
Source: Goldman Sachs Global Investment Research Source: Datastream, Goldman Sachs Global Investment Research Source: Bank of Spain, Goldman Sachs Global Investment Research
Exhibit 45: Growth expectations are falling Exhibit 46: ...as are demand expectations Exhibit 47: ...driving lower employment growth over 2018 vs
FUNCAS compiled consensus for real GDP growth in Spain , % FUNCAS compiled consensus for domestic demand in Spain , % 2017
FUNCAS compiled consensus expectations for employment
growth in Spain, %
3.2 2.7 2.9
2017 2017 2.8 2017

2.6
3.0
2018 2018 2018
2.7
2.5
2.8 2.6
2.4
2.5
2.6
2.3 2.4
2.4 2.3
2.2
2.2
2.2 2.1
2.1
2.0 2.0 2.0

Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17
Source: FUNCAS, Goldman Sachs Global Investment Research Source: FUNCAS, Goldman Sachs Global Investment Research Source: FUNCAS, Goldman Sachs Global Investment Research
24 November 2017
Consumer NPL risks: Testing for impact
We test all the Spanish banks under our coverage for a de-risking shock on their consumer loan portfolios. For the purposes
of this analysis:
n We take as a reference the consumer & other retail loans (including loans to entrepreneurs/ self-employed) reported by
the BdE in its Statistical Bulletins Chapter 19.16. On this metric, consumer loans represent c.15% of the systems
private-sector loans (Exhibit 48). Using data from the banks individual 2016 Annual Reports, we reach a similar number
(c.17%) for the banks under our coverage, ranging from c.12% at BBVA Spain (c.5% at Group level) to c.21% at SAB/BKT.
n Mixing comparable volume and price data for consumer & other retail loans from the BdE, we estimate an average
private-sector yield of 2.25% as of August 2017. This is higher than the average yield over gross loans (2.03%) we
estimate for the 7 banks under our coverage, which may be explained by different reporting standards, including the fact
that we have not stripped out loans to the public sector from our individual bank estimates.
n We assume a de-risking shock of the same magnitude (1/2-1 STDEV) on both loan growth and prices at a time. Also, we
assume the shock to be homogeneous across banks, regardless of the composition of their loan book or their average
asset yield. This may lead us to overestimate the impact at banks with smaller consumer portfolios, and to underestimate
it at banks with larger ones. (1) Our benign scenario envisages a STDEV shock to consumer & other (including loans
to entrepreneurs/ self-employed) loans, which we assume is ~15% across banks, while (2) our adverse scenario
assumes a 1 STDEV shock; (3) our medium case simulates a STDEV shock. We compare these to our (4) no shock
scenario; this outcome is embedded in our current price targets.
Our key ndings are as follows:
n On average, the impact to our 2020E EPS numbers is -4%/-6%/-8% across our benign/medium/adverse scenarios. The
impact is smallest (-1%/-2%/-2%) at SAN and largest (-7%/-10%/-13%) at Unicaja. As expected, we nd a larger impact at
the domestics vs. SAN/BBVA.
n Applying 2019E P/Es implied by our 12-month price targets to our stressed 2019 earnings by scenario implies (1) a
marginal impact at SAN, with the upside falling from 13% in the no shock scenario to 11% in the adverse one; but (2)
a signicant impact elsewhere - we highlight a de-risking shock the size of our adverse scenarios could potentially erase
any upside potential at BBVA/CABK/SAB and generate meaningful downside at BKIA/BKT. Interestingly, UNI screens
among the most resilient valuation-wise, with 4% upside in the adverse case, probably due to its large starting upside
potential in the no shock scenario (+17%).
24 November 2017
Exhibit 48: On average, exposure to the consumer segment is c.8% of banks portfolios ex Exhibit 49: The system-wide customer spread is c.2.1% (private sector only)
entrepreneurs Loan yields, deposit costs and implied customer spread, 3Q17 . Figures have been estimated in
Consumer loans in Spain (2016) as % Spain customer loans (3Q17). Some gures have been some cases and have been rebased to gross loan yields
estimated due to data availability.
Entrepreneurs
22%
Other Retail 3.00 Loan yield
2.61
20%
19%
Consumer Deposit rate
2.33
2.25
2.50
17%
Customer spread
2.10
17%
2.03
2.00
1.98
1.92
1.75
2.00
1.53
13%
14%
5%
12%
12%
12%
15%
1.50
9%
15%
3%
1.00
6%
6%
6%
0.46
0.26
0.24
0.18
0.50
0.13
3%
0.12
0.11
6%
0.08
4%
0.08
0.04
5%
4%
2% 4%
0.00
6%
5%
4%
4%
SAB BdE Avg POP CABK BBVA GS Avg BKT UNI SAN BKIA
3%
3%
3%
Spain (private) Spain Spain (all-in) Spain
SAN + BBVA CABK SAB BKIA BKT UNI GS Avg BdE Avg
POP (all-in) (private)
Source: Company data, Goldman Sachs Global Investment Research Source: Company data, Goldman Sachs Global Investment Research, Banco de Espana
Exhibit 50: Spanish banks asset yields are very sensitive to shocks in consumer lending Exhibit 51: In the Medium scenario, asset yields are reduced by 3.6% times
System-wide blended asset yield as at August 2017 (no shock) and vs. different increments of Reduction in yield across various degrees of stress, multiple (x)
shock for consumer lending growth and consumer pricing
2.30 3 stdev 2 stdev 1 stdev 3/4 stdev 1/2 stdev 1/4 stdev 1/8 stdev 1/16 stdev
2.24 2.25 0.0%
2.24
2.25 2.22
2.20 -0.6% -0.3%
2.20 2.17 -2.0% -1.2%
2.14
2.15 -2.4%
-4.0%
2.10 -3.6%
2.04 -4.8%
2.05 -6.0%
2.00
1.95 -8.0%
1.95
1.90 -10.0% -9.2%

1.85
-12.0%
1.80
3 stdev 2 stdev 1 stdev 3/4 stdev 1/2 stdev 1/4 stdev 1/8 stdev 1/16 No shock
stdev -14.0% -13.2%
Source: Bank of Spain, Goldman Sachs Global Investment Research Source: Goldman Sachs Global Investment Research
24 November 2017
Exhibit 52: We run a broad range of scenarios with the Medium assuming a -6.1% consumer loan growth impact and 3.6% times asset yield shock
Inputs for scenario analysis
Standard Cons. Loan Loan Growth Asset Yield Benign' Scenario Medium' Scenario Adverse' Scenario
Scenario analysis
deviation Growth impact impact shock (x)
Adverse' Scenario -8.1% -1.2% -4.76%

Medium' Scenario -6.1% -0.9% -3.60%
-4.1% -0.6% -2.42%
Benign' Scenario -4.1% -0.6% -2.42%
-6.1% -0.9%
-2.0% -0.3% -1.22% -3.60%
-8.1% -1.2%
-1.0% -0.2% -0.61% -4.76%
Cons. Loan Growth impact Loan Growth impact Asset Yield shock (x)
-0.5% -0.1% -0.31%
Exhibit 53: Summary of our Consumer risk stress test: Medium scenario: SAN, BBVA, CABK
mn, unless otherwise indicated. Multiple gures have been estimated due to data availability. Figures for illustrative purposes only. SAN shown pro forma for POP full-year for 2017E in Spain and as of
acquisition date for Group.

Loan growth shock: -0.91% Asset yield shock: -3.60% Loan growth shock: -0.91% Asset yield shock: -3.60% Loan growth shock: -0.91% Asset yield shock: -3.60%
Santander 2017E 2018E 2019E 2020E BBVA 2017E 2018E 2019E 2020E CaixaBank 2017E 2018E 2019E 2020E
Spain (p/f POP full year) Spain Spain
NII 4,748 4,764 4,904 5,127 NII 3,792 3,807 3,836 3,883 NII 4,378 4,427 4,533 4,679
Gross loans 239,611 240,169 242,960 244,410 Gross loans 185,029 183,640 184,546 186,241 Gross loans 201,788 203,752 208,099 211,843
NIM 1.88% 1.99% 2.03% 2.10% NIM 2.02% 2.07% 2.08% 2.09% NIM 2.15% 2.18% 2.20% 2.23%
Customer spread 1.66% 1.77% 1.81% 1.89% Customer spread 1.93% 1.97% 1.99% 2.00% Customer spread 2.06% 2.09% 2.11% 2.14%
Other 0.22% 0.22% 0.22% 0.22% Other 0.09% 0.09% 0.09% 0.09% Other 0.09% 0.09% 0.09% 0.09%
Customer spread - Stress test 1.66% 1.71% 1.75% 1.82% Customer spread - Stress test 1.93% 1.90% 1.92% 1.93% Customer spread - Stress test 2.06% 2.02% 2.03% 2.06%
NIM - Gse 1.88% 1.99% 2.03% 2.10% NIM - Gse 2.02% 2.07% 2.08% 2.09% NIM - Gse 2.15% 2.18% 2.20% 2.23%
NIM - Stress test 1.88% 1.92% 1.96% 2.04% NIM - Stress test 2.02% 1.99% 2.01% 2.02% NIM - Stress test 2.15% 2.11% 2.13% 2.15%
Loan growth - GSe -9.8% 0.2% 1.2% 0.6% Loan growth - GSe -2.7% -0.8% 0.5% 0.9% Loan growth - GSe -1.5% 1.0% 2.1% 1.8%
Loan growth - Stress test -9.8% -0.7% 0.2% -0.3% Loan growth - Stress test -2.7% -1.7% -0.4% 0.0% Loan growth - Stress test -1.5% 0.1% 1.2% 0.9%
Provisions -1,405 -674 -662 -625 Provisions -863 -617 -533 -505 Provisions -1,082 -873 -738 -740
COR 0.56% 0.28% 0.27% 0.26% COR 0.46% 0.33% 0.29% 0.27% COR 0.53% 0.43% 0.36% 0.35%
Net profit - GSe 733 1,509 1,897 2,544 Net profit - GSe 1,083 1,592 1,610 1,663 Net profit - GSe 1,692 2,063 2,319 2,517
Net profit - Stress test 733 1,388 1,741 2,350 Net profit - Stress test 1,083 1,489 1,482 1,510 Net profit - Stress test 1,692 1,942 2,168 2,334
Group Group Group
Net profit - GSe 6,917 8,543 9,739 11,849 Net profit - GSe 4,587 5,108 5,581 5,888 Net profit - GSe 1,885 2,386 2,656 2,783
Net profit - Stress test 6,917 8,421 9,584 11,655 Net profit - Stress test 4,587 5,005 5,453 5,736 Net profit - Stress test 1,885 2,266 2,505 2,600
24 November 2017
Exhibit 54: Summary of our Consumer risk stress test: Medium scenario: BKIA, SAB, BKT
Loan growth shock: -0.91% Asset yield shock: -3.60% Loan growth shock: -0.91% Asset yield shock: -3.60% Loan growth shock: -0.91% Asset yield shock: -3.60%
Bankia 2017E 2018E 2019E 2020E Sabadell 2017E 2018E 2019E 2020E Bankinter 2017E 2018E 2019E 2020E
Spain Spain Spain
NII 1,943 1,886 1,914 1,948 NII 2,791 2,789 2,841 2,896 NII 1,050 1,063 1,101 1,141
Gross loans 107,790 107,258 108,295 109,575 Gross loans 112,143 112,372 114,019 116,101 Gross loans 53,727 55,758 57,886 60,103
NIM 1.78% 1.75% 1.78% 1.79% NIM 2.45% 2.48% 2.51% 2.52% NIM 1.98% 1.94% 1.94% 1.93%
Other 0.33% 0.33% 0.33% 0.33% Other -0.04% -0.04% -0.04% -0.04% Other 0.13% 0.13% 0.13% 0.13%
Customer spread - Stress test 1.45% 1.37% 1.39% 1.40% Customer spread - Stress test 2.49% 2.43% 2.46% 2.46% Customer spread - Stress test 1.85% 1.75% 1.74% 1.74%
NIM - Gse 1.78% 1.75% 1.78% 1.79% NIM - Gse 2.45% 2.48% 2.51% 2.52% NIM - Gse 1.98% 1.94% 1.94% 1.93%
NIM - Stress test 1.78% 1.70% 1.72% 1.74% NIM - Stress test 2.45% 2.39% 2.42% 2.42% NIM - Stress test 1.98% 1.88% 1.87% 1.87%
Loan growth - GSe -2.5% -0.5% 1.0% 1.2% Loan growth - GSe -3.0% 0.2% 1.5% 1.8% Loan growth - GSe 2.5% 3.8% 3.8% 3.8%
Loan growth - Stress test -2.5% -1.4% 0.1% 0.3% Loan growth - Stress test -3.0% -0.7% 0.6% 0.9% Loan growth - Stress test 2.5% 2.9% 2.9% 2.9%
Provisions -382 -279 -175 -155 Provisions -2,138 -801 -746 -638 Provisions -223 -177 -143 -170
COR 0.35% 0.26% 0.16% 0.14% COR 1.88% 0.71% 0.66% 0.55% COR 0.42% 0.32% 0.25% 0.29%
Net profit - GSe 864 793 902 952 Net profit - GSe 736 772 850 923 Net profit - GSe 485 529 589 601
Net profit - Stress test 864 749 845 883 Net profit - Stress test 736 692 752 805 Net profit - Stress test 485 501 553 557
Group Group Group
Net profit - GSe 864 793 902 952 Net profit - GSe 834 969 1,150 1,332 Net profit - GSe 485 529 589 601
Net profit - Stress test 864 749 845 883 Net profit - Stress test 834 889 1,052 1,214 Net profit - Stress test 485 501 553 557
Exhibit 55: Summary of our Consumer risk stress test: Medium scenario: UNI and Aggregate
Loan growth shock: -0.91% Asset yield shock: -3.60%
Unicaja 2017E 2018E 2019E 2020E Aggregate 2017E 2018E 2019E 2020E
Spain Spain
NII 575 561 567 590 NII 19,277 19,298 19,696 20,263
Gross loans 31,414 31,812 32,623 33,705 Gross loans 931,503 934,761 948,428 961,978
NIM 1.79% 1.78% 1.76% 1.78% NIM 2.03% 2.07% 2.09% 2.12%
Customer spread 1.51% 1.49% 1.48% 1.50% Customer spread 1.85% 1.89% 1.92% 1.95%
Other 0.28% 0.28% 0.28% 0.28% Other 0.18% 0.18% 0.18% 0.18%
Customer spread 1.51% 1.49% 1.48% 1.50% Customer spread 1.85% 1.89% 1.92% 1.95%
Customer spread - Stress test 1.51% 1.44% 1.43% 1.44% Customer spread - Stress test 1.85% 1.82% 1.85% 1.88%
NIM - Gse 1.79% 1.78% 1.76% 1.78% NIM - Gse 2.03% 2.07% 2.09% 2.12%
NIM - Stress test 1.79% 1.72% 1.71% 1.73% NIM - Stress test 2.03% 2.00% 2.02% 2.05%
Loan growth - GSe -4.0% 1.3% 2.5% 3.3% Loan growth - GSe -4.2% 0.3% 1.5% 1.4%
Loan growth - Stress test -4.0% 0.4% 1.6% 2.4% Loan growth - Stress test -4.2% -0.6% 0.5% 0.5%
Gross loans - Stress test 31,414 31,525 32,041 32,812 Gross loans - Stress test 931,503 926,259 931,347 936,153
NII - Stress test 575 542 543 560 NII - Stress test 19,277 18,567 18,778 19,144
[1] Impact on NII (pre-tax) 0 -19 -25 -31 [1] Impact on NII (pre-tax) 0 -731 -919 -1,119
Provisions -236 -67 -64 -82 Provisions -6,331 -3,488 -3,062 -2,915
COR 0.74% 0.21% 0.20% 0.25% COR 0.67% 0.37% 0.33% 0.31%
[2] Total impact (pre-tax) 0 -19 -25 -31 [2] Total impact (pre-tax) 0 -731 -919 -1,119
Tax rate 30% 30% 30% 30% Tax rate 30% 30% 30% 30%
[3] Combined impact (post-tax) 0 -14 -17 -21 [3] Combined impact (post-tax) 0 -512 -643 -784
[4] Net profit impact - Spain 0% -10% -8% -10% [4] Net profit impact - Spain 0% -7% -8% -8%
Group Group
[5] Net profit impact - Group 0% -10% -8% -10% [5] Net profit impact - Group 0% -3% -3% -3%
24 November 2017
Exhibit 56: Sensitivity analysis to rising consumer NPL risks across various scenarios
% change to Group EPS (2020E) vs. current GS forecasts
Sensitivity analysis - 2020E EPS (Group)
Santander Asset yield shock BBVA Asset yield shock CaixaBank Asset yield shock
-2% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8% -3% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8% -7% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8%
Loan g shock
Loan g shock
Loan g shock
-0.1% -0.1% -0.2% -0.4% -0.7% -1.0% -1.3% -0.1% -0.2% -0.4% -0.6% -1.2% -1.7% -2.2% -0.1% -0.6% -0.9% -1.6% -2.9% -4.3% -5.6%
-0.2% -0.2% -0.3% -0.4% -0.8% -1.1% -1.4% -0.2% -0.3% -0.4% -0.7% -1.2% -1.8% -2.3% -0.2% -0.8% -1.1% -1.8% -3.2% -4.5% -5.8%
-0.3% -0.3% -0.4% -0.6% -0.9% -1.2% -1.5% -0.3% -0.5% -0.6% -0.9% -1.4% -1.9% -2.4% -0.3% -1.2% -1.6% -2.2% -3.6% -4.9% -6.2%
-0.6% -0.5% -0.6% -0.8% -1.1% -1.4% -1.7% -0.6% -0.8% -1.0% -1.2% -1.8% -2.3% -2.8% -0.6% -2.1% -2.4% -3.1% -4.4% -5.8% -7.0%
-0.9% -0.8% -0.8% -1.0% -1.3% -1.6% -1.9% -0.9% -1.2% -1.3% -1.6% -2.1% -2.6% -3.1% -0.9% -3.0% -3.3% -4.0% -5.3% -6.6% -7.9%
-1.2% -1.0% -1.1% -1.2% -1.5% -1.9% -2.2% -1.2% -1.5% -1.7% -1.9% -2.4% -2.9% -3.4% -1.2% -3.8% -4.2% -4.8% -6.1% -7.4% -8.7%
Bankia Asset yield shock Sabadell Asset yield shock Bankinter Asset yield shock
-7% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8% -9% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8% -7% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8%
Loan g shock
Loan g shock
Loan g shock
-0.1% -0.6% -1.0% -1.7% -3.1% -4.5% -5.8% -0.1% -0.8% -1.2% -2.2% -4.0% -5.8% -7.6% -0.1% -0.6% -1.0% -1.8% -3.2% -4.7% -6.1%
-0.2% -0.9% -1.3% -2.0% -3.4% -4.7% -6.1% -0.2% -1.0% -1.5% -2.5% -4.3% -6.1% -7.9% -0.2% -0.9% -1.2% -2.0% -3.5% -4.9% -6.4%
-0.3% -1.4% -1.8% -2.5% -3.9% -5.2% -6.6% -0.3% -1.6% -2.1% -3.0% -4.9% -6.7% -8.4% -0.3% -1.4% -1.7% -2.5% -4.0% -5.4% -6.8%
-0.6% -2.5% -2.9% -3.6% -4.9% -6.3% -7.6% -0.6% -2.8% -3.2% -4.1% -6.0% -7.8% -9.5% -0.6% -2.3% -2.7% -3.4% -4.9% -6.4% -7.8%
-0.9% -3.6% -3.9% -4.6% -6.0% -7.3% -8.6% -0.9% -3.9% -4.3% -5.3% -7.1% -8.9% -10.6% -0.9% -3.3% -3.7% -4.4% -5.9% -7.3% -8.7%
-1.2% -4.6% -5.0% -5.7% -7.0% -8.4% -9.7% -1.2% -5.0% -5.5% -6.4% -8.2% -9.9% -11.7% -1.2% -4.2% -4.6% -5.3% -6.8% -8.2% -9.6%
Unicaja Asset yield shock Aggregate Asset yield shock Average Asset yield shock
-10% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8% -3% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8% -0.3% -0.6% -1.2% -2.4% -3.6% -4.8%
Loan g shock
Loan g shock
Loan g shock
-0.1% -0.9% -1.4% -2.4% -4.3% -6.2% -8.1% -0.1% -0.3% -0.5% -0.8% -1.5% -2.1% -2.8% -0.1% -0.5% -0.9% -1.5% -2.8% -4.0% -5.3%
-0.2% -1.2% -1.7% -2.7% -4.7% -6.6% -8.5% -0.2% -0.4% -0.6% -0.9% -1.6% -2.2% -2.9% -0.2% -0.8% -1.1% -1.7% -3.0% -4.2% -5.5%
-0.3% -1.9% -2.4% -3.4% -5.4% -7.3% -9.2% -0.3% -0.6% -0.8% -1.1% -1.8% -2.5% -3.1% -0.3% -1.2% -1.5% -2.2% -3.4% -4.7% -5.9%
-0.6% -3.4% -3.9% -4.9% -6.8% -8.7% -10.5% -0.6% -1.1% -1.2% -1.6% -2.2% -2.9% -3.5% -0.6% -2.1% -2.4% -3.0% -4.3% -5.5% -6.7%
-0.9% -4.8% -5.3% -6.3% -8.2% -10.1% -11.9% -0.9% -1.5% -1.7% -2.0% -2.7% -3.3% -4.0% -0.9% -2.9% -3.2% -3.9% -5.1% -6.3% -7.5%
-1.2% -6.2% -6.7% -7.7% -9.6% -11.5% -13.3% -1.2% -2.0% -2.1% -2.5% -3.1% -3.7% -4.4% -1.2% -3.8% -4.1% -4.7% -6.0% -7.2% -8.4%
Exhibit 57: We see an average negative EPS impact of c.4%-7% from rising consumer NPL risk
Consumer NPL risk stress test impact to GS 2020E EPS across scenarios
-1%
-1%
-3%
-2%
-2%
-2%
-3%
-5%
-3%
-4%
-4%
-5%
-5%
-7%
-6%
-6%
-7%
-7%
-7%
-7%
-9%
-8%
-9%
-9%
-11% -10%
-10%
-10%
-13% EPS - 'Benign'
-12%
EPS - 'Medium'
-13%
-15%
-17% EPS - 'Adverse'
SAN BBVA CABK BKIA SAB BKT UNI Avg.
24 November 2017
Exhibit 58: Consumer NPL risk: In our medium scenario we see 0% avg. upside by applying Exhibit 59: Using consensus current trading multiples, we see 2% avg upside in our Medium
GS implied P/Es to stressed earnings scenario
Upside/downside of current share price to fair value derived by implied 2019E P/E multiples from Upside/downside of current share price to fair value derived by consensus trading P/E 2019E
GS price targets applied to stressed GS 2019E earnings by scenario. Nov 17 pricing applied to stressed GS 2019E earnings by scenario. Nov 17 pricing
10%
9%
Benign Medium Adverse
9%
17%
8%
7%
13%
12%
11%
5%
11%
10%
10%
4%
4%
4%
4%
3%
8%
2%
2%
7%
5%
4%
0%
4%
4%
3%
2%
2%
2%
1%
1%
0%
(1%)
(1%)
(3%)
(2%)
(3%)
(5%)
(5%)
(7%)
(9%)
GS PT
(13%)
(11%)
(17%)
(12%)
(18%)
Benign
(20%)
Medium
Adverse
Bankia Bankinter CaixaBank Sabadell Santander Unicaja BBVA

Bankinter Bankia Sabadell CaixaBank BBVA Unicaja Santander
Source: Goldman Sachs Global Investment Research, Datastream Source: Goldman Sachs Global Investment Research, Datastream
24 November 2017
Mapping Catalonia and consumer loan-related risks onto stocks

Exhibit 60: GROUP: CABK/SAB are the most exposed to consumer & Catalonia Exhibit 61: GROUP (2/2): ...across both risk and loan metrics for consumer
Estimated deposit exposure in Catalonia as % group, 2Q17 vs. Estimated risk exposure to the Estimated deposit exposure in Catalonia as % group, 2Q17 vs. Estimated loan exposure to the
Consumer segment as % Group, 2016. SAN and CABK shown pro forma for acquisitions in deposits Consumer segment as % Group, 2016. SAN and CABK shown pro forma for acquisitions in deposits
25% 25%
CABK CABK
Catalonia exposure
Catalonia exposure
SAB SAB
20% 20%
15% 15%
BBVA BBVA
Average Average
10% BKT 10% BKT

BKIA BKIA
5% SAN + POP 5% SAN + POP

Consumer exposure Consumer exposure
UNI UNI
0% 0%
0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%
Source: Company data, Goldman Sachs Global Investment Research Source: Company data, Goldman Sachs Global Investment Research
24 November 2017
Exhibit 62: SPAIN: SAN+POP similar level of consumer risk vs. CABK domestically Exhibit 63: SPAIN (2/2): Looking at loans only, CABK is a domestic leader on consumer
Estimated deposit exposure in Catalonia as % Spain, 2Q17 vs. Estimated risk exposure to the Estimated deposit exposure in Catalonia as % Spain, 2Q17 vs. Estimated loan exposure to the
Consumer segment as % Spain, 2016. Consumer segment as % Spain, 2016.
35% 35%
Catalonia exposure
Catalonia exposure
30% BBVA SAB 30% BBVA SAB
CABK CABK
25% 25%
20% Average 20% Average
15% 15%
SAN + POP SAN + POP
BKT BKT
10% 10%
BKIA BKIA
5% 5%
Consumer exposure Consumer exposure
UNI UNI
0% 0%
0% 1% 2% 3% 4% 5% 6% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% 11.0% 12.0% 13.0%
Source: Company data, Goldman Sachs Global Investment Research Source: Company data, Goldman Sachs Global Investment Research
24 November 2017
Pricing data and key risks
We value all Spanish banks under our coverage based on a ROTE/COE methodology, adjusted for excess/decit capital per
share, derived by equally weighting 2018-20E fair value estimates and discounting them back by an appropriate factor. Key
risks to our forecasts, price targets and investment views are better/worse-than-expected NIM, loan growth, credit quality,
M&A or cost control in Spain, as well as potential macro impacts from Catalonia-related developments. For SAN, there are
also additional risks to our Buy rating presented by worse-than-expected macro developments in emerging markets,
movements in FX, and/or acquisitions abroad.
Exhibit 64: Summary of our ratings and valuation

Pricing as of Nov 22
Ticker Stock 12M PT Last close U/D Rating

BKIA.MC Bankia 3.95 3.82 4% Neutral
BKT.MC Bankinter 6.80 7.71 -12% Neutral
BBVA.MC BBVA 7.53 7.05 7% Neutral
CABK.MC CaixaBank 4.27 3.90 10% Neutral
SABE.MC Sabadell 1.81 1.62 12% Neutral
SAN.MC Santander 6.20 5.50 13% Buy
UNI.MC Unicaja 1.46 1.25 17% Neutral
Source: Datastream, Goldman Sachs Global Investment Research
24 November 2017
Goldman Sachs
Disclosure Appendix
Reg AC
We, Jose Abad, Izabel Cameron, Katherine Fogertey and John Marshall, hereby certify that all of the views expressed in this report accurately reect our personal views about the subject company or
companies and its or their securities. We also certify that no part of our compensation was, is or will be, directly or indirectly, related to the specic recommendations or views expressed in this report.
Unless otherwise stated, the individuals listed on the cover page of this report are analysts in Goldman Sachs Global Investment Research division.
GS Factor Profile
The Goldman Sachs Factor Prole provides investment context for a stock by comparing key attributes to the market (i.e. our coverage universe) and its sector peers. The four key attributes depicted are:
Growth, Financial Returns, Multiple (e.g. valuation) and Integrated (a composite of Growth, Financial Returns and Multiple). Growth, Financial Returns and Multiple are calculated by using normalized ranks
for specic metrics for each stock. The normalized ranks for the metrics are then averaged and converted into percentiles for the relevant attribute. The precise calculation of each metric may vary
depending on the scal year, industry and region, but the standard approach is as follows:
Growth is based on a stocks forward-looking sales growth, EBITDA growth and EPS growth (for nancial stocks, only EPS and sales growth), with a higher percentile indicating a higher growth company.
Financial Returns is based on a stocks forward-looking ROE, ROCE and CROCI (for nancial stocks, only ROE), with a higher percentile indicating a company with higher nancial returns. Multiple is
based on a stocks forward-looking P/E, P/B, price/dividend (P/D), EV/EBITDA, EV/FCF and EV/Debt Adjusted Cash Flow (DACF) (for nancial stocks, only P/E, P/B and P/D), with a higher percentile indicating
a stock trading at a higher multiple. The Integrated percentile is calculated as the average of the Growth percentile, Financial Returns percentile and (100% - Multiple percentile).
Financial Returns and Multiple use the Goldman Sachs analyst forecasts at the scal year-end at least three quarters in the future. Growth uses inputs for the scal year at least seven quarters in the future
compared with the year at least three quarters in the future (on a per-share basis for all metrics).
For a more detailed description of how we calculate the GS Factor Prole, please contact your GS representative.
M&A Rank
Across our global coverage, we examine stocks using an M&A framework, considering both qualitative factors and quantitative factors (which may vary across sectors and regions) to incorporate the
potential that certain companies could be acquired. We then assign a M&A rank as a means of scoring companies under our rated coverage from 1 to 3, with 1 representing high (30%-50%) probability of
the company becoming an acquisition target, 2 representing medium (15%-30%) probability and 3 representing low (0%-15%) probability. For companies ranked 1 or 2, in line with our standard
departmental guidelines we incorporate an M&A component into our target price. M&A rank of 3 is considered immaterial and therefore does not factor into our price target, and may or may not be
discussed in research.
Quantum
Quantum is Goldman Sachs proprietary database providing access to detailed nancial statement histories, forecasts and ratios. It can be used for in-depth analysis of a single company, or to make
comparisons between companies in different sectors and markets.
GS SUSTAIN
GS SUSTAIN is a global investment strategy focused on the generation of long-term alpha through identifying high quality industry leaders. The GS SUSTAIN 50 list includes leaders we believe to be well
positioned to deliver long-term outperformance through superior returns on capital, sustainable competitive advantage and effective management of ESG risks vs. global industry peers. Candidates are
selected largely on a combination of quantiable analysis of these three aspects of corporate performance.
Disclosures
Coverage group(s) of stocks by primary analyst(s)
Jose Abad: Europe-Pan-Euro Banks. Izabel Cameron: Europe-Pan-Euro Banks.
Europe-Pan-Euro Banks: ABN Amro Group, Allied Irish Banks, Alpha Bank, Arrow Global Group, Banca Monte dei Paschi di Siena, Banca Popolare Emilia Romagna, Banco BPI, Banco BPM SpA, Banco
Comercial Portugues, Banco Sabadell, Banco Santander, Bank of Ireland Group, Bank of Piraeus, Bank Pekao, Bank Zachodni WBK, Bankia, Bankinter, Barclays Plc, BBVA, BNP Paribas, CaixaBank SA,
Commerzbank AG, Credit Agricole SA, Credit Suisse, CYBG Plc, Danske Bank, Deutsche Bank, DNB, EFG International, Erste Bank, Eurobank Ergasias SA, HSBC, ING Groep NV, Intesa Sanpaolo, Investor
AB, Julius Baer Group, KBC Group, Komercni Banka, Lloyds Banking Group, Metro Bank Plc, Moneta Money Bank AS, National Bank of Greece, Natixis, Nordea, OTP Bank Plc, PKO BP, Provident Financial,
Raiffeisen Bank International, Resurs Holding, Royal Bank of Scotland, SEB, Societe Generale, Standard Chartered, Svenska Handelsbanken, Swedbank, UBI Banca, UBS Group, Unicaja Banco SA,
UniCredit, Van Lanschot NV, Virgin Money Holdings, Vontobel.
Option Specific Disclosures

Price target methodology: Please refer to the analysts previously published research for methodology and risks associated with equity price targets.
24 November 2017
Goldman Sachs
Pricing Disclosure: Option prices and volatility levels in this note are indicative only, and are based on our estimates of recent mid-market levels(unless otherwise noted). All prices and levels exclude
transaction costs unless otherwise stated.
General Options Risks The risks below and any other options risks mentioned in this research report pertain both to specic derivative trade recommendations mentioned and to discussion of general
opportunities and advantages of derivative strategies. Unless otherwise noted, options strategies mentioned in this report may be a combination of the strategies below and therefore carry with them the
risks of those strategies.
Buying Options - Investors who buy call (put) options risk loss of the entire premium paid if the underlying security nishes below (above) the strike price at expiration. Investors who buy call or put
spreads also risk a maximum loss of the premium paid. The maximum gain on a long call or put spread is the difference between the strike prices, less the premium paid.
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For options settled by physical delivery, the above risks assume the options buyer or seller, buys or sells the resulting securities at the settlement price on expiry.
Company-specific regulatory disclosures

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Distribution of ratings/investment banking relationships

Goldman Sachs Investment Research global Equity coverage universe
Rating Distribution Investment Banking Relationships

Buy Hold Sell Buy Hold Sell
Global 33% 54% 13% 64% 57% 53%
As of October 1, 2017, Goldman Sachs Global Investment Research had investment ratings on 2,717 equity securities. Goldman Sachs assigns stocks as Buys and Sells on various regional Investment Lists;
stocks not so assigned are deemed Neutral. Such assignments equate to Buy, Hold and Sell for the purposes of the above disclosure required by the FINRA Rules. See Ratings, Coverage groups and
views and related denitions below. The Investment Banking Relationships chart reects the percentage of subject companies within each rating category for whom Goldman Sachs has provided
investment banking services within the previous twelve months.
Price target and rating history chart(s)

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research
Regulatory disclosures
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24 November 2017
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24 November 2017

Solo El Banco Santander Se Libra de Un "Shock" en Cataluña

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Solo El Banco Santander Se Libra de Un "Shock" en Cataluña

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24 November 2017 | 6:29AM GMT

Catalonia risk: Navigating through uncertainty; SAN to Buy, stock replacement

Buy SAN, stock replacement of domestic banks

Options Strategy: Spanish Banks ahead of Catalonia elections 5

Catalonia risk: Testing for the impact of economic uncertainty 6

Higher consumer NPLs today, lower originations tomorrow 19

Consumer NPL risks: Testing for impact 23

Mapping Catalonia and consumer loan-related risks onto stocks 29

Pricing data and key risks 31

Idiosyncratic (CAT) -60%

6.0% -3% 20%

10.0% -9% 10% BKT

Mortgages Non-durables, rhs BKIA

4.0% 8.0% -13% Consumer exposure

Options Strategy: Spanish Banks ahead of Catalonia elections

BBVA SM BBVA 8.4 30 64

Catalonia risk: Testing for the impact of economic uncertainty

350 Unemployment Economic Problems

60 Spread vs. Germany Spain 5-yr senior CDS 10.0%

Pro-independence parties (ERC, PDeCAT, CUP) 30

Scenario 1: Differential effect of first alternative scenario

-2.0% Real GDP -5%

3/4 -1.9% -6.9% 0.49%

Adverse' Scenario 1/2 -1.3% -4.6% 0.32% -0.3%

Source: Goldman Sachs Global Investment Research

Source: Company data, Goldman Sachs Global Investment Research

Source: Company data, Goldman Sachs Global Investment Research

Source: Company data, Goldman Sachs Global Investment Research

Santander COR shock BBVA COR shock CaixaBank COR shock

Bankia COR shock Sabadell COR shock Bankinter COR shock

Unicaja COR shock Aggregate COR shock Average COR shock

Source: Company data, Goldman Sachs Global Investment Research

-30% Absolute performance

-50% EPS - 'Medium'

Source: Company data, Goldman Sachs Global Investment Research, Datastream

1.2% 3.0% 2.7%

Exhibit 30: AUM flows displayed some volatility post referendum

Source: Bloomberg, Goldman Sachs Global Investment Research

Source: CECA, AEB, Goldman Sachs Global Investment Research

15% 14% 15% 14%

Higher consumer NPLs today, lower originations tomorrow

60% 8.00 7.00 35%

20% Consumer 2.00 10%

25% 8.0% 6.5% 14.0% 13.0%

Corporates 7.0% 12.0% CABK

4.0% 11.0% 9.0%

10% 5.0% 8.0%

0% 0.0% 4.0% 8.0% 5.0%

4.0% 14 8.0% Consumer loan growth, yoy % 25%

Real GDP 13 20%

3.2 2.7 2.9

2017 2017 2.8 2017

2.0 2.0 2.0

Consumer NPL risks: Testing for impact

Our key ndings are as follows:

Consumer Deposit rate

1.90 -10.0% -9.2%

Adverse' Scenario  -8.1% -1.2% -4.76%

Source: Goldman Sachs Global Investment Research

acquisition date for Group.

Source: Company data, Goldman Sachs Global Investment Research

Source: Company data, Goldman Sachs Global Investment Research

Source: Company data, Goldman Sachs Global Investment Research

Adverse' Scenario -8.1% -1.2% -4.76%