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Banco de Sabadell S A : 1Q26 Report
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Banco de Sabadell S A : 1Q26 Report

Contents
Pillar 3 Q1 2026
Contents
1. Introduction
2. Key metrics template (EU KM1)
3. Total amount of eligible own funds
4. Regulatory capital requirements by type of risk
5. Total amount of risk-weighted assets and minimum own funds requirements
6. RWEA flow statements of credit risk exposures under the IRB approach (EU CR8)
7. Overview of total risk weighted exposure amounts (EU OV1)
8. Summary reconciliation of accounting assets and leverage ratio exposures (EU LR1)
9. Leverage ratio common disclosure (EU LR2)
10. Split-up of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (EU LR3)
11. Leverage ratio evolution
12. Comparison of modelled and standardised risk weighted exposure amounts at risk level (EU CMS1)
13. Comparison of modelled and standardised risk weighted exposure amounts for credit risk at asset class level (EU CMS2)
14. Quantitative information of LCR (EU LIQ1)
15. Qualitative information on LCR (EU LIQB)
16. Glossary
Pillar 3 Q1 2026
1
Basis of presentation
This Report presents the Pillar III disclosures of Banco Sabadell Group as at 31 March 2026.
The information has been prepared pursuant to that set forth in Part Eight of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013 (CRR), and Commission Implementing Regulation (EU) 2024/3172, which further develops Titles II and III of Part Eight of the aforesaid CRR to provide uniform disclosure formats, templates and tables, and the Mapping Tool of disclosure templates with the supervisory reporting templates (in its 3 November 2025 version) that the EBA is required to prepare and maintain by virtue of Article 434 of the CRR.
The information presented in this quarterly Pillar III report is not required to be subjected to external audit.
In accordance with the guidelines of Banco Sabadell's Financial and Related Non-Financial Disclosures Policy, this Report has been approved by the Planning and Capital Committee.
2
Key metrics template (EU KM1).
a b c d e
3/31/26 12/31/25 9/30/25 6/30/25 3/31/25
Available own funds (amounts)
1 Common Equity Tier 1 (CET1) capital 10,463,991 10,542,780 10,339,541 10,348,415 10,385,000
2 Tier 1 capital 12,713,991 13,292,780 13,089,541 13,098,415 12,135,000
3 Total capital 14,039,765 14,603,470 14,898,378 14,912,178 14,034,445
Risk-weighted exposure amounts
4 Total risk exposure amount 80,720,937 80,108,676 79,706,679 79,264,558 79,525,697
4b Total risk exposure pre-floor 80,720,937 80,108,676 79,706,679 79,264,558 79,525,697
Capital ratios (as a percentage of risk-weighted exposure amount)
5 Common Equity Tier 1 ratio (%) 12.96% 13.16% 12.97% 13.06% 13.06%
5b Common Equity Tier 1 ratio considering unfloored TREA (%) 12.96% 13.16% 12.97% 13.06% 13.06%
6 Tier 1 ratio (%) 15.75% 16.59% 16.42% 16.52% 15.26%
6b Tier 1 ratio considering unfloored TREA (%) 15.75% 16.59% 16.42% 16.52% 15.26%
7 Total capital ratio (%) 17.39% 18.23% 18.69% 18.81% 17.65%
7b Total capital ratio considering unfloored TREA (%) 17.39% 18.23% 18.69% 18.81% 17.65%
Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)
EU 7d Additional own funds requirements to address risks other than the risk of excessive leverage (%) 2.10% 2.25% 2.25% 2.25% 2.25%
EU 7e of which: to be made up of CET1 capital (percentage points) 1.18% 1.27% 1.27% 1.27% 1.27%
EU 7f of which: to be made up of Tier 1 capital (percentage points) 1.58% 1.69% 1.69% 1.69% 1.69%
EU 7g Total SREP own funds requirements (%) 10.10% 10.25% 10.25% 10.25% 10.25%
Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)
8 Capital conservation buffer (%) 2.50% 2.50% 2.50% 2.50% 2.49%
EU 8a Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) - - - - -
9 Institution specific countercyclical capital buffer (%) 0.754% 0.746% 0.414% 0.419% 0.426%
EU 9a Systemic risk buffer (%) - - - - -
10 Global Systemically Important Institution buffer (%) - - - - -
EU 10a Other Systemically Important Institution buffer (%) 0.25% 0.25% 0.25% 0.25% 0.25%
11 Combined buffer requirement (%) 3.50% 3.50% 3.16% 3.17% 3.18%
EU 11a Overall capital requirements (%) 13.60% 13.75% 13.41% 13.42% 13.43%
12 CET1 available after meeting the total SREP own funds requirements (%) 7.28% 7.39% 7.21% 7.29% 7.29%
Leverage ratio
13 Total exposure measure 246,610,895 245,981,025 243,454,702 252,191,134 250,810,799
14 Leverage ratio (%) 5.16% 5.40% 5.38% 5.19% 4.84%
Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)
EU 14a Additional own funds requirements to address the risk of excessive leverage (%) - - - - -
EU 14b of which: to be made up of CET1 capital (percentage points) - - - - -
EU 14c Total SREP leverage ratio requirements (%) 3.00% 3.00% 3.00% 3.00% 3.00%
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
EU 14d Leverage ratio buffer requirement (%) - - - - -
EU 14e Overall leverage ratio requirement (%) 3.00% 3.00% 3.00% 3.00% 3.00%
Liquidity Coverage Ratio
15 Total high-quality liquid assets (HQLA) (Weighted value - average) 37,344,189 37,905,005 39,380,725 40,340,705 40,632,658
EU 16a Cash outflows - Total weighted value 28,360,122 27,707,733 27,407,861 26,907,406 26,655,189
EU 16b Cash inflows - Total weighted value 6,320,255 5,948,168 5,791,004 5,709,027 5,522,332
16 Total net cash outflows (adjusted value) 22,039,867 21,759,565 21,616,857 21,198,379 21,132,857
17 Liquidity coverage ratio (%)(1) 170 % 174 % 183 % 191% 193%
Net Stable Funding Ratio
18 Total available stable funding 186,278,004 183,506,139 185,213,787 189,890,544 189,919,878
19 Total required stable funding 132,390,107 131,937,251 132,355,118 132,643,693 131,832,583
20 Net Stable Funding Ratio (%) 141% 139% 140 % 143% 144%
(1) The liquidity coverage ratio is calculated as the average of the last 12 months
Evolution of capital ratios In accordance with Article 26(2) of Regulation (EU) 575/2013 (CRR), the profits generated by the Institution are not included in Common Equity Tier 1 until prior permission has been received from the competent authority. That permission shall be granted once the profits have been verified by persons independent of the institution that are responsible for the auditing of the accounts of that institution and once the institution has demonstrated that any foreseeable charge or dividend has been deducted from the amount of those profits. In this sense, Banco Sabadell has not included its net profit after payout in its CET1 funds for the purpose of calculating regulatory ratios. Additionally, provisions made during the period have been deducted, as the first-quarter profit has not been audited, pursuant to Article 1 of Delegated Regulation (EU) 183/2014. Unlike the prudential scope, the aforementioned adjustment to profits and provisions is not made at the accounting scope. Without these adjustments, the phase-in CET1 ratio would stand at 13.23% at the end of March 2026. The phase-in CET1 ratio stood at 12.96% as at the end of March 2026, with a quarterly decrease of -20 bps primarily due to the increase in risk-weighted assets during the period, a reduction in CET1 funds and the aforementioned deduction of the provisions made during the period. Details of own funds variations can be found in Table 3. Total amount of eligible own funds, and in Table 3. Total amount of eligible own funds. The phase-in Total Capital ratio came to 17.39% as at the end of March 2026, posting a quarterly decrease of -84 bps, in which in addition to the impacts already discussed on the CET1 ratio there is a reduction in the AT1 component following the redemption of the instrument AT1 Participaciones Preferentes 1/2021. Details of own funds variations can be found in Table 3. Total amount of eligible own funds. Details of the capital metrics are provided below, for information purposes, considering the net profit minus the payout generated during the quarter (60% of profit) and also eliminating the deduction of provisions made during the period, due to the quarterly profit not being audited:
Ratios calculated on a phase-in basis.
On 30 October 2025, Banco Sabadell received the decision of the European Central Bank concerning the minimum prudential requirements applicable as from 1 January 2026 as a result of the SREP. The requirement, on a consolidated basis, was that Banco Sabadell should keep a phase-in Common Equity Tier 1 (CET1) ratio of at least 9.19% (updated as at 31 March 2026) and a phase-in Total Capital ratio of at least 13.60%. These ratios include the minimum required by Pillar 1 (8%, of which 4.50% corresponds to CET1), the Pillar 2 Requirement, or Pillar 2R, which was reduced by 15 basis points (2.10%, of which 1.18% must be met with CET1), the capital conservation buffer (2.50%), the requirement applicable due to the Bank's status as an 'other systemically important institution' (0.25%), and the countercyclical buffer of 0.75% (updated as at 31 March 2026). In order to reduce RWA variability in institutions that use internal models to determine their capital requirements, CRR III introduces a floor equivalent to 50% (phase-in) of the total risk exposure amount fully calculated under the standardised approach, whose calculation is in turn subject to a series of transitional arrangements in accordance with Article 465 of the CRR. In this respect, the total of Banco Sabadell Group's actual RWEAs does not go beyond the regulatory floor and they are therefore equivalent to the solvency ratios, irrespective of whether or not that floor is considered.
3
Total amount of eligible own funds.
3/31/26 12/31/25 9/30/25 6/30/25 3/31/25
Minimum own funds requirements(1) 6,457,675 6,408,694 6,376,534 6,341,165 6,362,056
(+) Share capital and similar funds 627,960 627,960 627,960 661,029 673,461
(+) Reserves 13,410,648 12,950,365 13,010,420 13,414,664 13,056,739
(+) Profit attributable to Group net of dividends(2) - 275,164 - - -
(+/-) Treasury stock and treasury stock financing -341,959 -97,620 -75,309 -460,825 -93,345
(+/-) Valuation adjustments -478,444 -468,011 -483,435 -468,493 -395,066
(-) Deductions and transitory effects(3) -2,754,214 -2,745,078 -2,740,095 -2,797,959 -2,856,788
Common Equity Tier 1 own funds 10,463,991 10,542,780 10,339,541 10,348,415 10,385,000
(+) Preferred securities 2,250,000 2,750,000 2,750,000 2,750,000 1,750,000
(+) Convertible bonds - - - - -
(+) Negative valuation adjustments - - - - -
(-) Deductions - - - - -
Additional Tier 1 own funds 2,250,000 2,750,000 2,750,000 2,750,000 1,750,000
Total Tier 1 own funds 12,713,991 13,292,780 13,089,541 13,098,415 12,135,000
(+) Subordinated loans 1,053,311 1,040,204 1,532,263 1,544,786 1,624,828
(+) Credit risk adjustments(4) 272,464 270,486 276,574 268,977 274,617
(-) Deductions - - - - -
Total Tier 2 own funds 1,325,775 1,310,691 1,808,837 1,813,763 1,899,445
Total eligible own funds (phase-in) 14,039,765 14,603,470 14,898,378 14,912,178 14,034,445
CET1 ratio 12.96% 13.16% 12.97% 13.06% 13.06%
Tier 1 ratio 15.75% 16.59% 16.42% 16.52% 15.26%
Total Capital ratio 17.39% 18.23% 18.69% 18.81% 17.65%
Amounts in thousand euro. Phase-in scenario.
(1) Own funds requirements calculated as 8% of TREA.
(2) Based on Article 26 paragraph 2 of Regulation (EU) 575/2013 (CRR), the profits generated by the Entity during the third quarter are not included in Common Equity Tier 1, pending authorisation by the competent authority.
(3) Includes as the main deductions those stemming from goodwill, intangible assets, tax loss carry-forwards and DTA thresholds, and the deductions for the expected loss in excess of provisions in the performing portfolio. It also includes the prudential adjustment to the Group's coverage of non-performing exposures as per that provided in the Appendix to the ECB Guidance to banks on non-performing loans published in March 2018 and in Regulation (EU) 2019/630, as well as the provisions made in the period, since the profit for the third quarter has not been audited, in accordance with Article 1 of Delegated Regulation (EU) 183/2014.
(4) It takes into account the excess that occurs between the sum of allowances for asset impairment and the risk provisions assigned to exposures calculated according to the IRB approach once they are compared against the corresponding expected losses, in the part that does not exceed 0.6% of the risk-weighted exposures under the IRB approach.
The Institution's Common Equity Tier 1 (CET1) capital recorded a -9 million euro variation during the quarter, due to coupon payments on AT1 instruments, an increase in deductions and the evolution of valuation adjustments. Additional Tier 1 (AT1) capital decreased by -500 million euros during the period due to a reduction in the AT1 component, following the redemption of the instrument AT1 Participaciones Preferentes 1/2021. Tier 2 (T2) capital, for its part, increased by 15 million euro in the quarter, mainly due to the accrual of interest on subordinated funding instruments during the period.
4
Regulatory capital requirements by type of risk.
Type of risk 3/31/26 12/31/25 9/30/25 6/30/25 3/31/25
Total risk exposure amount (TREA) Capital requirements(1) Total risk exposure amount (TREA) Capital requirements(1) Total risk exposure amount (TREA) Capital requirements(1) Total risk exposure amount (TREA) Capital requirements(1) Total risk exposure amount (TREA) Capital requirements(1)
Credit and counterparty credit risks(2) 64,063,803 5,125,104 63,565,276 5,085,222 64,135,179 5,130,814 65,653,344 5,252,268 65,941,870 5,275,350
of which: Counterparty credit risk(3) 506,579 40,526 543,984 43,519 556,648 44,532 641,813 51,345 589,355 47,148
Market risk 548,173 43,854 446,859 35,749 501,829 40,146 482,825 38,626 416,480 33,318
Operational risk 12,661,667 1,012,933 12,661,667 1,012,933 11,939,397 955,152 11,939,397 955,152 11,939,397 955,152
CVA risk 216,744 17,340 204,323 16,346 128,175 10,254 146,621 11,730 162,185 12,975
Other risk exposure amounts(4) 3,230,550 258,444 3,230,550 258,444 3,002,100 240,168 1,042,370 83,390 1,065,766 85,261
Floor adjustment - - - - -
Total 80,720,937 6,457,675 80,108,676 6,408,694 79,706,679 6,376,534 79,264,558 6,341,165 79,525,697 6,362,056
Amounts in thousand euro.
(1) Calculated as 8% of TREA.
(2) Includes requirements for securitisations, for contributions to the CCP default guarantee fund, for the equity portfolio and DTAs.
(3) Includes requirements for contributions to the CCP default guarantee fund.
(4) As at 31/03/2026, includes, among others, the impacts linked to planned future model updates.
During the first quarter of 2026, risk-weighted assets (RWAs) increased by +612 million euro, primarily due to the growth in lending volumes, which was partially offset by the improvements in the RWA density of the credit portfolio.
5
Total amount of risk-weighted assets and minimum own funds requirements.
Exposure classes and types of risk 3/31/26 12/31/25
RWEA Capital requirements(1) RWEA Capital requirements(1)
Credit risk (standardised approach) 21,237,206 1,698,976 20,707,309 1,656,585
Central governments and central banks 125,257 10,021 150,727 12,058
Regional governments, local authorities and public sector entities 600,341 48,027 562,033 44,963
Regional governments and local authorities 46 4 48 4
Public sector entities and other public institutions 600,295 48,024 561,986 44,959
Multilateral development banks 4 0 4 0
International organisations - - - -
Institutions 977,563 78,205 1,048,222 83,858
Covered bonds 56,329 4,506 45,045 3,604
Corporates 4,331,052 346,484 3,932,595 314,608
Of which Corporates - Specialised lending 910,843 72,867 798,378 63,870
Subordinated debt and equity 77,254 6,180 49,633 3,971
Subordinated debt exposure 77,254 6,180 49,633 3,971
Equity exposures - - - -
Retail 2,062,310 164,985 1,823,892 145,911
Exposures secured by immovable property and ADC exposures 2,410,015 192,801 2,472,231 197,778
Exposures secured by residential immovable property - non-IPRE 374,807 29,985 356,708 28,537
Exposures secured by residential immovable property - IPRE 94,160 7,533 102,146 8,172
Exposures secured by commercial immovable property - non-IPRE 1,514,388 121,151 1,557,569 124,606
Exposures secured by commercial immovable property - IPRE 338,353 27,068 365,457 29,237
ADC exposures 88,306 7,064 90,351 7,228
Exposures in default 375,977 30,078 362,494 29,000
Exposures to collective investment undertakings 40,869 3,270 38,619 3,090
Other exposures 10,180,234 814,419 10,221,815 817,745
Credit risk (IRB approach) 42,075,678 3,366,054 42,053,935 3,364,315
Corporates 20,668,241 1,653,459 20,447,894 1,635,832
of which: General corporates 16,712,974 1,337,038 16,562,973 1,325,038
of which: Specialised lending 3,955,267 316,421 3,884,922 310,794
Retail 19,484,648 1,558,772 19,556,324 1,564,506
(i) Mortgages on residential real estate 10,766,273 861,302 10,822,248 865,780
(ii) Qualifying revolving 2,481,305 198,504 2,426,034 194,083
(iii) Other retail 6,237,070 498,966 6,308,043 504,643
Equity 1,922,789 153,823 2,049,717 163,977
Contribution to the default fund of a CCP 59,930 4,794 39,747 3,180
Securitisation positions 690,989 55,279 764,285 61,143
Securitisation positions (SEC - IRBA) 652,054 52,164 721,141 57,691
Securitisation positions (SEC - ERBA) 38,935 3,115 43,144 3,452
Trading book risk 548,173 43,854 446,859 35,749
Position risk (standardised approach) 411,374 32,910 340,467 27,237
Foreign exchange risk (standardised approach) 136,799 10,944 106,392 8,511
Operational risk 12,661,667 1,012,933 12,661,667 1,012,933
Credit Valuation Adjustment (CVA) risk 216,744 17,340 204,323 16,346
Other risk exposure amounts(2) 3,230,550 258,444 3,230,550 258,444
Total minimum own funds required 80,720,937 6,457,675 80,108,676 6,408,694
Amounts in thousand euro.
(1) Calculated as 8% of RWEA.
(2) As at 31/03/2026, includes, among others, the impacts linked to planned future model updates.
6
RWEA flow statements of credit risk exposures under the IRB approach (EU CR8).
Risk weighted exposure amount
a
1 Risk weighted exposure amount as at the end of the previous reporting period(1) 40,892,922
2 Asset size (+/-) 634,905
3 Asset quality (+/-) -529,398
4 Model updates (+/-) -
5 Methodology and policy (+/-) -
6 Acquisitions and disposals (+/-) 23,868
7 Foreign exchange movements (+/-)(3) 105,042
8 Other (+/-) -
9 Risk weighted exposure amount as at the end of the reporting period(2) 41,127,340
Amounts in thousand euro.
This table shows the evolution of the RWEA for credit risk exposures under the IRB approach, excluding counterparty credit risk.
(1) Data as at 31/12/2025.
(2) Data as at 31/03/2026.
(3) Exchange rate variations are due to structural positions in GBP and USD that are kept unhedged in order to protect the capital ratio against adverse exchange rate fluctuations.
To explain the variations in terms of risk-weighted assets, it is important to note the following: - The increase in lending volumes. - The improved density of the portfolio, driven both by a positive evolution of procyclicality and by an improvement in LGD resulting from the natural amortisation of the portfolio. - The currency appreciation recorded during the period, mainly of the British pound (GBP), the Mexican peso (MXN) and the US dollar (USD).
7
Overview of total risk exposure amounts (EU OV1).
Total risk exposure amounts (TREA) Total own funds requirements
a b c
3/31/26 12/31/25 3/31/26
1 Credit risk (excluding CCR)(1) 66,096,786 65,487,558 5,287,743
2 Of which the standardised approach 20,955,280 20,429,674 1,676,422
3 Of which the Foundation IRB (F-IRB) approach 9,107,222 8,610,209 728,578
4 Of which slotting approach 3,881,644 3,799,774 310,532
EU 4a Of which equities under the simple riskweighted approach 1,139,173 1,115,305 91,134
5 Of which the Advanced IRB (A-IRB) approach 26,999,301 27,367,634 2,159,944
6 Counterparty credit risk - CCR 506,579 543,984 40,526
7 Of which the standardised approach 361,337 403,862 28,907
8 Of which internal model method (IMM) - - -
EU 8a Of which exposures to a CCP 78,781 74,823 6,302
9 Of which other CCR 66,460 65,298 5,317
10 Credit valuation adjustments risk - CVA risk 216,744 204,323 17,340
EU 10a Of which the standardised approach (SA) - - -
EU 10b Of which the basic approach (F-BA and R-BA) 216,744 204,323 17,340
EU 10c Of which the simplified approach - - -
15 Settlement risk - - -
16 Securitisation exposures in the non-trading book (after the cap) 690,989 764,285 55,279
17 Of which SEC-IRBA approach 652,054 721,141 52,164
18 Of which SEC-ERBA (including IAA) 38,935 43,144 3,115
19 Of which SEC-SA approach - - -
EU 19a Of which 1250% / deduction - - -
20 Position, foreign exchange and commodities risks (market risk)(2) 548,173 446,859 43,854
21 Of which standardised approach(2) 548,173 446,859 43,854
22 Of which IMA(2) - - -
EU 22a Large exposures - - -
23 Reclassifications between trading and non-trading books - - -
24 Operational risk 12,661,667 12,661,667 1,012,933
EU 24a Exposures to crypto-assets - -
25 Amounts below the thresholds for deduction (subject to 250% risk weight)(3) 3,182,545 3,448,191 254,604
26 Output floor applied (%) 55% 50%
27 Floor adjustment (before application of transitional cap) - -
28 Floor adjustment (after application of transitional cap) - -
29 Total 80,720,937 80,108,676 6,457,675
Amounts in thousand euro.
(1) As at 31/03/2026, includes, among others, the impacts linked to planned future model updates and significant investments in financial sector institutions and insurance firms (IRB approach for equity).
(2) Article 520a of the CRR sets 1 January 2027 as the application date of the new market risk framework for the calculation of own funds requirements, also affecting disclosure requirements. In this regard, in accordance with Article 16(2) of Implementing Regulation (EU) 2024/3172, disclosures relating to market risk must continue to be made in line with the provisions of the previous regulatory framework, as set out in Implementing Regulation (EU) 2021/637, until 31 December 2026.
(3) Includes the amount of exposures to significant investments in financial sector entities and insurance firms (IRB approach for equity) and deferred tax assets that depend on future earnings or originate from timing differences and which, in aggregate terms, are equal to or less than 10% of the Institution's Common Equity Tier 1 capital (STDA). This row is purely informative, since these amounts are already included in row 1, according to the EBA mapping.
Details of RWA variations can be found in Table 4. Regulatory capital requirements by type of risk. In line with that mentioned in Table 2. Key metrics template (EU KM1), there are no adjustments stemming from any excess of the floor in the calculation of actual RWEAs with respect to the calculation under the full standardised approach.
8
Summary reconciliation of accounting assets and leverage ratio exposures (EU LR1).
a
Applicable amount
1 Total assets as per published financial statements 248,893,486
2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation 4,709
3 (Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference) -1,487,695
4 (Adjustment for temporary exemption of exposures to central bank (if applicable)) -
5 (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio total exposure measure in accordance with point (i) of Article 429a(1) CRR) -
6 Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting -
7 Adjustment for eligible cash pooling transactions -
8 Adjustments for derivative financial instruments -2,892,012
9 Adjustment for securities financing transactions (SFTs) -10,238,676
10 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) 15,334,592
11 (Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital) -12,359
EU-11a (Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR) -
EU-11b (Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR) -
12 Other adjustments (1) -2,991,150
13 Total exposure measure 246,610,895
Data as at 31/03/2026, in thousand euro.
(1) Mainly includes deductions from CET1 and due to exposures arising from export credits guaranteed by an ECA.
9
Leverage ratio common disclosure (EU LR2).
a b
CRR leverage ratio exposures
3/31/26 12/31/25
On-balance sheet exposures (excluding derivatives and SFTs)
1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) 230,437,472 228,595,821
2 Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework - -
3 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) -177,329 -229,514
4 (Adjustment for securities received under securities financing transactions that are recognised as an asset) - -
5 (General credit risk adjustments to on-balance sheet items) - -
6 (Asset amounts deducted in determining Tier 1 capital) -2,808,114 -2,804,060
7 Total on-balance sheet exposures (excluding derivatives and SFTs) 227,452,030 225,562,246
Derivative exposures
8 Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) 265,325 588,232
EU-8a Derogation for derivatives: replacement costs contribution under the simplified standardised approach - -
9 Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions 1,129,223 1,069,082
EU-9a Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach - -
EU-9b Exposure determined under Original Exposure Method - -
10 (Exempted CCP leg of client-cleared trade exposures) (SA-CCR) - -
EU-10a (Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach) - -
EU-10b (Exempted CCP leg of client-cleared trade exposures) (original exposure method) - -
11 Adjusted effective notional amount of written credit derivatives - -
12 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) - -
13 Total derivatives exposures 1,394,548 1,657,314
Securities financing transaction (SFT) exposures
14 Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions 12,848,083 11,266,888
15 (Netted amounts of cash payables and cash receivables of gross SFT assets) -10,401,429 -8,078,152
16 Counterparty credit risk exposure for SFT assets 162,753 90,821
EU-16a Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR - -
17 Agent transaction exposures - -
EU-17a (Exempted CCP leg of client-cleared SFT exposure) - -
18 Total securities financing transaction exposures 2,609,407 3,279,557
Other off-balance sheet exposures
19 Off-balance sheet exposures at gross notional amount 38,817,541 38,805,533
20 (Adjustments for conversion to credit equivalent amounts) -23,573,170 -23,236,151
21 (General provisions deducted in determining Tier 1 capital and specific provisions associated with off-balance sheet exposures) - -
22 Off-balance sheet exposures 15,244,372 15,569,382
EU22g Excluded exposures
EU-22a (Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR) - -
EU-22b (Exposures exempted in accordance with point (j) of Article 429a(1) CRR (on- and off-balance sheet)) - -
EU-22c (Excluded exposures of public development banks (or units) - Public sector investments) - -
EU-22d (Excluded exposures of public development banks (or units) - Promotional loans) - -
EU-22e (Excluded passing-through promotional loan exposures by non-public development banks (or units)) - -
EU-22f (Excluded guaranteed parts of exposures arising from export credits) -89,462 -87,474
EU-22g (Excluded excess collateral deposited at triparty agents) - -
EU-22h (Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR) - -
EU-22i (Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR) - -
EU-22j (Reduction of the exposure value of pre-financing or intermediate loans) - -
EU-22k (Excluded exposures to shareholders according to Article 429a (1), point (da) CRR) - -
EU-22l (Exposures deducted in accordance with point (q) of Article 429a(1) CRR) - -
EU-22m (Total exempted exposures) -89,462 -87,474
Capital and total exposure measure
23 Tier 1 capital 12,713,991 13,292,780
24 Total exposure measure 246,610,895 245,981,025
Leverage ratio
25 Leverage ratio (%) 5.16% 5.40%
EU-25 Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%) 5.16% 5.40%
25a Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%) 5.16% 5.40%
26 Regulatory minimum leverage ratio requirement (%) 3.00% 3.00%
EU-26a Additional own funds requirements to address the risk of excessive leverage (%) - -
EU-26b of which: to be made up of CET1 capital - -
27 Leverage ratio buffer requirement (%) - -
EU-27a Overall leverage ratio requirement (%) 3.00% 3.00%
Choice on transitional arrangements and relevant exposures
EU-27b Choice on transitional arrangements for the definition of the capital measure N/A N/A
Disclosure of mean values
28 Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable 6,184,495 2,332,557
29 Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables 2,446,654 3,188,736
30 Total exposure measure (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) 250,348,737 245,124,846
30a Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) 250,348,737 245,124,846
31 Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) 5.08% 5.42%
31a Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) 5.08% 5.42%
Amounts in thousand euro.
10
Split-up of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (EU LR3).
a
CRR leverage ratio exposures(1)
EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: 230,170,682
EU-2 Trading book exposures 904,050
EU-3 Banking book exposures, of which: 229,266,632
EU-4 Covered bonds 512,967
EU-5 Exposures treated as sovereigns 61,678,794
EU-6 Exposures to regional governments, MDB, international organisations and PSE, not treated as sovereigns 789,125
EU-7 Institutions 2,351,466
EU-8 Secured by mortgages of immovable properties 88,595,968
EU-9 Retail exposures 13,843,797
EU-10 Corporate 37,752,585
EU-11 Exposures in default 2,026,119
EU-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) 21,715,811
Data as at 31/03/2026, in thousand euro.
(1) The difference between total exposures in this table with respect to those in the Leverage ratio common disclosure (EU LR2) template is due to the exposures excluded from them, corresponding to the collateral provided by the Group for derivatives netting agreements
11
Leverage ratio evolution.
3/31/26 12/31/25 9/30/25 6/30/25 3/31/25
Tier 1 12,713,991 13,292,780 13,089,541 13,098,415 12,135,000
Exposure 246,610,895 245,981,025 243,454,702 252,191,134 250,810,799
Leverage ratio 5.16% 5.40% 5.38% 5.19% 4.84%
Amounts in thousand euro.
Leverage ratio evolution In the first quarter, the leverage ratio decreased by -25 bps compared to the ratio as of 31 December 2025. The main changes in its components were: - Tier 1 capital decreased by -579 million euros during the period due to a reduction in the AT1 component, following the redemption of the instrument AT1 Participaciones Preferentes 1/2021, coupon payments on AT1 instruments, an increase in deductions and the evolution of valuation adjustments. - Quarterly increase of +640 million euro in the exposure considered in the leverage ratio calculation (-1 bp), mainly due to an increase in the lending volumes.
12
Comparison of modelled and standardised risk weighted exposure amounts at risk level (EU CMS1).
a b c d EU d
RWEAs for modelled approaches that banks have supervisory approval to use RWEAs for portfolios where standardised approaches are used Total actual RWEAs (a + b) RWEAs calculated using full standardised approach(1) RWEAs that is the base of the output floor
1 Credit risk (excluding counterparty credit risk)(2) 41,910,955 20,955,280 62,866,236 96,277,016 90,351,756
2 Counterparty credit risk 164,723 341,855 506,579 616,501 616,501
3 Credit valuation adjustment 216,744 216,744 216,744 216,744
4 Securitisation exposures in the banking book 652,054 38,935 690,989 2,908,869 1,757,960
5 Market risk - 548,173 548,173 597,938 597,938
6 Operational risk 12,661,667 12,661,667 12,661,667 12,661,667
7 Other risk weighted exposure amounts(3) 3,230,550 3,230,550 - -
8 Total 42,727,732 37,993,205 80,720,937 113,278,734 106,202,565
Amounts in thousand euro.
(1) RWEAs under the full standardised approach are based on the applicable articles once all the applicable transitional arrangements, as set out in Articles 465, 495, 495a and 495d of the CRR, have expired. This expressly excludes the transitional nature of paragraph 5 of Article 465, as the domestic competent authority has not exercised the discretion envisaged in paragraph 10 of that same article, meaning that it is not applicable as at the reference date.
(2) Column b includes the amounts below the deduction threshold (250% risk weight).
(3) Includes, among others, the impacts linked to planned future model updates.
Template EU CMS1 shows RWEAs for each type of risk, making a distinction between those calculated under approved models and those calculated under standardised approaches, considering current transitional arrangements (phase-in basis). It also includes information about RWEAs calculated under the full standardised approach, making a distinction between RWEAs that serve as the base for calculating the output floor (EU d, phase-in basis) and RWEAs calculated without considering the transitional arrangements set out in the CRR (d, fully-loaded basis). As at 31 December 2025, Banco Sabadell Group does not report any impact arising from the application of the output floor in accordance with the provisions currently in force: the use of internal models continues to optimise capital requirements within the maximum limits permitted by CRR III. For the purpose of comparing information on the same basis, the table below gives details of RWEAs for each type of risk, making a distinction between those calculated using approved models and those calculated using standardised approaches (columns a, b and c of Template EU CMS1), applying the regulations once the various transitional arrangements envisaged in the CRR (fully-loaded basis) have expired. Consequently, on a fully-loaded basis, as at 31 December 2025, Banco Sabadell Group has actual RWEAs of 81,072,594 thousand euros, which denotes a minor misalignment of -1,054,489 thousand euros with respect to the output floor of 72.5%. Although small in magnitude, this deviation indicates that the floor would be slightly restrictive in a scenario where all transition periods had already expired, but would not entail any material restriction on the Group's capital levels.
Fully-loaded basis
RWEAs for modelled approaches that banks have supervisory approval to use RWEAs for portfolios where standardised approaches are used Total actual RWEAs (a + b)
Credit risk (excluding counterparty credit risk)(2) 39,988,167 23,229,726 63,217,892
Counterparty credit risk 164,723 341,855 506,579
Credit valuation adjustment 216,744 216,744
Securitisation exposures in the banking book 652,054 38,935 690,989
Market risk - 548,173 548,173
Operational risk 12,661,667 12,661,667
Other risk weighted exposure amounts(3) 3,230,550 3,230,550
Total 40,804,944 40,267,650 81,072,594
Amounts in thousand euro.
(1) RWEAs under the full standardised approach are based on the applicable articles once all the applicable transitional arrangements, as set out in Articles 465, 495, 495a and 495d of the CRR, have expired. This expressly excludes the transitional nature of paragraph 5 of Article 465, as the domestic competent authority has not exercised the discretion envisaged in paragraph 10 of that same article, meaning that it is not applicable as at the reference date.
(2) Column b includes the amounts below the deduction threshold (250% risk weight).
(3) Includes, among others, the impacts linked to planned future model updates.
13
Comparison of modelled and standardised risk weighted exposure amounts for credit risk at asset class level (EU CMS2).
a b c d EU d
RWEAs for modelled approaches that institutions have supervisory approval to use RWEAs for column (a) if re-computed using the standardised approach Total actual RWEAs RWEAs calculated using full standardised approach(1)(2) RWEAs that is the base of the output floor(2)
1 Central governments and central banks - - 125,257 125,257 125,257
EU 1a Regional governments or local authorities - - 46 46 46
EU 1b Public sector entities 2,330 3,550 598,935 600,156 600,155
EU 1c Categorised as Multilateral Development Banks in SA - - 4 4 4
EU 1d Categorised as International organisations in SA - - - - -
2 Institutions 66,212 112,763 818,397 864,950 864,948
3 Equity 1,922,789 2,267,212 1,922,789 2,267,212 2,267,212
5 Corporates 17,476,621 28,460,939 21,754,816 38,444,489 32,739,134
5.1 Of which: F-IRB is applied(3) 12,988,866 22,795,924 12,988,866 26,501,435 22,795,924
5.2 Of which: A-IRB is applied(3) 7,518,394 11,096,632 7,518,394 13,046,040 11,096,632
EU 5a Of which: Corporates - General 13,657,696 22,979,181 17,030,704 32,057,544 26,352,188
EU 5b Of which: Corporates - Specialised lending 3,818,925 5,481,759 4,724,112 6,386,946 6,386,946
EU 5c Of which: Corporates - Purchased receivables - - - - -
6 Retail 7,970,753 8,076,932 10,033,063 10,352,935 10,139,243
6.1 Of which: Retail - Qualifying revolving 2,322,444 1,268,637 2,386,663 1,336,029 1,332,856
EU 6.1a Of which: Retail - Purchased receivables - - - - -
EU 6.1b Of which: Retail - Other 5,648,308 6,808,295 7,646,400 9,016,906 8,806,387
EU 7a Categorised as secured by mortgages on immovable properties and ADC exposures in SA(4) 13,120,809 28,737,314 15,530,824 31,147,342 31,147,329
6.2 Of which: Retail - Secured by residential real estate(4) 10,006,247 22,790,940 10,388,918 23,173,625 23,173,611
EU 7b Collective investment undertakings (CIU) - - 40,869 40,869 40,869
EU 7c Categorised as exposures in default in SA 1,351,442 1,737,764 1,727,419 2,113,741 2,113,741
EU 7d Categorised as subordinated debt exposures in SA - - 77,254 77,254 77,254
EU 7e Categorised as covered bonds in SA - - 56,329 62,526 56,329
EU 7f Categorised as claims on institutions and corporates with a short-term credit assessment in SA - - - - -
8 Other non-credit obligation assets(5) - - 10,180,234 10,180,234 10,180,234
9 Total 41,910,955 69,396,476 62,866,236 96,277,016 90,351,756
Amounts in thousand euro.
(1) RWEAs under the full standardised approach are based on the applicable articles once all the applicable transitional arrangements, as set out in Articles 465, 495, 495a and 495d of the CRR have expired. This expressly excludes the transitional nature of paragraph 5 of Article 465, as the domestic competent authority has not exercised the discretion envisaged in paragraph 10 of that same article, meaning that it is not applicable as at the reference date.
(2) The exposure subclasses inherent in the IRB approach (rows EU 5a, EU 5b, EU 5c, 6.1, EU 6.1a, EU 6.1b, 6.2) include the portion of RWEAs corresponding to the standardised approach.
(3) According to the EBA's Mapping Tool, exposures included in rows 5.1 and 5.2 include exposures secured by immovable property, although the total for Corporates (row 5) does not include these.
(4) According to the EBA's Mapping Tool, exposures included in row 6 do not include exposures secured by immovable property. In the interests of clarity, the order of rows 6.2 and EU 7a has been modified, as has the wording of row EU 7a (removing "Of which: Retail -"), as this is considered an independent exposure class in accordance with Article 112 of the CRR.
(5) Includes exposures under the "Other items" exposure class under the standardised approach, as per Article 112 of the CRR.
Template EU CMS2 provides the information breakdown required to calculate the output floor applied to all exposures subject to credit risk. For each exposure class, the template compares the real measurement of RWEAs with the different standardised views required by the regulation. Thus, the first two columns show, for the same perimeter of exposures, the RWEAs calculated using authorised internal models (on a phase-in basis) and the equivalent recalculation under the standardised approach (on a phase-in basis). The following three columns show total exposures subject to credit risk: the third column shows the actual calculation, combining IRB and standardised RWEAs; the fourth column shows the full standardised calculation on a fully-loaded basis, after all anticipated transitional arrangements have expired, and the fifth column shows the full standardised calculation on a phase-in basis, applying those transitional arrangements. The classification of RWEAs by credit risk follows the categories set out in Article 112 of the CRR, corresponding to the standardised approach. Therefore, the exposures originally calculated under IRB are reclassified when their segmentation does not match that of the standardised approach. This adjustment particularly affects the "Corporates" and "Retail - Other" categories, where the exposures secured by immovable property and exposures in default are moved to the corresponding categories under the standardised approach ("Exposures secured by immovable property and ADC exposures" and "Exposures in default", respectively). In this way, the template ensures a uniform and fully comparable view of all of the exposures, irrespective of the calculation methodology applied in the actual framework.
14
Quantitative information of LCR (EU LIQ1).
a b c d e f g h
Scope of consolidation: consolidated Total unweighted value (average) Total weighted value (average)
EU 1a Quarter ending on 31 March 2026 31 December 2025 30 September 2025 30 June 2025 31 March 2026 31 December 2025 30 September 2025 30 June 2025
EU 1b Number of data points used in the calculation of averages 12 12 12 12 12 12 12 12
HIGH-QUALITY LIQUID ASSETS
1 Total high-quality liquid assets (HQLA) 37,344 37,905 39,381 40,341
CASH OUTFLOWS
2 Retail deposits and deposits from small business customers, of which: 127,498 127,277 127,372 126,972 7,790 7,798 7,799 7,761
3 Stable deposits 85,178 84,872 85,030 85,148 4,259 4,244 4,252 4,257
4 Less stable deposits 30,734 30,722 30,492 30,042 3,531 3,554 3,547 3,503
5 Unsecured wholesale funding 33,526 32,515 31,772 30,728 14,206 13,760 13,441 12,932
6 Operational deposits (all counterparties) and deposits in networks of cooperative banks 3,025 3,146 3,267 3,337 715 746 775 791
7 Non-operational deposits (all counterparties) 30,107 28,941 28,047 27,019 13,098 12,585 12,208 11,769
8 Unsecured debt 393 429 459 371 393 429 459 371
9 Secured wholesale funding 521 318 311 255
10 Additional requirements 25,547 25,618 25,807 26,083 3,219 3,205 3,227 3,365
11 Outflows related to derivative exposures and other collateral requirements 989 1,004 1,009 1,107 989 1,004 1,009 1,107
12 Outflows related to loss of funding on debt products 147 148 165 167 147 148 165 167
13 Credit and liquidity facilities 24,411 24,466 24,633 24,809 2,084 2,053 2,054 2,091
14 Other contractual funding obligations 907 901 885 911 439 427 426 420
15 Other contingent funding obligations 31,776 31,787 31,762 31,677 2,184 2,200 2,204 2,175
16 TOTAL CASH OUTFLOWS 28,360 27,708 27,408 26,907
CASH INFLOWS
17 Secured lending (e.g. reverse repos) 9,225 6,260 5,898 6,343 473 282 210 214
18 Inflows from fully performing exposures 7,002 6,831 6,830 6,803 5,700 5,531 5,472 5,390
19 Other cash inflows 153 139 113 110 148 134 109 105
EU-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) - - - -
EU-19b (Excess inflows from a related specialised credit institution) - - - -
20 TOTAL CASH INFLOWS 16,380 13,230 12,840 13,256 6,320 5,948 5,791 5,709
EU-20a Fully exempt inflows - - - - - - - -
EU-20b Inflows subject to 90% cap - - - - - - - -
EU-20c Inflows subject to 75% cap 16,380 13,230 12,840 13,256 6,320 5,948 5,791 5,709
TOTAL ADJUSTED VALUE
EU-21 LIQUIDITY BUFFER 37,344 37,905 39,381 40,341
22 TOTAL NET CASH OUTFLOWS 22,040 21,760 21,617 21,198
23 LIQUIDITY COVERAGE RATIO 170% 174% 183% 191%
Amounts in million euro.
15
Qualitative information on LCR (EU LIQB).
Explanations on the main drivers of LCR results and the evolution of the contribution of inputs to the LCR's calculation over time The average level of liquid assets over the last twelve months as of March 2026, compared to the average for the same period in March 2025, has decreased by €3,288 million, mainly driven by the reduction in issuances placed with wholesale clients, while still maintaining a strong Group position to withstand potential stress events and its ability to respond immediately to sudden liquidity disruptions. In accordance with the regulatory definition of the liquidity coverage requirement, almost all of the Group's liquid assets are composed of Tier 1 securities, which are assets whose liquidity and credit quality is extremely high. The Group's funding structure, which is mainly composed of customer deposits, is reflected in cash outflows, the structure of which has remained constant during the analysed periods. Average outflows during the past 12 months amounted to 28,360 million euros, which represents an increase of 1,705 million euros in comparison to the average of the previous twelve months to March 2025, mainly driven by the rise in outflows associated with wholesale deposits. Due to the business model of Banco Sabadell Group, retail deposits make up a large amount of the Group's funds. Although they represent more than half of the balances considered in the LCR as potential outflows, their high stability means that their withdrawal is not particularly likely. In average terms, retail deposits make up 27.5% of total cash outflows which would occur in a stress period of 30 days, such as that contemplated in the LCR. Amongst these, more stable deposits with higher balances stand out. Within unsecured wholesale funding, non-operational deposits are predominant. The increased capacity for this type of customer to manage their funds makes them the main source of outflows in the LCR, representing, on average, 13.7% of outflows, although total balances considered in the LCR as potential outflows reach 46.2% on average. In contrast, secured funding contributes 1.8% of outflows.
With regard to the "Additional requirements" category included in the LCR, those related to the undrawn balance of credit and liquidity facilities stand out, which on average represent 11.1% of potential outflows, and after their weighting, they represent 7.3% of outflows. Furthermore, in this category, one of the inherent risks of derivative transactions is the possibility that the Group may have to provide additional guarantees, which could have a negative impact on its liquidity profile and funding capacity. However, outflows related to derivative transactions represent around 0.5% of deposits that could be withdrawn considered in the LCR and 3.5% of total weighted outflows. Based on prudential criteria, the Group contemplates the cash outflow that could materialise in the event of a severe stress scenario, and in this context, the Group would have sufficient liquidity to meet these additional collateral requirements. Cash outflows may occur due to commitments associated with other contingent products, predominantly revocable and commercial credit facilities, current account overdraft limits, guarantees, and asset transactions granted but not yet disbursed. These represent 14.5% of the potential combined cash outflows and 7.7% of total outflows weighted by their probability of drawdown. Based on the average of the last twelve months, the total amount of cash inflows that would take place in a stress period of 30 days stands at 6,320 million euros, which implies an increase of 798 million euros compared to the annual average for March 2025. The annual average of the balances considered in the LCR as potential inflows is determined by the expected flows of lending items, flows of secured lending transactions, as well as inflows that are less material, which include maturing securities in the portfolio. After applying the corresponding risk weights, on average, 90,2% of LCR inflows are explained by inflows from lending which would take place in a stressed environment.
Explanations on the changes in the LCR over time The average LCR over the last twelve months as of March 2026, compared to the average for the same period in March 2025, has decreased by 23 p.p. to reach an annual average of 170%, which is the result of a reduced availability of HQLAs, mainly due to a negative net variation in issuances placed with wholesale clients during the period, as well as an increase in outflows associated with wholesale deposits, partially offset by an increase in inflows related to expected cash inflows from lending activities.
Explanations on the actual concentration of funding sources Given the funding structure, in which customer deposits are predominant and the majority of market funding is in the medium/long term, the Group's ratio has remained stable at levels amply above 100%. The main source of the Group's funding is its customer deposit base, which is supplemented with funding via the interbank market and the capital markets, in which the Group always seeks to maintain adequate diversification in terms of product, term and investor.
High-level description of the composition of the institution's liquidity buffer The Group's liquidity management seeks to maintain a funding structure and volume of liquid assets that will enable it to meet its payment commitments normally, under both business-as-usual and stress conditions. As at the end of March 2026, the balance of this liquidity reserve amounted to 57,392 million euros (59,731 million euros as at 31 March 2025), and comprised eligible assets available to be pledged as collateral to access the ECB facility, liquid assets classified as of extremely high liquidity under LCR criteria but not eligible to access the ECB facility, and the Bank's net interbank position.
Derivative exposures and potential collateral calls Most derivative transactions are subject to collateral agreements, protecting them against any changes in their market value. In addition, the LCR considers the liquidity risk arising from the impact of an adverse market scenario in which changes in derivative valuations could result in additional guarantees being given and potentially drain the liquidity position. Within the LCR, the most significant net change in 30 days over the time horizon of the preceding 24 months is calculated and then included as a liquidity requirement.
Currency mismatch in the LCR The management and control of liquidity risk for the Banco Sabadell LMU uses the euro as the reporting currency, due to the low materiality of financial flows in other currencies maintained by this LMU, with consistency between the currency in which liquid assets are denominated and the breakdown of net liquidity outflows by currency. The exposure in foreign currencies is mostly limited to Mexican pesos, US dollars and pounds sterling, as a result of the activity in Mexico and the activity arising in connection with the branches in Miami and London.
Other items in the LCR calculation that are not captured in the LCR disclosure template but that the institution considers relevant for its liquidity profile The Institution does not consider other items in the LCR calculation, as can be seen in Template EU LIQ1, where no additional items are included.
16
Glossary
ADC Acquisition, Development and Construction
AIRB Advanced Internal Ratings-Based
AT1 Additional Tier 1
CCF Credit Conversion Factor
CCP Central Counterparty
CCR Counterparty Credit Risk
CET1 Common Equity Tier 1
CIU Collective Investment Undertaking
CRR Capital Requirements Regulation
CVA Credit Valuation Adjustment
DTA Deferred Tax Asset
ECA Export Credit Agency
ECB European Central Bank
ECL Expected Credit Loss
EU European Union
F-BA Full Basic Approach
FIRB Foundation Internal Ratings-Based
GBP Great Britain Pound
HQLA High Quality Liquid Assets
IMA Internal Model Approach
IMM Internal Model Method
IPRE Income-Producing Real Estate
IRB Internal Ratings-Based
IRBA Internal Ratings-Based Approach
LCR Liquidity Coverage Ratio
LGD Loss Given Default
LMU Liquidity Management Unit
LR Leverage Ratio
PD Probability of Default
R-BA Reduced Basic Approach
RW Risk Weight
RWA Risk Weighted Asset
RWEA Risk-Weighted Exposure Amount
SA Standardised Approach
SEC-ERBA Securitisation External Ratings-Based Approach
SEC-IRBA Securitisation Internal Ratings-Based Approach
SEC-SA Securitisation Standardised Approach
SREP Supervisory Review and Evaluation Process
STDA Standardised Approach
T1 Tier 1
TLTRO Targeted Longer-Term Refinancing Operations
TREA Total Risk-Weighted Amounts
USD United States Dollar