Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 93

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 93
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 Purpose Vehicle), which hedges the portfolio and issues CLNs (Credit Link Notes), or the financial guarantee can be issued directly. If the financial guarantees are funded, there will be no counterparty risk. However, if hedged and if they are not funded, this risk will not be present (the counterparty risk). Lastly, a synthetic transaction can be structured without an SPV and without issuing notes. These types of guarantees are financial in nature and will tend not to be anchored. In this case, counterparty risk will indeed be present. Finally, this type of risk will be present only if the synthetic guarantee received is not anchored. Santander will therefore have to reclaim losses generated by the hedged portfolio from the investor, whenever such losses reach their tranche. In synthetic securitisations, there is no right of credit risk transfer nor sale of the underlying portfolio. The financial guarantees received can be funded or unfunded. In the latter case, Banco Santander has to reclaim the losses from the investor, which generates counterparty risk.

Santander analyses annually the evolution of the securitisations originated with the release of capital, assessing the different parameters from a risks and capital perspective (backtesting). These reviews are submitted to the relevant management bodies.

162 2024 Pillar 3 Disclosures Report

| Index |     | Introduction |     | Capital |     | Risks |     | Risk taker's remunerations |     | Appendices |

6.3. Santander securitisation activity The list of SPPEs is listed in Appendix XIV of the 2024 Pillar 3 report file available on the Santander website.

| Access the Pillar 3 2024 file available on Grupo Santander's web site |

6.3.1. As asset manager Grupo Santander has Santander de Titulización S.G.F.T., S.A. (Sociedad Gestora de Fondos de Titulización) and Gamma, STC. ( Sociedade de Titularização de Créditos ), in order to set up, manage and legally represent the securitisation funds originated in Spain and Portugal, respectively. 6.3.2. As originator Grupo Santander originated in 2024 43 securitisations mainly for risk transfer purposes. Grupo Santander has a total of 118 securitisations that transfer risk and free up capital (38 traditional transactions and 80 synthetic). The main underlying portfolios are consumer loans (primarily for cars