Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 230

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 230
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1 - AIRB approach - Back-testing of PD per exposure class (only for  PD estimates according to point (f) of Article 180(1) CRR) |
| X.                                                                  |     | CCA - Capital and TLAC instruments main features - Own Funds                                                     |     |     |     | XIV.  |     | List of SPPEs                                                                                                                       |
| XI.                                                                 |     | CCA - Capital and TLAC instruments main features - Eligible Liabilities                                          |     |     |     |       |     |                                                                                                                                     |
| 13. APPENDICES                                                      |     |                                                                                                                  |     |     |     |       |     |                                                                                                                                     |

2024 Pillar 3 Disclosures Report 319

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

Appendix I - Glossary

Advanced IRB approach: all the credit risk parameters are estimated internally by the entity, including the CCFs for calculating the EAD.

Alignment metrics: decarbonization targets to align a portfolio's emissions with the Paris Agreement targets.

ALM (Asset liability management): a series of techniques and procedures to ensure correct decision-making on investments and funding at the entity, taking into consideration the interrelation between the various on- balance-sheet and off-balance-sheet items.

AMA (Advanced Measurement Approach): an operational risk measurement technique set forth in Basel capital adequacy norms, based on an internal modelling methodology.

AQR (Asset Quality Review): asset quality review exercise performed by the European Central Bank.

Asset-backed commercial paper (ABCP) programme: a securitisation programme in which the securities issued predominantly take the form of commercial paper with an original maturity of one year or less.

AT1 (Additional Tier 1): capital which consists primarily of hybrid instruments.

Backtesting: the use of historical data to monitor the performance of the risk models.

Basel III: a set of amendments to the Basel II regulations published in December 2010, scheduled to take effect in January 2013 and to be gradually implemented until January 2019.

Basic IRB approach: all the risk parameters are determined by the regulator except for the probability of default, which is estimated internally by the bank. The CCFs required to calculate EAD are determined by the regulator.

BCBS: Basel Committee on Banking Supervision.

BEI (banking environment initiative): group of global banks, convened by the University