Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 567

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 567
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 of Regulations (EU) 2017/2401 and 2017/2402.

Oversight is an essential prerequisite for synthetic and traditional securitizations, especially if they can reduce risk-weighted assets (RWA) under regulatory standards.

The aim is to make sure that oversight includes analysis of the conditions that could alter the securitization’s SRT classification, namely:

• if it meets the requirements of an effective risk transfer;

• if it complies with all prudential regulation requirements;

• if its risk parameters follow our methodology; and

• if its economic rationale meets Group-wide standards.

In today’s macroeconomic landscape of geopolitical tension, market volatility and other events, we focused on protecting the Group’s solvency and meet the internal objectives. We pinpointed and assessed the risks that could affect solvency and continuously monitored key metrics.

The capital risk function regularly assesses potential deviations in capital forecasts to set budget uncertainty levels. We oversee progress with the organic capital plan, securitization plan and other initiatives that impact on capital, as well as the supervisor’s

Annual report 2024 535

| Contents |     | Business model and strategy |     | Sustainability statement |     | Corporate governance |     | Economic and financial review |     | Riskmanagementandcompliance |

review of capital calculation (Internal Model Investigations -IMIs-, On-Site Inspections -OSIs- and others). In 2024, we continued to enhance monitoring of the achievement of subsidiaries’ capital contribution targets to spot risk and opportunity relating to our capital targets for the year. We also checked the impact of market variables on capital levels. Against this backdrop, we continue to implement hedging policies to mitigate exchange rate volatility on our CET1 ratio. The second and first line of defence set the solvency appetite limits, which were consistent with the Group’s medium-low risk profile and resilient to stress conditions. Regarding planning, in 2024 we performed a more detailed review of our Group and subsidiary recovery plans to enhance measures and hypotheses. We introduced stricter standards to enhance reporting and governance of SRT securitization oversight during origination. To make monitoring more robust, subsidiaries became more involved in regular analysis and we drove further automation through use of the corporate tool. 4.3 Key metrics Banco Santander’s strong capital position is consistent with our business model, balance sheet structure, risk profile and regulatory requirements. Our robust balance sheet and profitability enable us to finance growth and accumulate capital. Our model of subsidiaries with