Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 110

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 110
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, in line with the new bank capital requirements under the Basel Accords and, specifically, the CRR.

The capital resulting from the VaR and SVaR metrics is adjusted through a Kr coefficient, derived from the number of backtesting overshootings existing for each unit in its local internal model and by a qualitative coefficient Kc determined by the European Supervisor. At the end of 2023, due to improvements made by the Bank to align with the supervisory expectations of the TRIM guidance the multiplier was reduced to zero.

In 2024 new not-in-model risks were added to the calculation of capital by market risk, for those risk factors not included in the current regulatory capital metrics (VaR, SVaR, etc.).

182 2024 Pillar 3 Disclosures Report

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

A breakdown of capital requirements in the units that use the internal model is shown below, by geography and component, at year-end:

| Table 75.Capital requirements for market risk. Internal model |     |     |          |     |     |           |     |    |     |     |   |                 |     |   |        |     |     |       |
| EUR million                                                   |     |     |          |     |     |           |     |    |     |     |   |                 |     |   |        |     |     |       |
|                                                               |     |     |          |     |     |           |     |    |     |     |   |                 |     |   |        |     |     |  2024 |
|                                                               |     |     | CR (VaR) |     |     | CR (SVaR) |     |    | IRC |     |   | Risk Not in VaR |     |   | Add-On |     |     | Total |
| Spain & SLB                                                   |     | 129 |          |     | 279 |           |     | 30 |     |     | 3 |                 |     |   |        |     | 440 |       |
| Chile                                                         |     |  21 |          |     |  40 |           |     |  3 |     |     | — |                 |     |   |        |     |  64 |       |
| México                                                        |     |  29 |          |