Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 60

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 60
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 and counterparty risk (excluding CVA and CCP) |     |         |     |                      |

Credit risk RWAs decreased EUR 6,187 million in 2024. If we isolate the exchange rate effect (due to the depreciation of the Brazilian real, the Mexican peso and the Chilean peso, partially offset by the appreciation of the US dollar and the pound sterling), RWAs increased EUR 2,709 million. This is mainly due to 'Methodology and policy' from calculating maturity models in CIB (+EUR 11,556 million) and a review of the application of the SME factor on some operations with self-employed customers (+EUR 2,752 million). Additionally, 'Model updates' contributed +EUR 8,307 million, mainly relating to capital model changes associated with large exposures in some portfolios. This growth was compensated by the decrease in RWAs related to 'Asset quality' (-EUR 2,584 million) and 'Asset size' (-EUR 17,322 million), as securitizations during the year (-EUR 29,499 million) more than offset widespread business growth.

| RWA Evolution of Credit risk (excluding counterparty credit risk, securitisations and others) |
| Million euros                                                                                 |

2024 Pillar 3 Disclosures Report 75

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

#### 4.2.1. IRB roll-out plan and supervisory approval
This section covers the letter (a) of the qualitative requirement CRE - Qualitative disclosure requirements related to IRB approach.

Santander has supervisory approval to use advanced approaches for calculating regulatory capital for credit risk for the parent and its main subsidiaries in Spain, the United Kingdom and Portugal and for some portfolios in Germany, Mexico, Brazil, Chile, Nordic countries (Sweden, Finland and Norway), France and the United States.

In order to incorporate the requirements of the EBA Repair Program, updated versions of IRB rating systems have been submitted to the ECB and implemented during 2023 and 2024. Additionally, Grupo Santander is expecting the ECB resolution about the mid-long term IRB strategy to the different portfolios following the simplification criteria discussed with the supervisor previously to its implementation.

The following table shows the geographical scope of the internal models for credit risk (AIRB or FIRB) in the various portfolios:

| List of authorised IRB models by legal entity |     |