Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 99

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 99
---
 CRR. The correlation trading portfolio is also included among these positions. This book consists of securitisation positions and nth-to-default derivatives that meet all the criteria in article 338.1 of the CRR. Therefore, none of these positions are considered in the VaR spread and IRC calculation, although they are included in the interest rate VaR calculation (general risk).

For these positions, capital is treated as for securitisation positions in the banking book, so that capital requirements are calculated taking into account the new approaches considered in the new Regulation (EU) 2017/2401 on securitisations.

Finally, Regulation (EU) 2017/2402 on securitisations came into force on the 1st January 2019. This regulation changed the prudential requirements for credit institutions and investment firms, establishing new treatment for securitisation positions. One of the most significant changes is that positions in preferential securitisation tranches may not consume more capital than the loan portfolio. It also provides for a more favourable treatment for senior tranches of STS (simple, transparent and standardised) securitisations which was updated on 31st March 2021 Regulation (EU) 2021/558 amending Regulation (EU) No 575/2013 regards adjustments to the securitisation framework to support the economic recovery in response to the covid-19 crisis.

The following table shows the aggregate value of securitisation positions purchased and retained in the trading portfolio.

| Table 69.Aggregate amount of securitisation positions purchased and retained. Trading book           |     |                    |     |     |     |     |    |                      |     |     |     |                   |     |     |     |      |
| EUR million                                                                                          |     |                    |     |     |     |     |    |                      |     |     |     |                   |     |     |     |      |
|                                                                                                      |     |                    |     |     |     |     |    |                      |     |     |     |                   |     |     |     | 2024 |
|                                                                                                      |     | Investor positions |     |     |     |     |    | Originator positions |     |     |     | Sponsor positions |     |     |     |      |
| ABS PORTFOLIO                                                                                        |     | Mark to market     |     |     | RWA |     |    | Mark to market