Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 11

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 11
---
 to adapt.

•

#### Standardised credit risk method
: The CRR3 introduces greater risk sensitivity by creating specific exposure classes, and greater granularity in the range of applicable RWs, such as the new treatment of exposures guaranteed by immovable property. In addition, the minimum CCF is increased from 0% to 10%, with a transitional arrangement for the necessary accumulation of capital.

•

#### IRB credit risk approach
: The escalation factor is eliminated from the Risk Weight Asset (RWA) calculation formula and opens the possibility for an entity to use this approach for some exposure classes instead of requiring the implementation of IRB in all portfolios. Also, the F-IRB approach is made obligatory for low-default exposure classes (institutions and companies with revenue greater than €500 million). In addition new floors are introduced for the PD and LGD parameters to limit their variability.

•

#### Credit risk mitigation
: Clarity in the recognition of personal guarantees if exposures towards the guarantor and debtor are treated using different credit risk approaches (standard approach, F-IRB, A-IRB or slotting).

•

#### Operational risk
: The methods existing up until the 31 December 2024 have been replaced by a single Standardised Measurement Approach based on the business indicator. The new approach (SMA) consists of the Business Indicator Component (BIC), which multiplies the Business Indicator (BI) with an escalation factor (between

12% and 18%) depending on the institution's BI volume. The BI has 3 components: ILDC, SC and FC. The loss component (ILM) in the Basel Framework has been disregarded in the new Regulation, as the European regulatory authority made use of the discretion permitted by the Basel Framework. The CRR3 also includes: (i) the possibility of calculating a separated ILDC, for which a supervisory approval is required; and (ii) a transitional period where institutions can continue applying the current ASA until the separated ILDC calculation is granted by the ECB.

The goal of achieving more robust supervision and protection of financial stability in the CRD6 is expressed in a series of provisions concerning: fit-and-proper requirements, extending the scope by revising certain definitions and additions on the establishment of third-country branches in the EU in order to achieve greater regulatory harmonisation and better supervision of this type of entities.

The CRR3 and CRD6 came into force on 9 July 2024. Although early implementation was established for certain provisions, such as certain definitions that