Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 95

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 95
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, BBB), it does not usually employ hedging techniques to mitigate the risk. 6.3.4. As sponsor As of 31 of December 2024, Santander Group participates as a sponsor in a securitization structure where Santander maintains investor positions in mezzanine and senior tranches, additionally participating in 5% of the junior tranche to comply with the regulatory requirements for retention of economic interest. • Securitisation positions invested in : published NPL metrics (90+, default, recoveries) and prepayments are monitored regularly using specialised software, which also checks whether the established rating-based limits are being met. The processes mentioned above serve to monitor changes in credit and market risk for securitisation exposures.

2024 Pillar 3 Disclosures Report 163

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

This overview below displays the provided information regarding Santander securitisation activity, broken down by each table in the Pillar 3 disclosure report:

| Overview of tables provided in the Pillar 3 Report |     |                                                           |     |                                                                                                                      |
| Table                                              |     | Positions                                                 |     | Information                                                                                                          |
| SEC 1                                              |     | Retained and investedpositions in SEC in banking book     |     | EADbroken down by type of securitization (synthetic, traditional), and role of the institution (originator/investor) |
| SEC 2                                              |     | Retained and investedpositions in SEC in trading book     |     |                                                                                                                      |
| SEC 3                                              |     | Retained positionsfrom originator/sponsor in banking book |     | EAD & RWAbroken down by regulatory approach of RW calculation                                                        |
| SEC 4                                              |     | Institutions acting asinvestor. Banking book              |     |                                                                                                                      |
| SEC 5                                              |     | All exposures securitized by the institutions             |     | Underlying on-balancebroken down by asset class                                                                      |

A typical SRT is structured in at least in one senior and one junior tranche depending on the risk level, where the junior tranche is the one absorbing the first losses of the underlying portfolio.

| Disclosure of information in the Pillar 3 Report |

However, in most cases additional tranches are included, such as a mezzanine (covering the unexpected loss) tranche as shown in the example