Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 117

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 117
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 derivatives in the trading portfolio. In addition, the new IRC model approved for Spain (including the SLB) uses correlations that are

determined by the relationship between each issuer and the systemic factors. These ratios are calibrated to a one-year time frame using historical price series representing each issuer and the systemic factors. The price series used are at least ten years long and include at least one stress period in accordance with regulatory requirements. In the previous IRC model which applies for the Mexican and Chilean units, the current calculation of correlations utilizes the single-factor formula proposed by the Basel regulation. The method used to calculate the IRC, which is essentially similar to that applied to the credit risk of non-trading portfolio exposures, is based on the Merton structural model, which dictates that the default event occurs when the assets of a company fall below a certain level of its debts. This internally developed model comprises direct measurements on the distribution queues of losses caused by the different credit events it provides for, i.e. default risk and migration of credit quality subject to a confidence interval of 99.9% and a capital horizon of one year for all positions. The assumed liquidity horizon coincides with the one-year capital horizon and using the Montecarlo simulation approach. During 2019 and 2020 a new CRI model was developed in response to the deficiencies and findings that had been raised by the regulator in the previous IMI. The new CRI model incorporated various improvements in fundamental aspects of the model and following IMI 4313 carried out during 2020, obtained the regulator's approval for Spain, including VMS, as well as the consequent elimination of the multiplier that had previously been imposed for this geographic location. In addition, along with this approval, a series of Obligations were established for the resolution of which improvements have been made during 2022 and 2023. As of the end of December 2024 a large part of the lifted Obligations have already been considered as implemented by the supervisor. As approval of the new model was only granted for Spain, the geographies of Chile and Mexico will continue to calculate their regulatory capital for market risk using the previous IRC model.

190 2024 Pillar 3 Disclosures Report

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

### 7.3.4. Analysis of scenarios and stress testing
The risk measures described above are based on assumptions that underpin day