Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 105

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 105
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 securitisation exposure).

There is no specific accounting treatment for synthetic securitisations or assets awaiting securitisation.

2024 Pillar 3 Disclosures Report 173

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

#### 6.5. Capital requirements - Securitisations
Grupo Santander calculates regulatory capital under the securitization approach for positions held in originated securitizations only if the regulatory conditions established in the Capital Requirements Regulation (CRR) for significant risk transfer are met. Otherwise, capital is calculated for the securitized exposures as if they had never been securitized. Capital is also calculated for investment positions in securitization funds originated by third parties.

Regulation 2017/2401 modified the CRR in those areas related to the calculation methods for capital requirements for securitizations. Within this framework, with the objective of reducing the dependence on external ratings, the entity has to use its own calculation of regulatory capital requirements so long as it is authorized, in order to apply the internal ratings-based approach for securitized exposures: the Securities and Exchange Commission Internal ratings-based approach (SEC-IRBA) . Entities that cannot use the SEC-IRBA must apply the standardized approach (SEC-SA) to securitizations. The SEC-SA is based on the capital requirements calculated under the standardized approach for credit risk. When neither of these two approaches are available, entities must adopt the external ratings-based approach for securitizations (SEC-ERBA) . In accordance with SEC-ERBA, capital requirements must be assigned to securitization tranches on the basis of their external rating.

Capital requirements for securitization positions are calculated by applying the appropriate risk weight to the exposure value of each position, depending on the approach used by the entity to calculate the risk-weighted exposure amounts of the securitized portfolio.

In November 2020, the Basel Committee published a technical amendment establishing the prudential treatment for securitizations of non-performing loans. In 2021, this technical amendment was transposed into an EU regulation as part of the "quick fix" for securitizations implemented through two EU regulations, as explained below.

• Regulation (EU) 2021/557, amending Regulation (EU) 2017/2402 (Securitization Regulation) to aid recovery from the covid-19