Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 111

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 111
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 and to adapt them to the guidelines of the ECB's TRIM exercise (“Targeted Review of Internal Model”) and supervisor expectations.

This program adopted a multidisciplinary and multi-geographic approach, with the participation of all entities that carry out activities with market risk and all relevant interest groups, including market risk, technology, Front Office and Regulatory Affairs and Compliance. It has introduced significant improvements in terms of functional and IT architecture and operating models, which entails a change in the culture established in the Group and the generation of synergies between all initiatives and resources. Within this program, during the years 2019 and 2020, intense work was done on improving and adapting the IRC model in order to comply with the findings previously raised by the supervisor. Finally, in October 2021, after the improvements and developments executed for this purpose, the new model was approved by the ECB for the calculation of capital requirements for market risk for Spain and SLB, along with other material changes (improvement in the treatment of credit VaR and VaR percentiles), after the corresponding inspection (IMI 4313). Additionally, during 2023 work continued on improving all components of the internal model (VaR/SVaR, RNIMs and IRC) in order to respond to the obligations raised by the supervisor in the TRIM and in the aforementioned IMI. As a result of all this, the ECB closed all obligations at the end of 2023 and eliminated the corresponding capital surcharges. Currently, the Group's focus is on strengthening the regulatory calculation model for the future implementation of FRTB/CRR III in January 2026, improving the quality of sensitivity metrics, making technological implementation more efficient and filling certain gaps in monitoring and the “end-to-end” validation exercise. See the Group Annual report, for further information about the IBOR initiative.

| Access 2024 Annual Report available on the Santander Group website |

2024 Pillar 3 Disclosures Report 185

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

| Table 80.PV1 - Prudent valuation adjustments (PVA) |     |                                               |     |               |     |             |                |     |             |                  |     |           |             |     |            |             |     |           |                                            |     |            |                                  |     |           |                                           |     |             |                                                   |     |            |