Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 543

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 543
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 A or higher). In terms of notional value, 97% of operations with counterparty credit risk belong to CIB's customer and are handled under its management model.

| Counterparty risk: Notional values by customer ratingA |     |   |       |   |
| Dec.24 data                                            |     |   |       |   |
| Rating                                                 |     | % |       |   |
| AAA                                                    |     |   |  0.67 | % |
| AA                                                     |     |   |  1.11 | % |
| A                                                      |     |   | 87.84 | % |
| BBB                                                    |     |   |  9.27 | % |
| BB                                                     |     |   |  1.04 | % |
| B                                                      |     |   |  0.07 | % |
| Other                                                  |     |   |  0.01 | % |

A. Ratings based on internally defined equivalences between internal ratings and credit agency ratings. Transactions with clearing houses and financial institutions are subject to netting and collateral agreements, which we also seek to use to cover all other transactions. In general, the collateral agreements Santander signs are bilateral; still, we do sign some unilateral agreements in the customer’s favour, mainly with multilateral organizations and securitization funds.

| Counterparty risk: Notional values by customer segment |
| Dec.24 data                                            |

We use collateral to reduce counterparty risk. It consists of highly liquid instruments with economic value. They are deposited or transferred from one counterparty to another to guarantee or reduce counterparty credit risk from portfolios of cross-risk derivatives. We measure trades subject to collateral agreements daily, with parameters to determine the amount of collateral to be paid or received from the counterparty (in cash or securities). Our processes to manage collateral properly and more often have proved effective amid high volatility. Most of the collateral received under Credit Support Annex (CSA), Overseas Securities Lending Agreement (OSLA), International Securities Market Association (ISMA), Global Master Repurchase Agreement (GMRA) and other agreements signed by the Group has been effective (44%); the rest is subject to strict quality policies in regard to the issuer and their rating, debt seniority and haircuts.

Annual report 2024 520

| Contents |     | Business model and strategy |     | Sustainability statement |     | Corporate governance |     | Economic and financial review |     | Riskmanagementandcompliance |

Because of