Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000113
Chunk: 182

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 182
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| Commodities            |     |           |     |   0.0 |     |         |     |   0.0 |     |         |     |   0.0 |     |        |     |   0.0 |

| January - June 2025 |     | 193 |

The average VaR in the first half of 2025, EUR 19.6 million, was higher than the average VaR in the first half of 2024, EUR 16.8 million, in all market risk factors mainly due to higher market volatility in the period.

#### VaR evolution by risk factor
EUR million. VaR at 99% with one day time horizon (15 day moving average)

#### Gauging and backtesting measures
Regulations dictate that the VaR model should accurately capture market risks. VaR uses statistical techniques under normal conditions. Therefore, for a certain confidence level and for a defined time horizon, the estimated maximum loss can differ from actual losses. Santander reviews and contrasts the VaR calculation model on a regular basis to verify its accuracy.

The market risk function runs tests such as internal backtesting, VaR contrast measures and hypothetical portfolio analysis for subsidiaries covered by the internal market risk model. For subsidiaries with an approved internal model, we also perform regulatory backtesting to count overshootings (when daily loss or profit exceeds VaR or VaE) affecting the calculation of market risk regulatory capital requirements.

Our backtesting assesses the general quality and effectiveness of the risk measurement model and compares the daily VaR/VaE obtained on D-1 with these P&Ls obtained on D:

• Economic P&L: is calculated on the basis of end-of-day mark-to-market or mark-to-model values. This test checks whether the VaR/VaE methodology used to measure and aggregate risk is appropriate.

• Actual P&L: is calculated based on the difference between the portfolio's end-of-day value and actual value at the end of the subsequent day. It includes the profit and loss stemming from intraday operations, minus fees, commissions, and net interest income. It is used to count regulatory overshootings.

• Hypothetical P&L: is calculated daily by comparing the portfolio's end-of-day value and