Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 116

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 116
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 • Unlike the method used for the ordinary VaR calculation: stressed VaR is not obtained as the higher of the uniformly weighted percentile and the exponentially weighted percentile; instead, the uniformly weighted percentile is used directly. All other aspects of the methodology and inputs for calculating the stressed VaR are the same as for the VaR. The Market Risk functions periodically define the window used to calculate SVaR (the observation period), using the most severe at any given time, depending on the positions in the portfolio. The scope considered comprises the Treasuries for which approval has been obtained for the use of the internal model at 31 December 2024: Spain + SLB, Chile and Mexico. The windows currently used to calculate Stressed VaR are:

| Stress Window |     |                         |
|               |     | Period                  |
| Spain & SLB   |     | 26/02/2008 – 05/03/2009 |
| Chile         |     | 18/01/2008 – 30/01/2009 |
| Mexico        |     | 11/05/2016 – 22/05/2017 |

The Market Risk functions review these stress windows every quarter. The SVaR figures are also checked daily, comparing them to the VaR figures. If this analysis reveals that the current window used to calculate daily VaR covers a period with greater volatility than the period used to calculate SVaR, the stress timeframe is reviewed on an extraordinary basis. 7.3.3. Incremental risk charge Following the recommendations of the Basel Committee on Banking Supervision and applicable regulations, an additional metric is calculated in relation to the credit risk inherent to the trading portfolios: the incremental risk charge (IRC). The IRC is intended to measure both rating migration risk and any incremental default risk that is not captured by VaR, through changes in the corresponding credit spreads. To this end, transition matrices are used, which represent the probabilities of migrating from one rating to another over a certain time horizon. The matrices are extracted from reports published by one of the leading ECAIs for the various sectors. The above-mentioned reports are produced annually by the ECAI, analysing more than thirty years of default data and one-year rating migrations for various types of debt. Some modifications are made to the transition matrices extracted from the reports in order to guarantee their consistency and that they can be used in the defined model. The IRC metric is calculated for public and private fixed-income bonds, bond derivatives and credit