Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 561

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 561
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 and other countries. Most of them invest in the financial and insurance sectors. We have minor equity exposure to property and other sectors. Structural equity positions are exposed to market risk. We calculate their VaR with a set of market prices and proxies. At the end of December 2024, VaR at a 99% confidence level over a one-

Annual report 2024 532

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

day horizon was EUR 127 million (EUR 171 million in 2023 and EUR 195 million in 2022).

Structural VaR

Homogenous metrics like VaR make it possible to monitor all market risk in the banking book (minus CIB trading; see section 3 .3 ‘ Key m arket risk metrics’ ). We differentiate fixed income based on interest rates and credit spreads in ALCO portfolios, FX rates and shares.

In general, the structural VaR of our total assets and equity is minor.

| Structural VaR                                   |     |      |        |         |     |        |         |     |        |         |     |        |        |     |      |        |         |     |        |        |     |   |      |        |         |     |        |        |
| EUR million. VaR at a 99% over a one day horizon |     |      |        |         |     |        |         |     |        |         |     |        |        |     |      |        |         |     |        |        |     |   |      |        |         |     |        |        |
|                                                  |     | 2024 |        |         |     |        |         |     |        |         |     |        |        |     | 2023 |        |         |     |        |        |     |   | 2022 |        |         |     |        |        |
|                                                  |     |      |        | Minimum |     |        | Average |     |        | Maximum |     |        | Latest |     |      |        | Average |     |        | Latest |     |   |      |        | Average |     |        | Latest |
| Structural VaR                                   |     |      |  620.7 |         |     |  747.7 |         |     |