Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 83

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 83
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 3,653 |     |     |     |     89 |     |     73 |
| Of which credit valuation adjustment - CVA                                                                                        |     |     |     | 12,136 |     | 10,478 |     |     |     |    679 |     |    680 |
| *Includes counterparty credit risk + CVA                                                                                          |     |     |     |        |     |        |     |     |     |        |     |        |
| **Does not include CCPs exposures corresponding to pre-funded default fund contributions and unfunded default fund contributions. |     |     |     |        |     |        |     |     |     |        |     |        |

| EAD variation |     | RWA variation |
| EUR million   |     | EUR million   |

| 12.3% |     | 39.1% |

5.1 Counterparty credit risk definition and framework

This section covers the qualitative requirement CCRA - Qualitative disclosure related to CCR. It also complies with (d), (e), (f) and (g) of the OVA Requirement - Institution risk management approach.

Chapter 6 of the CRR (Regulation (EU) No 575/2013) describes counterparty credit risk as the risk a counterparty to a transaction could default before the final settlement of the transaction's cash flows. It includes the following transaction types: derivatives contracts, repurchase agreements, securities and commodities lending, long settlements and margin lending transactions.

Santander includes counterparty credit risk in its Credit Risk Framework.

For management purposes, it also has a specific counterparty credit risk model, policy and procedures.

This risk is controlled using an integrated system that provides real-time information so that exposures can be checked on a daily basis against the limits approved by senior management for any counterparty, product or maturity, in any the Group unit.

Specific counterparty credit risk limits are included in the overall credit risk limits and counterparty credit risk is independently monitored and controlled. These limits are set and reviewed in accordance with the appetite set by the board. The definition of limits and appetite metrics are reviewed and updated every year.

144 2024 Pillar 3 Disclosures Report

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

There are two methodologies for the measurement of counterparty credit risk management exposure: a mark-to-market