Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 87

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 87
---
 | Other credit derivatives                            |     |                           |     |        |                 |     |       |
| 6                                                |     | Total notionals                                     |     |                           |     | 15,539 |                 |     | 8,790 |
|                                                  |     | Fair values                                         |     |                           |     |        |                 |     |       |
| 7                                                |     | Positive fair value (asset)                         |     |                           |     |    197 |                 |     |   298 |
| 8                                                |     | Negative fair value (liability)                     |     |                           |     |   -596 |                 |     |   -74 |
|                                                  |     | *Bought credit derivatives do include loan coverage |     |                           |     |        |                 |     |       |

Table CCR7- Statement of flows of risk-weighted amounts of counterparty exposures subject to IMM is not included as Santander does not have an internal model to calculate counterparty risk EAD. For more information, see the 'Risk compliance & conduct management' chapter of the 2024 Annual report.

| Access 2024 Annual Report available on the Santander Group website |

154 2024 Pillar 3 Disclosures Report

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

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2024 Pillar 3 Disclosures Report 155

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

156 2024 Pillar 3 Disclosures Report

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

| 6.1. Introduction                                   |     | 158 |
| 6.2. Management of the securitisation activity      |     | 159 |
| 6.2.1. Securitisation objectives and management     |     | 159 |
| 6.2.2. Securitisation functions                     |     | 159 |
| 6.2.3. Risk inherent to the securitisation activity |     | 162 |
| 6.3. Santander Securitisation activity              |     | 163 |
| 6.3