Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 556

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 556
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 (indirect as the counterparty in derivative contracts). We review this type of counterparty risk on a case-by-case basis, setting collateralization ratios based on each fund's characteristics and assets.

Our policy on approving new derivatives transactions has always been extremely prudent and conservative. It is reviewed by senior management .

Scenario analysis

The table below shows worst case scenario results from the end of December 2024:

| Stress scenario: maximum volatility (worst case) |     |               |        |     |          |      |     |               |       |     |               |       |     |             |   |     |       |        |
| EUR million.Dec 2024                             |     |               |        |     |          |      |     |               |       |     |               |       |     |             |   |     |       |        |
|                                                  |     | Interest rate |        |     | Equities |      |     | Exchange rate |       |     | Credit spread |       |     | Commodities |   |     | Total |        |
| Total trading                                    |     |               | -275.8 |     |          | 26.3 |     |               | -83.2 |     |               | -69.2 |     |             | — |     |       | -401.9 |
| Europe                                           |     |               | -118.4 |     |          | 27.6 |     |               | -80.3 |     |               | -69.2 |     |             | — |     |       | -240.3 |
| North America                                    |     |               | -151.9 |     |          | -0.2 |     |               |  -1.9 |     |               |     — |     |             | — |     |       | -154.0 |
| South America                                    |     |               |   -5.5 |     |          | -1.1 |     |               |  -1.0 |     |               |     — |     |             | — |     |       |   -7.6 |

Our analysis found that Santander's trading books would lose EUR 402 million in market value in the worst-case scenario of market stress. Losses would mainly affect Europe (especially in interest rates if rates rise, in exchange rates if the euro were to appreciate and finally in credit spreads if credit prices rise) and North America (especially if interest rates rise).