Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 112

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 112
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769,064 |     |           |                               616,205,746 |     |             |                                       247,363,818 |     |            |                                       368,841,928 |     |             |

186 2024 Pillar 3 Disclosures Report

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

7.3. Trading activity The goal of daily market risk function monitoring is to ensure that market risk positions remain within approved limits and to assess performance and significant deviations in risk metrics. Trading activity at Santander is monitored by the local market risk units, under the principle of independence of business units, monitoring market risk positions on a daily basis and analysing the value of a set of metrics identified and approved by the group, the changes in them, any material changes that may occur and compliance with the approved limits on these metrics. Regular reports are prepared and distributed on the basis of this analysis. These reports ensure the appropriate monitoring of market risk activities within the group and are distributed to senior management and other internal and external stakeholders, so that market risk activities may be properly monitored. The corporate Market Risk functions also monitor positions daily, both locally at the level of the individual unit and globally, through exhaustive checking of changes in the portfolios to detect any incidents and to adjust them immediately. The local Market Risk functions are also responsible for the daily calculation and analysis of the results of the trading books. Preparing and analysing a daily income statement is an excellent risk indicator, helping to identify the impact of changes in financial variables on the portfolios. The main market risk metrics are: • VaR and Stressed VaR • Equivalent and/or nominal positions • Sensitivities of the various market risk factors to underlying factors (delta, vega, gamma and theta) • Delivery risk for short positions in securities (fixed income and equities) • The volume of effective and relative losses resulting from the monitoring of results during a period: ◦ Loss trigger ◦ Stop loss • Credit metrics: ◦ Total exposure and exposure by sector/geography/rating ◦ Jump to default by issuer, product, currency and seniority ◦ Sensitivity to credit risk • Volume of origination transactions • P&L of each desk and/or portfolio These metrics are used to establish limits and sub-limits, in order to provide a sufficiently granular limit structure to enable effective control of the various types of market risk factors to which the group's portfolios are exposed