Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 120

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 120
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             |     | — |       |     |  -1.8 |
| Global Activities                                         |     |               |     |      — |          |     |    — |                  |     |     — |               |     |     — |             |     | — |       |     |      — |     |               |     |     — |          |     |     — |                  |     |     — |               |     |    — |             |     | — |       |     |     — |
| Asia                                                      |     |               |     |      — |          |     |    — |                  |     |     — |               |     |     — |             |     | — |       |     |      — |     |               |     |     — |          |     |     — |                  |     |     — |               |     |    — |             |     | — |       |     |     — |

The result of the analysis is that the economic impact on Grupo Santander's trading portfolios, in terms of market price, would be EUR 401.9 million if the worst-case stress movements were to materialise in the market.

#### 7.3.5. Backtesting (MR4)
The backtesting exercise consists of comparing the VaR forecasts, given a certain confidence level and time horizon, with the actual losses incurred over a time horizon equal to the VaR time horizon.

The general aim of backtesting is to verify the accuracy of the Value at Risk (VaR) calculation model. In other words, whether to accept or reject the model used to estimate the maximum loss on a portfolio with a given level of confidence, over a certain period of time.

Backtesting is analysed at local level by the local market risk control units. The market risk consolidation unit is responsible for backtest reporting at consolidated level. It is important to note that the backtesting methodology is applied identically to all the sub-portfolios covered by the internal market risk model. The analysis of regulatory backtesting is conducted daily at portfolio and sub-portfolio level.

Four types of backtesting are defined, depending on the kind of P&L used:

• The economic P&L (dirty P&L): refers to the daily P&L calculated on the basis of mark-to-market or mark-to-model securities (depending on the instruments) of the books and records of Banco Santander at the end of the day. It is calculated using Front Office systems (data on positions, pricing