Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 857

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 857
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 |     |   4.4 |     |        |   2.1 |     |            |   1.6 |     |         |   1.4 |     |        |   2.4 |     |         |   1.6 |     |        |   1.7 |
| Exchange rate                                                 |     |           |   0.4 |     |         |   2.7 |     |     |   8.9 |     |        |   1.3 |     |            |   3.0 |     |         |   3.2 |     |        |   3.0 |     |         |   2.7 |     |        |   0.9 |
| Commodities                                                   |     |           |   2.0 |     |         |   3.2 |     |     |   5.1 |     |        |   5.1 |     |            |   3.1 |     |         |   1.6 |     |        |   2.6 |     |         |   1.7 |     |        |   2.3 |

A. In South and North America, VaR levels of credit spreads and commodities are not shown separately due to their low or null materiality.

VaR at the end of December (EUR 18.7million) was EUR 5.2million higher compared to the end of 2023, reflecting the spike in market volatility caused by geopolitical risk, inflation and its impact on central banks’ monetary policy, and greater exposure to interest rate risk in North America. In 2024, average VaR (EUR 17.1million) higher than 2023 and for all risk factors, especially interest rates. Temporary VaR increases owe more to short-term price volatility than to significant changes in positions. By region, average VaR, was higher in the three regions where we operate, with the increase due to interest rates risk factor in North America, and more distributed among the other factors in the other regions. Backtesting Actual losses can differ from predicted losses because of the VaR’s limitations. Grupo Santander measures the accuracy of the VaR calculation model to make sure it is reliable. The most important tests Grupo Santander runs involve backtesting: • At backtesting of hypothetical P/L and of the entire trading book no exception was observed during