Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000113
Chunk: 189

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 189
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 pesos. We hedge some of these positions (which are permanent in nature) with foreign exchange-rate derivatives.

The Financial division is responsible for foreign exchange rate risk management, hedging expected results and dividends in subsidiaries where the base currency is not the euro.

#### Structural equity risk
We hold equity positions in its banking book as equity instruments or equity stakes depending on the percentage owned or control.

We diversified the equity portfolio in the banking book at the end of June 2025 between securities in Spain, China, Morocco, Poland and other countries. Most of the portfolio invests in the finance and insurance industries, and also include real estate.

Structural equity positions have market risk exposure. We calculate VaR for these positions with market price data series or proxies. By the end of June 2025, the VaR at 99% over a one-day time horizon was EUR 162 million (EUR 141 and EUR 171 million at the end of 2024 and 2023, respectively).

#### F. Pension and actuarial risks

#### Pension risk
Santander assumes the financial, market, credit and liquidity risks in the assets and investments of defined benefit employee pension funds, as well as the actuarial risks from pension obligations. Our main goal in the pension risk control and management is to identify, measure, monitor, mitigate and disclose all sources of pension risk.

We annually estimate combined losses in assets and liabilities under a stress scenario that includes changes in interest rates, exchange rates, inflation, stock markets, real estate prices and credit spread.

#### Actuarial risk
Actuarial risk stems from biometric changes in the life expectancy of defined benefit pension scheme beneficiaries; from life insurance holders; unforeseen non-life insurance payments; and unexpected changes in holders' behaviour when filing claims covered in insurance contracts.

We distinguish these actuarial risks:

Life liability risk is the risk of loss if fluctuations in risk factors changes the value of pension liabilities:

| 200 |     | January - June 2025 |

• Mortality/longevity risk: risk of loss in variations in insured parties' estimated probability of death/survival parties changes the value of liabilities.

• Morbidity risk: risk of loss if insured parties' estimated probability of disability/incapacity changes the value of liabilities.

• Surrender/lapse risk: risk of loss caused by changes in the value of liabilities because of the early termination or changes in policyholders' rights in regard to surrender, extraordinary contributions and/or paid up options.

• Expense risk: