Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 793

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 793
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 well as a temporary impairment factor for derivatives with interim payments. • Severity: percentage of final loss assumed in a counterparty credit event/default. • Probability of default: for cases where there is no market information (the CDS quoted spread curve, etc.), proxies based on companies holding exchange-listed CDS, in the same industry and with the same external rating as the counterparty, are used. • Discount factor curve. The Debit Valuation Adjustment (DVA) is a valuation adjustment similar to the CVA but, in this case, it arises as a result of the Group’s own risk assumed by its counterparties in OTC derivatives.

Annual report 2024 743

| Contents |     | Auditor's report |     | Consolidated financial statements |     | Notes to the consolidated financial statements |     | Appendix |

The CVA at 31 December 2024 amounted to EUR 272million (resulting in a decrease of 7.2% compared to 31 December 2023) and DVA amounted to EUR 317million (resulting in a decrease of 3.9% compared to 31 December 2023). These decreases are mainly due to the declines in the EUR and USD interest rate markets, lower inflation and the movements in credit markets whose spread levels have reduced moderately compared to those of December 2023. The CVA at 31 December 2023 amounted to EUR 293million (resulting in a decrease of 16.5% compared to 31 December 2022) and DVA amounted to EUR 330million (resulting in a decrease of 9.3% compared to 31 December 2021). These decreases are mainly due to movements in credit markets whose spread levels have reduced moderately compared to those of December 2022, partially offset by the upward movement in interest rates. The CVA at 31 December 2022 amounted to EUR 351million (increase of 48% compared to 31 December 2021) and DVA amounted EUR 364million (increase of 125% compared to 31 December 2021). The increase is mainly due to movements in credit markets whose spread levels have increased substantially compared to those at the end of 2021. In addition, the Group amounts the funding fair value adjustment (FFVA) is calculated by applying future market funding spreads to the expected future funding exposure of any uncollateralised component of the OTC derivative portfolio. This includes the uncollateralised component of collateralised