Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 549

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 549
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 variables (for more details, see 3.8 ' Pension and actuarial risk management ' at the end of this section). We check our compliance with the Basel Committee’s Fundamental Review of the Trading Book (FRTB) and its implementation according to the EU’s Capital Requirements Regulation (CRR II) and the EBA’s guidelines on market risks. In 2024, we ran several projects to give control teams the best tools to manage market risk and capital consumption. They included: • Running numerous initiatives to enhance the calculation of market risk-related capital requirements under the Fundamental Review of the Trading Book - Standard Approach (FRTB- SA) methodology. In particular we: ◦ rounded off the scope of calculation for entities and risk factors subject to market risk-related capital;

◦ made necessary amendments to adapt the calculation to the CRR III; ◦ strengthened the control environment over metrics, static risks and technical procedures through an overhaul of data architecture to reduce calculation times and enable us to run simulations; and ◦ built up the exploitation layer of capital data under FRTB SA. ◦ developed new regulatory reporting required by the EBA; and ◦ strengthen our governance framework for FRTB-SA procedures by redefining the functions of certain forums, adapting internal regulation, and setting new escalation criteria. • Enhancing the procedures to classify financial instruments under the fair value hierarchy. • Updating the stress test programme for trading portfolios to meet regulator's expectations. • Implementing new valuation adjustment methodologies in all units using corporate tools and common standards. • Broadening the content and analysis of market risk reporting to top management. • Enhancing the governance framework for the approval and use of market risk models. 3.2 Market risk management Because factors inside and outside a unit can give rise to market risk, management and control must cover all potential risk sources with coordinated, uniform treatment by all subsidiaries. The Group's senior management receives thorough, accurate reporting on a regular basis to measure subsidiaries’ risk profiles and gain a holistic view of market risk for global analysis and control.

Annual report 2024 524

| Contents |     | Business model and strategy |     | Sustainability statement |     | Corporate governance |     | Economic and financial review |     | Riskmanagementandcompliance |

Limits management and control system

The market risk area runs daily checks so that market positions remain within approved limits. It also assesses the performance of, and significant changes in, related metrics.

We set market risk limits in a dynamic process according to risk appetite levels