Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 109

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 109
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|                                                             |     |  2024 |     |  2023 |
| Position risk - Trading book* - Standardised approach       |     |   420 |     |   438 |
| Commodity Risk - Standardised approach                      |     |    30 |     |    27 |
| Specific risk in the correlation trading risk portfolio     |     |     — |     |     — |
| Currency risk - standardised approach                       |     |   406 |     |   268 |
| Position and currency risk - Trading book - Internal models |     |   580 |     |   583 |
| Spain & SLB                                                 |     |   440 |     |   442 |
| Chile                                                       |     |    64 |     |    84 |
| Mexico                                                      |     |    76 |     |    57 |
| Total                                                       |     | 1,436 |     | 1,316 |
| *Includes structural equity considered as business.         |     |       |     |       |

Grupo Santander has an internal market risk model in Spain, Chile and Mexico.

2024 Pillar 3 Disclosures Report 181

| Index |     | Introduction |     | Capital |     | Risks |     | Risk taker's remunerations |     | Appendices |

At the end of the 2024 financial year, Grupo Santander had authorization to use the internal market risk model for calculating regulatory capital in the trading books of the Spain, Chile and Mexico units. From October 2021 on, the market risk capital of the internal model for Spain and SLB will be reported in a single entity, following regulatory approval of the diversification between the two units. The other geographical units calculate capital consumption by market risk through the standardized approach. This calculation methodology is also used by entities that have approved internal models for only some of their portfolios. The standardized approach is applied to portfolios for which the internal model is not approved.

Consolidated regulatory capital under the internal market risk model for Santander is computed as the sum of the regulatory capital of the units that have the necessary approval from the European Central Bank. This is a conservative criterion when consolidating the Group's capital, as it takes no account of the capital savings arising from the geographical diversification effect.

The regulatory capital of the trading activity for the perimeter concerned is calculated with advanced approaches, using VaR, Stressed VaR and incremental risk charge (IRC) as the core metrics