Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000111
Chunk: 33

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 33
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 |     |   0.2 |      |     |   2.8 |      |     |   7.0 |      |     |   1.7 |      |

1. Activity in Santander Corporate & Investment Banking markets. Note: in the North America, South America and Asia portfolios, VaR corresponding to the credit spreads factor other than sovereign risk is not relevant and is included in the interest rate factor.

| Trading portfolios1. VaR performance |
| EUR million                          |

1. Activity in Santander Corporate & Investment Banking markets.

| January - June2025 |     | 23 |

| Significant events    
 Key consolidated data 
 Business model        |     | Group financial information |     | Financial information by segment |     | Sustainability       
 Corporate governance |     | Appendix |     | Index |
|                       |     | Risk management             |     |                                  |     |                      |     |          |     |       |

Structural and liquidity risk

Structural exchange rate risk

Grupo Santander's structural exchange rate risk mainly arises from foreign currency transactions related to permanent financial investments, their results and associated hedges.

During Q2 2025, the Group's main currencies depreciated against the euro. The US dollar depreciated 8%, given the potential negative impact of tariff policies on its economy.

Our dynamic management of this risk aims to limit the impact on the CET1 capital ratio from exchange rate movements. In the quarter, the coverage of the different currencies impacting this ratio remained close to 100%.

Regarding financial results, the exchange rate hedging strategy is tactical and dynamic, depending on our expectations of the evolution of the different currencies in the various countries where the Group operates.

Structural interest rate risk

Interest rate risk management aims to mitigate potential negative impacts on Santander, both in terms of net interest income and economic value of its equity, due to adverse fluctuations in interest rate curves in the various currencies in which the Group operates.

The Group measures interest rate risk through statistical models based on structural risk mitigation strategies using interest rate instruments, such as fixed-income bond portfolios and derivative instruments, to keep the risk profile within the risk appetite.

In Q2 2025, market interest rates continued to reflect volatility, driven by the expectations of potential progress in negotiations over the new tariff policies in the US and by the divergence in monetary policy adjustments among major central banks (with the US holding its policy rate, while Europe and some Latin American countries implemented cuts).

Despite this volatile environment, our structural debt portfolios continued to