Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000113
Chunk: 177

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 177
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 is potentially lower (assets) or higher (liabilities).

• Underwriting risk arises when an entity underwrites or places securities and other types of debt and assumes the risk of having to acquire issued securities partially if buyers have not taken them up.

In addition to the above market risks, balance sheet liquidity risk (unlike market liquidity risk) is the possibility of meeting payment obligations late or at an excessive cost. Losses may be caused by forced sales of assets or margin impacts due to the mismatch between expected cash inflows and outflows.

On the other hand, pension and actuarial risks also depend on shifts in market factors. Further details are provided in this chapter.

Finally, in recent years there has been an increased focus on climate and environmental risks , which arise from the possibility that changes in climate may adversely affect the value of a financial instrument, a portfolio or the Group as a whole. Changes in climate include both extreme weather scenarios as well as gradual climate change and other situations where there is environmental degradation. This risk may have an impact both on financial instruments value or portfolios and on Santander's liquidity. The Group measures this risk through stress scenarios for both market and liquidity risk.

We aim to comply with the Basel Committee’s Fundamental Review of the Trading Book, and the EBA's Guidelines on the management of interest rate risk arising from non-trading book activities. Through several projects, we aim to provide risk managers and control teams with the best tools to manage market risks under the right governance framework for the models we use, to report risk metrics, and help satisfy requirements on these risks.

#### B. Trading market risk management

#### Management limits and control system
The market risk function daily monitoring makes sure market risk positions remain within approved limits. It assesses the performance of, and major changes in, market risk metrics, and distributes regular reports to senior management and other internal and external stakeholders so market risk activities can be properly monitored.

The market risk limits are established based on different metrics and are intended to cover all activities subject to market risk from many perspectives, applying a prudent approach. The main ones are:

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• Value at Risk (VaR) and Stressed VaR limits

• Limits of equivalent and/or nominal positions

• Interest rate sensitivity limits

• Vega limits

• Delivery risk limits for short positions in securities (fixed income and securities)

• Limits to constrain the volume of effective losses or protect results generated during the period:

• Loss trigger

• Stop loss

•