Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 85

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 85
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 if our credit rating was downgraded and it was required to post additional collateral, the impact of collateral would be relatively limited. This is due to the Group's credit rating having effect only a small percentage of its current collateral agreements. In the event of a hypothetical one-notch downgrade in the group's credit rating, it is estimated that the resulting impact of the collateral would have to post would be €226 million.

#### 5.5. Credit Value Adjustment (CVA)
The team responsible for managing counterparty credit risk in each geographic location charges the corresponding treasury desk a credit premium at the start of each transaction, in exchange for assuming the credit risk involved.

The team can then cover the CVA sensitivities through a combination of credit derivatives, interest rate derivatives, currency derivatives and other instruments.

The CVA regulatory capital is also calculated. The purpose of this charge is to improve the resilience of banks to potential losses of market value associated with a reduction in the solvency of counterparties in derivatives transactions that are not settled through clearing houses.

2024 Pillar 3 Disclosures Report 145

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

The following table shows the credit valuation adjustment (CVA) for the counterparty credit risk.

| Table 57.CCR2 - Transactions subject to own funds requirements for CVA risk |     |                                                                                          |     |   |     |                |   |     |      |
|                                                                             |     | EUR million                                                                              |     |   |     |                |   |     |      |
|                                                                             |     |                                                                                          |     |   |     |                |   |     | 2024 |
|                                                                             |     |                                                                                          |     | a |     |                | b |     |      |
|                                                                             |     |                                                                                          |     |   |     | Exposure value |   |     |  RWA |
| 1                                                                           |     | Total transactions subject to the Advanced method                                        |     |   |     |                |   |     |      |
| 2                                                                           |     | -i) VaR component (including the 3× multiplier                                           |     |   |     |                |   |     |      |
| 3                                                                           |     | -ii) stressed VaR component (including the 3× multiplier                                 |     |   |     |                |   |     |      |
| 4                                                                           |