Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 555

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 555
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 its impact on central banks’ monetary policy, and greater exposure to interest rate risk in North America. Average VaR was higher for all risk factors, especially interest rates. Temporary VaR increases owe more to short-term price volatility than to significant changes in positions. Average VaR was higher in the three regions where we operate, with the increase due to interest rates risk factor in North America, and more distributed among the other factors in the other regions.

| For more details on VaR and expected shortfall (ES) by risk factor and region see table on section'2. Trading market riskmanagement',in Note 54 to the consolidated financial statement |

| VaR 2022-2024                                  |
| EUR million. VaR at 99% over a one day horizon |

Annual report 2024 527

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

Backtesting

Actual losses can differ from predicted losses because of VaR’s limitations. Santander measures the accuracy of our VaR calculation model to make sure it is reliable (see ‘Methodologies’ in section 3 .2 ‘Market risk management’ ). The most important tests we run involve backtesting:

• Backtesting of hypothetical P&L and of the entire trading book showed no exceptions in 2024 (daily loss greater than VaR or

daily profit greater than VaE) to VaR and VaE at 99% confidence level.

• These results are consistent with assumptions in the VaR calculation model.

| Backtesting of trading portfolios: daily results vs. VaR for previous day |
| EUR million                                                               |

Derivatives risk management Our operations with derivatives consist mainly in selling investment products and hedging risks for customers. We aim to keep open net risk as low as possible. Trading includes equity, fixed-income and FX options, chiefly in Spain, Brazil, the UK, the US and Mexico. The graph shows the VaR vega of structural derivatives over the past three years. On average, it has increased some EUR 3.0 million. In general, high VaR values stem from sudden spikes in market volatility, such as changes to monetary policy on the back of inflation performance, or at times of political uncertainty in our geographies.

| Change in risk over time (VaR) of structure derivatives |
| EUR million. VaR Vega at a 99% over a one day horizon   |

Annual report