Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000113
Chunk: 184

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 184
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 of 2025, our exposures in hedge funds was EUR 51 million (all indirect), acting as counterparty in derivative transactions. We analyse the risk related to this type of counterparty on a case-by-case basis, setting collateralization ratios based on each fund's characteristics and assets.

Our policy on approving new derivatives transactions remains extremely prudent and conservative. It is closely monitored by senior management.

#### Scenario analysis
Various stress scenarios were calculated and analysed regularly in the first half of 2025 (at least monthly) for all the trading portfolios.

#### Worst-case scenario
This is a hypothetical scenario that considers the movements of risk factors and their respective volatilities without taking into account the potential interaction, correlation or compensation among such risk factors. The construction of these scenarios is based on the application of the market shocks (positive for an increase and negative for a decrease) defined in the new regulatory framework for the calculation of market risk capital requirements (Fundamental Review Trading Book, FRTB). Its aim is to analyse the risk profile and potential maximum losses of trading portfolios, identifying the most unfavourable scenario.

At the end of June 2025, the stress test revealed that the economic loss in trading portfolios would be EUR 335 million (market price) if the stress movements in the worst-case scenario materialized in the market. The loss would mainly affect North America (mostly in credit spread and in interest rate under scenarios of increases). In the case of Europe the loss would be mainly under a scenario of interest rate increases whilst in South America under a scenario of interest rate decreases.

#### Stress scenario: worst case. EUR million
|               |     | Interest rate |     | Equities |     | Exchange rate |     | Credit spread |     | Commodities |     |  Total |
| Total trading |     |        -234.3 |     |     43.5 |     |         -33.7 |     |        -110.4 |     |         0.0 |     | -334.9 |
| Europe        |     |         -93.4 |     |     45.9 |     |         -23.9 |     |          -1.3 |     |         0.0 |     |  -72.7 |
| North America |     |         -68.6 |     |     -0.4 |     |          -2.6 |     |        -109.1 |     |         0.0 |     | -180