Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 119

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 119
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 instruments in market stress conditions. It includes both Fair Value Adjustments (FVAs) with P&L impact and Additional Valuation Adjustments (AVAs), with impact on capital.

The Market Risk functions regularly calculate and analyse all these scenarios. A consolidated stress test report is prepared every month, based on the results of each of the scenarios and for all the group's units with trading activities. There are also alerts on the stress results which, when exceeded, trigger communication and joint analysis by Risk and Business functions.

The table below shows the results as at 31 December 2024, broken down by risk factor (interest rate, equities, foreign currency, credit spread, commodities and the volatility for each), in a scenario based on the application of the market shocks defined in the new regulatory framework for the calculation of market risk capital requirements.

The scenario is defined by taking the change that produces the highest potential loss in the global portfolio for each risk factor, discarding the most improbable combinations in economic and financial terms.

2024 Pillar 3 Disclosures Report 191

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

| Table 82.Stress scenario: Maximum volatility (worst case) |     |               |     |        |          |     |      |                  |     |       |               |     |       |             |     |   |       |     |        |     |               |     |       |          |     |       |                  |     |       |               |     |      |             |     |   |       |     |       |
| EUR million                                               |     |               |     |        |          |     |      |                  |     |       |               |     |       |             |     |   |       |     |        |     |               |     |       |          |     |       |                  |     |       |               |     |      |             |     |   |       |     |       |
|                                                           |     |               |     |        |          |     |      |                  |     |       |               |     |       |             |     |   |       |     |   2024 |     |               |     |       |          |     |       |                  |     |       |               |     |      |             |     |   |       |     |  2023 |
|                                                           |     | Interest