Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 554

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 554
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 value of a portfolio to changes in the value of market volatility.

Annual report 2024 526

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

The IRC covers default risk and rating migration risk (which VaR does not show adequately) by taking credit spread changes into account. In general, we apply it to government and corporate bonds; to forwards, options and other bond derivatives; and to credit default swaps, asset-backed securities and other credit derivatives. To calculate it, we take direct measurements of loss distribution tails at the right percentile (99.9%) over a one-year horizon and follow the Monte Carlo method with one million simulations. g) Credit valuation adjustment (CVA) and debit valuation adjustment (DVA) The Group calculates trading book results through CVA and DVA.

| For more details on CVA and DVA see 'Credit risk from financial markets activities' in section 2.4 'Other credit riskdetails' |

3.3 Key market risk metrics In 2024, trading risk levels remained low, slightly above 2023 levels, amid the high volatility caused by uncertainty over inflation and the pace of central bank monetary policy tightening and its effects on global economies. Moreover, political issues such as elections in certain countries and the conflicts in Ukraine and the Middle East compounded market volatility. Risks continued to originate from trading non-complex instruments with customers. Most were hedges for interest rate and FX risk. 2024 saw generally low consumption of trading limits, which are based on the Group's market risk appetite.

VaR analysis As the VaR of CIB’s trading book shows, market risk strategy focuses on trading with customers to minimize net directional exposure and keep risk diversified by geography and risk factor. In 2024, VaR fluctuated between EUR 23.0 and EUR 11.6 million. Average VaR in 2024 was EUR 17.1 million, higher than 2023 and 2022 (EUR 11.7 million and EUR 14.1 million, respectively). Market volatility throughout the year (especially in terms of interest rates) caused VaR to stay above its three-year average for almost the entire period. VaR at the end of December (EUR 18.7 million) was EUR 5.2 million higher compared to the end of 2023, reflecting the spike in market volatility caused by geopolitical risk, inflation and