Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000113
Chunk: 183

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 183
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 its value at the end of subsequent day, assuming unchanged positions. It does not account for the time effect to be consistent with VaR. This backtesting helps us make sure portfolios are regularly subject to an intraday risk not reflected in closing positions and therefore, not reflected in VaR. We also use it to count regulatory overshootings.

• Theoretical P&L: is calculated with the market risk calculation engine, without intraday results, changes in portfolio positions or time (theta). We use it exclusively to test the quality of our internal VaR model.

We run regulatory backtesting on our subsidiaries every day. We also run internal (not regulatory) backtesting daily, weekly and monthly based on the granularity of a given portfolio level. The number (or proportion) of overshootings we register is one of the most intuitive indicators of a model's goodness of fit. We calculate regulatory backtesting for one year (250 days) and at a VaR confidence level of 99%.

In the last twelve months, for Hypothetical P&L backtesting and for the total portfolio, there were two overshootings in VaR at 99%, on 9 and 11 April, as a result of high volatility in markets mainly due to the uncertainty over the potential impact of the new trade policies in the US . There were no overshootings in VaE at 99%. The results are consistent with the assumptions specified in the VaR calculation model.

| 194 |     | January - June 2025 |

#### Derivatives risk management
Our derivatives business primarily involves selling investment products and hedging risks for customers. Our risk management aims to keep open net risk as low as possible. Transactions include options on equities, fixed income and exchange rates, mainly in Spain, Brazil and the UK.

Risk of derivatives (in terms of VaR Vega at 99%, over a one-day horizon) moved in the first half of 2025 in a range between EUR 3.7 million and EUR 12.6 million, with an average value of EUR 7.5 million.

Santander's exposure to complex structured instruments and assets is very limited, this reflects our risk culture and prudent risk management. The Risk Appetite of the Group limits the total of level 3 assets and liabilities (those which fair value is calculated using significant inputs not observable in market data) to 5% of Group's total assets and liabilities measured at fair value. On the other hand, at the end of the first half