Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 548

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 548
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 short-term.

Additionally, our investment strategy for sovereign risk considers country’s credit quality to set the maximum exposure limits. The table below shows exposure ratios by rating 6 December 2024:

|                |     |    | 2024 |     |    | 2023 |     |    | 2022 |
| AAA            |     | 21 |    % |     | 18 |    % |     | 27 |    % |
| AA             |     | 18 |    % |     | 19 |    % |     | 19 |    % |
| A              |     | 41 |    % |     | 41 |    % |     | 34 |    % |
| BBB            |     | 11 |    % |     | 12 |    % |     | 11 |    % |
| Lower than BBB |     |  9 |    % |     | 10 |    % |     |  9 |    % |

4 Risks with domestic public or private borrowers in foreign currency and originated outside the country.

5 Countries that are not considered low risk by Banco de España.

6 Internal ratings are applied.

Annual report 2024 523

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

#### 3. MARKET, STRUCTURAL AND LIQUIDITY RISK
3.1 Introduction This section is about Grupo Santander’s management and control of market risk in 2024, including trading risk, liquidity risk and structural risk. It provides a brief description of our methodologies and metrics. Market risk comes from movements in interest rates, inflation, foreign exchange, equity prices, credit spread, commodity prices, volatility, liquidity risk from products and the balance sheet, and other market variables that can affect transaction performance. It also includes trading and structural risk.

| For more details on market factors see section'Activities subject to market risk and types of market risk', in Note 54 to the consolidated financial statement. |

Options, futures, forwards, swaps and other derivatives can mitigate some or all of these risks. Market risk factors that require more complex hedging are correlation, market liquidity, pre-payment and underwriting risk. On-balance sheet liquidity risk is also key (for more detail, see 3.6 ' Liquidity risk management' ) , as pension and actuarial risk also depend on market