Santander’s total return swaps business has ballooned in the years since it became a credit default swap market-maker in 2024, and the rapid expansion shows no sign of slowing down.
In the first half of 2026, the Spanish bank’s TRS contracts piled up to €4.8bn, more than double the €1.8bn it had at the end of 2025, according to Pillar 3 disclosures.
In its 2025 annual report, Santander marked the €64.9bn notional amount of CDS on its trading book at a market value of negative €3.13bn, and 9fin understands the negative figure is largely attributable to the TRS it has been writing in ever greater volumes.
Although it looks like a big hit, that loss is more than offset by gains in the bonds used as collateral for the transactions, according to a spokesperson for the bank.
“The mark-to-market value represents just one leg of the TRS transactions included in that column, where that short derivative position is offset by a long position in the bonds serving as collateral for the transaction,” explained the spokesperson. “So the net [mark-to-market] of both legs is much smaller and positive.”
Clients of a bank’s prime brokerage business, such as hedge funds, often...
