Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 559

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 559
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’s balance sheet remained moderate in 2024.

Each subsidiary’s Finance division manages interest rate risk from retail banking and is responsible for handling structural risk from interest rate fluctuations.

Grupo Santander measures interest rate risk by analysing changes to EVE and NII triggered by movements in parallel and non-parallel interest rates, balance sheet composition, and shifts in customer behaviour. Once we’ve measured these risks, we decide whether to follow strategies to mitigate structural risk with interest-rate instruments (such as bonds and derivatives) and keep an interest rate risk profile within risk appetite.

Exposure across all our footprint was moderate in relation to the annual budget and capital levels in 2024.

The NII and EVE sensitivities below are based on scenarios of parallel interest rate movements between ±100 pbs.

Structural interest rate risk

Europe

At the end of December, sensitivity of NII on our core balance sheets to interest rate hikes was positive, while EVE sensitivity was negative in the case of UK and positive in Spain considering the same scenario.

Annual report 2024 531

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

Under the scenarios described above, at the end of December, the most significant risk of NII sensitivity to the euro amounted to EUR 877 million; to the pound sterling, EUR 211 million; to the Polish zloty, EUR 61 million; and to the US dollar, EUR 54 million, all with the risk of rate cuts.

| Net interest income (NII) sensitivity |
| % of total                            |

| 65.6% |     | 20.9% |     | 6.7% |     | 6.8 | % |

* Other: Portugal and SCF. Significant risk of EVE sensitivity to yield curves of the euro was EUR 753 million; of the pound sterling, EUR 662 million; of the Polish zloty, EUR 244 million; and of the US dollar, EUR 132 million, related to the risk of interest rate increases, except for the US dollar.

| Economic value of equity (EVE) sensitivity |
| % of total                                 |

| 25.6% |     | 35.3% |     | 39.1% |

* Other: Poland, Portugal and SCF. North America At the end of December , sensitivity of NII on our North America balance sheet to interest rate hikes