Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 859

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 859
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  629.8 |     |     |  594.4 |        |      |  580.4 |         |     |  642.9 |        |      |  493.4 |         |     |  461.0 |        |
| VaR Equities                                                       |     |      |  120.3 |     |     |  150.4 |         |     |  170.1 |     |     |  126.5 |        |      |  192.8 |         |     |  171.1 |        |      |  236.9 |         |     |  195.4 |        |

A. Includes credit spread VaR on ALCO portfolios.

Annual report 2024 816

| Contents |     | Auditor's report |     | Consolidated financial statements |     | Notes to the consolidated financial statements |     | Appendix |

Structural interest rate risk • Europe At the end of December, the net interest income (NII) of our main balance sheets showed positive sensitivities to increases in interest rates. On the same date, in the case of the economic value of equity (EVE), it showed negative sensitivity to increases in interest rates in the case of the UK and positive sensitivity in the case of Spain in the same scenario. At the end of December, under the scenarios previously described, significant risk of NII sensitivity to the euro amounted to EU R 877million; to the pound sterling, EUR 211million; to the US dollar, EUR 54million; and to the Polish złoty, EUR 61million, all with risk of rate cuts. Significant risk of EVE sensitivity to yield curves of the euro was EUR 753million; of the pound sterling, EUR 662million; of the US dollar, EUR 132million euros; and of the Polish złoty, EUR 244million euros, mostly with risk of rate cuts, except for the US dollar. Exposure was moderate in relation to annual budget and capital levels in 2024. • North America At the end of December, sensitivity of NII on our North America balance sheet to interest rate hikes was positive, while EVE sensitivity was negative. Exposure was moderate in relation to annual budget and capital levels in 2024. At the end of December, significant risk to NII was mainly in the US and amounted to EUR 125million. The most significant r isk to EVE was in the US