Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000113
Chunk: 187

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 187
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- Pre-payment treatment for certain assets

Pre-payment risk mainly affects fixed-rate mortgages in subsidiaries where contractual rates are low relative to market levels. We model this risk and include it in risk appetite metrics.

| 196 |     | January - June 2025 |

c) Structural foreign exchange rate risk/hedging of results

We monitor these activities daily via position measurements, VaR and results.

d) Structural equity risk

We monitor these activities monthly via position measurements, VaR and results.

#### E. Structural balance sheet risks key metrics
Consistent with previous years, the market risk profile of Santander's balance sheet remained moderated in the first half of 2025 in terms of asset, shareholders’ equity and net interest income volumes.

Each subsidiary's finance division manages its interest rate risk from commercial banking and is responsible for managing structural risk caused by fluctuating interest rates.

We use statistical models to measure interest rate risk and different strategies to manage structural risk with interest rate instruments, such as fixed income bond portfolios and derivative instruments to keep the risk profile within risk appetite.

#### Structural interest rate risk

#### Europe
At the end of June, the EVE sensitivity of our balance sheets in Europe was positive to interest rate decreases except in Spain, which was negative to the same scenario. In the case of NII, the sensitivity of our balance sheets in Santander Spain, Santander UK, Santander Poland and Santander Portugal, was positive to interest rate increases.

Exposure levels in all countries was moderate in relation to the annual budget and capital levels.

At June 2025, considering the scenarios previously mentioned, the most significant risk of NII sensitivity was in the Euro interest rate curve at EUR 897 million, followed by the British pound at EUR 133 million, the Polish zloty at EUR 40 million and the US dollar at EUR 38 million, all relating to the risk of rate decreases.

#### Net interest income (NII) sensitivity
% of the total

Others: Portugal and SCF.

The most significant risk in EVE was in the Euro interest rate curve at EUR 1,322 million, followed by the British pound at EUR 541 million, the Polish zloty at EUR 281 million and the US dollar at EUR 66 million, relating to the risk of rate decreases in the case of Euro and US dollar and to the risk of rate increases in the case of the British pound and the Polish zloty .

| January - June 2025 |     | 197 |

#### Economic