Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 778

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 778
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 swaps, interest rate swaps and call money swaps to hedge its exposure to changes in the fair value of the hedged item attributable to interest rates. The aforementioned hedging instruments modify the effective cost of long-term issues, from a fixed interest rate to a variable interest rate. In addition, it also makes cash flow hedges in which it uses cross currency swaps to cover the risk of variability of flows attributable to changes in the interest rate of bonds and interbank loans issued at variable rates, as well as to cover the variation of foreign currency, mainly in United States dollars. To hedge the inflation risk present in certain items, it uses both forwards and cross currency swaps. At Santander Bank, National Association, Interest Rate Swaps are used to leave commercial loans at a fixed rate at a variable rate in USD indexed to 1-month Libor or SOFR, under cash flow hedges.

Annual report 2024 725

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

Regarding the hedged items, the following table shows the detail of the type of hedging, the risk that is hedged and which products are being hedged at 31 December 2024, 2023 and 2022. The products that are being hedged are mainly borrowed deposits, financial deposits, loans, government bonds as assets and financial bonds as liabilities:

|                                 |     |        | EUR million |         |                                 |     |        |   |                                                                 |     |        |     |        |             |     |        |                         |     |                                                                            |                                           |        |     |        |     |     |
| 31 December 2024                |     |        |             |         |                                 |     |        |   |                                                                 |     |        |     |        |             |     |        |                         |     |                                                                            |                                           |        |     |        |     |     |
|                                 |     |        |             |         | Carrying amount of hedged items |     |        |   | Accumulated amount of fair value adjustments on the hedged item |     |        |     |        |             |     |        | Balance sheet line item |     | Change in fair value of hedged item for ineffectiveness assessment         | Cash flow reserves or conversion reserves |        |     |        |     |     |
|                                 |     | Assets |             |         |                     Liabilities |     |