Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 131

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 131
---
 for these flows. The coupon can be fixed, variable or subject to an elasticity with respect to market interest rates or a more complex function depending on different variables. The model is based on the following sub-models and variables: • Beta model: this sub-model defines the relationship between benchmark interest rates in the market and the

remuneration paid to customers. The model can use a single beta or multi betas for the same account. • Stable and unstable balance: A statistical model is used to estimate the stable balance based on the historical distribution of aggregated balances at the segment level and the observed outflows in relation to the trend of the series. The stable balance is determined on the basis of a certain confidence level, which is usually above 95%. For the unstable balance, an outflow is assumed in the first time bucket (typically one day). • Run-off model : This sub-model attempts to estimate customer behaviour on the basis of historical data (evolution of accounts created on the same date). The estimate can be made using a statistical model that depends on several variables (interest rates, spread with other products, macro variables) or it can be calculated using an optimisation process that assumes a certain function, e.g. assuming an exponential function and calibrating the decay rate 6 , defining a maximum maturity horizon. The average repricing maturity is not a parameter used directly in the NMD corporate model, however, duration as a parameter is used. Following regulatory criteria, the group ensures that the average repricing maturity of NMDs for each currency does not exceed the thresholds set out in the EBA guidelines. This is calculated using the average maturity of the expected cash flows of the entire NMD balance (stable and unstable) adjusted by the betas of the model. For segments with fixed coupons or a beta of zero, the average maturity of the repricing dates matches the average maturity of the cash flows and as the unstable balance (repricing balance) or betas increase, the gap between them opens (causing the average repricing maturity to decrease). This model requires a variety of inputs: • Parameters inherent to the product. • Customer and/or bank behavioural parameters (in this case, analysis of historical data is combined with expert judgement on the business). • Market data. • Historical data for the portfolio. b. Treatment of non-maturity assets (NMA) The model used on the asset side for products such as credit cards can be modelled in a similar way to the NMD model, sharing some of the same methodology