Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000113
Chunk: 186

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 186
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 Core Capital Ratio.

• Limit on the individual hedge required by each currency.

Financial Management must explain why limits or sub-limit breaches occur and provide action plans to correct them.

#### Methodologies
a) Structural interest rate risk

We analyse the potential impact of changes in interest rate levels on EVE and NII. Depending on the changes in rates, impacts will be different and therefore various subtypes of interest rate risk need to be monitored and managed, such as repricing, curve or basis risk, among others.

Based on the balance sheet interest rate position and the market situation and outlook, financial actions (such as transacting positions or setting interest rate for products we market) may be needed to achieve our desired risk profile.

The suite of metrics we use to monitor interest rate risks includes the sensitivity of NII and EVE to changes in interest rates:

- Net interest income (NII) sensitivity

NII is the difference between income from interest on assets and the cost of liabilities in the banking book over a typical one-to three-year horizon (one year being standard in Santander). NII sensitivity is the difference between the NII calculated under a selected scenario and the NII calculated under a base scenario. There can be as many NII sensitivities as scenarios. This metric helps identify short-term risk and it is complementary to EVE sensitivity. Scenarios of -100 basis points parallel changes and +100 basis points are considered, choosing the worst one (hereinafter figures show the result under these scenarios).

-Economic value of equity (EVE) sensitivity

EVE is the difference between the net current value of assets and the net current value of outstanding liabilities in the banking book at a certain point in time. EVE sensitivity is the difference in EVE calculated under a selected scenario and under a base scenario. There can be as many EVE sensitivities as scenarios considered. This metric helps identify long-term risk and it is complementary to NII sensitivity. Scenarios of -100 basis points parallel changes and +100 basis points are considered, choosing the worst one (hereinafter figures show the result under these scenarios).

b) Interest rate models

Interest rate risk metrics consider the behaviour of financial products under stressed scenarios where uncertainty is common and contractual terms may not be met. We have methodologies that help to explain products' behaviour. Key interest rate risk models are:

-Treatment of liabilities without stated maturity

Our model uses variables such as stable and unstable volumes, the rate of settlement over time and the difference between customer rates and market rates to model non-maturity account balances