Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000113
Chunk: 185

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 185
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.7 |
| South America |     |         -72.3 |     |     -2.0 |     |          -7.2 |     |           0.0 |     |         0.0 |     |  -81.5 |

#### Other global stress test scenarios
‘Abrupt crisis’: an ad-hoc scenario with sharp market movements in all risk factors: rise in interest rate curves, sharp falls in stock markets, strong appreciation of USD against other currencies, increase in volatility and credit spreads and default of main debt and equity positions.

‘Subprime crisis’: historical scenario based on 2007-2008 events arising from the US subprime mortgage crisis. This financial crisis led to a sharp increase in volatility and a sharp reduction in liquidity in all financial markets worldwide. The worst 1-day and 10-day market shocks are identified for each market risk factor.

‘Forward Looking Scenario’: a plausible hypothetical scenario based on current portfolios and expert judgement regarding the short term expected movements in market risk factors that may negatively affect trading positions.

‘EBA adverse scenario’: hypothetical scenario based on the adverse macroeconomic scenario applied to all market risk factors, as proposed by the EBA to perform the 'EU wide stress test' exercise every two years.

'Covid-19 crisis': scenario based in the sharp movements in the financial markets as a result of the health crisis. Its calculation is based on the identification of the 10-day period with higher losses in the trading portfolio during the first half of 2020.

| January - June 2025 |     | 195 |

Reverse stress test scenarios, which identify market variable shifts that can lead to a loss that will endanger our survival. They complement traditional stress scenarios and help signal business vulnerabilities, hidden risks and interactions between risk factors. They begin with a known stress result (such as a failure to achieve certain capital, liquidity or solvency ratios) and identify extreme scenarios.

#### D. Structural balance sheet risk management

#### System for controlling limits
Like with trading market risk, annual limits planning sets limits for balance sheet structural risks based on risk appetite.

The main limits we use are:

• Balance sheet structural interest rate risk:

• Limit on net interest income (NII) over a 1-year horizon.

• Limit on the sensitivity of the economic value of equity (EVE).

• Limit on the market value variations of ALCO portfolios under stress scenarios.

• Structural exchange rate risk:

• Limit on the potential impact of the net foreign currency permanent position in the