Measures to analyse exposure

Bankinter actively manages structural interest risk, defined as the Bank's exposure to changes in market interest rates arising from timing mismatches and repricing of global balance sheet items. The aim is to safeguard net interest income and preserve the Bank's economic value.

To do this, the exposure of net interest income and economic value to different scenarios of interest rate changes is assessed using two dynamic simulation measures. The main results in 2019 were as follows:

• The interest rate risk exposure of net interest income of parallel shifts of ±100 basis points in market interest rates is 14.7/-4.3%, for a 12-month horizon.
• On a more long-term outlook, the Bank also analyses the sensitivity of economic value to parallel shifts of ±100 basis points. At the close of 2019, this was 2.5%/-5.2% of own funds.

Management assumptions were used to calculate both measures, considering negative interest rates, except for items with a Euribor floor.