Company: BCDRF
Filing Date: 2025-10-29
Form Type: 6-K
Source: 0000891478-25-000138
Chunk: 51

Company: Banco Santander, S.A.
Filing Date: 2025-10-29
Form: 6-K
Chunk 51
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 |     — |     | Present value method                                                   |     | Yield curves ,FX market prices, Equity                                                                |
| Hedging derivatives                                                          |     |   4,164 |     |    24 |     |   4,740 |     |    12 |     |                                                                        |     |                                                                                                       |
| Swaps                                                                        |     |   4,096 |     |    24 |     |   4,618 |     |    12 |     | Present value method                                                   |     | Yield curves ,FX market prices, Basis                                                                 |
| Interest rate options                                                        |     |       — |     |     — |     |       3 |     |     — |     | Black's Model                                                          |     | Yield curves, Volatility surfaces, FX market prices and Liquidity                                     |
| Other                                                                        |     |      68 |     |     — |     |     119 |     |     — |     | Present value method, Advanced stochastic volatility models and others |     | Yield curves, Volatility surfaces, FX market prices, Credit, Liquidity and others                     |
| Financial liabilities designated at fair value through profit or loss (****) |     |  37,079 |     |     — |     |  36,200 |     |   160 |     | Present value method                                                   |     | Yield curves, FX market prices                                                                        |
| Liabilities under insurance contracts                                        |     |  18,375 |     |   245 |     |  17,583 |     |   246 |     | Present Value Method with actuarial techniques                         |     | Mortality tables and yield curves                                                                     |

(*) The internal models of level 2 implement figures based on the parameters observed in the market, while level 3 internal models use significant inputs that are not observable in market data.

(**) Includes mainly temporary acquisitions/disposals of assets with corporate clients and, to a lesser extent, with central banks.

(***) Includes mainly syndicated loans under the HTC&S business model.

(****) Includes mainly short-term deposits that are managed based on their fair value.

| 46 |     | January - September 2025 |

Level 3 financial instruments

Set forth below are the Group’s main financial instruments measured using unobservable market data as significant inputs of the internal models (level 3):

• HTC&S (Hold to collect and sale) syndicated loans classified in the fair value category with changes in other comprehensive income, where