Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 795

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 795
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 | Black’s Model                                                         |
| Other                                                                  |     |                          |     783 |         |     |       |       — |     |                          |   1,072 |         |     |   — |         |     | Present Value method, Advanced stochastic volatility models and other |
| Financial liabilities designated at fair value through profit or lossD |     |                          |  40,313 |         |     |       |      29 |     |                          |  39,905 |         |     | 151 |         |     | Present Value method                                                  |
| Liabilities under insurance contracts                                  |     |                          |  17,476 |         |     |       |     323 |     |                          |  16,081 |         |     | 345 |         |     | Present Value method with actuarial techniques                        |

A. Level 2 internal models use data based on observable market parameters, while level 3 internal models use significant non-observable inputs in market data.

B. Includes mainly short-term loans/deposits and repurchase/reverse repurchase with corporate customers (mainly brokerage and investment companies).

C. Includes, mainly, structured loans to corporate clients.

D. Includes, mainly, short-term deposits that are managed based on their fair value.

Annual report 2024 748

| Contents |     | Auditor's report |     | Consolidated financial statements |     | Notes to the consolidated financial statements |     | Appendix |

b) Financial Instruments (level 3)

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 (Held to collect and sale) syndicated loans classified in the fair value category with changes in other comprehensive income, where the cost of liquidity is not directly observable in the market, as well as the prepayment option in favour of the borrower. • Illiquid equity in non-trading portfolios, classified at fair value through profit or loss and at fair value through equity. • Instruments in Santander UK’s portfolio (loans, debt securities and derivatives) linked to the House Price Index (HPI). Even if the valuation techniques used for these instruments may be the same as those used to value similar products (present value in the case of loans and debt securities, and the Black-Scholes model for derivatives), the main factors used in the valuation of these instruments are the HPI spot rate, the growth and volatility thereof, and the