Company: BCDRF
Filing Date: 2025-07-31
Form Type: 6-K
Source: 0000891478-25-000111
Chunk: 138

Company: Banco Santander, S.A.
Filing Date: 2025-07-31
Form: 6-K
Chunk 138
---
 4,618 |     |    12 |     | Present value method                                                   |     | Yield curves ,FX market prices, Basis                                                                 |
| Interest rate options                                                        |     |       — |     |     1 |     |       3 |     |     — |     | Black's Model                                                          |     | Yield curves, Volatility surfaces, FX market prices and Liquidity                                     |
| Other                                                                        |     |      95 |     |     — |     |     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 (****) |     |  35,513 |     |     — |     |  36,200 |     |   160 |     | Present value method                                                   |     | Yield curves, FX market prices                                                                        |
| Liabilities under insurance contracts                                        |     |  18,111 |     |   232 |     |  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.

| 140 |     | January - June 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 the cost of liquidity is not directly observable in the market, as well as the prepayment option in favour of the borrower.

• Illiquid equity instruments in non-trading portfolios, classified at fair value through profit or loss and at fair value through equity.

• Long-term temporary acquisitions/disposals of assets with corporate clients based on underlying assets for which no observable credit curve exists. To a lesser extent, repos/reverse repos with central