Company: BCDRF
Filing Date: 2025-01-02
Form Type: 6-K
Source: 0000891478-25-000002
Chunk: 54

Company: Banco Santander, S.A.
Filing Date: 2025-01-02
Form: 6-K
Chunk 54
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 method                                                   |     | Yield curves ,FX market prices, Equity                                                                |
| Hedging derivatives                                                   |     |   4,996 |     |     4 |     |   7,650 |     |     6 |     |                                                                        |     |                                                                                                       |
| Swaps                                                                 |     |   4,785 |     |     3 |     |   6,866 |     |     6 |     | Present value method                                                   |     | Yield curves ,FX market prices, Basis                                                                 |
| Interest rate options                                                 |     |       2 |     |     1 |     |       1 |     |     — |     | Black's Model                                                          |     | Yield curves, Volatility surfaces, FX market prices and Liquidity                                     |
| Other                                                                 |     |     209 |     |     — |     |     783 |     |     — |     | 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 |     |  34,489 |     |    14 |     |  40,313 |     |    29 |     | Present value method                                                   |     | Yield curves, FX market prices                                                                        |
| Liabilities under insurance contracts                                 |     |  17,770 |     |   267 |     |  17,476 |     |   323 |     | 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 short-term loans/deposits and repurchase/reverse repurchase agreements with corporate customers (mainly brokerage and investment companies).

(***) Includes mainly structured loans to corporate clients.

| 44 |     | January - September 2024 |

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.