Company: BCDRF
Filing Date: 2025-04-30
Form Type: 6-K
Source: 0000891478-25-000084
Chunk: 50

Company: Banco Santander, S.A.
Filing Date: 2025-04-30
Form: 6-K
Chunk 50
---
 Present value method                                                   |     | Yield curves, FX market prices                                                                        |
| Liabilities under insurance contracts                                        |     |  17,509 |     |   268 |     |  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 short-term loans/deposits and repurchase/reverse repurchase agreements with corporate customers (mainly brokerage and investment companies).

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

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

| 44 |     | January - March 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.

• Instruments in Santander UK’s portfolio (loans, debt instruments 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 instruments, 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 mortality rates, which are not always observable in the market and, accordingly, these instruments are considered illiquid.

• Callable interest rate derivatives (Bermudan-style options) where the main unobservable input is mean reversion of interest rates.

• Trading derivatives on interest rates, taking as an underlying asset titling and with the amortization rate (CPR, Conditional prepayment rate) as unobservable main entry.

• Derivatives from trading on inflation in Spain, where volatility is not observable in the market.

• Equity volatility derivatives, specifically indices and equities, where volatility is not observable in the long term.

• Deriv