Company: BCDRF
Filing Date: 2025-04-30
Form Type: 6-K
Source: 0000891478-25-000084
Chunk: 51

Company: Banco Santander, S.A.
Filing Date: 2025-04-30
Form: 6-K
Chunk 51
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atives on long-term interest rate and FX in some units (mainly South America) where for certain underlyings it is not possible to demonstrate observability to these terms.

• Debt instruments referenced to certain illiquid interest rates, for which there is no reasonable market observability.

The measurements obtained using the internal models might have been different if other methods or assumptions had been used with respect to interest rate risk, to credit risk, market risk and foreign currency risk spreads, or to their related correlations and volatilities. Nevertheless, the Bank’s directors consider that the fair value of the financial assets and liabilities recognised in the interim condensed consolidated balance sheet and the gains and losses arising from these financial instruments are reasonable.

The net amount recorded in the results of the first three months of 2025 arising from models whose significant inputs are unobservable market data (level 3) amounted to a loss of EUR 170 million (EUR 147 million of profit in the first three months of 2024).

| January - March 2025 |     | 45 |

The table below shows the effect, at 31 March 2025 and 31 December 2024, on the fair value of the main financial instruments classified as Level 3 of a reasonable change in the assumptions used in the valuation. This effect was determined by applying the probable valuation ranges of the main unobservable inputs detailed in the following table:

| 31-03-2025                                                       |     |                         |     |                           |     |                   |     |                  |     |                       |        |     |       |
| Portfolio/Instrument                                             |     | Valuation technique     |     | Main unobservable inputs  |     | Range             |     | Weighted average |     | Impacts (EUR million) |        |     |       |
| (Level 3)                                                        |     | Unfavourable scenario   |     | Favourable scenario       |     |                   |     |                  |     |                       |        |     |       |
| Financial assets held for trading                                |     |                         |     |                           |     |                   |     |                  |     |                       |        |     |       |
| Loans and advances to customers                                  |     |                         |     |                           |     |                   |     |                  |     |                       |        |     |       |
| Repos/Reverse repos                                              |     | Others                  |     | Long-term repo spread     |     | n.a.              |     | n.a.             |