Company: BCDRF
Filing Date: 2025-10-29
Form Type: 6-K
Source: 0000891478-25-000138
Chunk: 50

Company: Banco Santander, S.A.
Filing Date: 2025-10-29
Form: 6-K
Chunk 50
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 the variables used include only observable market data, mainly interest rates.

During the first nine months of 2025 and 2024, Grupo Santander did not make any material transfers of financial instruments between measurement levels other than the transfers included in level 3 table.

Grupo Santander has developed a formal process for the systematic valuation and management of financial instruments, which has been implemented worldwide across all the Group’s units. The governance scheme for this process distributes responsibilities between two independent divisions: Treasury (development, marketing and daily management of financial products and market data) and Risk (on a periodic basis, validation of pricing models and market data, computation of risk metrics, new transaction approval policies, management of market risk and implementation of fair value adjustment policies).

The approval of new products follows a sequence of steps (request, development, validation, integration in corporate systems and quality assurance) before the product is brought into production. This process ensures that pricing systems have been properly reviewed and are stable before they are used.

The most important products and types of derivatives, and the related valuation techniques and inputs, by asset class, are detailed in the consolidated annual accounts as at 31 December 2024.

As the end of 30 September 2025, the CVA (Credit Valuation Adjustment) accounted for was EUR 219 million (a decrease of 19.5% compared to 31 December 2024) and adjustments of DVA (Debt Valuation Adjustment) was EUR 280 million (a decrease of 11.7% compared to 31 December 2024). The reduction in CVA is due to the evolution in the models used to calculate spread curves for certain counterparties, movements in credit markets, market movements in interest rate and foreign exchange risk factors, while the reduction in DVA is due reductions in credit markets.

| 44 |     | January - September 2025 |

Set forth below are the financial instruments at fair value whose measurement was based on internal models (levels 2 and 3) at 30 September 2025 and 31 December 2024:

|                                                                               |     | EUR million                                                    |         |     |         |        |     | EUR million                                                    |         |     |         |        |     |                                                                        |     |                                                                                                                               |
|                                                                               |     | Fair values calculated using internal models at 30-09-2025 (*) |         |     |         |        |     | Fair values calculated using internal models at 31-12-2024 (*) |         |