Company: BCDRF
Filing Date: 2025-04-30
Form Type: 6-K
Source: 0000891478-25-000084
Chunk: 52

Company: Banco Santander, S.A.
Filing Date: 2025-04-30
Form: 6-K
Chunk 52
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 |                                 |     |                 |     |                  |     |                       |         |     |        |
| Equities                                                                      |     | Price Based             |     | Price                           |     | 90% - 110%      |     | 100.00%          |     |                       |  -37.56 |     |  37.56 |
| Financial liabilities held for trading                                        |     |                         |     |                                 |     |                 |     |                  |     |                       |         |     |        |
| Derivatives                                                                   |     |                         |     |                                 |     |                 |     |                  |     |                       |         |     |        |
| Cap&Floor                                                                     |     | Volatility option model |     | Volatility                      |     | 10% - 90%       |     | 42.20%           |     |                       |   -0.11 |     |   0.07 |
| FX Options                                                                    |     | Volatility option model |     | Volatility                      |     | 10% - 90%       |     | 45.30%           |     |                       |   -0.03 |     |   0.02 |
| IRS                                                                           |     | Discounted Cash Flows   |     | Inflation Swap Rate             |     | 1% - 99%        |     | 47.12%           |     |                       |   -4.77 |     |   4.24 |
| IRS                                                                           |     | Discounted Cash Flows   |     | Credit spread                   |     | 34bps - 68bps   |     | 44bps            |     |                       |   -4.09 |     |   1.65 |

1. For each instrument, the valuation technique is shown, the unobservable inputs described in the "Main unobservable inputs" column under probable scenarios, variation range, average value and impact resulting from valuing the position in the established maximum and minimum range.

2. The breakdown of impacts is shown by type of instrument and unobservable inputs.

3. The estimation of the range of variation of the unobservable inputs has been carried out taking into account plausible movements of said parameters depending on the type of instrument.

4. Zero impacts from fully hedged or back-to-back transactions have not been included in this exercise.

| January - March 2025 |     | 49 |

Lastly, the changes in the financial instruments classified