Company: BCDRF
Filing Date: 2025-01-02
Form Type: 6-K
Source: 0000891478-25-000002
Chunk: 53

Company: Banco Santander, S.A.
Filing Date: 2025-01-02
Form: 6-K
Chunk 53
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 best evidence of the fair value of a financial instrument on initial recognition is the transaction price, unless the fair value of the instrument can be obtained from other market transactions performed with the same or similar instruments or can be measured by using a valuation technique in which the variables used include only observable market data, mainly interest rates.

During the first nine months of 2024 and 2023, 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 2023.

As the end of 30 September 2024, the CVA (Credit Valuation Adjustment) accounted for was EUR 275 million (a decrease of 6.2% compared to 31 December 2023) and adjustments of DVA (Debt Valuation Adjustment) was EUR 282 million (a decrease of 14.5% compared to the end of December 2023). The reduction is mainly due to a decline in the spread curves of the credit markets.

| 42 |     | January - September 2024 |

Set forth below are the financial instruments at fair value whose measurement was based on internal models (levels 2 and 3) at 30 September 2024 and 31 December 2023:

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