Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 797

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 797
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                     | 34bps -68bps   |     |                  |        | 44bps  |     |   -4.09 |     |   1.65 |                       |

A. For each instrument, the valuation technique, the unobservable inputs are shown in the 'Main observable inputs' column under probable scenarios, variation range, average value and impact resulting from valuing the position in the established maximum and minimum range.

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

C. 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.

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

Annual report 2024 751

| Contents |     | Auditor's report |     | Consolidated financial statements |     | Notes to the consolidated financial statements |     | Appendix |

| 2023                                                             |     |                         |     |                       |                                       |     |                     |                  |     |       |                  |        |      |     |       |     |      |                       |
| 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                                              |     | Other                   |     |                       | Long-term repo spread                 |     |                     | n.a.             |     |       |                  |        | n.a. |     | -0.08 |     |    — |                       |
| Debt securities                                                  |     |                         |     |                       |                                       |     |                     |                  |