Interest rate and inflation

The fixed income asset class includes basic instruments such as interest rate forwards, interest rate swaps and cross currency swaps, which are valued using the net present value of the estimated future cash flows discounted taking into account basis (swap and cross currency spreads) determined on the basis of the payment frequency and currency of each leg of the derivative. Vanilla options, including caps, floors and swaptions, are priced using the Black-Scholes model, which is one of the benchmark industry models. More exotic derivatives are priced using more complex models which are generally accepted as standard across institutions.

These pricing models are fed with observable market data such as deposit interest rates, futures rates, cross currency swap and constant maturity swap rates, and basis spreads, on the basis of which different yield curves, depending on the payment frequency, and discounting curves are calculated for each currency. In the case of options, implied volatilities are also used as model inputs. These volatilities are observable in the market for cap and floor options and swaptions, and interpolation and extrapolation of volatilities from the quoted ranges are carried out using generally accepted industry models. The pricing of more exotic derivatives may require the use of non-observable data or parameters, such as correlation (among interest rates and cross-asset), mean reversion rates and prepayment rates, which are usually defined from historical data or through calibration.

Inflation-related assets include zero-coupon or year-on-year inflation-linked bonds and swaps, valued with the present value method using forward estimation and discounting. Derivatives on inflation indices are priced using standard or more complex internal models. Valuation inputs of these models consider inflation-linked swap spreads observable in the market and estimations of inflation seasonality, on the basis of which a forward inflation curve is calculated. Also, implied volatilities taken from zero-coupon and year-on-year inflation options are also inputs for the pricing of more complex derivatives.

Equity and foreign exchange

The most important products in these asset classes are forward and futures contracts; they also include vanilla, listed and OTC (Over-The-Counter) derivatives on single underlying assets and baskets of assets. Vanilla options are priced using the standard Black-Scholes model and more exotic derivatives involving forward returns, average performance, or digital, barrier or callable features are priced using generally accepted industry models or internal models, as appropriate. For derivatives on illiquid stocks, hedging takes into account the liquidity constraints in models.

The inputs of equity models consider yield curves, spot prices, dividends, asset funding costs (repo margin spreads), implied volatilities, correlation among equity stocks and indices, and cross-asset correlation. Implied volatilities are obtained from market quotes of European and American-style vanilla call and put options. Various interpolation and extrapolation techniques are used to obtain continuous volatility for illiquid stocks. Dividends are usually estimated for the mid and long term. Correlations are implied, when possible, from market quotes of correlation-dependent products. In all other cases, proxies are used for correlations between benchmark underlyings or correlations are obtained from historical data.

The inputs of foreign exchange models include the yield curve for each currency, the spot foreign exchange rate, the implied volatilities and the correlation among assets of this class. Volatilities are obtained from European call and put options which are quoted in markets as of-the-money, risk reversal or butterfly options. Illiquid currency pairs are usually handled by using the data of the liquid pairs from which the illiquid currency can be derived. For more exotic products, unobservable model parameters may be estimated by fitting to reference prices provided by other non-quoted market sources.

Credit

The most common instrument in this asset class is the credit default swap (CDS), which is used to hedge credit exposure to third parties. In addition, models for first-to-default (FTD), n-to-default (NTD) and single-tranche collateralised debt obligation (CDO) products are also available. These products are valued with standard industry models, which estimate the probability of default of a single issuer (for CDS) or the joint probability of default of more than one issuer for FTD, NTD and CDO.

Valuation inputs are the yield curve, the CDS spread curve and the recovery rate. For indices and important individual issuers, the CDS spread curve is obtained in the market. For less liquid issuers, this spread curve is estimated using proxies or other credit-dependent instruments. Recovery rates are usually set to standard values. For listed single-tranche CDO, the correlation of joint default of several issuers is implied from the market. For FTD, NTD and internal CDO, the correlation is estimated from proxies or historical data when no other option is available.

Valuation adjustment for counterparty risk or default risk

The Credit valuation adjustment (CVA) is a valuation adjustment to over-the-counter (OTC) derivatives as a result of the risk associated with the credit exposure assumed to each counterparty.

The CVA is calculated taking into account potential exposure to each counterparty in each future period. The CVA for a specific counterparty is equal to the sum of the CVA for all the periods. The following inputs are used to calculate the CVA:

•Expected exposure: including for each transaction the mark-to-market (MtM) value plus an add-on for the potential future exposure for each period. Mitigating factors such as collateral and netting agreements are taken into account, as well as a temporary impairment factor for derivatives with interim payments.

•Severity: percentage of final loss assumed in a counterparty credit event/default.

•Probability of default: for cases where there is no market information (the CDS quoted spread curve, etc.), proxies based on companies holding exchange-listed CDS, in the same industry and with the same external rating as the counterparty, are used.

•Discount factor curve.

The Debit Valuation Adjustment (DVA) is a valuation adjustment similar to the CVA but, in this case, it arises as a result of the Group’s own risk assumed by its counterparties in OTC derivatives.

The CVA at 31 December 2025 amounted to EUR 224 million (resulting in a decrease of 17.6% compared to 31 December 2024) and DVA amounted to EUR 285 million (resulting in a decrease of 10.1% compared to 31 December 2024). These decreases are primarily due to the performance of credit markets, with lower spreads compared to December 2024, and secondarily to changes in the composition of certain derivatives portfolios. Furthermore, the observed reduction in CVA is influenced by changes in the calculation models applicable to certain clients.

The CVA at 31 December 2024 amounted to EUR 272 million (resulting in a decrease of 7.2% compared to 31 December 2023) and DVA amounted to EUR 317 million (resulting in a decrease of 3.9% compared to 31 December 2023). These decreases are mainly due to the declines in the EUR and USD interest rate markets, lower inflation and the movements in credit markets whose spread levels have reduced moderately compared to those of December 2023.

The CVA at 31 December 2023 amounted to EUR 293 million (decrease of 16.5% compared to 31 December 2022) and DVA amounted EUR 330 million (decrease of 9.3% compared to 31 December 2022). These decreases are mainly due to movements in credit markets whose spread levels have reduced moderately compared to those of December 2022, partially offset by the upward movement in interest rates.

In addition, the Group amounts the funding fair value adjustment (FFVA) is calculated by applying future market funding spreads to the expected future funding exposure of any uncollateralised component of the OTC derivative portfolio. This includes the uncollateralised component of collateralised derivatives in addition to derivatives that are fully uncollateralised. The expected future funding exposure is calculated by a simulation methodology, where available. The FFVA impact is not material for the consolidated annual accounts as of 31 December 2025, 2024 and 2023.

During 2025, the Group has continued to apply the criteria for classifying financial instruments within the levels of the fair value hierarchy established to comply with regulatory expectations. These criteria, based on information from the price contributors and real market transactions, represent a significant reduction in the use of expert judgement to determine observability and allow the measurement of the significance of non-observable valuation inputs based on objective criteria.

There has been an increase in instruments classified as Level 3, especially during the last quarter of the year. This increase is due to higher holding volumes of some of these instruments in the portfolio due to new trading activity. No significant reclassifications were detected due to changes in the market observability of the valuation inputs for the remaining positions. The main increases include long-term repo/reverse repo transactions, illiquid equities in non-trading portfolios, and syndicated loans with an HTC&S business model for which there is no observable market price based on the criteria used.

Valuation adjustments due to model risk

The valuation models described above do not involve a significant level of subjectivity, since they can be adjusted and recalibrated, where appropriate, through internal calculation of the fair value and subsequent comparison with the related actively traded price. However, valuation adjustments may be necessary when market quoted prices are not available for comparison purposes.

The sources of risk are associated with uncertain model parameters, illiquid underlying issuers, and poor quality market data or missing risk factors (sometimes the best available option is to use limited models with controllable risk). In these situations, the Group calculates and applies valuation adjustments in accordance with common industry practice. The main sources of model risk are described below:

•In the interest rate markets, the sources of model risk include interest rate indexes correlations, basis spread modelling, the risk of calibrating model parameters and the treatment of near-zero or negative interest rates. Other sources of risk arise from the estimation of market data, such as volatilities or yield curves, whether used for estimation or cash flow discounting purposes.

•In the stock markets, the sources of model risk include forward skew modelling, the impact of stochastic interest rates, correlation and multi-curve modelling. Other sources of risk arise from managing hedges of digital callable and barrier option payments. Also worthy of consideration as sources of risk are the estimation of market data such as dividends and correlation for quanto and composite basket options.

•For specific financial instruments relating to home mortgage loans secured by financial institutions in the UK (which are regulated and partially financed by the Government) and property asset derivatives, the main input is the Halifax House Price Index (HPI). In these cases, risk assumptions include estimations of the future growth and the volatility of the HPI, the mortality rate and the implied credit spreads.

•Inflation markets are exposed to model risk resulting from uncertainty around modelling the correlation structure among various Consumer Price Index (CPI) rates. Another source of risk may arise from the bid-offer spread of inflation-linked swaps.

•The currency markets are exposed to model risk resulting from forward skew modelling and the impact of stochastic interest rate and correlation modelling for multi-asset instruments. Risk may also arise from market data, due to the existence of specific illiquid foreign exchange pairs.

•The most important source of model risk for credit derivatives relates to the estimation of the correlation between the probabilities of default of different underlying issuers. For illiquid underlying issuers, the CDS spread may not be well defined.


EUR million
	Fair values calculated using internal models at
	2025A
	Level 2	Level 3	Valuation techniques	Main assumptions
ASSETS	163,796	18,487
Financial assets held for trading	139,293	6,496
Central banksB	14,191	441	Present value method	Yield curves, FX market prices
Credit institutionsB	25,815	152	Present value method	Yield curves, FX market prices
CustomersB	27,986	4,592	Present value method	Yield curves, FX market prices
Debt and equity instruments	14,470	340	Present value method	Yield curves, FX market prices
Derivatives	56,831	971
Swaps	39,716	551	Present value method, Gaussian CopulaC	Yield curves, FX market prices, HPI, Basis, Liquidity
Exchange rate options	1,332	39	Black-Scholes Model	Yield curves, Volatility surfaces, FX market prices, Liquidity
Interest rate options	1,490	39	Black's Model, multifactorial advanced models interest rate	Yield curves, Volatility surfaces, FX market prices, Liquidity
Interest rate forwards	177	—	Present value method	Yield curves, FX market prices
Index and securities options	439	120	Black's Model, multifactorial advanced models interest rate	Yield curves, Volatility surfaces, FX & EQ market prices, Dividends, Liquidity
Other	13,677	222	Present value method, Advanced stochastic volatility models and other	Yield curves, Volatility surfaces, FX and EQ market prices, Dividends, Correlation, HPI, Credit, Others
Hedging derivatives	3,924	7
Swaps	3,690	7	Present value method	Yield curves, FX market prices, Basis
Interest rate options	91	—	Black's Model	Yield curves, FX market prices, Volatility surfaces
Other	143	—	Present value method, Advanced stochastic volatility models and other	Yield curves, Volatility surfaces, FX market prices, Credit, Liquidity, Others
Non-trading financial assets mandatorily at fair value through profit or loss	2,465	2,889
Equity instruments	899	2,543	Present value method	Market price, Interest rates curves, Dividends and Others
Debt securities	54	175	Present value method	Yield curves
Loans and receivables	1,512	171	Present value method, swap asset model & CDS	Yield curves and Credit curves
Financial assets designated at fair value through profit or loss	5,152	34
Central banks	—	—	Present value method	Yield curves, FX market prices
Credit institutions	413	—	Present value method	Yield curves, FX market prices, HPI
Customers	4,725	14	Present value method	Yield curves, FX market prices
Debt securities	14	20	Present value method	Yield curves, FX market prices
Financial assets at fair value through other comprehensive income	12,962	9,061
Equity instrumentsC	19	272	Present value method	Yield curves, Market price, Dividends and Others
Debt securities	6,819	887	Present value method	Yield curves, FX market prices
Loans and receivablesC	6,124	7,902	Present value method	Yield curves, FX market prices and Credit curves


EUR million
	Fair values calculated using internal models at
	2025A
	Level 2	Level 3	Valuation techniques	Main assumptions
LIABILITIES	198,377	1,110
Financial liabilities held for trading	133,490	864
Central banksB	12,385	—	Present value method	FX market prices, Yield curves
Credit institutionsB	27,058	—	Present value method	FX market prices, Yield curves
Customers	36,120	—	Present value methodC	FX market prices, Yield curves
Derivatives	50,248	864
Swaps	33,597	418	Present value method, Gaussian Copula	Yield curves, FX market prices, Basis, Liquidity, HPI
Exchange rate options	903	34	Black's Model, multifactorial advanced models interest rate	Yield curves, Volatility surfaces, FX & EQ market prices, Dividends, Liquidity
Forwards on interest rate and variable income	1,951	95	Black-Scholes Model	Yield curves, Volatility surfaces, FX market prices
Index and securities options	1,094	151	Black-Scholes Model	Yield curves, FX market prices, Liquidity
Interest rate and equity futures	121	—	Present value method	Yield curves, Volatility surfaces, FX & EQ market prices, Dividends, Correlation, Liquidity, HPI
Other	12,582	166	Present value method, Advanced stochastic volatility models and others	Yield curves, Volatility surfaces, FX & EQ market prices, Dividends, Correlation, HPI, Credit, Others
Short positions	7,679	—	Present value method	Yield curves ,FX market prices, Equity
Hedging derivatives	4,229	19
SwapsD	4,191	19	Present value method	Yield curves, FX market prices
Interest rate options	—	—	Black's Model	Yield curves , Volatility surfaces, FX market prices and Liquidity
Other	38	—	Present value method, Advanced stochastic volatility models and other	Yield curves , Volatility surfaces, FX market prices, Credit, Liquidity, Other
Financial liabilities designated at fair value through profit or loss	42,148	—	Present value method	Yield curves, FX market prices
Liabilities under insurance contracts	18,510	227	Present Value Method with actuarial techniques	Mortality tables and interest rate curves


EUR million
	Fair values calculated using internal models at		Fair values calculated using internal models at
	2024A		2023A
	Level 2	Level 3	Level 2	Level 3	Valuation techniques
ASSETS	163,941	15,319	133,874	10,351
Financial assets held for trading	138,176	3,930	106,993	2,086
Central banksB	12,966	—	17,717	—	Present value method
Credit institutionsB	26,546	769	14,061	—	Present Value method
CustomersB	24,602	1,801	11,418	24	Present Value method
Debt and equity instruments	11,115	413	8,683	915	Present Value method
Derivatives	62,947	947	55,114	1,147
Swaps	47,519	556	44,987	577	Present Value method, Gaussian Copula
Exchange rate options	1,583	2	836	9	Black-Scholes Model
Interest rate options	1,879	30	2,210	153	Black's Model, advanced multifactor interest rate models
Interest rate forwards	1,445	—	33	—	Present Value method
Index and securities options	465	241	126	235	Black's Model, advanced multifactor interest rate models
Other	10,056	118	6,922	173	Present Value method, Advanced stochastic volatility models and other
Hedging derivatives	5,652	20	5,297	—
Swaps	5,390	20	4,665	—	Present Value method
Interest rate options	2	—	2	—	Black’s Model
Other	260	—	630	—	Present Value method, Advanced stochastic volatility models and other
Non-trading financial assets mandatorily at fair value through profit or loss	1,505	2,588	2,050	2,095
Equity instruments	763	1,841	815	1,495	Present Value method
Debt securities issued	205	242	539	313	Present Value method
Loans and receivables	537	505	696	287	Present Value method, swap asset model & CDS
Financial assets designated at fair value through profit or loss	5,065	106	6,846	181
Credit institutions	408	—	459	—	Present Value method
Customers	4,590	20	6,189	31	Present Value method
Debt securities	67	86	198	150	Present Value method
Financial assets at fair value through other comprehensive income	13,543	8,675	12,688	5,989
Equity instruments	5	375	5	492	Present Value method
Debt securities	9,644	1,047	9,638	559	Present Value method
Loans and receivablesC	3,894	7,253	3,045	4,938	Present Value method


EUR million
	Fair values calculated using internal models at		Fair values calculated using internal models at
	2024A		2023A
	Level 2	Level 3	Level 2	Level 3	Valuation techniques
LIABILITIES	179,766	1,352	166,542	1,227
Financial liabilities held for trading	121,243	934	101,103	869
Central banksB	13,300	—	7,808	—	Present Value method
Credit institutionsB	26,284	—	17,862	—	Present Value method
Customers	18,984	—	19,837	—	Present Value method
Derivatives	56,205	934	49,380	869
Swaps	41,283	479	39,395	388	Present Value method, Gaussian Copula
Interest rate options	2,295	79	2,207	139	Black's Model, advanced multifactor interest rate models
Exchange rate options	1,057	—	549	8	Black-Scholes Model
Index and securities options	1,160	294	466	187	Black's Model, advanced multifactor interest rate models
Forwards on interest rate and variable income	1,276	—	101	—	Present Value method
Other	9,134	82	6,662	147	Present Value method, Advanced stochastic volatility models and other
Short positions	6,470	—	6,216	—	Present Value method
Hedging derivatives	4,740	12	7,650	6
Swaps	4,618	12	6,866	6	Present Value method
Interest rate options	3	—	1	—	Black’s Model
Other	119	—	783	—	Present Value method, Advanced stochastic volatility models and other
Financial liabilities designated at fair value through profit or lossD	36,200	160	40,313	29	Present Value method
Liabilities under insurance contracts	17,583	246	17,476	323	Present Value method with actuarial techniques

Set forth below are the Group’s main financial instruments measured using unobservable market data as significant inputs of the internal models (level 3):

•HTC&S (Held to collect and sale) syndicated loans classified in the fair value category with changes in other comprehensive income, where the cost of liquidity is not directly observable in the market, as well as the prepayment option in favour of the borrower.

•Repos and reverse repos classified as financial assets held for trading, whose valuation uses significant unobservable inputs, mainly associated with credit adjustments, liquidity and certain specific characteristics of the counterparty and the collateral.

•Illiquid equity in non-trading portfolios, classified at fair value through profit or loss and at fair value through equity.

•Instruments in Santander UK’s portfolio (loans, debt securities and derivatives) linked to the House Price Index (HPI). Even if the valuation techniques used for these instruments may be the same as those used to value similar products (present value in the case of loans and debt securities, and the Black-Scholes model for derivatives), the main factors used in the valuation of these instruments are the HPI spot rate, the growth and volatility

thereof, and the mortality rates, which are not always observable in the market and, accordingly, these instruments are considered illiquid.

•Callable interest rate derivatives (Bermudan-style options) where the main unobservable input is mean reversion of interest rates.

•Trading derivatives on interest rates, taking as an underlying asset titling and with the amortization rate (CPR, Conditional prepayment rate) as unobservable main entry.

• Derivatives from trading on inflation in Spain, where volatility is not observable in the market.

•Equity volatility derivatives, specifically indices and equities, where volatility is not observable in the long term.

•Derivatives 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.


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	Market proxy	Price / Credit spread	n.a.	n.a.		(10.50)	10.50
Debt securities
Corporate debt	Discounted Cash Flows	Credit spread	0% - 10%	5.10%		(2.24)	2.29
Government debt	Discounted Cash Flows	Discount curve	0% - 8%	4.00%		(9.21)	9.24
Others	Discounted Cash Flows	Credit spread	10% - 90%	35.50%		(1.32)	0.62
Derivatives
Cap&Floor	Modelo de Black Scholes	Volatility	(6.50)bps - 6.50bps	1.00	bps	(0.38)	0.52
CCS	Discounted Cash Flows	Credit spread	146.3% - 148.3%	147.30	%	(0.01)	0.01
EQ Options	EQ option pricing model	Volatility	0% - 70%	40.50	%	(0.17)	0.24
EQ Options	Local volatility	Volatility	10% - 90%	50.00	%	(18.86)	18.86
Fx Options	Fx option pricing model	Volatility	0% - 40%	19.80	%	(0.5)	0.49
FX Forward	Forward estimation	Swap Rate	0% - 15%	8.10	%	(0.01)	0.02
Inflation Derivatives	Asset Swap model	Inflation Swap Rate	2% - 8%	4.90	%	(0.18)	0.17
IR Options	IR option pricing model	Volatility	0% - 30%	14.80	%	(0.19)	0.19
IR Options	INF option pricing model	Volatility	0% - 30%	14.90	%	(0.63)	0.63
IRS	Others	Others	5% - n.a.	n.a.		(11.24)	8.23
IRS	Discounted Cash Flows	Credit spread	19.6% - 127.5%	50.50	%	(2.1)	0.84
IRS	Discounted Cash Flows	Inflation Swap Rate	1.0% - 99.0%	99.00	%	—	1.41
Others	Forward estimation	Price	60bps - 300bps	179.80bps		(3.48)	3.47
Property derivatives	Option pricing model	Growth rate	(5)% - 5%	0.00	%	(2.64)	2.64
Securitisation Swap	Discounted Cash Flows	Constant prepayment rates	10% - 90%	50.00	%	—	—
Financial assets designated at fair value through profit or loss
Loans and advances to customers
Loans	Discounted Cash Flows	Credit spreads	0.1% - 3%	1.60	%	(0.12)	0.12
Mortgage portfolio	Black Scholes model	Growth rate	(5)% - 5%	0.00	%	(0.23)	0.23
Debt securities
Other debt securities	Others	Inflation Swap Rate	0% - 8%	4.10	%	—	—


2025
Portfolio/Instrument	Valuation technique	Main unobservable inputs	Range	Weighted average		Impacts (EUR million)
(Level 3)						Unfavourable scenario	Favourable scenario
Non-trading financial assets mandatorily at fair value through profit or loss
Debt securities
Property securities	Probability weighting	Growth rate	(5)% - 5%	0.00	%	(0.11)	0.11
Equity instruments
Equities	Price Based	Price	90% - 110%	100.00	%	(254.29)	254.29
Financial assets at fair value through other comprehensive income
Loans and advances to customers
Loans	Discounted Cash Flows	Credit spread	n.a.	n.a.		(2.33)	2.33
Loans	Discounted Cash Flows	Interest rate curve	6.1% - 7.2%	6.60	%	—	—
Loans	Discounted Cash Flows	Margin of a reference portfolio	3% - 7%	5	%	(0.25)	0.25
Loans	Present value method	Credit spread	121.9bps - 174.7 bps	121.9bps		(1.6)	—
Loans	Market price	Market price	(0.3)% - 0.1%	(0.30	%)	(2.70)	0.54
Debt securities
Mortgage Letters	Discounted Cash Flows	Mortgage Letters	3.4% - 5.5%	4.50	%	—	—
Equity instruments
Equities	Price Based	Price	90% - 110%	100.00	%	(27.16)	27.16
Financial liabilities held for trading
Derivatives
Cap&Floor	Volatility option model	Volatility	10% - 90%	43.80	%	(0.09)	0.07
FX Options	Volatility option model	Volatility	10% - 90%	42.30	%	(0.33)	0.22
IRS	Discounted Cash Flows	Inflation Swap Rate	1% - 99%	50.40	%	(1.38)	1.40
IRS	Discounted Cash Flows	Credit Spread	8.4bps - 19.2bps	10.70bps		(2.42)	0.66


2024
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.		(0.05)	—
Debt securities
Corporate debt	Discounted Cash Flows	Credit spread	0% - 10%	5.10%		(2.24)	2.29
Government debt	Discounted Cash Flows	Discount curve	0% - 8%	4.00%		(9.21)	9.24
Others	Discounted Cash Flows	Credit spread	10% - 90%	35.50%		(1.32)	0.62
Derivatives
Cap&Floor	Forward estimation	Interest rate	(2)bps - 2bps	0.00	bps	—	—
CCS	Discounted Cash Flows	Credit spread	158% - 165%	161.50	%	(0.01)	0.01
CDS	Price	Credit spread	100% - 250%	178.83	%	(0.09)	0.10
EQ Options	EQ option pricing model	Volatility	0% - 70%	41.25	%	(0.48)	0.69
EQ Options	Local volatility	Volatility	10% - 90%	50.00	%	(21.54)	21.54
FX Forward	Forward estimation	Swap Rate	0% - 15%	8.08	%	(0.06)	0.07
FX Options	FX option pricing model	Volatility	0% - 40%	20.10	%	(0.65)	0.66
Inflation Derivatives	Asset Swap model	Inflation Swap Rate	2% - 8%	4.78	%	(0.21)	0.18
IR Options	IR option pricing model	Volatility	0% - 30%	17.34	%	(0.16)	0.22
IRS	Others	Others	5% - n.a.	n.a.		(4.09)	—
IRS	Discounted Cash Flows	Credit spread	47.8% - 273.4%	155.36	%	(1.91)	1.74
IRS	Discounted Cash Flows	Swap rate	1% - 99%	49.58	%	(2.45)	2.41
Others	Forward estimation	Price	60bps - 300bps	181.50bps		(3.00)	3.08
Property derivatives	Option pricing model	Growth rate	(5)% - 5%	0.00	%	(3.39)	3.39
Securitisation Swap	Discounted Cash Flows	Constant prepayment rates	10% - 90%	50.00	%	(0.63)	0.63
Financial assets designated at fair value through profit or loss
Loans and advances to customers
Loans	Discounted Cash Flows	Credit spreads	0.1% - 2.0%	1.05	%	(0.15)	0.15
Mortgage portfolio	Black Scholes model	Growth rate	(5)% - 5%	0.00	%	(0.24)	0.24
Debt securities
Other debt securities	Others	Inflation Swap Rate	0% - 8%	3.96	%	(3.63)	3.55


2024
Portfolio/Instrument	Valuation technique	Main unobservable inputs	Range	Weighted average		Impacts (EUR million)
(Level 3)						Unfavourable scenario	Favourable scenario
Non-trading financial assets mandatorily at fair value through profit or loss
Debt securities
Property securities	Probability weighting	Growth rate	(5)% - 5%	0.00	%	(0.24)	0.24
Equity instruments
Equities	Price Based	Price	90% - 110%	100.00	%	(183.98)	183.98
Financial assets at fair value through other comprehensive income
Loans and advances to customers
Loans	Discounted Cash Flows	Credit spread	n.a.	n.a.		(18.61)	—
Loans	Discounted Cash Flows	Interest rate curve	3.4% - 6.5%	4.95	%	(0.17)	0.17
Loans	Discounted Cash Flows	Margin of a reference portfolio	(1)bps - 1bps	0bp		(30.36)	30.36
Loans	Forward estimation	Credit spread	150bps - 232bps	150bps		(1.96)	—
Loans	Market price	Market price	(5)% - 20%	0.01	%	(4.91)	1.23
Debt securities
Corporate debt	Discounted Cash Flows	Margin of a reference portfolio	(0.01)% - 0.01%	0.00	%	(0.09)	0.09
Mortgage Letters	Discounted Cash Flows	Mortgage Letters	1.6% - 5.2%	3.40	%	—	—
Equity instruments
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


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.		(0.05)	—
Debt securities
Corporate debt	Discounted Cash Flows	Credit spread	0% - 10%	5.06	%	(4.50)	4.61
Government debt	Discounted Cash Flows	Discount curve	0% - 8%	3.99	%	(8.07)	8.02
Derivatives
CCS	Forward estimation	Interest rate	(6)bps - 6bps	0.40	bps	(0.90)	1.03
CDS	Credit default models	Illiquid credit default spread curves	100bps - 200bps	149.14	bps	(0.14)	0.14
EQ Options	EQ option pricing model	Volatility	0% - 70%	41.25	%	(0.48)	0.69
EQ Options	Local volatility	Volatility	10% - 90%	50.00	%	(21.54)	21.54
FX Options	FX option pricing model	Volatility	0% - 40%	20.10	%	(0.65)	0.66
Inflation Derivatives	Asset Swap model	Inflation Swap Rate	2% - 8%	4.78	%	(0.21)	0.18
IR Options	IR option pricing model	Volatility	0.0% - 30.0%	17.34	%	(0.16)	0.22
IRS	Others	Others	5% - n.a.	n.a.		(4.09)	—
IRS	Discounted Cash Flows	Credit spread	47.8% - 273.4%	155.36	%	(1.91)	1.74
IRS	Discounted Cash Flows	Swap rate	1.0% - 99.0%	49.58	%	(2.45)	2.41
IRS	Forward estimation	Interest rate	(5.2)bps - 5.2bps	0.09	bps	(0.03)	0.03
IRS	Prepayment modelling	Prepayment rate	2.5% - 9.0%	8.92	%	—	0.05
Property derivatives	Option pricing model	Growth rate	(5)% - 5%	0.00	%	(3.39)	3.39
Securitisation Swap	Discounted Cash Flows	Constant prepayment rates	10.00% - 90.00%	50.00	%	(0.63)	0.63
Structured notes	Price based	Price	(10)% - 10%	0.00	%	(1.53)	1.53
Financial assets designated at fair value through profit or loss
Loans and advances to customers
Loans	Discounted Cash Flows	Credit spreads	0.1% - 2%	1.05	%	(0.15)	0.15
Mortgage portfolio	Black Scholes model	Growth rate	(5)%- 5%	0.00	%	(0.24)	0.24
Debt securities
Other debt securities	Others	Inflation Swap Rate	0% - 8%	3.96	%	(3.63)	3.55


2023
Portfolio/Instrument	Valuation technique	Main unobservable inputs	Range	Weighted average		Impacts (EUR million)
(Level 3)						Unfavourable scenario	Favourable scenario
Non-trading financial assets mandatorily at fair value through profit or loss
Debt securities
Property securities	Probability weighting	Growth rate	(5)% - 5%	0.00	%	(0.24)	0.24
Equity instruments
Equities	Price Based	Price	90% - 110%	100.00	%	(183.98)	183.98
Financial assets at fair value through other comprehensive income
Loans and advances to customers
Loans	Discounted Cash Flows	Credit spread	n.a.	n.a.		(18.61)	—
Loans	Discounted Cash Flows	Interest rate curve	3.4% - 6.5%	4.95	%	(0.17)	0.17
Loans	Discounted Cash Flows	Margin of a reference portfolio	(1)bp - 1bp	0bp		(30.36)	30.36
Loans	Forward estimation	Credit spread	150.0bps - 232.0bps	150.00	bps	(1.96)	—
Loans	Market price	Market price	(5)% - 20%	0.01	%	(4.91)	1.23
Debt securities
Corporate debt	Discounted Cash Flows	Margin of a reference portfolio	(0.01)% - 0.01%	0.00	%	(0.09)	0.09
Government debt	Discounted Cash Flows	Interest rate	0% - 2%	0.99	%	—	—
Equity instruments
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
CMS	Discounted Cash Flows	Volatility	10% - 90%	47.66	%	—	—
FX Options	Volatility option model	Volatility	10% - 90%	45.30	%	(0.03)	0.02
IRS	Discounted Cash Flows	Inflation Swap Rate	10% - 90%	39.03	%	(4.09)	1.65
Swaptions	Volatility option model	Volatility	10% - 90%	35.55	%	(0.21)	0.10


	01/01/2025	Changes						31/12/2025
EUR million	Fair value calculated using internal models (Level 3)	Purchases/ Issuances	Sales/Settlements	Changes in fair value recognised in profit or loss	Changes in fair value recognised in equity	Level reclassifications	Other	Fair value calculated using internal models (level 3)
Financial assets held for trading	3,930	5,353	(2,748)	57	—	(9)	(87)	6,496
Central Banks	—	437	—	4	—	—	—	441
Credit entities	769	128	(744)	—	—	—	(1)	152
Customers	1,801	4,450	(1,711)	52	—	2	(2)	4,592
Debt securities	413	110	(112)	(13)	—	(21)	(37)	340
Trading derivatives	947	228	(181)	14	—	10	(47)	971
Swaps	556	1	(81)	(30)	—	(21)	126	551
Exchange rate options	2	—	—	5	—	19	13	39
Interest rate options	30	6	—	1	—	20	(18)	39
Index and securities options	241	1	(41)	37	—	(5)	(113)	120
Interest rate futures	—	—	(14)	—	—	(6)	20	—
Other	118	220	(45)	1	—	3	(75)	222
Hedging derivatives (Assets)	20	—	—	(7)	—	(4)	(2)	7
Swaps	20	—	—	(7)	—	(4)	(2)	7
Financial assets at fair value through profit or loss	106	33	(100)	(5)	—	—	—	34
Loans and advances to customers	20	—	—	(5)	—	—	(1)	14
Debt securities	86	33	(100)	—	—	—	1	20
Non-trading financial assets mandatorily at fair value through profit or loss	2,588	324	(191)	360	—	(266)	74	2,889
Customers	505	—	—	(36)	—	(266)	(32)	171
Debt instruments	242	24	(40)	(27)	—	—	(24)	175
Equity instruments	1,841	300	(151)	423	—	—	130	2,543
Financial assets at fair value through other comprehensive income	8,675	7,635	(6,159)	—	(73)	57	(1,074)	9,061
Loans and advances	7,253	7,259	(5,621)	—	(87)	97	(999)	7,902
Debt securities	1,047	360	(530)	—	16	(40)	34	887
Equity instruments	375	16	(8)	—	(2)	—	(109)	272
TOTAL ASSETS	15,319	13,345	(9,198)	405	(73)	(222)	(1,089)	18,487
Financial liabilities held for trading	934	160	(206)	(59)	—	16	19	864
Trading derivatives	934	160	(206)	(59)	—	16	19	864
Swaps	479	1	(88)	(90)	—	19	97	418
Exchange rate options	—	—	(1)	2	—	18	15	34
Interest rate options	79	—	(25)	17	—	(3)	27	95
Index and securities options	294	1	(83)	6	—	(4)	(63)	151
Securities and interest rate futures	—	—	—	—	—	(19)	19	—
Others	82	158	(9)	6	—	5	(76)	166
Hedging derivatives (Liabilities)	12	—	(1)	14	—	(6)	—	19
Swaps	12	—	—	14	—	(6)	(1)	19
Interest rate options	—	—	(1)	—	—	—	1	—
Financial liabilities designated at fair value through profit or loss	160	—	(49)	—	—	(111)	—	—
Liabilities under insurance contracts	246	—	—	(19)	—	—	—	227
TOTAL LIABILITIES	1,352	160	(256)	(64)	—	(101)	19	1,110


	01/01/2024	Changes						31/12/2024
EUR million	Fair value calculated using internal models (level 3)	Purchases /Issuances	Sales/Settlements	Changes in fair value recognized in profit or loss	Changes in fair value recognized in equity	Level reclassifications	Other	Fair value calculated using internal models (level 3)
Financial assets held for trading	2,086	3,205	(813)	302	—	(715)	(135)	3,930
Credit entities	—	770	—	(1)	—	—	—	769
Customers	24	1,808	(24)	(7)	—	—	—	1,801
Debt securities	914	355	(384)	(39)	—	(377)	(56)	413
Equity instruments	1	—	—	(1)	—	—	—	—
Trading derivatives	1,147	272	(405)	350	—	(338)	(79)	947
Swaps	577	184	(278)	186	—	(152)	39	556
Exchange rate options	9	—	(1)	—	—	(6)	—	2
Interest rate options	153	13	(42)	(20)	—	(74)	—	30
Index and securities options	235	42	(44)	128	—	(106)	(14)	241
Other	173	33	(40)	56	—	—	(104)	118
Hedging derivatives (Assets)	—	—	—	15	—	(1)	6	20
Swaps	—	—	—	15	—	(1)	6	20
Financial assets at fair value through profit or loss	181	417	(300)	13	—	(201)	(4)	106
Loans and advances to customers	31	—	—	(5)	—	(23)	17	20
Debt securities	150	417	(300)	18	—	(178)	(21)	86
Non-trading financial assets mandatorily at fair value through profit or loss	2,095	719	(349)	73	—	132	(82)	2,588
Customers	287	390	(128)	(31)	—	41	(54)	505
Debt instruments	313	4	(96)	10	—	11	—	242
Equity instruments	1,495	325	(125)	94	—	80	(28)	1,841
Financial assets at fair value through other comprehensive income	5,989	6,707	(3,781)	—	(136)	6	(110)	8,675
Loans and advances	4,938	5,962	(3,685)	—	43	—	(5)	7,253
Debt securities	559	743	(81)	—	(74)	6	(106)	1,047
Equity instruments	492	2	(15)	—	(105)	—	1	375
TOTAL ASSETS	10,351	11,048	(5,243)	403	(136)	(779)	(325)	15,319
Financial liabilities held for trading	869	472	(200)	(95)	—	(266)	154	934
Trading derivatives	869	472	(200)	(95)	—	(266)	154	934
Swaps	388	371	(20)	(205)	—	(105)	50	479
Exchange rate options	8	—	(5)	—	—	(3)	—	—
Interest rate options	139	—	(54)	3	—	(10)	1	79
Index and securities options	187	54	(14)	113	—	(40)	(6)	294
Others	147	47	(107)	(6)	—	(108)	109	82
Hedging derivatives (Liabilities)	6	—	—	—	—	—	6	12
Swaps	6	—	—	—	—	—	6	12
Financial liabilities designated at fair value through profit or loss	29	41	(5)	1	—	94	—	160
Liabilities under insurance contracts	323	—	—	(26)	—	—	(51)	246
TOTAL LIABILITIES	1,227	513	(205)	(120)	—	(172)	109	1,352


	01/01/2023	Changes						31/12/2023
EUR million	Fair value calculated using internal models (level 3)	Purchases/ Issuances	Sales/Settlements	Changes in fair value recognised in profit or loss	Changes in fair value recognised in equity	Level reclassifications	Other	Fair value calculated using internal models (level 3)
Financial assets held for trading	383	496	(149)	194	—	1,162	—	2,086
Customers	—	23	—	1	—	—	—	24
Debt securities	42	126	(63)	30	—	773	6	914
Equity instruments	1	—	—	—	—	—	—	1
Trading derivatives	340	347	(86)	163	—	389	(6)	1,147
Swaps	139	90	(4)	179	—	191	(18)	577
Exchange rate options	4	1	—	4	—	—	—	9
Interest rate options	39	—	—	2	—	112	—	153
Index and securities options	48	132	(4)	(20)	—	76	3	235
Other	110	124	(78)	(2)	—	10	9	173
Financial assets at fair value through profit or loss	427	51	—	(21)	—	22	(298)	181
Loans and advances to customers	5	—	—	4	—	22	—	31
Debt securities	422	51	—	(25)	—	—	(298)	150
Non-trading financial assets mandatorily at fair value through profit or loss	1,833	345	(238)	107	—	(6)	54	2,095
Customers	239	99	(73)	13	—	—	9	287
Debt securities	325	38	(48)	(5)	—	—	3	313
Equity instruments	1,269	208	(117)	99	—	(6)	42	1,495
Financial assets at fair value through other comprehensive income	5,647	3,322	(3,411)	—	(204)	231	404	5,989
Loans and advances	4,718	3,322	(3,408)	—	36	160	110	4,938
Debt securities	229	—	—	—	5	71	254	559
Equity instruments	700	—	(3)	—	(245)	—	40	492
TOTAL ASSETS	8,290	4,214	(3,798)	280	(204)	1,409	160	10,351
Financial liabilities held for trading	415	276	(167)	(118)	—	476	(13)	869
Trading derivatives	415	276	(167)	(118)	—	476	(13)	869
Swaps	235	53	(83)	(58)	—	257	(16)	388
Exchange rate options	—	6	—	2	—	—	—	8
Interest rate options	19	4	(5)	(16)	—	137	—	139
Index and securities options	42	88	(13)	(15)	—	82	3	187
Others	119	125	(66)	(31)	—	—	—	147
Hedging derivatives (Liabilities)	14	—	—	(3)	—	(5)	—	6
Swaps	14	—	—	(3)	—	(5)	—	6
Financial liabilities designated at fair value through profit or loss	151	32	(151)	(3)	—	—	—	29
Liabilities under insurance contracts	345	—	—	—	(40)	—	18	323
TOTAL LIABILITIES	925	308	(318)	(124)	(40)	471	5	1,227