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Fair value of financial instruments (Tables) | 12 Months Ended
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Dec. 31, 2025
Fair Value of Financial Instruments [Abstract] |
Schedule of fair values of financial assets and liabilities | The following table summarises the fair values, at the end of each of the years indicated, of the financial assets and liabilities listed below, classified according to the different valuation methodologies used by the Group to determine their fair value:
EUR million
| 2025 | 2024 | 2023
| Published price quotations in active markets (level 1) | Internal Models (level 2 and 3) | Total | Published price quotations in active markets (level 1) | Internal Models (level 2 and 3) | Total | Published price quotations in active markets (level 1) | Internal Models (level 2 and 3) | Total
Financial assets held for trading | 106,560 |  | 145,758 |  | 252,318 |  | 88,147 |  | 142,106 |  | 230,253 |  | 67,842 |  | 109,079 |  | 176,921 |
Non-trading financial assets mandatorily at fair value through profit or loss | 2,407 |  | 5,354 |  | 7,761 |  | 2,037 |  | 4,093 |  | 6,130 |  | 1,765 |  | 4,145 |  | 5,910 |
Financial assets designated at fair value through profit or loss | 2,860 |  | 5,186 |  | 8,046 |  | 2,744 |  | 5,171 |  | 7,915 |  | 2,746 |  | 7,027 |  | 9,773 |
Financial assets at fair value through other comprehensive income | 52,589 |  | 22,023 |  | 74,612 |  | 67,680 |  | 22,218 |  | 89,898 |  | 64,631 |  | 18,677 |  | 83,308 |
Hedging derivatives (assets) | — |  | 3,931 |  | 3,931 |  | — |  | 5,672 |  | 5,672 |  | — |  | 5,297 |  | 5,297 |
Financial liabilities held for trading | 37,192 |  | 134,354 |  | 171,546 |  | 29,974 |  | 122,177 |  | 152,151 |  | 20,298 |  | 101,972 |  | 122,270 |
Financial liabilities designated at fair value through profit or loss | — |  | 42,148 |  | 42,148 |  | — |  | 36,360 |  | 36,360 |  | 25 |  | 40,342 |  | 40,367 |
Hedging derivatives (liabilities) | — |  | 4,248 |  | 4,248 |  | — |  | 4,752 |  | 4,752 |  | — |  | 7,656 |  | 7,656 |
Liabilities under insurance contracts | — |  | 18,737 |  | 18,737 |  | — |  | 17,829 |  | 17,829 |  | — |  | 17,799 |  | 17,799 |
Schedule of financial instruments at fair value whose measurement was based on internal models (Levels 2 and 3) | Set forth below are the financial instruments at fair value whose measurement was based on internal models (levels 2 and 3) at 31 December 2025, 2024 and 2023:
EUR million
| Fair values calculated using internal models at |  |  |
| 2025 A |  |  |
| Level 2 | Level 3 |  | Valuation techniques | Main assumptions
ASSETS | 163,796 |  | 18,487 |  |  |  |
Financial assets held for trading | 139,293 |  | 6,496 |  |  |  |
Central banks B | 14,191 |  | 441 |  |  | Present value method | Yield curves, FX market prices
Credit institutions B | 25,815 |  | 152 |  |  | Present value method | Yield curves, FX market prices
Customers B | 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 Copula C | 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 instruments C | 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 receivables C | 6,124 |  | 7,902 |  |  | Present value method | Yield curves, FX market prices and Credit curves
EUR million
| Fair values calculated using internal models at |  |  |
| 2025 A |  |  |
| Level 2 | Level 3 |  | Valuation techniques | Main assumptions
LIABILITIES | 198,377 |  | 1,110 |  |  |  |
Financial liabilities held for trading | 133,490 |  | 864 |  |  |  |
Central banks B | 12,385 |  | — |  |  | Present value method | FX market prices, Yield curves
Credit institutions B | 27,058 |  | — |  |  | Present value method | FX market prices, Yield curves
Customers | 36,120 |  | — |  |  | Present value method C | 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 |  |  |  |
Swaps D | 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
A. Level 2 internal models use data based on observable market parameters, while level 3 internal models use significant non-observable inputs in market data. B. Includes mainly temporary acquisitions/disposals of assets with corporate clients and, to a lesser extent, with central banks. C. Includes mainly syndicated loans under the HTC&S business model. D. It mainly includes short-term deposits that are managed based on their fair value.
EUR million
| Fair values calculated using internal models at |  | Fair values calculated using internal models at |  |
| 2024 A |  | 2023 A |  |
| 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 banks B | 12,966 |  | — |  | 17,717 |  | — |  |  | Present value method
Credit institutions B | 26,546 |  | 769 |  | 14,061 |  | — |  | Present Value method
Customers B | 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 receivables C | 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 |  |
| 2024 A |  | 2023 A |  |
| 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 banks B | 13,300 |  | — |  | 7,808 |  | — |  |  | Present Value method
Credit institutions B | 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 loss D | 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
A. Level 2 internal models use data based on observable market parameters, while level 3 internal models use significant non-observable inputs in market data. B. Includes mainly temporary acquisitions/disposals of assets with corporate clients and, to a lesser extent, with central banks. C. Includes mainly syndicated loans under the HTC&S business model. D. Includes, mainly, short-term deposits that are managed based on their fair value.
Schedule of effect on fair value of financial instruments classified as Level 3 of a reasonable change in the assumptions used in the valuation | The table below shows the effect, at 31 December 2025, 2024 and 2023 on the fair value of the main financial instruments classified as level 3 of a reasonable change in the assumptions used in the valuation. This effect was determined by applying the probable valuation ranges of the main unobservable inputs detailed in the following table:
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 |
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.
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 |
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.
Schedule of changes in fair value of financial assets and liabilities calculated using internal models | Lastly, the changes in the financial instruments classified as Level 3 in 2025, 2024 and 2023 were as follows:
| 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 |

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