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Fair value of financial instruments | 12 Months Ended
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Dec. 31, 2025
Fair Value of Financial Instruments [Abstract] |
Fair value of financial instruments | Fair value of financial instruments a) Details 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 |
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 Risk (on a periodic basis, validation of pricing models and daily risk certification of market data, computation of risk metrics, new transaction approval policies, management control 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 following subsections set forth the most important products and families of derivatives, and the related valuation techniques and inputs, by asset class: 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. 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. b) Financial Instruments (level 3) 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. The measurements obtained using the internal models might have been different if other methods or assumptions had been used with respect to interest rate risk, to credit risk, market risk and foreign currency risk spreads, or to their related correlations and volatilities. Nevertheless, the Bank considers that the fair value of the financial assets and liabilities recognised in the consolidated balance sheet and the gains and losses arising from these financial instruments are reasonable. The net amount recognised in profit and loss in 2025 arising from models whose significant inputs are unobservable market data (level 3) amounted to EUR 469 profit (EUR 523 million and EUR 404 million profit in 2024 and 2023, respectively). 1. Valuation techniques 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. 2. Movement of financial instruments classified as Level 3 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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- Definition The disclosure of the fair value of financial instruments. [Refer: Classes of financial instruments [domain]; At fair value [member]] + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Note Expiry date 2027-01-01 -Name IAS -Number 1 -IssueDate 2025-01-01 -Paragraph 10 -Subparagraph e -URI https://taxonomy.ifrs.org/xifrs-link?type=IAS&num=1&code=ifrs-tx-2025-en-b&anchor=para_10_e&doctype=Standard -URIDate 2025-03-27 + Details
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- Definition Fair value of financial instruments [Abstract] + References No definition available. + Details
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