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Derivative financial instruments
 12 Months Ended
Dec. 31, 2025
Derivative Financial Instruments  
Derivative financial instruments

 

8.Derivative financial instruments

The primary risk factors associated with the derivative instruments undertaken relate to exchange rates, interest rates, and equity income. In managing these and other market risk factors, the Bank employs practices that encompass the measurement and monitoring of the utilization of limits previously established by internal committees, the portfolios' value at risk, sensitivities to interest rate fluctuations, foreign exchange exposure, liquidity gaps, among other practices that enable the control and monitoring of risks, which could potentially impact Banco Santander's positions across the various markets in which it operates. Based on this management model, the Bank has been able to optimize the risk-reward ratio, even amidst conditions of significant volatility, through the use of operations involving derivative instruments.

The fair value of derivative financial instruments is determined using market price quotations when available. The fair value of swaps is calculated through discounted cash flow modeling techniques, reflecting appropriate risk factors. The fair value of forward and futures contracts is also determined based on market price quotations for exchange-traded derivatives or employing methodologies similar to those used for swaps. The fair value of options is calculated using mathematical models, such as the Black-Scholes model, implied volatilities, and the fair value of the corresponding asset. Current market prices are utilized to determine volatilities. For derivatives that do not have prices directly disclosed by exchanges, the fair value is ascertained through pricing models that leverage market information, inferred from the disclosed prices of more liquid assets. This process involves extracting interest rate curves and market volatilities from these prices, which are then used as input data for the models.

a) Derivative Financial Instruments

a.1) Derivative Financial Instruments Recorded in the Off-Balance Sheet and Equity Accounts.

Overview of Trading and Hedging Derivatives Portfolio

   
  2025 2024
Assets    
Swap Differential Receivables 11,595,591 16,710,659
Premiums on Unexercised Options 6,312,487 4,960,933
Forward Contracts and Others 47,899,620 18,534,707
Total 65,807,698 40,206,299
     
Liabilities    
Swap Differential Payables 11,893,221 16,746,167
Premiums on Issued Options 5,970,844 4,455,074
Forward Contracts and Others 42,147,926 18,209,033
Total 60,011,991 39,410,274

 

           
Breakdown by Category             
             
Trading 2025 2024
             
 

Notional

Value (1)

 Curve Value Fair Value

Notional

Value(1)

 Curve Value Fair Value
Swap 1,091,352,145 (2,221,515) (297,630) 858,277,413 (5,247,457) (35,508)
Assets 544,480,673 9,298,735 11,595,591 421,892,846 11,989,199 16,710,659
Interest Rate 424,253,131 6,039,353 6,846,017 212,769,602 8,288,494 9,155,516
Foreign Currency 118,489,312 3,257,875 4,746,233 207,863,441 3,593,516 7,449,012
Other 1,738,230 1,507 3,341 1,259,803 107,189 106,131
Liabilities 546,871,472 (11,520,250) (11,893,221) 436,384,567 (17,236,656) (16,746,167)
Interest Rates  510,279,375 (10,369,508) (10,349,447) 300,101,297 (13,645,096) (13,848,265)
Foreign Currency 35,498,945 (1,150,742) (1,353,372) 133,470,413 (3,588,425) (2,726,684)
Others 1,093,152 - (190,402) 2,812,857 (3,135) (171,218)
Options 724,241,728 (2,364,529) 341,643 538,580,487 (1,728,092) 505,859
Purchase Commitments 300,697,253 4,436,345 6,312,487 248,136,848 2,889,580 4,960,933
Foreign Currency Call Options 20,042,978 2,152,833 2,066,252 17,652,929 1,170,432 2,035,002
Foreign Currency Put Options 15,954,554 855,034 900,935 10,969,754 449,432 297,814
Other Call Options  12,400,038 887,741 3,216,466 25,078,274 769,593 2,530,004
Interbank Market 5,677,984 555,307 2,287,818 4,228,408 420,720 1,456,616
Others (2) 6,722,054 332,434 928,648 20,849,866 348,873 1,073,388
Put Option - Other 252,299,683 540,737 128,834 194,435,891 500,123 98,113
Interbank Market 204,462 113,366 74,030 553,161 111,802 80,262
Other (2) 252,095,221 427,371 54,804 193,882,730 388,321 17,851
Sale Commitments 423,544,475 (6,800,874) (5,970,844) 290,443,639 (4,617,672) (4,455,074)
Foreign Currency Call Options 11,780,868 (629,651) (430,424) 10,516,526 (597,168) (786,706)
Foreign Currency Put Options 12,130,582 (637,961) (681,040) 11,046,513 (555,932) (275,212)
Other Call Options 90,098,059 (4,452,630) (3,443,887) 57,500,051 (2,868,865) (3,203,477)
Interbank Market 25,152,891 (2,505,829) (1,845,726) 21,145,788 (2,104,995) (1,578,796)
Other (2) 64,945,168 (1,946,801) (1,598,161) 36,354,263 (763,870) (1,624,681)
Other Put Options 309,534,966 (1,080,632) (1,415,493) 211,380,549 (595,707) (189,679)
Interbank Market 2,860,119 (239,648) (507,171) 1,395,691 (155,776) (29,908)
Other (2) 306,674,847 (840,984) (908,322) 209,984,858 (439,931) (159,771)
Futures Contracts 567,709,896 - - 785,337,224 - -
Long Position 283,663,279 - - 396,239,839 - -
Exchange Coupon (DDI) 95,881,997 - - 143,814,584 - -
Interest Rates (DI1 and DIA) 160,220,757 - - 135,768,788 - -
Foreign Currency 21,182,934 - - 106,481,787 - -
Indexes (3) 3,206,380 - - 7,717,797 - -
Treasury Bonds/Notes 3,171,211 - - 2,456,883 - -

 

Short Position 284,046,617 - - 389,097,385 - -
Exchange Coupon (DDI) 95,902,371 - - 143,814,584 - -
Interest Rate (DI1 and DIA) 160,220,757 - - 138,131,331 - -
Foreign Currency 21,545,898 - - 96,976,790 - -
Index (3) 3,206,380 - - 7,717,797 - -
Treasury Bonds/Notes 3,171,211 - - 2,456,883 - -
Forward Contracts and Others 480,123,205 (37,395,965) 5,751,694 443,722,256 6,675,015 325,674
Purchase Commitments 221,363,620 5,957,072 47,899,620 226,379,907 13,065,871 18,534,707
Currencies 154,265,360 5,618,233 8,490,694 176,481,430 4,649,383 2,617,536
Other 67,098,260 338,839 39,408,926 49,898,477 8,416,488 15,917,171
Sale Commitments 258,759,585 (43,353,037) (42,147,926) 217,342,349 (6,390,856) (18,209,033)
Currencies 191,491,609 (42,844,482) (2,513,427) 177,766,056 (5,934,009) (6,151,264)
Other 67,267,976 (508,555) (39,634,499) 39,576,293 (456,847) (12,057,769)

(1) Adjusted nominal value of the contracts minal value of updated contracts.

(2) Includes index options, primarily options related to U.S. Treasury, stocks, and stock indices.

(3) Includes Bovespa and S&P indices.

 

a.2) Derivatives Financial Instruments by Counterparty

         
Notional         2025
      Related Financial  
    Customers Parties Institutions (1) Total
Swap   482,221,063 543,012,725 66,118,357 1,091,352,145
Options   112,446,529 10,162,546 601,632,653 724,241,728
Futures Contracts   6,586,544 308,134 560,815,218 567,709,896
Forward Contracts and Others   101,871,220 280,719,313 97,532,672 480,123,205

(1) Includes transactions that have as counterparty B3 S.A. - Brasil, Bolsa, Balcão (B3) and other stock and commodities exchanges.

 

Notional       2024
    Related Financial  
  Customers  Parties Institutions (1) Total
Swap 248,822,684 408,569,543 200,885,186 858,277,413
Options 72,193,642 7,707,652 458,679,193 538,580,487
Futures Contracts 13,890,950 3,628,688 767,817,586 785,337,224
Forward Contracts and Others 180,609,297 193,284,055 69,828,904 443,722,256

(1) Includes transactions that have as counterparty B3 S.A. - Brasil, Bolsa, Balcão (B3) and other stock and commodities exchanges.

 

a.3) Derivatives Financial Instruments by Maturity

       
Notional       2025
  Up to From 3 to Over   
   3 Months 12 Months 12 Months Total
Swap 215,444,602 122,788,587 753,118,956 1,091,352,145
Options 235,359,167 389,872,228 99,010,333 724,241,728
Futures Contracts 158,211,486 157,998,367 251,500,043 567,709,896
Forward Contracts and Others 270,558,427 118,706,257 90,858,521 480,123,205

 

Notional       2024
  Up to From 3 to Over   
   3 Months 12 Months 12 Months Total
Swap 118,831,333 142,493,857 596,952,223 858,277,413
Options 80,264,346 375,497,526 82,818,615 538,580,487
Futures Contracts 415,684,910 197,209,979 172,442,335 785,337,224
Forward Contracts and Others 273,869,288 104,483,252 65,369,716 443,722,256

 

a.4) Derivative Financial Instruments by Trading Market

     
Notional Stock Exchanges (1) Over-the-Counter Market 2025
  Total
Swap 71,829,722 1,019,522,423 1,091,352,145
Options 539,875,480 184,366,248 724,241,728
Futures Contracts 567,339,980 369,916 567,709,896
Forward Contracts and Others 20,496,769 459,626,436 480,123,205

(1) Includes transactions that have as counterparty B3 S.A. - Brasil, Bolsa, Balcão (B3) and other stock and commodities exchanges.

 

Notional Stock Exchanges (1) Over-the-Counter Market 2024
  Total
Swap 167,924,413 690,353,000 858,277,413
Options 415,336,707 123,243,780 538,580,487
Futures Contracts 781,708,536 3,628,688 785,337,224
Forward Contracts and Others 55,754,746 387,967,510 443,722,256

(1) Includes transactions that have as counterparty B3 S.A. - Brasil, Bolsa, Balcão (B3) and other stock and commodities exchanges.

a.5) Information on Credit Derivatives

Banco Santander uses credit derivatives with the objectives of performing counterparty risk management and meeting its customers' demands, performing protection purchase and sale transactions through credit default swaps and total return swaps, primarily related to Brazilian sovereign risk securities.

Total Return Swaps – TRS

These are credit derivatives in which the return from the reference obligation is exchanged for a cash flow, and where upon the occurrence of a credit event, the protection buyer typically has the right to receive from the protection seller the equivalent of the difference between the updated value and the fair value of the benchmark obligation at the contract's settlement date.

Credit Default Swaps – CDS

These are credit derivatives where, upon the occurrence of a credit event, the protection buyer is entitled to receive from the protection seller an amount equal to the difference between the face value of the CDS contract and the fair value (fair value) of the benchmark obligation at the settlement date of the contract. In exchange, the seller receives a fee for providing the protection.

Below, the composition of the Credit Derivatives portfolio shown by its reference value.

 

       
    2025   2024
  Nominal Value Nominal Value Nominal Value Nominal Value
  Retained Risk Transferred Risk - Retained Risk Transferred Risk -
  Total Return Swap Rate Credit Swap Total Return Swap Rate Credit Swap
Credit Swaps - 7,950,397 4,421,208 16,153,307
Total - 7,950,397 4,421,208 16,153,307

 

During the period, there were no credit events associated with the precipitating factors specified in the contracts.

a.6) Accounting Hedge

There are three types of hedge accounting: Fair Value Hedge, Cash Flow Hedge and Foreing Currency Investments Hedge.

The derivatives used as hedging instruments are represented as follows:

a.6.I ) Fair Value Hedge

The Bank's fair value hedging strategy involves mitigating exposure to fair value fluctuations, specifically regarding interest receipts and payments on recognized assets and liabilities.

The fair value management methodology adopted by the Bank segregates transactions based on risk factors (e.g., BRL/USD exchange rate risk, fixed interest rate risk in BRL, USD exchange rate coupon risk, inflation risk, interest risk, etc.). The transactions generate exposures that are consolidated by risk factor and compared with pre-established internal thresholds.

To mitigate fluctuations in fair value associated with the receipt and payment of interest, the Bank employs interest rate swap contracts concerning fixed-rate assets and liabilities.

The Bank utilizes fair value hedge in the following manner:

• Designates Foreign Currency Swaps + Coupon versus % CDI and Fixed BRL Interest Rate or contracts USD Futures (DOL, DDI/DI) as a derivative instrument in Hedge Accounting structures, with foreign currency loan operations as the hedged item.

• The Bank maintains an active loan portfolio originated in fixed-rate U.S. Dollars at Santander EFC, whose transactions are recorded in Euros. To manage this currency mismatch, the Bank designates a Foreign Currency Swap, exchanging Floating Euros for Fixed U.S. Dollars, as a hedge against market risk for the corresponding loans.

• The Bank is subject to a pre-fixed interest rate risk stemming from Government Securities (NTN-F and LTN) held within its Financial Assets portfolio, which are measured through Other Comprehensive Income. To manage this risk mismatch, the Bank enters into DI futures contracts on the exchange or engages in interest rate swaps, designating these as derivative instruments within a Hedge Accounting structure.

• The Bank is exposed to IPCA (broad consumer price index) risk stemming from debentures within its available-for-sale securities portfolio. To manage this exposure, the Bank enters into IPCA futures contracts ("DAP") on the exchange and designates them as derivative instruments within a Hedge Accounting structure.

Santander assesses effectiveness requirements through:

• Demonstration of the economic relationship between the hedged item and the hedging instrument through a qualitative test and, if not met, through quantitative tests that compare the market value of the hedged items, corresponding to the hedged risk, with the value of the hedging instruments. Additionally, a quantitative test of the variations in the market values of the hedging instrument and the hedged item is performed prospectively;

• Calculation of the hedge ratio, which corresponds to the ratio between the quantity of items effectively hedged by Santander and the quantity of hedging instruments effectively used;

• Assessment of the predominance of credit risk, carried out through the analysis of the credit risk exposure of the hedged items and the hedging instruments;

In fair value hedges, both gains and losses on hedging instruments and on the hedged items (attributable to the type of risk being hedged) are recognized directly in the consolidated statement of profit or loss.

     
            12/31/2025
            Hedged 
      Hedge Instruments     Items
  Curve   Accounting Curve   Accounting
Strategies Value Fair value Value Value Fair value Value
Swap Contracts 107,845 1,664,551 1,772,396 108,402 1,664,551 1,772,953
Loan Operations Hedge 42,513 1,166,421 1,208,934 39,902 1,166,421 1,206,323
Securities Hedge 65,332 498,130 563,462 68,500 498,130 566,630
Futures Contracts 588,237 58,383,294 58,971,531 516,518 61,963,365 62,479,883
Loan Operations Hedge 196,301 1,384,510 1,580,811 169,359 1,565,217 1,734,576
Securities Hedge 88,352 52,602,490 52,690,842 70,784 55,116,924 55,187,708
Funding Hedge 303,584 4,396,294 4,699,878 276,375 5,281,224 5,557,599

 

       
            12/31/2024
            Hedged 
      Hedge Instruments     Items
  Curve   Accounting Curve   Accounting
Strategies Value Fair value Value Value Fair value Value
Swap Contracts 30,481 222,625 253,106 10,979 200,658 211,637
Loan Operations Hedge 30,481 222,625 253,106 10,979 200,658 211,637
Future Contracts 160,951 43,416,076 43,577,027 (222,149) 38,332,070 38,109,921
Loan Operations Hedge 156,408 13,238,024 13,394,432 (54,560) 10,017,522 9,962,962
Securities Hedge (142,206) 25,344,183 25,201,977 213,204 22,504,539 22,717,743
Funding Hedge 146,749 4,833,869 4,980,618 (380,793) 5,810,009 5,429,216
(*) The Bank employs market risk hedging strategies, the targets of which are assets in its portfolio, which is why we present the liabilities side of the respective instruments. For structures that have futures as instruments, we provide the balance of the daily adjustment calculated, recorded in the off-balance sheet account.

 

a.6.II) Cash Flow Hedge

The Bank's cash flow hedging strategies consist of hedging against exposure to fluctuations in cash flows, interest payments, and currency exchange rates, which are attributable to changes in interest rates affecting recognized assets and liabilities, as well as exchange rate fluctuations impacting unrecognized assets and liabilities.

The Bank utilizes cash flow hedge in the following manner:

• The Bank engages in active swaps indexed to fixed US Dollars and liabilities in foreign currency, designating these as hedging instruments within a Cash Flow Hedge structure, where the hedged items are foreign currency loans negotiated with third parties via its offshore branches and Brazilian external debt securities measured at amortized cost.

• The Bank enters into Dollar Futures or DDI + DI Futures (Synthetic Dollar Futures) contracts and designates them as hedging instruments within a Cash Flow Hedge structure, where the hedged items are the Bank's portfolio of Dollar-denominated loans and Promissory Notes in the available-for-sale securities portfolio measured at Fair Value Through Other Comprehensive Income.

• The Bank maintains a portfolio of assets indexed to the Euro and traded in offshore branches. In the transaction, the value of the asset in Euros will be converted to Dollars at the exchange rate specified in the foreign exchange contract for the transaction. After this conversion, the principal amount of the transaction, now denominated in Dollars, will be adjusted by either a floating or a fixed rate. The assets will be hedged with a Cross-Currency Swap to transfer the Euro risk to LIBOR + Coupon.

Santander assesses effectiveness requirements through:

• Demonstration of the economic relationship between the hedged item and the hedging instrument through a qualitative test and, if not met, through quantitative tests that compare the market value of the hedged items, corresponding to the hedged risk, with the value of the hedging instruments. Additionally, a quantitative test of the variations in the market values of the hedging instrument and the hedged item is performed prospectively;

• Calculation of the hedge ratio, which corresponds to the ratio between the quantity of items effectively hedged by Santander and the quantity of hedging instruments effectively used;

• Assessment of the predominance of credit risk, carried out through the analysis of the credit risk exposure of the hedged items and the hedging instruments;

In this hedging strategy, the effectiveness tests are conducted by comparing two proxies, one for the hedged item and another for the hedging instrument.

The hedged item proxy is a "conceptual" swap, where the passive leg mimics the part of the Stable Portion intended for protection, and the active pre-fixed leg mirrors the set of futures designated as the hedge, consistent with the market rates on the hedge designation day. The hedge instrument proxy is a "conceptual" swap, in which the active leg consists of the number of futures contracts designated as the hedge, and the passive pre-fixed leg represents the rate negotiated at the acquisition of these contracts. The proxy remains stable throughout the strategy as the contracts are held to maturity.

Any ineffectiveness is recognized in the income statement under the line item "Gains (losses) on financial assets and liabilities (net)."

In cash flow hedges, the effective portion of the change in the fair value of the hedging instrument is temporarily recognized in equity under the line item "Other Comprehensive Income - Cash Flow Hedges" (note 25) until the projected transactions take place. At that point, this portion is recognized in the consolidated statements of income, except if the projected transactions result in the recognition of non-financial assets or liabilities, in which case this portion will be included in the cost of the financial asset or liability. The ineffective portion of the change in the value of foreign exchange hedging derivatives is recognized directly in the consolidated statements of income. Furthermore, the ineffective portion of gains and losses on cash flow hedge instruments in a foreign operation is directly recognized in "Gains (losses) on financial assets and liabilities (net)" in the consolidated income statements.

 

       
  2025 2024
Hedge Structure Effective Portion Accumulated Portion Ineffective Effective Portion Accumulated Portion Ineffective
  Cash Flow Hedge        
CDB (367,808) - 511,175 -
Total (367,808) - 511,175 -

 

           
       
          12/31/2025
          Hedge Instruments Hedge Object
  Curve   Adjustment to Curve   Accounting
Strategies Value Fair value Fair value Value Fair value Value
Future Contracts (626,619) 77,325,400 76,698,781 (566,771) 76,258,560 75,691,789
Hedge of Securities (250,800) 7,115,000 6,864,200 (244,504) 6,048,160 5,803,656
Funding Hedge (375,819) 70,210,400 69,834,581 (322,267) 70,210,400 69,888,133
             
       
          12/31/2024
          Hedge Instruments Hedge Object
  Curve Accounting Adjustment to Curve Market Accounting
Strategies Value Value - liability Fair value Value Value Value
Future Contracts (5,610) 79,915,645 79,910,035 (177,822) 77,474,456 77,296,634
Credit Operations Hedge (73,277) 1,639,466 1,566,189 8,011 730,322 738,333
Hedge of Securities (40,187) 35,717,857 35,677,670 56,491 27,556,993 27,613,484
Funding Hedge 107,854 42,558,322 42,666,176 (242,324) 49,187,141 48,944,817

 

a.6) Derivative Financial Instruments - Margins Pledged as Guarantee

The margin provided as collateral for trading at B3 S.A. involving proprietary and third-party derivative financial instruments is composed of federal government securities.

 

   
Reference Value 2025 2024
Financial Treasury Bills - LFT 18,735,636 23,592,560
National Treasury Bills - LTN 15,971,113 6,891,750
National Treasury Notes - NTN 7,063,913 4,775,236
Total 41,770,662 35,259,546

 

b) Short Positions

On December 31, 2025, the balance of short positions totaled 49,380,059 (2024 - 39,396,666 ), which includes the value of financial liabilities resulting from the direct sale of financial assets purchased through resale commitments or borrowed.