Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 48

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 48
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 We conduct a materiality assessment every quarter to identify, assess and monitor the Group’s climate-related and environmental credit risks by sector and geography. This assessment involves a review of the present day and other time horizons based on climate scenarios . We use in-house scenario analysis techniques and climate stress test models to calculate and monitor climate impacts on key credit risk metrics, such as the probability of default (PD) and loss given default (LGD), across several time horizons, scenarios and at all geography, sector and unit levels. We complete this assessment with three further initiatives, among others: a. Customer assessment for the corporate portfolios that analyze the key aspects of transition, physical, social and environmental risk. This assessment is conducted locally. b. Deep dives into key portfolios such as the collaterals in real estate and auto loans.

c. Geographical assessment of physical risk (acute and chronic) that uses information from expert models across different scenarios and time horizons. The findings of our materiality assessments are key to defining our strategy, risk appetite, the identification of emerging risks and even for other stress test exercises (such as the ICAAP-Capital adequacy assessment process). Materiality assessment enhancements in 2024 In 2024, we enhanced our credit materiality assessment to reflect the latest industry and regulatory developments by: a. Enhancing geographic granularity of physical risk (acute and chronic) information in our European portfolio, from Nomenclature of territorial units for statistics at level 3 (NUTS3) to postcode in our core markets of Poland, Portugal, Spain and the United Kingdom; b. The development of a new real estate module in Klima tool, which includes physical and transition risks; c. Improved how we manage and assess collateral through the efficiency performance certificates (EPC) by obtaining data, developing estimation models and drawing up plans to gather such information during customer onboarding processes. d. Implemented concentration metrics to monitor physical and transition risk management in our subsidiaries; and e. Used internal climate stress test models (included in the ICAAP) to calculate financial impacts (customer 'bottom-up' approach for the CIB portfolio and 'top-down' approach at sector and geography level for the rest of the portfolios).

Annual report 2024 46

| Contents |     | Business model and strategy |     | Sustainability statement |     | Corporate governance |     | Economic and financial review |     | Riskmanagement and compliance |

Klima

We run our materiality assessments through our ESCC Credit Risk Management tool