Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 161

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 161
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 Assessment as of September 2024.                                     
 B. Assessment as of November 2024                                       |     |                 |     |    |     |   |     |    |     |               |     |    |     |   |

234 2024 Pillar 3 Disclosures Report

| Index |     | Introduction |     | Capital |     | Risks |     | Risk taker's remunerations |     | Appendices |

In 2024, we continued to develop and enhance our materiality assessment approach in order to strengthen the resilience of our strategy. We have incorporated regulatory aspects, industry best practices, further homogenization, and synergy among different risk types in terms of sources, thresholds and scenarios. The above table shows the final outcome of several procedures by risk type. These procedures use various tools and methodologies to assess the potential impact of climate factors. We use the above-mentioned risk factor materiality assessment to underpin climate risk identification and assessment as part of our double materiality procedure. The materiality assessment's rationale for each risk type is as follows: • 3.1 Credit risk: 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: 1. Customer assessment for the CIB and corporate portfolios that analyse the key aspects of transition, physical, social and environmental aspects. This assessment is conducted locally. 2. Deep dives into key portfolios such as the collaterals in real estate and auto loans. 3. 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).

Materiality assessment enhancements in 2024 In 2024, we enhanced our credit materiality assessment to reflect the latest industry and regulatory developments by: 1. Enhancing geographic granularity of physical risk (acute and chronic) information in our