Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 59

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 59
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 that the information included is aligned with other reports (mainly accounting reports). Physical risk: We report below our exposures sensitive to impacts from relevant acute and chronic physical risks (collateralized and non-collateralized). To assess the physical risk of our portfolio, we sourced information from an external provider on acute and chronic physical risks to cover over 1,250 regions in our core markets. To assess the physical risk of our portfolio, we implement the methodology of our external provider. Based on the information provided, we make the following assumptions to determine the Group’s sensitive exposures to the impact of physical risk: i. An activity in a region is considered as sensitive to the impact of physical risk when at least one hazard is assessed as 4 or higher on the scale provided.

ii. We use the RCP 4.5 scenario, which is between a scenario that considers that the Paris Agreement objectives are met (RCP 2.6) and a more specific stress exercise scenario (RCP 8.5). iii. We consider time horizons that are consistent with the average maturities of our portfolios, under a conservative approach. Thus, for non-collateralized exposures, we considered a time horizon of 2030 and for collateralized portfolios, with longer time horizons, we used 2050. iv. Regarding the location considered for the physical risk assessment, we analyse the location of collateral and the headquarters of our customers for non-collateralized loans at postcode level for exposures in Poland, Portugal, Spain and the UK. NUTS3 level is used for the remaining geographical locations. According to the assumptions described, our exposure to material physical risks is EUR 54 billion as of December 2024, which accounts less than a 3% over Group’s total assets.

| EUR bn |     | Chronic |    |     | Acute |     |    | Both |   |     | Total |
| Total  |     |         | 29 |     |       |     | 20 |      | 5 |     |    54 |

In the Pillar 3 ESG report, the information related to physical risk is disclosed at the regional level (Europe, South America and North America), identifying higher concentration of relevant physical risks in Europe (44%). 2.3.5 Our approach to nature and biodiversity Climate change is inextricably linked to biodiversity and nature. Climate change is one of the main drivers of nature and biodiversity loss and impacts the resilience of ecosystems, limiting