Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 565

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 565
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 risks we distinguish: • Life liability risk : Risk of loss on liabilities due to changing risk factors that affect pension obligations, split into mortality/longevity risk, morbidity risk, withdrawal/surrender risk, expense risk, and catastrophe risk. • Non-life liability risk : Risk of loss on liabilities due to changing risk factors that increase Santander's non-life payment

obligations towards employees, split into premium risk, reserve risk, and catastrophe risk. Pension risk Grupo Santander runs several defined benefit pension schemes that generate financial, market, credit and liquidity risks from assets and investments, as well as market and actuarial risks from pension obligations. Our pension risk management and control involves identifying, measuring, mitigating and reporting on sources of pension risk to reduce long-term exposure. Grupo Santander uses a VaR methodology to measure pension risk, set pension risk appetite limits and calculate economic capital. Moreover, we estimate combined losses each year on assets and liabilities under a stress scenario that includes shifts in interest rates, exchange rates, inflation, stock markets, property values and credit spreads. The majority of our defined benefit pension schemes are in Brazil, Germany, Portugal, Spain and the UK. In 2024, the impact of market performance on pension risk was slightly negative, owing to contrasting behaviour of discount rates in our core markets and a rise in inflation in the markets that are exposed to this risk. Throughout the year, we took measures to reduce our exposure to pension and actuarial risk by taking advantage of interest rate levels. Insurance risk Grupo Santander’s insurance risk model is based on our own insurers and partnerships with insurers in which we hold a non-majority interest (joint ventures). These insurers assume financial, non-financial, actuarial and other risks according to their risk profile. Our core aim in managing and controlling insurance risk is to identify, measure, mitigate and convey all sources of risk in the insurance business to help meet our commitments to policyholders and shareholders. We continuously monitor the solvency of our insurers by calculating regulatory solvency levels and making sure that they stay within the established risk appetite. Moreover, we run sensitivity analyses and stress scenarios on the most significant risks to assess their impact on solvency. In 2024, our insurers’ risks remained stable. Regarding actuarial risk, though natural disasters have generally increased in our markets, they have not had a significant impact on solvency due to reinsurance programmes and other public and private protection schemes.

Annual report 2024 534

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