Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 51

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 51
---
 implemented early, which gradually become stricter. Therefore, both physical and transition risks are relatively moderate.                                                                                                             |     |                       |     | RCP 2.6:stringent mitigation scenario with the aim to keep global warming below 2ºC. This is associated with orderly scenarios.                                                      |
|                |     | Disorderly, climate policies are not introduced until 2030 and may differ between countries and sectors..                                                                                                                                                                          |     |                       |     | RCP 4.5:intermediate scenario where emissions reach their peak in 2040 and then decrease. This is associated with disorderly scenarios.                                              |
|                |     | Hot house world (current policies), it is considering that some climate policies are implemented in some jurisdictions, but that global efforts are insufficient to stop significant global warming. Serious physical risks and irreversible changes, including rising sea levels. |     |                       |     | RCP 8.5:very high GHG emissions. It is a business as usual scenario where emissions keep increasing throughout the whole century. This is associated with Hot house world scenarios. |

4. Customer assessment For corporate customers within climate sectors according to our risk taxonomy, the materiality assessment is complemented with analysis performed at local level that considers key physical, transition, social and environmental aspects. We consider their findings in loan approvals and customer rating procedures. Challenges and next steps: Santander continues to work on embedding ESCC factors in our processes by upgrading our data, estimations, tools and models. In particular: i. Implementing models to assess the impact of climate on credit risk metrics (PD and LGD) by using scenario analyses and models, and including customers' ESCC assessments in corporate portfolios ratings. ii. Localizing CIB customers’ production sites to obtain more accurate results in physical risk assessments. iii. Calculating financial impacts across the short, medium and long term through the climate stress test models already included in the ICAAP.

Auto consumer

We conduct an in-depth analysis of this portfolio given the weighting of the Consumer Auto in Santander's portfolio and its specific characteristics and regulations. We consider key risk factors such as products evolution, residual value risk, portfolio average maturity, shifts in market sentiment and technology developments adapted to different markets. Moreover, we review other characteristics such as product type, borrowers' credit risk profile, engine type (internal combustion engine, hybrid or electric vehicle).

Annual report 2024 49

| Contents |     | Business model and strategy |     | Sustainability statement |     | Corporate