Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 50

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 50
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 (RCP), developed by the Intergovernmental Panel on Climate Change (IPCC), which are references in the sector. Moreover, our Research department embeds and broadens external scenarios to more specific variables by country and sector to achieve thorough vision aligned to our portfolios.

4 According to Note 54 "Risk Management": Based on internal models and results from regulatory and supervisory climate stress exercises, the Group does not believe that additional environmental or climate change risk has had a substantial impact on its equity, financial situation and results in 2024

5 NGFS scenarios provide the common and up-to-date reference point for understanding the evolution of climate risks and trends in climate policy and technologies over different time horizons. For this reason, they are used as a basis for showing impacts on our portfolios by calculating a range of outcomes.

Annual report 2024 48

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

B. Physical risk impact considers the financial impact of acute and chronic risks, as well as long-term changes in weather patterns to give us a wide range of events that we assess at regional level. For these financial impacts, we use data from an expert reinsurance company, considering scenarios across different time horizons. We include physical risk impact through:

- Chronic: Impact on companies' revenue due to chronic physical effects (e.g. change in productivity).

- Acute: Increase in costs due to damages to companies' assets from extreme weather events.

C. The impact of transition risk, relates to changes in drivers such as climate policies, technology and investor and consumer

sentiment that can affect demand, which affects customers on an individual basis. Therefore, depending on the level of information available, we carry out a bottom-up or top-down approach.

D. Counterparty forecasts, which reflect the changes in the financial ratios included in the credit risk rating models and are based on forecasted revenues and costs under the different scenarios, including physical and transition risk impacts. The projected ratings give us the associated PD to the counterparty. Lastly, the LGD is estimated using the Frye-Jacobs relationship between PD and LGD.

| NGFS scenarios |     |                                                                                                                                                                                                                                                                                    |     | RCP climate scenarios |     |                                                                                                                                                                                      |
|                |     | Physical and transition risks                                                                                                                                                                                                                                                      |     |                       |     | Physical risk                                                                                                                                                                        |
|                |     | Orderly, assumes ambitious climate policies