Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 164

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 164
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 using the Frye-Jacobs relationship between PD and LGD.

9 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.

10 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.

2024 Pillar 3 Disclosures Report 237

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

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