Company: BCDRF
Filing Date: 2025-02-28
Form Type: 20-F
Source: 0000891478-25-000054
Chunk: 564

Company: Banco Santander, S.A.
Filing Date: 2025-02-28
Form: 20-F
Chunk 564
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 impact of our largest non-financial counterparties withdrawing deposited funds. We use it to measure the quality of our liquidity and to uncover excessive dependency on a small number of customers.

c. Structural asset encumbrance metrics. We calculate two metrics to measure asset encumbrance risk. One the one hand, the asset

Annual report 2024 533

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

encumbrance ratio is encumbered assets to total assets; on the other hand, the structural asset encumbrance ratio gives the proportion of encumbered assets by structural funding transaction (namely long-term collateralized issues and credit transactions with central banks). d. Other liquidity metrics. Grupo Santander has a set of additional liquidity indicators to complement those listed above and to measure other non-covered liquidity risk factors. e. Liquidity risk scenario analysis. Grupo Santander has five standard scenarios: i. An idiosyncratic scenario of events that are detrimental only to Santander. ii. A local market scenario of events that are highly detrimental to Grupo Santander’s base country’s financial system or real economy. iii. A global market scenario of events that are highly detrimental to the global financial system. iv. A combined scenario of more severe idiosyncratic and local and global market events, occurring simultaneously in an interconnected manner. v. Climate scenarios, with various stress situations based on the potential economic effects of climate change. We use these stress test outcomes as tools to determine risk appetite and support business decision-making. f. Early-warning liquidity indicators. The system of early warning indicators consists of quantitative and qualitative liquidity indicators that help predict stress situations and weaknesses in the funding and liquidity structure of Grupo Santander entities. External indicators relate to market-based financial variables; internal indicators relate to our own performance. g. Intraday liquidity metrics. Santander follows Basel regulation and calculates several metrics and stress scenarios for intraday liquidity risk to maintain a high level of control.

| For more details on liquidity metrics, see section3.4 ‘Liquidity and funding management’in the 'Economic and financial review' chapter. |

3.8 Actuarial, pension and insurance risk management Actuarial risk Actuarial risk stems from biometric changes in defined benefit recipients’ and life insurance policyholders’ life expectancy; and from suddenly higher non-life insurance payments. These are the actuarial