Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 758

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 758
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 and, if applicable, the profile of assets pledged as collateral. The resulting credit score 
 is integrated in risk management processes using the system of discretions.                                                                                                                                                                             |

| ○ | Behavioural credit scores: the system automatically classifies all customers using information regarding their                                                                                                  
 activity based on their financial situation (balances, activity, non-payments), their personal characteristics and the features of each of the products that they have acquired. These credit scores are mainly 
 used to authorise transactions, establish (authorised) overdraft limits, design advertising campaigns and adjust the initial stages of the debt recovery management process.                                    |

If no credit scoring system exists, individual assessments supplemented with policies are used instead.

| – | LGD (Loss Given Default): expected loss on transactions which are in default. This loss also takes into account                                                                                                                   
 outstanding debt, late payment interest and expenses relating to the recovery process. Additionally, for each cash flow (amounts outstanding and amounts recovered) an adjustment is applied to consider the time value of money. |

| – | Effective Interest Rate (EIR): discount rate that exactly equals the estimated cash flows receivable or payable                                                                     
 throughout the expected life of a financial asset or a financial liability to the gross carrying amount of the financial asset or to the amortised cost of the financial liability. |

A-578

As confidentially submitted to the Securities and Exchange Commission on August 11, 2025. This Amendment No. 4 has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential.

| – | Multiple scenarios: in order to estimate expected losses, the Group applies different scenarios to identify the                                                                                                                                          
 effect of the non-linearity of losses. To this end, the provisions required are estimated in the different scenarios for which a probability of occurrence has been defined. Specifically, the Group has                                                 
 considered three macroeconomic scenarios: one baseline scenario, the most likely of all (61%), an alternative scenario 1, the most optimistic of the three, which envisages zero supply chain disruption and productivity gains (9%), and an alternative 
 scenario 2, the most adverse, which envisages a synchronised global recession (30%). In each of these scenarios, a 5-year time horizon has been used to carry out the projections. The main variables considered                                         
 are changes in GDP, the unemployment rate and house prices. In 2021, the Group considered three macroeconomic scenarios with weights of 60%, 15% and 25%, respectively,