Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 398

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 398
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 carried out in December 2024 (see Note 5). In the case of market transactions, counterparty credit risk is managed as explained in section 4.4.2.8 of these consolidated annual financial statements. 4.4.2.5. Calculation of credit loss allowances The Group applies the criteria described below to calculate credit loss allowances. The amount of impairment allowances is calculated based on whether or not there has been a significant increase in credit risk since initial recognition, and on whether or not a default event has occurred. This way, the impairment allowance for transactions is equal to:

| – | 12-month expected credit losses, where the risk of a default event                                      
 materialising has not significantly increased since initial recognition (assets classified as stage 1). |

| – | Lifetime expected credit losses, if the risk of a default event materialising has increased significantly since 
 initial recognition (assets classified as stage 2).                                                             |

| – | Expected credit losses, where a default event has materialised (assets classified as stage 3). |

12-monthexpected credit losses are defined as: Where: EAD 12Mis the exposure at default at 12 months, PD 12Mis the probability of a default occurring within 12 months and LGD 12Mis the expected loss given default. Lifetime expected credit losses are defined as: Where: EAD iis the exposure at default for each year, taking into account both the entry into default and the (agreed) amortisation, PD iis the probability of a default occurring within the next twelve months for each year, LGD iis the expected loss given default for each year, and EIR is the effective interest rate of each transaction. During this estimation process, a calculation is made of the allowance necessary to cover, on one hand, the credit risk attributable to the borrower in question and, on the other hand, country risk. The Group includes forward-looking information when calculating expected losses and determining whether there has been a significant increase in credit risk, using scenario forecasting models to this end. The agreed amortisation schedule for each transaction is used. Subsequently, these expected credit losses are updated by applying the effective interest rate of the instrument (if its contractual interest rate is fixed) or the contractual effective interest rate ruling on the date of the update (if the interest rate is variable). The amount of effective guarantees received is also taken into account. A-165

The following sections describe the different methodologies applied by the Group to determine impairment loss allowances: Individual allowance estimates