Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 283

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 283
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| PILLAR 3 2024 |     | 7. PRUDENTIAL DISCLOSURES ON ENVIRONMENTAL, SOCIAL AND GOVERNANCE RISKS |     | P.287 |

Group has been conducting a primarily qualitative climate assessment to determine BBVA's vulnerability to transitional and physical risk. In 2024, further progress was made towards a quantitative approach in the development of the Climate Risk Assessment. More precisely, BBVA defined a series of metrics that have made it possible to objectively evaluate risk levels in terms of both transition risk and physical risk and, in the case of physical risk, to evaluate potential impacts for each of the hazards analyzed, as well as other environmental risks, specifically analyzing water stress scenarios. In the case of Credit Risk, these assessments are based on NGFS transition risk scenarios ("Net Zero, Delayed Transition" and "Current Policies") and physical risk (SSP2-4.5 and SSP3-7.0). Additionally, progress has been made in estimating the impact of both transition risk and physical risk on BBVA's strategy and business model. Its results are reported to the highest executive risk committee (GRMC) as well as to the corporate bodies, as this management is an integral part of key corporate processes, such as the Risk Appetite Framework or the Internal Capital Self-Assessment (ICAAP).

The climate change risk assessment process runs in parallel with the Group's overall risk management, but with a broader time frame. An assessment is carried out for a short-term (3 years), medium-term (3-5 years) and long-term (more than 5 years) horizon, which allows for a comprehensive consideration of the expected impacts, aligning with the EBA requirements.

The assessment of climate change risks includes, as for the other risks, the two perspectives of the global assessment:

#### 1.

#### Identification of risk events
: Transition risk and physical risk are included in the identification of risk events that could have a significant impact on the Group. A matrix of risk events identified in 2024 is prepared and represented in figures according to their estimated impact on the BBVA Group and their assigned probability.

| Chart 26.Risks materializing in the short term: 12 - 18 month time horizon |

Risks arising from climate change, including transition risk and physical risk, have been considered within the matrix of risk events that could materialize in the short term (12-18 months). On the one hand, the bursting of a green bubble and