Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 455

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 455
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AP is carried out under a solid governance framework, with high levels of involvement from Senior Management. The ultimate responsibility for its review and approval lies with the Board of Directors. The ICAAP is seen as a complementary tool to Basel Pillar 1 (regulatory capital), which first analyses the Group’s business model within its economic, financial and regulatory context, and its short- and medium-term sustainability and viability. The Group’s business model involves taking risks and a risk profile is therefore defined. As part of the ICAAP, an identification is made of the material risks and of the main threats and vulnerabilities derived from the Group’s activity and a self-assessment is carried out of the inherent and residual risk that they entail, after considering the risk governance, management and control systems. Based on the inventory of the Group’s material risks and their management, a comprehensive quantitative assessment of the necessary capital based on internal approaches (economic capital) is established, the scope of which goes beyond the risks covered by Pillar 1, integrating the models used by the Group (for example, borrower rating systems: credit ratings and credit scores) and other internal estimates appropriate to each type of risk. In addition, the ICAAP includes forward-looking analyses with a three-year time horizon (or even a 30-yeartime horizon in the case of scenarios designed to forecast climate risk). These analyses are carried out A-209

under a baseline economic scenario, but also under plausible albeit unlikely adverse scenarios (stress tests), which are relevant to the Group and, therefore, reflect adverse situations, both in
the economic environment and those of an idiosyncratic nature, that could have a particular impact on the Group. The baseline forecast includes the Group’s business and financial plans. These forecasting exercises are carried out to verify
whether the business performance, risk and income statement in possible adverse scenarios could compromise the Group’s solvency based on the available own funds, or affect the Group’s compliance with its Risk Appetite Statement. As a
result of these exercises, weaknesses can be detected and, if necessary, action plans can be proposed to mitigate the identified risks.

Forward-looking analyses under adverse scenarios are supplemented with reverse stress tests, which identify the Group’s idiosyncratic
characteristics that could entail a material vulnerability for its solvency if they were to materialise.

The combination of the different solvency
measurements (static or dynamic and regulatory or economic), taking into account the inventory of risks affecting the Group and the main vulnerabilities