Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 800

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 800
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 in order to carry out a full assessment of the risks taken by the Group and generate a relevant, updated, all-encompassingand prospective understanding of the adequacy of the levels of capital. The ICAAP is developed under a solid governance framework, with high involvement from Senior Management. The Board of Directors is the highest body responsible for its review and approval. Banco Sabadell Group develops the ICAAP from an all-encompassingperspective, so as to generate an assessment of the adequacy of the level of internal capital, taking into account the Group’s structure and business model from different perspectives. A-661

The ICAAP process 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 environment, and its short- and medium-term sustainability and feasibility. The Group’s business model involves the acceptance of risks and, therefore, the
definition of a risk profile. As part of the ICAAP, an identification is made of the material risks derived from the Group’s activities and a self-assessment is carried out of the inherent and residual risk entailed by such risks 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 exceeds the risks covered by Pillar 1, integrating the models used by the Group (for example,
borrower rating systems, credit ratings and scores) and other internal estimates appropriate to each type of risk.

In addition, the ICAAP includes
forward-looking analyses using a 3-year time horizon (or even a 30-year time horizon in the case of scenarios designed to forecast climate risk). These analyses are
carried out under a baseline economic scenario, but also under plausible but unlikely adverse scenarios (stress tests), which are relevant to the Group and, therefore, reflect adverse situations that may have a particular effect on the Group. The
baseline forecast includes the Group’s business and financial plans. These forecasts are carried out to verify whether the performance of the business, risk and income statement in the event of potential adverse scenarios could pose a risk to
the Group’s solvency based on the available own funds or the Group’s compliance with its Risk Appetite Statement. As a result of these exercises, the Bank can detect weaknesses and propose, if necessary, action plans that mitigate the