Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 527

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 527
---
 the estimated amounts that it expects to disburse in the event its off-balancesheet exposures enter into default, by applying a Credit Conversion Factor (CCF).

| – | PD (Probability of Default): estimation of the probability that a borrower will default within a given period of 
 time.                                                                                                            |

The Group has tools in place to help in its credit risk management that predict the probability of default of each borrower and which cover practically all lending activity. In this context, the Group reviews the quality and stability of the scoring and rating tools that are currently in use on an annual basis. The tools used to assess debtors’ probability of default in the case of companies are the ratings and early warning tool (known as HAT) described below:

Credit ratings have a variety of uses in risk management. Most notably, they form part of the transaction approval process (system of discretions), risk monitoring and pricing policies.

| – | Early warnings tool, known as HAT (for companies): HAT gives a score that estimates the risk of a company defaulting                                                              
 in the near term, determined based on a variety of information (balances, non-payments, information from CIRBE (Spain’s central credit register), external credit bureaux, etc.). |

A-351

| HAT aims to capture the short-term risk of a company. The scores that it gives are very sensitive to changes in a company’s status or behaviour and are therefore updated on a daily basis. |

| – | Credit scores: the tools designed to assess the probability of default of debtors who are natural persons are credit                                                                                                                                     
 scoring systems, which are in turn based on a quantitative model of historical statistical data, where the relevant predictive factors are identified. In geographical areas where credit scoring takes place, credit scores are divided into two types: |

| • |     | Reactive credit scores: these are used to assess applications for consumer loans, mortgage loans and credit cards. Once                                                                                                                               
 all of the data relating to the transaction has been entered, the system calculates a result based on the estimated borrowing power, financial profile 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