Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 330

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 330
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 risk vary according to the portfolio, company size, product and level of PD upon approval, requiring higher relative increases if the PD upon approval is low. Exceptionally, those thresholds are not applicable at certain low levels of current PD where there is practically no indication of any significant increase in credit risk over a 6-monthhorizon (low credit risk exemption); those levels vary according to the portfolio/segment and have been calibrated using historical data. The current PD thresholds to identify the population exempt from significant increases in credit risk have been calibrated differently for each of the portfolios under the collective model perimeter, i.e. companies differentiated by size, mortgages, and consumer loans. In any case, as a general criterion and in addition to those described previously, borrowers included in the watchlist identified by the risk function (list of high-risk borrowers) and all transactions that have a current 12-monthPD above a given threshold that varies according to portfolio/segment and is statistically calibrated, are reclassified to stage 2. Similarly, all transactions with a current 12-monthPD above 50% are reclassified to stage 3. For the portfolios of retail mortgages, consumer loans and business lending items, the average multiplier of the current annualised lifetime PD relative to the annualised residual lifetime PD upon approval, which requires exposures to be reclassified from stage 1 to stage 2 depending on the annualised residual lifetime PD upon approval, varies between the values shown in the following table:

| Annualised residual lifetime PD upon approval |     | Average multiplier |
| PD<0.5%                                       |     |                 14 |
| 0.5%<=PD<1%                                   |     |                  5 |
| 1%<=PD<2%                                     |     |                  3 |
| 2%<=PD<3%                                     |     |                2.2 |
| PD>3%                                         |     |                1.3 |

This multiplier will also vary depending on the portfolio to which each exposure is allocated. In other less material portfolios, the multiplier between the annualised lifetime PD upon approval and the current annualised lifetime PD is used as a metric to identify the increase in credit risk and classify exposures as stage 2. More specifically, any exposures with a multiplier of more than 3 are reclassified to stage 2. A-119

In the case of TSB, the methodology for classification to stage 2 uses the multiplier of lifetime PD upon approval relative to current lifetime PD as an input, complemented