Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 413

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 413
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 a change to the UK unemployment rate, a deviation of +/- 100 bp represents the relative value of a deviation from the macroeconomic variable more than two times greater than in Spain. Overall comparison between financial asset and real estate asset impairment allowances The Group has established backtesting methodologies to compare estimated losses against actual losses. Based on this backtesting exercise, the Group makes amendments to its internal methodologies when this regular backtesting exercise reveals significant differences between estimated losses and actual losses. The backtests carried out show that the credit loss allowances are adequate given the portfolio’s credit risk profile. 4.4.2.6. Credit quality of financial assets As stated earlier, in general terms, the Group uses internal models to rate most borrowers (or transactions) through which credit risk is incurred. These models have been designed considering the best practices proposed by the New Basel Capital Accord (NBCA). However, not all portfolios in which credit risk is incurred have internal models, partly due to the fact that these models can only be reasonably designed if a minimum of historical non-paymentcase data is available. The standardised approach is followed for these portfolios, for solvency purposes. The exposure percentage calculated by the Group using internal models, for solvency purposes, is 90%. This percentage has been calculated following the specifications of the ECB guide to internal models (Article 28a) published in June 2023. A-174

The breakdown of total exposures rated, excluding “Other valuation adjustments (interest, fees and commissions, and other)”, according to the various internal rating levels, as at 31 December 2024 and 2023, is set out here below:

| Million euro                  |     |      |     |                             |         |     |         |        |     |         |        |     |                 |     |     |       |         |
|                               |     |      |     | Loans assigned rating/score |         |     |         |        |     |         |        |     |                 |     |     |       |         |
|                               |     |      |     |                        2024 |         |     |         |        |     |         |        |     |                 |     |     |       |         |
| Breakdown of on-balance sheet 
 exposure by rating            |     | Note |     |                     Stage 1 |         |     | Stage 2 |        |     | Stage 3 |        |     | Of which:       
 purchased       
 credit-impaired |     |