Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 288

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 288
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 calculated and, for the UK, the average price variation over the year is calculated. In the Group, the macroeconomic scenarios have been incorporated into the impairment calculation model. Additional adjustments to expected losses The Group applies a series of additional adjustments to the outputs of its credit risk models, referred to as Post Model Adjustments (PMAs) or overlays, in order to address situations in which the outputs of those models are not sufficiently sensitive to uncertainty, or to capture events that cannot be modelled. These adjustments are temporary and remain in place until the reasons for which they were originally applied cease to exist. In all cases, the aforesaid overlays have followed the policies and procedures set by the Group, as well as its internal governance workflow, which includes a review by the second line of defence. As at 31 December 2024, the overlays booked in the consolidated balance sheet amounted to 83 million euros. Due to the DANA flash floods, the expected loss was adjusted by 45 million euros, corresponding to the most affected perimeter. The Group also kept an overlay in place of 13 million euros to reflect environmental risks in the expected loss. Lastly, the Group had made adjustments amounting to 25 million euros, corresponding to overlays estimated based on the outcomes of PD models backtesting exercises. The Group applied collective classification PMAs that increased exposures classified as stage 2 and stage 3 by 511 million euros and 135 million euros, respectively, which include reclassifications of 255 million euros to stage 2 and 96 million euros to stage 3 corresponding to the impacts of the DANA event. As at 30 June 2025, the overlays applied to the consolidated balance sheet amounted to 67 million euros. During the first half of 2025, as a result of the annual model review process, both the overlay linked to the incorporation of environmental risks into expected loss and certain overlays relating to PD models, amounting to 8 million euros, were specifically allocated. Furthermore, 25 million euros were booked through new overlays, stemming from the increase in uncertainty surrounding international trade. Similarly, in relation to this same topic, collective overlays have been applied to reclassify 576 million euros to stage 2. In addition, the perimeter potentially affected by the 2024 DANA flash floods was updated and collective overlays remain in place for the reclassification of 172 million euros to stage 2 and 40 million euros to stage 3, for which an adjustment has been made to the expected loss in the amount