Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 537

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 537
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 inherent and residual risk that they
entail, 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 goes beyond the risks covered by Pillar 1, integrating the models used by the Group (e.g.
borrower rating systems: credit ratings and credit scores) and other internal estimates appropriate to each type of risk.

In addition, the ICAAP
includes forward-looking analyses with a three-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
albeit unlikely adverse scenarios (stress tests), which are relevant to the Group and therefore reflect adverse situations that could have a particular impact on the Group. The baseline forecast includes the Group’s business and financial
plans. These forecasting exercises are carried out to verify whether the business performance, risk and income statement in possible adverse scenarios could pose a risk to the Group’s solvency based on the available own funds, or affect the
Group’s compliance with its Risk Appetite Statement. As a result of these exercises, weaknesses can be detected and, if necessary, action plans can be proposed to mitigate the identified risks.

Forward-looking analyses under adverse scenarios are supplemented with reverse stress tests, which identify the Group’s idiosyncratic aspects that
could put its solvency at considerable risk if they were to materialise.

The combination of the various solvency measures (static or dynamic and
regulatory or economic), taking into account the inventory of risks affecting the Group and the main vulnerabilities detected, enables the Board of Directors, as the body ultimately responsible for the ICAAP, to draw a conclusion regarding the
Group’s solvency position.

The Group has implemented a risk-adjusted return on capital (RaRoC) metric in segments where this is considered
relevant, which is embedded in the pricing management system and therefore subject to the Institution’s policies and procedures. In addition to being used in the pricing process, this metric can measure the return obtained on each transaction
and customer and even by each business unit, which makes it possible to make like-for-like comparisons.

The level and quality of capital are Group
RAS metrics and their management and control are governed by the Group’s Risk Appetite Framework (RAF).

A-346

Elig