Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 306

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 306
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, allows manual data capture by the teams involved in client reviews.

The TRi scoring system calculation is integrated into this work environment. During 2024, information has been collected on approximately 3,000 corporate banking clients from all geographies where BBVA operates.

Resilience of the strategy to climate change risks

The concept of climate resilience requires that organizations develop the adaptive capacity to respond to climate change, leveraging opportunities and managing the associated transitional and physical risks.

BBVA, when conducting the scenario analysis and in accordance with the option provided for in the ESRS, takes into account the recommendations of the Task Force on Climate-related Financial Disclosures (TCFD), which advise organizations to describe how well their strategy is able to seize opportunities related to climate change, consistent with a scenario of an orderly transition to a low-carbon economy; though also their resilience to possible scenarios of heightened climate risks.

As previously mentioned, BBVA’s strategy may be affected by climate-related risks and opportunities. In this regard, efficient management of the material risks and opportunities arising from climate change is key to the successful achievement of BBVA’s strategy. Thus, BBVA is working to measure the impact of different climate scenarios, both transition and physical risks, on its strategy and business. The initial results show, in relation to regulatory and internal exercises, immaterial impacts, both in terms of transition risk and physical risk. However, it is important to consider that methodological limitations, especially in terms of data and scenario design, could be underestimating the expected losses for the financial system. In this context, BBVA is working to reinforce and strengthen bottom-up methodologies and analytical capabilities in order to obtain projections of customer financial statements and estimate impacts on collateral values based on different climate scenarios and over different time horizons.

In this way, in terms of risk management, the impact derived from climate risks is fully integrated into the different phases of the risk cycle: identification, assessment, management, reporting, etc., as well as in the risk appetite framework, credit granting circuits and other relevant areas directly linked to the achievement of the entity's strategy. Moreover, in order to assess the

impact of climate change on traditional prudential risks (credit, market, liquidity, operational, etc.), the entity conducts a risk assessment exercise to determine the materiality of the risks identified in the double materiality analysis over different time horizons. Climate risk is assessed across the entire value chain, although due to the idiosyncrasies of BBVA's business, the part of the value chain most