Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 141

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 141
---
 impact on the different portfolios, but without being anchored to any specific historical scenario. Finally, for some portfolios or positions, fixed stress tests are also carried out that have a significant impact on the market variables affecting these positions. Historical scenarios The historical benchmark stress scenario for the BBVA Group is Lehman Brothers, whose sudden collapse in September 2008 led to a significant impact on the behavior of financial markets at a global level. The following are the most relevant effects of this historical scenario: – Credit shock: reflected mainly in the increase of credit spreads and downgrades in credit ratings. – Increased volatility in most of the financial markets giving rise to a great deal of variation in the prices of different assets (currency, equity, debt). – Liquidity shock in the financial systems, reflected by a major movement in interbank curves, particularly in the shortest sections of the euro and dollar curves.

| Table 60.Trading Book. Impact on earnings in Lehman scenario(Million Euros) |

| Impact on earnings in Lehman scenario |     |            |     |            |
|                                       |     | 12-31-2024 |     | 12-31-2023 |
| GM Europe, NY & Asia                  |     |        -18 |     |        -22 |
| GM Mexico                             |     |       -110 |     |       -116 |
| GM Argentina                          |     |         -4 |     |         -1 |
| GM Chile                              |     |         -1 |     |          — |
| GM Colombia                           |     |         -2 |     |         -2 |
| GM Peru                               |     |         -6 |     |         -6 |
| GM Venezuela                          |     |          — |     |          — |

Simulated scenarios Unlike the historical scenarios, which are fixed and therefore not suited to the composition of the risk portfolio at all times, the scenario used for the exercises of economic stress is based on resampling methodology. This methodology is based on the use of dynamic scenarios that are recalculated periodically depending on the main risks affecting the trading portfolios. On a data window wide enough to collect different periods of stress (data are taken from January 1, 2008 until the date of the assessment), a simulation is performed by resampling of historic observations, generating a distribution of losses and gains that serve to analyze extreme market events within the selected historical window. The advantage of this methodology is that the period of stress is not predetermined, but depends on the portfolio maintained at each time, and