Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 309

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 309
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 for the performance of their activity and, 
 consequently, for the generation of the aforesaid future cash flows.                                                                                                                                                                                                         |

Collective allowance estimates Exposures that are not assessed using individual allowance estimates are subject to collective allowance estimates. When calculating collective impairment losses, the Group, in accordance with IFRS 9, mainly takes the following aspects into account:

| – | The impairment estimation process takes all credit exposures into account. The Group recognises an impairment loss                                                                                                                                       
 equal to the best estimate available from internal models, taking into account all of the relevant information which it holds on the existing conditions at the end of the reported period. For some types of risk, including sovereign risk and         
 exposures with credit institutions and general governments of countries in the European Union and other advanced economies, the Group does not use internal models. These exposures are considered to have negligible risk given that, based on the      
 information available as at the date of signing off the consolidated annual financial statements, and considering past experience with these risks, the impairment allowance that these exposures are estimated to require is not significant as long as 
 they are not reclassified into stage 3.                                                                                                                                                                                                                  |

| – | In order to collectively assess impairment, internal models estimate a different PD and LGD for each contract. To                                                                                                                                      
 that end, various types of historical information are used that allow the risk to be individually classified for each exposure (ratings, non-payments, vintage, exposure, collateral, characteristics of the                                           
 borrower or contract). Available historical information representative of the Institution and past losses (defaults) is therefore taken into account. It is worth highlighting that the estimation obtained from the models is adjusted to account for 
 the existing economic climate and the forecasts in the scenarios considered, the latter being representative of expected credit losses. The estimates of impairment loss allowance models are directly integrated in some activities related to risk   
 management and the input data that they use (e.g. credit ratings and credit scores) are those used for approving risks, monitoring risks, for pricing purposes and in capital calculations.                                                            |

A-77

| In addition, recurring back-testing exercises are carried out at least once a year, and the models are adjusted in the event any significant deviations are detected. The models are also reviewed                                                    
 regularly in order to incorporate the most recent information available and to ensure that they perform adequately and that they are suitably representative when applied to the current portfolio for the calculation of impairment loss allowances. |

Segmentation of models Specific models exist depending on the segment or product