Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 709

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 709
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, based on independently validated internal risk measurement models. To this end, the Group has been authorised by the supervisor to use the majority of its internal models to calculate regulatory capital requirements. The Group carries out frequent backtesting exercises on its IRB models, at least once a year. These backtesting exercises are independently reviewed by the Internal Validation unit and reported for their monitoring to the internal governing bodies, such as the Technical Risk Committee and the Board Risk Committee (delegated Board committees). Additionally, the backtesting results that affect the risk parameters and the main conclusions drawn from these results, taking into account the criteria established by the EBA in its Disclosure Guidelines, are included in the annual Pillar III Disclosures report. Banco Sabadell Group prepares an internal capital adequacy assessment process (ICAAP) on a consolidated basis continuously throughout the year, in order to carry out a full assessment of the risks taken by the Group and generate a relevant, updated, all-encompassingand prospective understanding of the adequacy of the levels of capital. The ICAAP is developed under a solid governance framework, with high involvement from Senior Management. The Board of Directors is the highest body responsible for its review and approval. Banco Sabadell Group develops the ICAAP from an all-encompassingperspective, so as to generate an assessment of the adequacy of the level of internal capital, taking into account the Group’s structure and business model from different perspectives. A-572

The ICAAP process is seen as a complementary tool to Basel Pillar 1 (regulatory capital), which first
analyses the Group’s business model within its economic, financial and regulatory environment, and its short- and medium-term sustainability and feasibility. The Group’s business model involves the acceptance of risks and, therefore, the
definition of a risk profile. As part of the ICAAP, an identification is made of the material risks derived from the Group’s activities and a self-assessment is carried out of the inherent and residual risk entailed by such risks 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 exceeds the risks covered by Pillar 1, integrating the models used by the Group (for example, borrower
rating systems, credit ratings and scores) and other internal estimates appropriate to each type of risk.

In addition, the ICA