Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 312

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 312
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 % |
| Current accounts |     |                                                        | 0.46 | % |     |     | 54.39 | % |     |         |  8.71 | % |     |            | 55.14 | % |     |         | 100.00 | % |     |     | 56.87 | % |     |                 | 3.56 | % |     |     | 54.50 | % |
| Loans            |     |                                                        | 3.89 | % |     |     | 86.81 | % |     |         | 12.75 | % |     |            | 87.23 | % |     |         | 100.00 | % |     |     | 84.14 | % |     |                 | 7.63 | % |     |     | 86.79 | % |

The PD of secured loans was calibrated in 2024, resulting in customers with a good credit record being reclassified from stage 2 to stage 1, which in turn led to an increase in the average PD for those in stage 2. Inclusion of forward-looking information in expected loss models The Group has considered three macroeconomic scenarios: one baseline scenario, the most likely of all (65%); alternative scenario 1, which is more optimistic and envisages productivity gains and non-existentinflation (15%); and alternative scenario 2, which is more adverse and envisages financial instability and recession (20%). In 2023, the Group considered three macroeconomic scenarios with weights of 60%, 10% and 30%, respectively, and the same macroeconomic variables as in 2024. In the case of TSB, the same probabilities as in 2023 are maintained, i.e. the probabilities of the baseline scenario and of the best-case scenario are reduced to 60% and 10%, respectively, assigning a 10% probability to a more adverse scenario characterised by interest rate hikes. To carry out the forecasts of these scenarios, five-year time A-80

horizons are used. The main variables considered are changes in GDP, the unemployment rate and house prices. Baseline scenario

| • |     | Uncertainty and Trump’s protectionist policies impact global economic growth. Trump’s arrival at the White                                                                                                                                     
 House compounds other structural factors that act as a drag, including the following: (i) the turbulent geopolitical environment and its consequences on international trade and value chains