Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 237

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 237
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| • |     | A negative value of Earnings Before Interest, Taxes, Depreciation and Amortisation (EBITDA), or a significant decrease 
 in EBITDA, in turnover, or in general, in the borrower’s recurrent cash flows.                                         |

| • |     | Increase in the borrower’s leverage ratios. |

| • |     | Negative equity or equity reduction as a result of the borrower sustaining equity losses of 50% or more in the past 
 year.                                                                                                               |

| • |     | Existence of an internal or external credit rating showing that the borrower is in arrears. |

The Group carries out an annual review of the reasonableness of its thresholds and of the credit risk captured in the individual assessments carried out using those thresholds. Collective assessment For borrowers who have been classed below the significance threshold and who, in addition, have not been classified as stage 2 or 3 by the automatic classification rules, there is a process in place to identify transactions that show a significant increase in credit risk compared to when the transaction was approved, and which could give rise to greater losses than those incurred on other similar transactions classified as stage 1. A-29

The Group has a statistical model that applies to all geographies except for the UK (TSB) and which allows it to determine the Probability of Default (PD) term structure and, therefore, the residual lifetime PD of a contract (or the PD from a given moment in time up to the maturity of the transaction), based on different characteristics:

| – | Systemic: macroeconomic characteristics shared by all exposures. |

| – | Cross-cutting: aspects that remain stable over time and which are shared by a group of transactions, such as the             
 shared effect of lending policies in effect at the time the transaction was approved, or the transaction’s approval channel. |

| – | Idiosyncratic: aspects specific to each transaction or borrower. |

With this specification, it is possible to measure the annualised residual lifetime PD of a transaction under the conditions that existed at the time the transaction was approved (or originated), or under the conditions existing at the time the provision is calculated. Therefore, the current annualised residual lifetime PD may fluctuate in relation to the PD at the time the transaction was approved, due to changes in the economic environment or in the idiosyncratic characteristics of the transaction or of the borrower. The Bank uses a statistical model that estimates significant increase in credit risk for borrowers and transactions subject