Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 110

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 110
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 to calculate the probability of default and the loss given default of a counterparty comes from the credit markets. The counterparty’s Credit Default Swaps are used if liquid quotes are available. If a market price is not available, BBVA has implemented a mapping process based on the sector, rating and geography of the counterparty to assign probabilities of default and loss given default calibrated directly to market.

An additional adjustment for Own Credit Adjustment (hereinafter "OCA") is applied to the instruments accounted for by applying the Fair Value Option permitted by IFRS 9.

The credit valuation adjustments in million euros as of December 31, 2024 and as of December 31, 2023 are shown below:

| Table 43.EU CCR2 -  CVA Capital Charge(Million Euros) |

|                                                                                |     | 12-31-2024 |     |                |     |       | 12-31-2023 |     |                |     |       |
|                                                                                |     |            |     | Exposure value |     |   RWA |            |     | Exposure value |     |   RWA |
| Total portfolios subject to the advanced method                                |     |            |     |              — |     |     — |            |     |              — |     |     — |
| (i) VaR component (included 3x multiplier)                                     |     |            |     |                |     |     — |            |     |                |     |     — |
| (ii) SVaR component (included 3x multiplier)                                   |     |            |     |                |     |     — |            |     |                |     |     — |
| All portfolios subject to the standardised method                              |     |            |     |          7,057 |     | 1,307 |            |     |          6,225 |     | 1,429 |
| Portfolios subject to alternative approach (based on original exposure method) |     |            |     |              — |     |     — |            |     |              — |     |     — |
| Total subject to the CVA capital charge                                        |     |            |     |          7,057 |     | 1,307 |            |     |          6,225 |     | 1,429 |

As of December 31, 2024, BBVA calculates the capital requirements for credit valuation adjustment (CVA) according to the standard