Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 301

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 301
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 as well as ecosystem contamination and waste generation.

As a result, by combining the levels of impact and dependency, an exposure level (Very High, High, Medium, Low) is assigned to each sector in relation to natural capital risk. Activities deemed sensitive to natural capital risk amount to an EAD (Exposure at Default) of 71,786 billion, representing 34% of the wholesale portfolio.

Additionally, work has been done to complement the sectoral approach explained above with a geographic vision to capture the relationship between clients' activities and nature in the main geographies where BBVA operates, following the first steps of the TNFD's LEAP approach. This international standard recommends that dependencies and impacts be identified and assessed considering regulations, changes in the state of nature and the availability of ecosystem services.

BBVA follows the LEAP approach by including the following elements in the identification of natural capital risks. Firstly, an analysis of the regulations on biodiversity, water management and waste and pollution management in the main geographical areas in which BBVA operates to capture the transition risks arising from natural capital. In addition, physical risk scores relating to natural capital obtained from public sources such as Aqueduct Water Stress or Ecoregion Intactness Index are considered to provide a view of risk at the geographic level.

In short, the taxonomies make it possible to establish a level of climate transition and physical risk and a level of natural capital risk for economic activities. In 2024, the measurement of other environmental risks (natural capital) was included, for the first time, as a source of credit risk in the annual risk assessment, considering a specific analysis of water stress in Spain, Mexico and Peru, focusing on the specific sectors identified as exposed to natural capital risk and using the location of the clients.

| PILLAR 3 2024 |     | 7. PRUDENTIAL DISCLOSURES ON ENVIRONMENTAL, SOCIAL AND GOVERNANCE RISKS |     | P.305 |

| Chart 34.Natural Capital - Heat map of impacts and dependencies |

As a result of this analysis, seven sectors have been flagged as having a significant impact and/or dependence on natural capital: (1) Agriculture, livestock and fisheries (primary production); (2) Food, beverage and tobacco production (excluding primary production); (3) Paper and forest products; (4) Traditional power generation; (5) Construction; (6) Integrated oil and gas; (7) Integrated utilities; (8) Transportation infrastructure operators; (9) Mining; (