Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 298

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 298
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 natural hazards in the main geographies where BBVA has a presence, as well as explaining the transmission channels of physical risks to prudential financial risks.

In this way, it is identified that the most relevant natural hazards in the geographies where BBVA operates are tropical cyclones, heat waves, forest fires, river and coastal flooding and drought.

Physical risk is associated with the location of assets and vulnerability based on their activity and can materialize in credit risk through different transmission channels, having an impact in multiple ways such as, for example, on the purchasing power of customers, business productivity, market demand or the value of assets.

BBVA has continued to make progress in assessing the materiality of chronic and acute risks in the different portfolios. The physical risk analysis is structured around three pillars:

#### Threat
Regarding the threat, in 2024 the calculation methodology for the collateralized portfolio has evolved. This evolution is based on the use of an external tool that allows for the analysis of both acute risks (river and rain flooding, tropical cyclones, wildfires, heat and cold waves) and chronic risks (sea level rise, drought) under different climate change scenarios from the Intergovernmental Panel on Climate Change (IPCC).

Based on the calculations performed and in order to make the management of physical risks part of the collateralized loan procedure, an internal physical risk score has been developed at the collateral level. This score allows collateral to be ranked by their level of exposure to physical risk under different chronic and acute hazards in the SSP2-4.5 and SSP3-7.0 scenarios and at different time horizons. The scenario used was SSP2-4.5 with a time horizon of 2040.

For the other wholesale portfolios, the methodology was updated to include climate change data based on IPCC scenarios such as those discussed above. This tool indicates the risk levels of the various natural hazards (both acute and chronic, as indicated above) at a global level and with different breakdowns depending on the geographical area of the planet. These risk levels are calculated based on climate change indices recognized by the World Meteorological Organization (WMO). The information used is provided by the IPCC, except for information on tropical cyclones, which continues to be the version based on ThinkHazard.

#### Exposure
As for the exposure component, in 2023 the granularity of the analysis performed was increased by optimizing the relationship between the administrative levels of the Think Hazard tool and the zip codes available in the different BBVA portfolios. Subsequently, during 202