Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 31

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 31
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) of the CRR, is included.

k. Profit and loss at fair value : these are derived from the entity’s own credit risk, in accordance with Article 33 b) of the CRR.

l. Direct, indirect and synthetic holdings of own instruments (treasury stock) : includes the shares and other instruments eligible as capital that are held by any of the Group’s consolidating entities, together with those held by non-consolidating entities belonging to the economic Group, as set out in Article 36.1 f) and Article 42 of the CRR. It mainly includes the amount of the treasury stock up to the

| PILLAR 3 2024 |     | 3. SOLVENCY |     | P.42 |

maximum limit authorized by the ECB to the BBVA Group and the financing of own treasury shares.

m. Securitisation : any instance of securitisation that receives a risk weight of 1,250% is included, as set out in Article 36.1 k) ii) of the CRR.

n. Other regulatory adjustments : other CET1 deductions are included according to the CRR, which were not recognised in the above headings, such as:

i. losses and gains at fair value arising from the entity's own credit risk related to derivative liabilities (DVA).

ii. the amount corresponding to the insufficient coverage of non-performing exposures, taking into account both Article 36.1.m) of the CRR and the supervisory expectations on prudential provisions for non-performing exposures published in the Appendix to the ECB Guide on non-performing loans for credit institutions published in March 2018.

iii. the adjustment for the transitional treatment of the impact of IFRS9. In this regard, it is worth mentioning that since 2018, the BBVA Group has applied the static and dynamic treatment of the impacts of IFRS 9, therefore, the phased-in capital and leverage ratios are calculated taking into account the transitional provisions defined in Article 473 bis of the CRR and its subsequent amendments to the aforementioned article introduced by Regulation 2020/873 of the Parliament and of the Council of June 24, 2020 in response to the COVID19 Pandemic, opting to apply section 7a of the aforementioned article in the calculation of the impact of the transitory treatment on phased-in risk-weighted assets. As of December 31, 2024 no adjustment is included for this transitional treatment.

iv. the