Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 340

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 340
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, mortgages, and consumer loans. In any case, as a general criterion and in addition to those described previously, borrowers included in the watchlist identified by the risk function (list of high-risk borrowers) and all transactions that have a current 12-monthPD above a given threshold that varies according to portfolio/segment and is statistically calibrated, are reclassified to stage 2. Similarly, all transactions with a current 12-monthPD above 50% are reclassified to stage 3. For the portfolios of retail mortgages, consumer loans and business lending items, the average multiplier of the current annualised lifetime PD relative to the annualised residual lifetime PD upon approval, which requires exposures to be reclassified from stage 1 to stage 2 depending on the annualised residual lifetime PD upon approval, varies between the values shown in the following table:

| Annualised residual lifetime PD upon approval |     | Average multiplier |
| PD<0.5%                                       |     |                 14 |
| 0.5%<=PD<1%                                   |     |                  5 |
| 1%<=PD<2%                                     |     |                  3 |
| 2%<=PD<3%                                     |     |                2.2 |
| PD>3%                                         |     |                1.3 |

This multiplier will also vary depending on the portfolio to which each exposure is allocated. In other less material portfolios, the multiplier between the annualised lifetime PD upon approval and the current annualised lifetime PD is used as a metric to identify the increase in credit risk and classify exposures as stage 2. More specifically, any exposures with a multiplier of more than 3 are reclassified to stage 2. A-119

In the case of TSB, the methodology for classification to stage 2 uses the multiplier of lifetime PD upon approval relative to current lifetime PD as an input, complemented with an absolute increase in PD calculated specifically for each portfolio. Both of these thresholds must be reached in order for an exposure to be reclassified to stage 2. In 2024 and 2023, the threshold for the multiplier of current PD relative to PD upon approval ranged from 1.5 to 2, while absolute thresholds ranged from 200 to 950 basis points in both years, with the exception of overdrafts, which only use an absolute threshold of 200 basis points. Forbearance The credit risk management policies and procedures applied by the Group ensure that borrowers are carefully monitored, identifying cases where