Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 703

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 703
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0 |     |            |  2.4 |     |      | -7.3 |     |                | -7.2 |     |      | 9.6 |     |      | 7.4 |     |      | 4.2 |

(*) For Spain, the price variation at year-endis calculated and, for the UK, the average price variation over the year is calculated. When applying the macroeconomic scenarios, the recommendations issued by accounting supervisors and regulators have been taken into account in order to prevent excessive pro-cyclicalityas a result of the short-term volatility in the environment, attaching greater importance to longer-term economic outlooks. In the Group, macroeconomic scenarios have been incorporated into the impairment calculation model. The Group makes a series of additional adjustments to the results of its credit risk models, referred to as post model adjustments (PMAs) or overlays, in order to address situations in which the results of the models are not sufficiently sensitive to the uncertainty in the macroeconomic environment. These adjustments are temporary and remain in place until the reasons for which they were originally applied cease to exist. The application of these adjustments is subject to the governance principles established by the Group. Specifically, in 2022 a series of additional allowances have been recognised over and above the expected losses and incorporating specific sectoral features related to the current macroeconomic situation and the new inflationary environment, amounting to 170 million euros. The Group applies the criteria described below to calculate credit loss allowances. A-581

The amount of impairment allowances is calculated based on whether or not there has been a significant increase in credit risk since initial recognition, and on whether or not there a default event has occurred. This way, the impairment allowance for transactions is equal to:

| – | 12-month expected credit losses, when the risk of a default event                                       
 materialising has not significantly increased since initial recognition (assets classified as stage 1). |

| – | Lifetime expected credit losses, if the risk of a default event materialising has increased significantly since 
 initial recognition (assets classified as stage 2).                                                             |

| – | Expected credit losses, when a default event has materialised (assets classified as stage 3). |

12-monthexpected credit losses are defined as: Where: EAD 12Mis the exposure at default at 12 months, PD 12Mis the probability of a default occurring within 12 months and LGD 12Mis the expected loss given default. Lifetime expected credit losses are defined as: Where