Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 118

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 118
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| (*)It includes securitisation positions in the trading portfolio. |     |                         |     |   |         |     |   |           |     |   |          |     |   |                      |     |   |         |     |   |           |     |   |          |     |   |                       |     |   |     |   |           |     |   |          |     |   |

| PILLAR 3 2024 |     | 4. RISK |     | P. 151 |

The securitisation positions in the trading book have been stable along 2024.

| PILLAR 3 2024 |     | 4. RISK |     | P. 152 |

4.2.7.3. Securitisation – Group acting as originator

4.2.7.3.1. Rating agencies used

Article 449 h) CRR

EU SECA h)

The external credit assessment institutions (ECAI) involved in the rating of those securitisations originated by the Group which fulfill the criteria of risk transfer and falling within the securitisation solvency framework are, generally, Fitch, Moody’s, S&P, and DBRS. The types of securitisation exposure for which each agency is used are, with no differentiation between the different agencies, all the asset types that tend to be used as residential mortgage loans to Corporates and SMEs, consumer finance and autos and leasing.

In all the securitisation funds, the agencies have assessed the risk of the entire issuance structure:

• Awarding ratings to all bond tranches.

• Establishing the volume of the credit enhancement.

• Establishing the necessary triggers (early termination of the restitution period, pro-rata depreciation of AAA classes, pro-rata amortization of series subordinated to AAA and amortization of the reserve fund, amongst others).

For each issue, in addition to the initial rating, the agencies carry out regular quarterly monitoring.

4.2.7.3.2. Positions in securitisation originated by the Group

Article 449 k).i) CRR

The table below shows the EAD and RWA of securitisation positions originated by the Group in the banking book, broken down by type of securitised exposure, tranches and risk weight ranges and their corresponding capital requirements as