Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 93

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 93
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For information about exposures and RWA under IRB approach, see tables 16 and 33.

| PILLAR 3 2024 |     | 4. RISK |     | P.116 |

The information included in the above tables is set out below in chart format:

4.2.5.3. Comparative analysis of the estimates made

Article 452 h) CRR

In application of article 452.h) of the CRR, two tables are presented below that show relevant information on the retrospective tests of the probability of default (PD backesting) of exposures to credit risk (excluding counterparty and securitizations), at consolidated level of the BBVA Group. Specifically, the PD estimated for the IRB models is compared with the average annual default rate of obligors.

As of December 31, 2024, this information is shown in the standard format and applying the instructions of the CRR2 EBA ITS:

• EU CR9: Backtesting of PD per exposure class by fixed PD scale.

• EU CR9.1: Backtesting of PD by exposure class where an additional column is added to report the equivalent external rating. The equivalence between the PD and the external ratings described in section 4.2.5.1.2 has been used.

Both tables exclude counterparty risk, securitizations and equity. It should be noted that this information is presented at a consolidated level, adding the IRB portfolios of BBVA.S.A. and BBVA Mexico. The information presented in these tables is as follows:

• Number of obligors : the obligors at the end of the previous fiscal year are presented.

• Of which: number of obligors who have defaulted : customers who defaulted at some point during the last 12 months, so that the debtors in default during the year are shown for each PD interval.

• Observed average default rate : arithmetic mean of one-year default rates. To calculate this rate, the

| PILLAR 3 2024 |     | 4. RISK |     | P.117 |

obligors at the end of the previous year are taken into account in the denominator, and the obligors in default in the numerator.

• Arithmetic average