Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 111

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 111
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 method described in Part Three, Title VI of the CRR in accordance with Regulation (EU) 2019/876.

The value of the exposure used to calculate the CVA capital requirements is calculated in accordance with the standardized method for counterparty credit risk.

| PILLAR 3 2024 |     | 4. RISK |     | P.144 |

The variations in terms of RWA during 2024 are presented below:

| Table 44.Flow statements CVA RWA(Million Euros) |

| CVA                         |     |       |
| RWA as of December 31, 2023 |     | 1,429 |
| Asset size                  |     |   -72 |
| Foreign exchange movements  |     |   -50 |
| Other                       |     |     — |
| RWA as of December 31, 2024 |     | 1,307 |

As of December 31, 2024, the risk weighted assets per CVA decreased by €72 million, in constant terms, evolving with the value of the derivatives portfolio.

| PILLAR 3 2024 |     | 4. RISK |     | P.145 |

4.2.6.4. Exposure to central counterparty clearing houses

Article 439 i) CRR

The following table presents a complete overview of the exposure to central counterparty clearing houses by type of exposure (arising from transactions, margins, or contributions to the default fund) and their corresponding capital requirements:

| Table 45.EU CCR8 -  Exposures to CCPs(Million Euros) |

|                                                                                                     |     | 12-31-2024 |     |              |     |     | 12-31-2023 |     |              |     |     |
|                                                                                                     |     |            |     | EAD post CRM |     | RWA |            |     | EAD post CRM |     | RWA |
| Exposures to QCCPs (total)                                                                          |     |            |     |              |     | 150 |            |     |              |     | 285 |
| Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which   |     |            |     |        1,489 |     |  32 |            |     |       58,538 |     | 174 |
| (i) OTC Derivatives                                                                                 |     |