Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 760

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 760
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 and mid-corporates,having received an initial guarantee from the European Investment Fund in the amount of 96 million euros (63 million euros as at 31 December 2022), covering losses of between 1.5% and 7.5% on the securitised portfolio. These transactions did not involve a substantial transfer of the risks and rewards from the assets concerned and, consequently, did not entail the derecognition of those assets from the consolidated balance sheet. These transactions are given preferential treatment for capital consumption purposes, in accordance with Article 270 of Regulation (EU) 2017/2401 (see Note 5). In the case of market transactions, counterparty credit risk is managed as explained in section 4.4.2.7 of these consolidated annual financial statements. A-625

4.4.2.5. Credit quality of financial assets As stated earlier, in general terms, the Group uses internal models to rate most borrowers (or transactions) through which credit risk is incurred. These models have been designed considering the best practices proposed by the New Basel Capital Accord (NBCA). However, not all portfolios in which credit risk is incurred have internal models, partly due to the fact that these models can only be reasonably designed if a minimum level of experience with cases of non-paymentis available. The standardised approach is followed for these portfolios, for solvency purposes. The exposure percentage calculated by the Group using internal models, for solvency purposes, is 83%. This percentage has been calculated following the specifications of the ECB guide to internal models (Article 26a) published in October 2019. The breakdown of total exposures, rated based on the various internal rating levels, as at 31 December 2022 and 2021 is as follows:

| Million euro             |     |      |     |                             |         |     |         |        |     |         |        |     |                 |     |     |       |         |
|                          |     |      |     | Loans assigned rating/score |         |     |         |        |     |         |        |     |                 |     |     |       |         |
|                          |     |      |     |                        2022 |         |     |         |        |     |         |        |     |                 |     |     |       |         |
| Breakdown of exposure by 
 rating                   |     | Note |     |                     Stage 1 |         |     |