Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 242

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 242
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 considered by the Group in order to cover this value are the currently drawn balances and the estimated amounts that it expects to disburse in the event its off-balancesheet exposures enter into default, by applying a Credit Conversion Factor (CCF).

| – | Probability of Default (PD): estimation of the probability that a borrower will default within a given period of 
 time.                                                                                                            |

The Group has tools in place to help in its credit risk management that predict the probability of default of each borrower and which cover practically all lending activity. In this context, the Group reviews the quality and stability of the scoring and rating tools currently in use on an annual basis. The review process includes the definition of the sample used and the methodology to be applied when monitoring rating models (see Note 4.4.2.2 “Risk management models”).

| – | Loss Given Default (LGD): expected loss on transactions which are in default. This loss also takes into account                                                                                                                    
 outstanding debt, late-payment interest and expenses relating to the recovery process. Additionally, for each cash flow (amounts outstanding and amounts recovered), an adjustment is applied to consider the time value of money. |

| – | Effective Interest Rate (EIR): the rate that exactly discounts estimated future cash payments or receipts through the                                            
 expected life of the financial asset or financial liability to the gross carrying amount of a financial asset or to the amortised cost of a financial liability. |

A-32

| – | Multiple scenarios: in order to estimate expected losses, the Group applies different scenarios to identify the                                                                                            
 effect of the non-linearity of losses. To that end, the provisions required are estimated in the different scenarios for which a probability of occurrence has been defined (see Note 4.4.2.5 “Calculation 
 of credit loss allowances”).                                                                                                                                                                               |

A-33

Summary of criteria for classification and allowances

The amount of credit impairment allowances is calculated based on whether or not there has been a significant increase in credit risk since the
transaction was originated, and on whether or not any default events have occurred:

The methodology used to estimate losses on refinanced and restructured transactions is generally similar to that
used for other financial assets at amortised cost, but it is considered that, in principle, the estimated loss on a transaction that has had to be restructured to enable payment obligations to be satisfied should be greater than the estimated loss
on a transaction with no history of non-payment, unless sufficient additional effective guarantees are provided to justify otherwise.