Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 303

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 303
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 general statement that sets out the general principles of the risk strategy and the target risk profile. This statement highlights the focus on sustainability as a lever for BBVA's growth, emphasizing the incorporation of the impact of climate change as one of the key axes of risk management to promote responsible growth. This statement is complemented and detailed by a quantification of the appetite through metrics and thresholds that provide clear and concise guidance as to the maximum acceptable risk profile.

The definition of the levels of tolerance established in the Risk Appetite Framework is based on the risk assessment and scenarios described. On the one hand, the framework includes a classification of the activities most exposed to transition risk, using quantitative metrics established by the Group. In this way, the Exposure at Default (EAD) of activities classified as High Transition Risk (“HTR”) is assessed. Based on this classification, the BBVA Board of Directors approves

thresholds at the Group and relevant geographic area level that establish the maximum appetite for this risk. Moreover, as of 2024, the RAF includes a new indicator linked to the degree of compliance with the decarbonization targets of a series of sectors for which BBVA publishes specific targets.

Additionally, for the management limits, a metric known as High Market Misalignment is measured, which evaluates the exposure to clients whose emission intensity is above 30% of the market average. This metric takes a transition risk management approach by focusing on customers with a clear level of misalignment from the emissions intensity trajectories established by the International Energy Agency's Net Zero Emissions scenario for each of the sectors. The calculation scope is the loan portfolio of the automotive, electricity generation, steel and cement sectors.

Looking ahead to the 2025 RAF, progress has been made in better defining maximum risk appetite levels for activities classified as HTR, thus limiting those exposures with worse TRi scores while supporting the growth of those clients that do a better job in transitioning.

Work is currently underway to establish monitoring metrics for physical risk and financed emissions.

| PILLAR 3 2024 |     | 7. PRUDENTIAL DISCLOSURES ON ENVIRONMENTAL, SOCIAL AND GOVERNANCE RISKS |     | P.308 |

Integration into the definition of risk appetite at customer level

Following international reference frameworks such as SASB’s Materiality Map and rating agencies, BBVA has identified the sub-sectors of activity that it finances and the most relevant environmental and social factors of each one, including, in addition to climate change, aspects related to natural capital, such as pollution