Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 281

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 281
---
 and/or physical risk. Along these lines, in recent years BBVA has drawn up its own internal taxonomies of climate and environmental risks, understood as common definitions of risk levers and their transmission channels with potential impacts on traditional prudential risks:

BBVA has a risk taxonomy that forms part of its risk management framework. The taxonomy constitutes an inventory of all the risks to which BBVA is exposed or

may become exposed as a result of the development of

| PILLAR 3 2024 |     | 7. PRUDENTIAL DISCLOSURES ON ENVIRONMENTAL, SOCIAL AND GOVERNANCE RISKS |     | P.286 |

its business activity and strategy and, therefore, is adapted to BBVA's risk profile.

The taxonomy allows risks to be categorized at different levels. On the one hand, there is a general level or 'tier 1 risks' that corresponds to the most aggregated categories of financial and non-financial risks. ‘Tier 2 risks’ represent a lower or more granular level that corresponds to the risk levers that are part of the ‘tier 1 risks.’ This second level of risks includes climate and environmental, social and governance risks as a source of risk. Climate and environmental risks are shown below:

|                       |     | Climate                                                                                                                                                                                                                                                                                                                                    |     |                                                                                                                                                                                                                                  |     | Environmental                                                                                                                                                                             |
| Risk drivers          |     | Transition                                                                                                                                                                                                                                                                                                                                 |     | Physical                                                                                                                                                                                                                         |     | Transition and physicals                                                                                                                                                                  |
| Credit                |     | The transition to a low-carbon emissions economy may involve significant costs and investments, putting the revenues of some customers in certain sectors at risk. This could potentially increase their PD and affect the value of collateral.                                                                                            |     | Risk metrics may be affected for exposures in sectors or geographic areas more exposed to extreme weather events or changes in weather patterns.                                                                                 |     | The need for adaptation due to the loss of ecosystem services capacity can potentially entail additional costs or significant investments in certain sectors to maintain their operation. |
| Real estate           |     | Properties with lower energy efficiency may experience their value affected, impacting the value of our collateral.                                                                                                                                                                                                                        |     | Due to their location in certain geographic areas, properties may be exposed to extreme weather events that influence the market’s perception of their value, potentially diminishing the value of BBVA’s real estate collateral |     | -                                                                                                                                                                                         |
| Market                |     | Transition risks can generate negative impacts on the value of financial assets and an increase in their