Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 528

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 528
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 credit scores are mainly used to 
 authorise transactions, establish (authorised) overdraft limits, design advertising campaigns and adjust the initial stages of the debt recovery management process.                                            |

If no credit rating or credit scoring system exists, individual assessments supplemented with policies are used instead.

| – | LGD (Loss Given Default): 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): rate that exactly discounts estimated future cash payments or receipts through the                                              
 expected life of a financial asset or financial liability to the gross carrying amount of a financial asset or to the amortised cost of a financial liability. |

| – | Multiple scenarios: in order to estimate expected losses, the Group applies different scenarios to identify the                                                                                                                                          
 effect of the non-linearity of losses. To this end, the provisions required are estimated in the different scenarios for which a probability of occurrence has been defined. Specifically, the Bank has                                                  
 considered three macroeconomic scenarios: one baseline scenario, the most likely of all (60%); alternative scenario 1, which is more optimistic and envisages greater potential growth and non-existent                                                  
 inflation (10%); and alternative scenario 2, which is more adverse and envisages a halt in the disinflation process, financial instability and recession (30%). In the case of TSB, the probability of the adverse scenario is reduced to 20%, assigning 
 a 10% probability to a more adverse scenario characterised by interest rate hikes. To carry out the forecasts of these scenarios, 5-year time horizons are used. The main variables considered are changes in                                            
 GDP, the unemployment rate and house prices. In 2022, the Group considered three macroeconomic scenarios with weights of 61%, 9% and 30%, respectively, and the same macroeconomic variables as in 2023.                                                 |

Baseline scenario

| • |     | Global economic growth is fragile and constrained by the materialisation of impacts stemming from monetary policy                                                                                                                                  
 tightening, which affect activity, financing conditions and lending. In terms of regions, there are still structural adjustments in China, while in the Eurozone, Germany’s weaker performance contrasts with the periphery countries that benefit 
 from the Next Generation (NGEU) funds. Labour markets show relative stability