Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 361

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 361
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i.e. to stage 3, as a result of borrower arrears, when payments are, in general, over 90 days past due, or for reasons other than borrower arrears, when there are reasonable doubts as to their recoverability). 1.3.4.1.2 Credit loss allowances The Group applies the following parameters to determine its credit loss allowances:

| – | Exposure at Default (EAD): the Institution defines exposure at default as the value to which it expects to be exposed 
 when a loan defaults.                                                                                                 |

The exposure metrics 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-121

As confidentially submitted to the Securities and Exchange Commission on August 11, 2025. This Amendment No. 4 has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential.

| – | 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