Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 362

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 362
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 internal estimates appropriate to each type of risk. In addition, the ICAAP includes forward-looking analyses with a three-year time horizon (or even a 30-yeartime horizon in the case of scenarios designed to forecast climate risk). These analyses are carried out A-120

under a baseline economic scenario, but also under plausible albeit unlikely adverse scenarios (stress tests), which are relevant to the Group and, therefore, reflect adverse situations, both in
the economic environment and those of an idiosyncratic nature, that could have a particular impact on the Group. The baseline forecast includes the Group’s business and financial plans. These forecasting exercises are carried out to verify
whether the business performance, risk and income statement in possible adverse scenarios could compromise the Group’s solvency based on the available own funds, or affect the Group’s compliance with its Risk Appetite Statement. As a
result of these exercises, weaknesses can be detected and, if necessary, action plans can be proposed to mitigate the identified risks.

Forward-looking analyses under adverse scenarios are supplemented with reverse stress tests, which identify the Group’s idiosyncratic
characteristics that could entail a material vulnerability for its solvency if they were to materialise.

The combination of the different solvency
measurements (static or dynamic and regulatory or economic), taking into account the inventory of risks affecting the Group and the main vulnerabilities detected, enables the Board of Directors, as the body ultimately responsible for the ICAAP, to
draw a conclusion regarding the Group’s solvency position.

The level and quality of capital are Group RAS metrics and their management and
control are governed by the Group’s Risk Appetite Framework (RAF).

The Group has implemented a Risk-adjusted Return on Capital (RaRoC) metric
in segments where this is considered relevant. This metric is embedded in the pricing management system and is therefore subject to the Institution’s policies and procedures. In addition to being used in the pricing process, this metric can
measure the return obtained on each transaction and customer and even by each business unit, which makes it possible to make like-for-like comparisons.

Banco Sabadell has a Capital Contingency Plan (CCP) in place, which sets forth the strategy to ensure that the Group has sufficient management
capabilities and measures in place to minimise the negative impacts of a capital contingency and return to a business-as-usual situation. The CCP is part of the Internal
Crisis Management Framework (ICMF) and is