Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 94

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 94
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 |   2,018 |                               |  0.72 | % |                                      | 100.00 | % |                                        |  1.54 | % |

As of December 31, 2024, the total number of short-term wholesale obligors (residual maturity of less than 1 year) whose exposures are calculated under IRB approach rises to approximately 29,000 obligors. The largest number of these corresponds to the regulatory categories of Corporates, in Spain. Additionally, the Group only has one PD model authorized by the Supervisor for each of the aforementioned categories, therefore, 100% of the RWA are calculated under this PD model.

The comparability of the information and the composition of the time window are conditioned by the following factors:

• Long life cycle between the time the IRB parameters are updated and their final implementation, depending on the materiality of the change, supervisory prioritization for the inspection and decision phases.

• Different nature, risk profile and economic cycles of the different portfolios, especially relevant in cases where several geographies are aggregated in the same exposure class (mainly Corporates and Credit Cards in Spain and Mexico).

Minimum historical depth of 5 years: The annual historical default rates cover more than 5 years, seeking consistency between regulatory and economic capital, as long as the supervisory process for the approval of the changes allows it.

Window overlap: Although there is an overlap of quarterly windows in the calibration of the pools, analysis are carried out to measure and mitigate the possible bias that this overlapping could imply. In the quantification of the long-term PD, however, there are no overlapping windows.

| PILLAR 3 2024 |     | 4. RISK |     | P.128 |

4.2.5.4. RWA flow statements of credit and counterparty credit risk under the IRB approach

Article 438 h) CRR

The following table shows the flow statements of credit and counterparty credit risk RWA under internal model (IRB) during the last quarter of 2024:

| Table 33.EU CR8 - RWA flow statements of credit and counterparty risk exposures under the IRB approach(Million Euros) |

|                               |     | Credit Risk |     |             |     |                      | Counterparty Credit Risk |     |             |     |                      | Total |     |             |     |                      |
|                               |     |             |     | RWA amounts |     | Capital Requirements |                          |