Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 87

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 87
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 to their transactional behaviour and payment status.

◦ Proactive: Each month all the customers who have asset positions.

d. SMEs Spain (legal persons) : Management is based on the allocation of limits/ceilings at the customer level, based on the results of a proactive monthly update rating.

•

#### Equity
: For its portfolio position registered as equity, the Group is applying the rating obtained for customers as a result of their rating in the lending process.

4.2.5.1.7. Definitions, methods and data for estimating and validating risk parameters

Article 452 f) CRR

EU CRE e)

The estimation of the parameters is based on the uniform definition of default established at Group level. Specifically, for a facility or customer to be considered in a situation of default, the provisions of current regulations must be met.

Specifically, there are two approaches in the Group for considering default and estimating parameters:

• The facility level approach is applied within the sphere of retail risk. Each customer transaction is handled as an independent unit in terms of credit risk. Therefore, non compliance with credit obligations to the bank is handled at the transaction level.

• The obligor level approach is applied to the remainder portfolios. The significant unit for defining default is the customer’s sum of contracts, which enter a situation of default en masse when the customer defaults.

Furthermore, to avoid including non material defaults in the estimates, non-performing volumes have to pass through a materiality filter that depends on the type of customer and transaction, according to what is established by the EBA’s Definition of Default guidelines.

Estimating parameters

In the case of Spain and Mexico, the Group has an internal information system denominated CORE that reflects exposure to credit risk in the Group’s different portfolios included in advanced internal models.

This information system guarantees the availability of historical data recorded by the Group, which are used to estimate the parameters of Probability of Default (PD), Loss Given Default (LGD) and Credit Conversion Factors (CCF). These are then used to calculate the regulatory

| PILLAR 3 2024 |     | 4. RISK |     | P.103 |

capital using the advanced approach, economic capital and expected loss by credit risk.

Other sources of information for the Bank may be used in addition, depending on any new needs detected in the estimation process.

In the case of low default portfolios (LDP), in which the number of defaults tends to be insufficient for obtaining empirical estimates, use is made of data from external agencies