Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 101

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 101
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 Exposure to counterparty credit risk

The exposure value of derivative instruments will be determined based on one of the methods established in sections 3 to 6 of chapter 6 of the CRR: standard method for counterparty credit risk, simplified standard method for credit risk counterparty, original risk method or internal models method.

The exposure value of the securities financing transactions (SFTs) is determined in accordance with the methods provided in the preceding paragraph or using those provided for in Chapter 4 of the CRR.

In this regard, the BBVA S.A. Group calculates the exposure value of derivative instruments in accordance with the standardised method for counterparty credit risk (SA-CCR) which is applicable since June 2021.

The SA-CCR framework calculates the aforementioned exposure by each netting set of the entity. The SA-CCR method defines the exposure value as the product of a surcharge (α) applied to the sum of the replacement cost (RC) and the potential future exposure (PFE). Where α is equal to 1.4.

<div align='center'>Exposure value = α * (RC + PFE)</div>

The BBVA Group S.A. calculates the exposure value of the repurchase operations in accordance with the provisions of chapter 4 on credit risk mitigation and in accordance with the financial collateral comprehensive method.

A breakdown of the original exposure, EAD and RWA under counterparty credit risk (including exposures to Central Counterparties) is below:

| PILLAR 3 2024 |     | 4. RISK |     | P. 135 |

| Table 36.Positions subject to counterparty credit risk in terms of OE, EAD and RWA(Million Euros. 12-31-2024) |

| Exposure Class and risk types                    |     |    | Securities financing transactions |     |         |     |         |     |       | Derivatives and transactions with deferred settlement |     |        |     |        |     |       | Total |     |         |     |         |     |       |
|                                                  |     | OE |                                   |     |     EAD |     |     RWA |     |    OE |                                                       |     |    EAD |     |    RWA |     |    OE |       |     |     EAD |     |     RWA |     |       |
| Central governments or central banks             |     |    |                                   |     |  18,777 |     |