Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 412

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 412
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 the price variation at year-endis calculated and, for the UK, the average price variation over the year is calculated. In the Group, macroeconomic scenarios have been incorporated into the impairment calculation model. Further adjustments to expected losses The Group applies a series of additional adjustments to the outputs of its credit risk models, referred to as Post Model Adjustments (PMAs) or overlays, in order to address situations in which the outputs of those models are not sufficiently sensitive to uncertainty or to capture events that cannot be modelled. These adjustments are temporary and remain in place until the reasons for which they were originally applied cease to exist. In all cases, the aforesaid overlays followed the policies and procedures set by the Group, as well as their internal governance workflow, which includes a review by the second line of defence. As at 31 December 2023, the additional adjustments applied to expected losses stemming from credit risk models amounted to around 80 million euros, of which 50 million euros corresponded to adjustments relating to sectoral factors and 30 million euros to adjustments arising from the macroeconomic environment. Both adjustments were due to an environment of high inflation and high interest rates, given the greater sensitivity of certain business and variable-rate mortgage sectors to this environment, and were included as an overlay on the Probability of Default (PD). As at 31 December 2024, the overlays recorded in the consolidated balance sheet amount to 83 million euros. The change in the year corresponds to the specific allocation of the overlays in force as at 2023 year-end,following the annual model review process, and to the application of new overlays, in the amount of 25 million euros, estimated based on the results of the backtests carried out on PD models. Furthermore, due to the DANA emergency that took place last October, the potentially affected perimeter was identified and a reclassification was carried out, using collective overlays, reclassifying 255 million euros to stage 2 and 96 million euros to stage 3, corresponding to the most affected perimeter and on which an adjustment to the expected loss of 45 million euros was applied (see Note 4.1). Finally, the Group applied an overlay of 13 million euros to reflect environmental risks in the expected loss (see section “Environmental risk management associated with credit risk” in Note 4.4.2.1). The Group has recorded the impact on the different stages stemming from the overlays described above through collective assessment PMAs. In that regard, overlays that entailed increasing exposures