Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 308

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 308
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 calculating expected credit risk losses for loan portfolios, the Group has begun to incorporate climate risk factors through statistical models that consider both potential damage to collateral and the effect on customers' payment capacity due to physical and transition risk in the Group's main geographies (Spain, Mexico and Turkey). In particular, transition risk was assessed using an approach that allows BBVA to capture its effect on probability of default (PD) and the impact on client provisions in Stage 2, as well as a transfer of exposures from Stage 1 to Stage 2 for the Corporate portfolios. For physical risk, an approach has been used that would allow estimating the possible deterioration in the value of collateral (real estate assets in corporate and individual portfolios) and its impact on severity (LGD). As of December 31, 2024, the impact recorded by these risks has not been significant. The Group will continue to work to incorporate the information available at any given time into these models.

Also in 2024, in the aftermath of the damage caused by the torrential rain and flash floods in various Spanish municipalities between October and November 2024, the Group made provisions for credit risk in the amount of EUR 33 million.

Sustainability data strategy

Article 449 bis CRR - Table (1) p)

The deployment of the sustainability data strategy also continued throughout 2024, with BBVA reassessing data needs, identifying gaps, and developing a business process review plan to address these gaps.

In addition to data availability, new ESG data requirements are continually reviewed and shared with relevant stakeholders. BBVA has improved its practices by executing its plan and establishing a systematic process to collect the quantitative data necessary to manage climate-related risks. During 2024, work continued on a process transformation project covering mortgages, auto loans and customer/financial program reviews across all geographies, with the aim of strengthening the collection of data required for regulatory reporting and for managing climate and environmental risks (including energy efficiency, emissions and ESG customer data). This project involves the collaboration of teams from the areas of risk, sustainability, finance and business units of the Group. The data considered include those that satisfy both regulatory and management needs, such as those required for calculating the TRi, energy efficiency certificates for properties taken as collateral, ESG ratings, greenhouse gas emissions, location of assets and collateral, and specific sector metrics.

Collecting customer and transaction data remains a priority, and several approaches are being considered. New data providers are continuously explored to improve coverage in terms of geographies, segments and