Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 311

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 311
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 and the credit rating are used. For individuals, the behavioural credit score is used. A description of these tools can be found earlier in this same note. In both cases, other recent risk deterioration events (refinancing, exit from default status, non-payments,lending restrictions) also explain the probability of default. The SICR models mainly use as an explanatory factor the ratio between the residual lifetime PD at the time of approval (i.e. for the residual life of the transaction but using the information existing at the time the transaction is originated) and the current lifetime PD (using the information existing at the present time). LGD models use additional risk drivers that enable a more in-depthsegmentation to take place. More specifically, for mortgage guarantees, the Loan-to-Value(LTV) is used, or the order of priority in the event the mortgage guarantee is enforced. Similarly, the amount of debt and the type of product are also factors taken into account. A-78

For those borrowers included within business in Spain whose coverage has been assessed using internal models as at 31 December 2024 and 2023, the following tables show the breakdown by segment of the average EAD-weightedPD and LGD parameters, distinguishing between on-balancesheet and off-balancesheet exposures, and the stage in which the transactions are classified according to their credit risk:

| %                            |     |                                                        |      |   |     |     |       |   |     |         |       |   |     |            |       |   |     |         |        |   |     |     |       |   |     |                 |      |   |     |     |       |   |
|                              |     |                                                        |      |   |     |     |       |   |     |         |       |   |     | 31/12/2024 |       |   |     |         |        |   |     |     |       |   |     |                 |      |   |     |     |       |   |
|                              |     | Average ECL parameters for on-balance sheet exposures  |      |   |     |     |       |   |     |         |       |   |     |            |       |   |     |         |        |   |     |     |       |   |     |                 |      |   |     |     |       |   |
|                              |     | Stage 1                                                |      |   |     |