Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 103

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 103
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                 2024 |     |               |     |                       | 2023 |     |               |     |                       |
| Counterparty Risk Trading Book Activities |     |                      |     | SA-CCR Method |     | Internal Models (IMM) |      |     | SA-CCR Method |     | Internal Models (IMM) |
| Standardised Approach                     |     |                      |     |           208 |     |                       |      |     |           198 |     |                       |
| Advanced Approach                         |     |                      |     |           521 |     |                       |      |     |           445 |     |                       |
| Total                                     |     |                      |     |           729 |     |                       |      |     |           642 |     |                       |

| PILLAR 3 2024 |     | 4. RISK |     | P. 137 |

The Group currently has a totally immaterial amount of own funds requirements for settlement risk of the trading portfolio.

4.2.6.2.1. Counterparty credit risk exposure by approach

Article 439 f), g), k) CRR

Below is an overview of the methods used to calculate the regulatory requirements for counterparty credit risk and the main parameters of each method (excluding requirements for CVA and exposure cleared through a CCP, which are shown in tables CCR2 and CCR8, respectively).

| Table 38.EU CCR1 - Analysis of CCR exposure by approach(Million Euros) |

|                                                                    |     | 12-31-2024 |     |                       |     |                                  |     |                                             |     |       |     |                        |     |                         |     |                              |     |       |
|                                                                    |     |            |     | Replacement cost (RC) |     | Potential future exposure  (PFE) |     | Expected Effective Positive Exposure (EEPE) |     | Alpha |     | Exposure value pre-CRM |     | Exposure value post-CRM |     | Exposure value (without CVA) |     |  RWEA |
| Original Exposure Method (for derivatives)                         |     |            |     |                     — |     |                                — |     |                                             |     |  1.40 |     |                      — |     |                       — |     |                            — |     |     — |
| Simplified SA-CCR (for derivatives)                                |     |            |     |                     — |