Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 285

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 285
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     |    |     |    |     |                          |     |    |     |    |     |            |     |    |     |    |
|                                           |     | Medium-high risk |     |       |     |    |     |    |     |                          |     |    |     |    |     |            |     |    |     |    |
|                                           |     | High risk        |     |       |     |    |     |    |     |                          |     |    |     |    |     |            |     |    |     |    |
|                                           |     | Not applicable   |     |       |     |    |     |    |     |                          |     |    |     |    |     |            |     |    |     |    |

| PILLAR 3 2024 |     | 7. PRUDENTIAL DISCLOSURES ON ENVIRONMENTAL, SOCIAL AND GOVERNANCE RISKS |     | P.289 |

Analysis of scenarios and stress testing

Article 449 bis CRR - Table (1) n)

Scenarios and internal stress tests

The climate scenarios have been integrated into the governance of the BBVA Group's internal scenarios:

1. The baseline budget scenario includes an analysis of the climate policies in force in each relevant geographic area in which BBVA operates, their effective importance within the general economic policy framework, their consistency with the transition to a decarbonized economy and with the budget scenario itself. Potential biases on expected economic growth are therefore qualitatively assessed.

2. Incorporation of transitional climate risks into one of the alternative risk scenarios (HLRS) that are continuously monitored and evaluated by the Scenario Working Group. The ongoing monitoring of alternative risk scenarios aids in selecting the scenario to be used in the Group's capital self-assessment process (ICAAP).

Since 2022, various physical risk events have been assessed in the Group with the aim of considering them as input for the ICAAP. In 2022, a drought risk scenario in Spain was considered, while in 2023 a risk scenario for the Mexican economy triggered by cyclones was considered as an additional input for the adverse ICAAP scenario. In 2024, BBVA worked to define those events that could occur simultaneously across different geographies, concluding that drought scenarios for both Spain and Mexico will be included as part of the adverse scenario under the 2024 ICAAP. Likewise, the adverse macroeconomic scenario will incorporate for the