Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 687

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 687
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 the Securities and Exchange Commission and all

information herein remains strictly confidential.

The ICAAP is seen as a complementary tool to Basel Pillar 1 (regulatory capital), which first analyses
the Group’s business model within its economic, financial and regulatory context, and its short- and medium-term sustainability and viability. The Group’s business model involves taking risks and a risk profile is therefore defined. As
part of the ICAAP, an identification is made of the material risks and of the main threats and vulnerabilities derived from the Group’s activity and a self-assessment is carried out of the inherent and residual risk that they entail, after
considering the risk governance, management and control systems.

Based on the inventory of the Group’s material risks and their management, a
comprehensive quantitative assessment of the necessary capital based on internal approaches (economic capital) is established, the scope of which goes beyond the risks covered by Pillar 1, integrating the models used by the Group (e.g. borrower
rating systems: credit ratings and credit scores) and other internal estimates appropriate to each type of risk.

In addition, the ICAAP includes
forward-looking analyses with a three-year time horizon (or even a 30-year time horizon in the case of scenarios designed to forecast climate risk). These analyses are carried out under a baseline economic scenario, but also under plausible albeit
unlikely adverse scenarios (stress tests), which are relevant to the Group and therefore reflect adverse situations that could have a particular impact on the Group. The baseline forecast includes the Group’s business and financial plans. These
forecasting exercises are carried out to verify whether the business performance, risk and income statement in possible adverse scenarios could pose a risk to the Group’s solvency based on the available own funds, or affect the Group’s
compliance with its Risk Appetite Statement. As a result of these exercises, weaknesses can be detected and, if necessary, action plans can be proposed to mitigate the identified risks.

Forward-looking analyses under adverse scenarios are supplemented with reverse stress tests, which identify the Group’s idiosyncratic aspects that
could put its solvency at considerable risk if they were to materialise.

The combination of the various solvency measures (static or dynamic and
regulatory or economic), taking into account the inventory of risks affecting the Group and the main vulnerabilities detected, enables the Board of Directors, as the body ultimately responsible for the ICAAP, to draw a conclusion regarding the
Group’s solvency position.

The