Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 405

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 405
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31 December 2024), which covers 
 losses of up to 10.0% on the securitised portfolio.                                                                                                                                          |

| – | In September 2023, the Bank carried out one synthetic securitisation of a 1,139 million euro portfolio of loans                                            
 to SMEs and mid-corporates, having received an initial guarantee from Sabadell Galera 3-2023 Designated Activity Company in the amount of 58 million euros 
 (45 million as at 31 December 2024), covering losses of between 0.95% and 5.05% on the securitised portfolio.                                              |

| – | In September 2022, the Bank carried out one synthetic securitisation transaction of a 1 billion euro portfolio                                                                                 
 of project finance loans, having received an initial guarantee from Sabadell Boreas 1-2022 Designated Activity Company in the amount of 105 million euros (65 million as at 31 December 2024), 
 which covers losses of up to 10.5% on the securitised portfolio.                                                                                                                               |

A-164

| – | In September 2021, the Bank carried out one synthetic securitisation of a 1.5 billion portfolio of loans to SMEs                                                                         
 and mid-corporates, having received an initial guarantee of 75 million euros (38 million as at 31 December 2024), covering losses of between 0.9% and 5.9% on the securitised portfolio. |

These transactions do not meet the requirements of the accounting standards for derecognising assets in securitised portfolios from the consolidated balance sheet. These transactions are given preferential treatment for capital consumption purposes, in accordance with Article 26 of Regulation (EU) 2021/557, with the exception of the transaction carried out in December 2024 (see Note 5). In the case of market transactions, counterparty credit risk is managed as explained in section 4.4.2.8 of these consolidated annual financial statements. 4.4.2.5. Calculation of credit loss allowances The Group applies the criteria described below to calculate credit loss allowances. The amount of impairment allowances is calculated based on whether or not there has been a significant increase in credit risk since initial recognition, and on whether or not a default event has occurred. This way, the impairment allowance for transactions is equal to:

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