Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 424

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 424
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 submitted to the Securities and Exchange Commission on August 11, 2025. This Amendment No. 4 has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential. The methodology used for the aforementioned collateral adjustments coincides with that applied in the top-downapproach described above, i.e. based on an internal methodology for the quantitative assessment of climate-related physical risk where a differentiation is made between acute and chronic events in line with the three scenarios of Orderly Transition, Disorderly Transition and Hot House World of the Network for Greening the Financial System (NGFS) adapted to a 30-yeartime horizon. This makes it possible to assess physical risk drivers that could have a more significant impact on the portfolio, based on the location and activities of customers. For further details, see section “5.1. Environmental: Climate change” in the Sustainability Report. 4.4.2.2. Risk management models Credit ratings Credit risks incurred with corporates, real estate developers, specialised lending projects, financial institutions and countries are rated using a rating system. The rating model estimates the risk rating in the medium term, based on qualitative information provided by risk analysts, financial statements and other relevant information. The rating system is based on factors that predict the probability of default over a one-yearperiod. It has been designed for different segments. This rating model is reviewed annually based on the analysis of actual delinquency performance patterns. An estimated delinquency rate is assigned to each internal credit rating level, which also allows a uniform comparison to be made against other segments and ratings issued by external credit rating agencies using a master ratings scale. Credit ratings have a variety of uses in risk management. Most notably, they form part of the transaction approval process (system of discretions), risk monitoring and pricing policies. The percentage distribution by credit rating of Banco Sabadell’s portfolio of companies as at 31 December 2024 and 2023 is detailed below:

| %                                                                               |     |       |     |       |     |        |     |        |     |        |     |        |     |       |     |       |     |       |     |       |
| Distribution, by credit rating, of Banco Sabadell’s portfolio of companies 2024 |     |       |     |       |     |        |     |        |     |        |     |        |     |       |     |       |     |       |     |       |
| 9                                                                               |     |