Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 140

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 140
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     | 1,775 |     | —   |     | —     |     |     4,652 |     |                        372 |
| Regulatory adjustments               |     |  1,756 |     |  3,464 |     |   179 |     | —   |     | —     |     |     5,400 |     |                        432 |
| RWA December, 2024                   |     |  2,626 |     |  5,472 |     | 1,954 |     | —   |     | —     |     |    10,052 |     |                        804 |

In the fourth quarter of 2024, capital requirements for market risk under the internal model remained stable following the increase in VaR and SVaR capital requirements as a result of increased sensitivity and the decrease in RCI capital requirements as a result of lower sovereign positioning.

Capital requirements in BBVA S.A. decreased in December 2024 mainly due to a decrease in capital requirements per IRC as a consequence of a reduction in portfolio positions on sovereign issuers, mainly European. SVaR capital requirements increased slightly due to an increase in credit spread sensitivity.

Capital requirements in BBVA Mexico increased in December 2024 mainly due to the increase in capital requirements per SVaR, and to a lesser extent per VaR, as a consequence of the increase in the average long position in MXN rates. This increase is partially offset by

the decrease in RCI capital requirements as a result of the reduction of positions in the sovereign portfolio.

The full annual series of RWA flow of market risk under the IMA is available in the editable file “Pillar 3 2024 – Tables & Annexes”.

4.3.4.2.3 Stress testing

Article 455 a).iii) CRR

All the tasks associated with stress, methodologies, scenarios of market variables or reports are undertaken in coordination with the Group’s Risk Areas.

| PILLAR 3 2024 |     | 4. RISK |     | P. 176 |

A number of stress tests are carried out on the BBVA Group's trading portfolios. First, global and local historical scenarios are used that replicate the behavior of an extreme past event, such as for example the collapse of Lehman Brothers or the "Tequilazo" crisis. These stress tests are complemented with simulated scenarios, where the aim is to generate scenarios that have a significant