Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 284

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 284
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 an increase in preference for less environmentally friendly assets is considered a transition risk event with a medium-low impact and probability. The probability of physical risk events within BBVA's footprint is considered low, for a medium-low impact, although the probability of a potential greenwashing event is considered higher.

#### 2.
Risk level assessment: this approach is based on an assessment of the profile of each type of risk, which is reflected in a heat map. The risk assessment covers the most relevant

geographical areas of the BBVA Group (Spain, Mexico, Turkey, Argentina, Peru and Colombia). The business risk analysis was incorporated in 2023, and in 2024, impacts derived from natural capital risk were also included. This exercise incorporates various factors, such as the carbon footprint of customers, the energy efficiency of real estate collateral, and financed emissions. Similarly, work has been done on the preliminary inclusion of quantitative metrics for certain risk factors, especially exposures to activities sensitive to transition risk or locations exposed to physical risk.

The conclusions of the risk assessment for 2024 indicate that the main risks emerge in credit portfolios in the medium and long term. In particular, transition risk manifests itself earlier in Spain due to the faster adoption

| PILLAR 3 2024 |     | 7. PRUDENTIAL DISCLOSURES ON ENVIRONMENTAL, SOCIAL AND GOVERNANCE RISKS |     | P.288 |

of decarbonization policies in Europe, while emerging areas present less regulatory pressure.

In the long term, the main credit risk factor is related to the investments in technological change that companies will have to make in order to decarbonize.

With respect to the impact of physical risk on loan portfolios, the greater frequency/severity of extreme meteorological events and structural changes in climate patterns explains the deterioration shown in the assessment in the medium-long term.

The impact of transition risk on liquidity risk is due to the stability of the retail deposit base and the high asset quality of the liquid asset buffer.

Market risk is also low, due to the diversification of the equity portfolio and low exposure to sectors sensitive to transition risk in the fixed-income portfolio.

As regards operational risk, there is a difference in perceived risk in Spain (medium-low in the short term and medium in the medium and long term) and in the rest of the geographical areas (low) in transition risk; in the case of physical risk, it is low for all the geographical areas evaluated.

| Table 103.Climate Change Risk Assessment 2024 |

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