Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 437

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 437
---
.

In both cases, other recent risk events (refinancing, exit from default status, non-payments, lending restrictions) also explain the probability of default.

The explanatory factors mainly used
by SICR models are the PD upon approval and the current residual lifetime PD (i.e. for the residual life of the transaction).

LGD models use
additional risk drivers that enable a more in-depth segmentation to take place. More specifically, for mortgage guarantees, the LTV (Loan to Value) is used, or the order of priority in the event the mortgage
guarantee is enforced. Similarly, the amount of debt and the type of product are also factors taken into account.

A-269

Summary of criteria for classification and allowances

The classification of credit risk and the measurement of allowances are determined based on whether or not there has been a significant increase in
credit risk since origination, or on whether or not any default events have occurred:

Guarantees

Effective guarantees are collateral and personal guarantees proven by the Group to be a valid means of mitigating credit risk.

Under no circumstances will guarantees whose effectiveness substantially depends on the credit quality of the debtor or, where applicable, of the
economic group of which the debtor forms part, be accepted as effective guarantees.

A-270

Based on the foregoing, the following types of guarantees can be considered to be effective guarantees:

| – | Real estate guarantees applied as first mortgage liens: |

| • |     | Completed buildings and completed component parts: |

| ○ | Housing units. |

| ○ | Offices, commercial premises and multi-purpose industrial buildings. |

| ○ | Other buildings, such as non-multi-purpose industrial buildings and hotels. |

| • |     | Urban land and regulated building land. |

| • |     | Other real estate. |

| – | Collateral in the form of pledged financial instruments: |

| • |     | Cash deposits. |

| • |     | Equity instruments in listed entities and debt securities issued by creditworthy issuers. |

| – | Other collateral: |

| • |     | Personal property received as collateral. |

| • |     | Subsequent mortgages on properties. |

| – | Personal guarantees such that direct liability to the customer falls to the new guarantors, who are persons or               
 entities whose solvency is sufficiently verified to ensure the full redemption of the transaction under the terms set forth. |

The Group has collateral valuation criteria for assets located in Spain that are in line with prevailing