Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 765

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 765
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.68% |     | 0.45% |     | 100%  |

In this scale of 0 to 9, probability of default (PD) goes from high to low. The PD used is the risk management PD. Warning tools In general, the Group has a system of warning tools in place, which include both individual warnings and advanced early warning models for both the Companies segment and the Individuals segment. These warning tools are based on performance factors obtained from available sources of information (credit ratings or credit scores, customer files, balance sheets, CIRBE (Bank of Spain Central Credit Register), information relating to the industry or past banking activity, etc.). They measure the risk presented by the customer on a short-term basis (predicted propensity to default), obtaining a high level of predictability to detect potential defaulters. The resulting rating or score, which is obtained automatically, is used as a basic input in monitoring the risk of individuals and companies (see section “Impairment of financial assets” in Note 1). This warnings system enables:

| – | Efficiency to be improved, as monitoring exercises focus on customers with the lowest credit rating or credit score 
 (different cut-off points for each group).                                                                          |

| – | The Institution to anticipate actions required to manage any negative change in the situation of the customer (change 
 in rating, new severe warnings, etc.).                                                                                |

| – | Customers whose situation remains unchanged and who have been assessed by the Basic Management Team to be regularly 
 monitored.                                                                                                          |

A-623

4.4.2.3. Credit risk exposure The table below shows the distribution, by headings of the consolidated balance sheet, of the Group’s maximum gross credit risk exposure as at 31 December 2022 and 2021, without deducting collateral or credit enhancements obtained in order to ensure the fulfilment of payment obligations, broken down by portfolios and in accordance with the nature of the financial instruments:

| Thousand euro                                                     |     |      |        |     |      |             |     |      |             |
| Maximum credit risk exposure                                      |     | Note |        |     | 2022 |             |     | 2021 |             |
| Financial assets held for trading                                 |     |      |        |     |      |     417,131 |     |      |     592,631 |
| Equity instruments                                                |     |      |      9 |     |      |           — |     |      |       2,258 |
|