Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 318

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 318
---
 an environment of high inflation and high interest rates, given the greater sensitivity of certain business and variable-rate mortgage sectors to this environment, and were included as an overlay on the Probability of Default (PD). As at 31 December 2024, the overlays recorded in the consolidated balance sheet amount to 83 million euros. The change in the year corresponds to the specific allocation of the overlays in force as at 2023 year-end,following the annual model review process, and to the application of new overlays, in the amount of 25 million euros, estimated based on the results of the backtests carried out on PD models. Furthermore, due to the DANA emergency that took place last October, the potentially affected perimeter was identified and a reclassification was carried out, using collective overlays, reclassifying 255 million euros to stage 2 and 96 million euros to stage 3, corresponding to the most affected perimeter and on which an adjustment to the expected loss of 45 million euros was applied (see Note 4.1). Finally, the Group applied an overlay of 13 million euros to reflect environmental risks in the expected loss (see section “Environmental risk management associated with credit risk” in Note 4.4.2.1). The Group has recorded the impact on the different stages stemming from the overlays described above through collective assessment PMAs. In that regard, overlays that entailed increasing exposures classified as stage 2 and stage 3 by 511 million euros and 135 million euros, respectively, have been applied. These overlays include the impacts of the DANA emergency mentioned above. A-84

Sensitivity analysis of the key variables of macroeconomic scenarios A sensitivity analysis of the expected loss of the Group and of the main geographies and its impact, by segment, on impairment allowances in the event of a change in the key variables, ceteris paribus, from the actual macroeconomic environment, with respect to the most probable baseline macroeconomic scenario envisaged in the Group’s business plan, is set out below. The outcome of this analysis is described below:

|                                  |     | Group                      |         |     |                         |      |   |     |      |     |   |
|                                  |     | Change in the              
 variable (*)               |         |     | Impact on expected loss |      |   |     |      |     |   |
|                                  |     | Corporates                 |         |     | Individuals             |      |   |     |      |     |   |
| GDP