Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 97

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 97
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| (2)Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques. |     |                               |     |       |                             |     |   |     |     |    |                    |     |       |     |       |     |                 |
| (3)Corresponds to exposure value after CRM and CCF.                                                                                                                     |     |                               |     |       |                             |     |   |     |     |    |                    |     |       |     |       |     |                 |

During 2024 there is no relevant changes in the composition of equity exposures using the simple method, except for the reduction of those exposures subject to the RW of 370%, as opposed to the exposures subject to the Fall-back approach, as shown in table 16.

Additionally, section 4.4.3 shows detailed information on the structural risk of equities.

#### 4.2.6.

#### Information on counterparty credit risk
Counterparty credit risk exposure involves that part of the original exposure corresponding to derivative instruments, repurchase and reverse repurchase transactions, securities or commodities lending transactions and deferred settlement transactions.

4.2.6.1. Policies for managing counterparty risk

4.2.6.1.1. Methodology: allocation of internal capital and limits to exposure subject to counterparty risk

Article 439 a) CRR

EU CCRA a)

The Group has an economic model for calculating internal capital through exposure to counterparty risk in treasury operations. This model has been implemented in the Risk unit systems in Market areas. It is used to estimate the credit exposure for each of the counterparties for which the entity operates.

Exposure is generated in a manner consistent with those used for the monitoring and control of credit risk limits. The time horizon is divided up into intervals, and the market risk factors (interest rates, exchange rates, etc.) underlying the instruments that determine their valuation are simulated for each interval.

| PILLAR 3 2024 |     | 4. RISK |     | P. 133 |

Exposure is obtained based on the 2000 different scenarios generated using the Monte Carlo method for risk factors (subject to counterparty risk) and applying the corresponding mitigating factors to each counterparty (i.e. applying