Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 685

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 685
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 could prevent or delay their failure to honour their payment obligations, whilst at the same time preventing or delaying the recognition of the impairment associated 
 with the financial asset linked to that obligor.                                                                                                                                                                                                         |

| – | Probability of the borrower becoming insolvent: in cases in which there is a high probability that a borrower will                                                                                                         
 enter bankruptcy or other financial reorganisation, the solvency of the issuers or obligors is ostensibly affected, which could give rise to a loss event depending on the impact on future cash flows pending collection. |

The Group carries out an annual review of the reasonableness of its thresholds and of the credit risk captured in the individual assessments carried out using these thresholds. Collective assessment For borrowers who have been classed below the significant borrower threshold and who, in addition, have not been classified as stages 2 or 3 by the automatic classification algorithm, the Group has defined a process to identify transactions that show a significant increase in credit risk compared to when the transaction was approved, and which could give rise to greater losses than those incurred on other similar transactions classified as stage 1. For transactions of borrowers that are assessed collectively, the Group has a statistical model that allows it to determine the Probability of Default (PD) term structure and, therefore, the residual lifetime PD of a contract (or the PD from a given moment in time up to the maturity of the transaction), based on different characteristics:

| – | Systemic: macroeconomic characteristics shared by all exposures. |

| – | Cross-cutting: aspects that remain stable over time and which are shared by a group of transactions, such as the             
 shared effect of lending policies in effect at the time the transaction was approved, or the transaction’s approval channel. |

| – | Idiosyncratic: aspects specific to each transaction or borrower. |

With this specification, the Group is able to measure the annualised residual lifetime PD of a transaction under the conditions that existed at the time the transaction was approved (or originated), or under the conditions existing at the time the provision is calculated. Therefore, the current annualised residual lifetime PD may fluctuate in relation to the PD at the time the transaction was approved, due to changes in the economic environment or in the idiosyncratic characteristics of the transaction or of the borrower. In March 2022, the Group introduced a new statistical model that estimates significant increase in credit risk for borrowers and transactions subject to collective assessment models. The model generates an estimate using a logistic regression taking the annualised lifetime PD