Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 307

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 307
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ised portfolio.                                                                                                                               |

A-75

| – | In September 2021, the Bank carried out one synthetic securitisation of a 1.5 billion portfolio of loans to SMEs                                                                         
 and mid-corporates, having received an initial guarantee of 75 million euros (38 million as at 31 December 2024), covering losses of between 0.9% and 5.9% on the securitised portfolio. |

These transactions do not meet the requirements of the accounting standards for derecognising assets in securitised portfolios from the consolidated balance sheet. These transactions are given preferential treatment for capital consumption purposes, in accordance with Article 26 of Regulation (EU) 2021/557, with the exception of the transaction carried out in December 2024 (see Note 5). In the case of market transactions, counterparty credit risk is managed as explained in section 4.4.2.8 of these consolidated annual financial statements. 4.4.2.5. Calculation of credit loss allowances The Group applies the criteria described below to calculate credit loss allowances. The amount of impairment allowances is calculated based on whether or not there has been a significant increase in credit risk since initial recognition, and on whether or not a default event has occurred. This way, the impairment allowance for transactions is equal to:

| – | 12-month expected credit losses, where the risk of a default event                                      
 materialising has not significantly increased since initial recognition (assets classified as stage 1). |

| – | Lifetime expected credit losses, if the risk of a default event materialising has increased significantly since 
 initial recognition (assets classified as stage 2).                                                             |

| – | Expected credit losses, where a default event has materialised (assets classified as stage 3). |

12-monthexpected credit losses are defined as: Where: EAD 12Mis the exposure at default at 12 months, PD 12Mis the probability of a default occurring within 12 months and LGD 12Mis the expected loss given default. Lifetime expected credit losses are defined as: Where: EAD iis the exposure at default for each year, taking into account both the entry into default and the (agreed) amortisation, PD iis the probability of a default occurring within the next twelve months for each year, LGD iis the expected loss given default for each year, and EIR is the effective interest rate of each transaction. During this estimation process,