Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 602

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 602
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 carrying amount of the financial asset or to the amortised cost of the financial liability. |

A-489

| – | Multiple scenarios: in order to estimate expected losses, the Group applies different scenarios to identify the                                                                                                                                          
 effect of the non-linearity of losses. To this end, the provisions required are estimated in the different scenarios for which a probability of occurrence has been defined. Specifically, the Group has                                                 
 considered three macroeconomic scenarios: one baseline scenario, the most likely of all (61%), an alternative scenario 1, the most optimistic of the three, which envisages zero supply chain disruption and productivity gains (9%), and an alternative 
 scenario 2, the most adverse, which envisages a synchronised global recession (30%). In each of these scenarios, a 5-year time horizon has been used to carry out the projections. The main variables considered                                         
 are changes in GDP, the unemployment rate and house prices. In 2021, the Group considered three macroeconomic scenarios with weights of 60%, 15% and 25%, respectively, and the same macroeconomic variables as in 2022.                                 |

Baseline scenario

| • |     | Relations between Western countries and Russia remain strained. The conflict between Russia and Ukraine drags on                                                                                                
 without resolution and sanctions remain in place. The cut-off of Russian gas to Europe continues indefinitely, hampering energy supplies during the winter months. Nevertheless, European governments intervene 
 effectively in the energy markets to cushion the economic impact, avoid major energy rationing and find viable alternatives to Russian gas.                                                                     |

| • |     | Inflation remains at high levels for much of 2023 due to the energy crisis in Europe and specific domestic factors in                                                                                                                         
 the United Kingdom and United States, such as the situation concerning labour markets and salaries. Thereafter, inflation gradually eases, but remains somewhat above the central banks’ targets for quite some time. In any event, inflation 
 expectations remain firmly anchored thanks to the monetary policy response.                                                                                                                                                                   |

| • |     | In terms of economic policy, fiscal policy continues to be expansionary and interventionist, based on cushioning the                                                   
 impacts of the energy crisis and high inflation. In the Eurozone, the region begins to harvest the positive effects of rollout of the Next Generation EU (NGEU) funds. |

| • |     | The central banks maintain an orthodox stance and, given the high level of inflation, set and keep interest rates at                                                                                                                                      
 somewhat restrictive levels and move ahead with their