Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 448

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 448
---
ated Board committee). Additionally, the backtesting results that affect the risk parameters used to calculate regulatory capital and the main conclusions drawn from those results are included in the annual Pillar 3 Disclosures report, taking into account the criteria established by the EBA in its disclosure guidelines. Banco Sabadell Group carries out an Internal Capital Adequacy Assessment Process (ICAAP) on a consolidated and ongoing basis throughout the year in order to generate a relevant, up-to-date,fully comprehensive and forward-looking appraisal of the adequacy of its levels of capital, considering the Group’s business model and the risks taken. The ICAAP is carried out under a solid governance framework, with high levels of involvement from Senior Management. The ultimate responsibility for its review and approval lies with the Board of Directors. The ICAAP is seen as a complementary tool to Basel Pillar 1 (regulatory capital), which first analyses the Group’s business model within its economic, financial and regulatory context, and its short- and medium-term sustainability and viability. The Group’s business model involves taking risks and a risk profile is therefore defined. As part of the ICAAP, an identification is made of the material risks and of the main threats and vulnerabilities derived from the Group’s activity and a self-assessment is carried out of the inherent and residual risk that they entail, after considering the risk governance, management and control systems. Based on the inventory of the Group’s material risks and their management, a comprehensive quantitative assessment of the necessary capital based on internal approaches (economic capital) is established, the scope of which goes beyond the risks covered by Pillar 1, integrating the models used by the Group (for example, borrower rating systems: credit ratings and credit scores) and other internal estimates appropriate to each type of risk. In addition, the ICAAP includes forward-looking analyses with a three-year time horizon (or even a 30-yeartime horizon in the case of scenarios designed to forecast climate risk). These analyses are carried out A-209

under a baseline economic scenario, but also under plausible albeit unlikely adverse scenarios (stress tests), which are relevant to the Group and, therefore, reflect adverse situations, both in
the economic environment and those of an idiosyncratic nature, that could have a particular impact on the Group. The baseline forecast includes the Group’s business and financial plans. These forecasting exercises are carried out to verify
whether the business performance, risk and income statement in possible adverse scenarios could compromise the Group’s solvency based