Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 401

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 401
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 process to assess climate-related and environmental risk through the CERI of the borrowers in question can be done in two ways.

| i. | A top-down approach of climate risk and environmental degradation risk                                                                                                                                                                               
 models, which is conducted for, and applied to, the entire loan book. Its output is an environmental performance rating obtained through a model, the automated CERI, which aggregates in a single assessment the outcomes, at the modular level, of 
 climate-related transition and physical risks and environmental degradation risk assessments. This simplified, more automated approach is applied to companies not subject to non-financial disclosure                                               
 requirements or that currently do not have an advanced CERI analysis.                                                                                                                                                                                |

| ii. | A bottom-up approach, which applies to large enterprises subject to non-financial disclosure requirements through the advanced CERI. The advanced CERI is a numerical indicator that, with the same modular structure and approach as the automated CERI, enables the categorisation of 
 borrowers according to their impact associated with climate-related and environmental risks, taking into account the management, attitude, specific characteristics and progress made by the borrower in this regard, supplemented by an analysis of any                                
 controversies associated with the borrower.                                                                                                                                                                                                                                             |

As regards the inclusion of environmental risks in the calculation of the expected loss, through the PD, the Institution adjusts the ratings of large enterprises when the Climate-related and Environmental Risk Indicator, explained above, is classified as high or when the counterparty is involved in significant controversies that have not been mitigated. It is thus included directly, as the rating is an input of the expected loss parameters (specifically, the PD). Furthermore, in order to reflect the impact of these risks in the appraisal values of loan book collateral, the Institution applies adjustments that lower the appraisal value. In the case of physical risk, this adjustment reflects, for each collateral item, the level of its deterioration in the event of flood, fire or water stress, as well as the probability of occurrence of this event. In the case of transition risk, the appraisal value is lowered for collateral with an energy rating below D. A-160

The methodology used for the aforementioned collateral adjustments coincides with that applied in the top-downapproach described above, i.e. based on an internal methodology for the quantitative assessment of climate-related physical risk where a differentiation is made between acute and chronic events in line with the three scenarios of Orderly Transition, Disorderly Transition and Hot House World of the Network for Greening the Financial System (NGFS)