BBVA (BBVA) discloses robust 2025 CET1, leverage and liquidity ratios

Rhea-AI Filing Summary

Banco Bilbao Vizcaya Argentaria (BBVA) reports very strong regulatory capital and liquidity in its 2025 prudential (Pillar 3) disclosure. The Common Equity Tier 1 (CET1) ratio is 12.70% as of December 31, 2025, giving a cushion of 341 basis points over the 9.29% minimum requirement.

Total capital ratio stands at 17.21% versus an overall requirement of 13.44%, and the leverage ratio is 6.15%, comfortably above the 3.00% minimum. Liquidity metrics are also robust, with an average Liquidity Coverage Ratio of 140.08% and a Net Stable Funding Ratio of 126.37%. BBVA’s MREL ratios reach 28.89% of risk-weighted assets and 10.21% of the leverage exposure, exceeding respective requirements of 27.10% and 8.59%. The bank notes that the implementation of the new CRR3 framework from January 1, 2025 did not have a significant impact on its capital ratio.

Insights

Bank capital and regulation analyst

BBVA shows strong buffers above new CRR3-era capital and liquidity requirements.

BBVA’s CET1 ratio of 12.70% exceeds its 9.29% requirement, leaving a sizeable management buffer even after absorbing an extraordinary share buyback program. Total capital of €68,365 million on risk-weighted assets of €397,241 million produces a total capital ratio of 17.21%.

Structural strength extends to liquidity: the average Liquidity Coverage Ratio is 140.08%, and the Net Stable Funding Ratio is 126.37%, both well above the 100% regulatory floor. The leverage ratio of 6.15% more than doubles the 3.00% minimum, indicating conservative balance sheet leverage.

Minimum requirements will slightly shift under the latest SREP decision, with a consolidated CET1 requirement of 8.98% and total capital of 13.13% from January 1, 2026. BBVA’s 2025 levels sit above these future thresholds, suggesting room to absorb business growth or regulatory refinements under CRR3 without breaching constraints, assuming conditions similar to those described here persist.

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FAQ

What is BBVA (BBVA) reporting in its March 2026 Form 6-K?

BBVA is presenting its 2025 prudential (Pillar 3) report, detailing regulatory capital, risk-weighted assets, leverage, liquidity, and MREL metrics. The disclosure explains how the group meets European CRR3 and CRD VI requirements and summarizes its risk profile and regulatory environment.

How strong is BBVA’s CET1 capital ratio as of December 31, 2025?

BBVA’s CET1 ratio is 12.70% on risk-weighted assets of €397,241 million. This stands 341 basis points above its 9.29% minimum requirement, providing a substantial management buffer after accounting for credit, market, operational and other regulatory capital charges.

What liquidity ratios does BBVA (BBVA) report for 2025?

BBVA reports a 12‑month average Liquidity Coverage Ratio of 140.08% and a Net Stable Funding Ratio of 126.37% as of December 31, 2025. Both metrics comfortably exceed the 100% regulatory minimum, indicating ample high-quality liquid assets and stable funding relative to requirements.

How does BBVA’s leverage ratio compare with regulatory requirements?

BBVA shows a leverage ratio of 6.15% on a total exposure measure of €908,869 million at December 31, 2025. This level is more than double its 3.00% SREP leverage requirement, suggesting relatively conservative overall leverage within the regulatory framework described.

What MREL levels does BBVA (BBVA) disclose at year-end 2025?

BBVA’s MREL resources equal 28.89% of the resolution group’s risk-weighted assets and 10.21% of the total exposure measure at December 31, 2025. These exceed corresponding requirements of 27.10% of RWA and 8.59% of leverage exposure, including combined buffer requirements.

Did the new CRR3 rules significantly change BBVA’s capital ratio?

The report states that the entry into force of Regulation (EU) 2024/1623 (CRR3) on January 1, 2025 did not have a significant impact on the BBVA Group’s capital ratio. The main effects relate instead to updated calculation approaches and expanded Pillar 3 disclosure requirements.

UNITED STATES SECURITIES AND EXCHANGE

COMMISSION

WASHINGTON, D.C. 20549

FORM 6-K

REPORT OF FOREIGN ISSUER PURSUANT TO RULE 13a-16 OR 15d-16

UNDER THE SECURITIES EXCHANGE ACT OF 1934

For the month of March, 2026

Commission file number: 1-10110

BANCO BILBAO VIZCAYA ARGENTARIA, S.A.

(Exact name of Registrant as specified in its charter)

BANK BILBAO VIZCAYA ARGENTARIA, S.A.

(Translation of Registrant’s name into English)

Calle Azul 4,

28050 Madrid

Spain

(Address of principal executive offices)

Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or Form 40-F:

Form 20-F [X] Form 40-F [  ]

Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):

Yes [  ] No [X]

Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):

Yes [  ] No [X]

The amounts shown in this report are presented in millions of euros; therefore, certain items shown without a balance could have a

balance if smaller units had been used. In order to present the amounts in million euros, the balances have been rounded;

therefore, the amounts shown in certain tables may not be the exact arithmetic sum of the preceding figures

The English language version of this report is a free translation from the original, which was prepared in Spanish. All possible care

has been taken, to ensure that the translation is an accurate presentation of the original. However, in all matters of interpretation,

views or opinion expressed in the original language version of the document in Spanish take precedence over the translation.

Pillar 3 | 2025

p.1

Pillar 3  |  2025 >  Index

Index

Index of Tables	3
Index of Charts	6
1. Introduction	7
1.1.BBVA Group	8
1.2.Executive summary	15
2. General aspects and information requirements	21
2.1.Corporate name and scope of application	22
2.2.Applicable regulatory framework and regulatory developments	23
2.3.Contents of the 2025 Prudential Relevance Report	30
2.4.Consolidation perimeters	32
3. Solvency	40
3.1.Capital	41
3.2.Leverage ratio	54
3.3.MREL	58
4. Risk	61
4.1.General Risk Management and Control Model	63
4.2.Credit and Counterparty Risk	77
4.3.Market Risk	201
4.4.Structural risk	223
4.5.Liquidity Risk	236
4.6.Operational Risk	255
4.7.Risks on cryptoassets	265
5. Information on remuneration	267
5.1.Information on the decision-making process used to establish the remuneration policy for the Identified	269
5.2.Description of the different types of employees included in the Identified Staff	274
5.3.Key features of the remuneration system	276
5.4.Information on the connection between the remuneration of the Identified Staff and the Group's performance	285
5.5.Description of the criteria used to take into consideration present and future risk in the remuneration processes	287

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Pillar 3  |  2025 >  Index

5.6.Main parameters and the motivation of any component of possible variable compensation plans and other non-cash advantages	289
5.7.Ratios between fixed and variable remuneration of the Identified Staff	289
5.8.Quantitative information on remuneration of the Identified Staff	291
6. Information on the corporate governance system	297
6.1.Members of the Board of Directors of BBVA	299
6.2.Selection, suitability and diversity policy	305
6.3.Committees of the Board of Directors	307
6.4.Information flow on risk	309
7. Prudential disclosures on environmental, social and governance risks	311
7.1.Introduction and governance model	312
7.2.Environmental risk	324
7.3.Social risk	365
7.4.Governance risk	372
Annexes	375

p.3

Pillar 3  |  2025 >  Index of tables

Index of tables

Table 1. EU KM1 - Key metrics	19
Table 2. EU KM2 - Key metrics - MREL and, where applicable, G-SII requirement for own funds and eligible liabilities	20
Table 3. EU CC2 - Reconciliation of regulatory capital to balance sheet	35
Table 4. Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter	36
Table 5. EU LI1 - Differences between the accounting and regulatory scopes of consolidation and the mapping of the financial statements categories with regulatory risk categories	37
Table 6. EU LI2 - Main sources of the differences between regulatory original exposure amounts and carrying values in financial statements	38
Table 7.  Solvency metrics	40
Table 8. Capital distribution constraints	43
Table 9. EU CCyB2 -  Amount of institution-specific countercyclical capital buffer	43
Table 10. EU OV1 - Overview of RWA	45
Table 11. EU CMS1- Comparison of modelled and standardised risk weighted exposure amounts at risk level	47
Table 12. Amount of capital (EU CC1)	50
Table 13. EU LR1 - Summary reconciliation of accounting assets and exposure corresponding to the Leverage Ratio	56
Table 14. EU LR3 - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)	56
Table 15. EU TLAC1 - Composition - MREL and, where applicable, G-SII requirement for own funds and eligible liabilities	59
Table 16. Credit Risk and Counterparty Risk Exposure	82
Table 17. Breakdown of RWA density by geographical area and approach	85
Table 18. EU CR1 - Performing and non-performing exposures and related provisions	86
Table 19. EU CQ3 - Credit quality of performing and non-performing exposures by past due days	89
Table 20. EU CQ4 - Quality of non-performing exposures by geography	91
Table 21. EU CQ5 - Credit quality of loans and advances to non-financial corporations by industry	93
Table 22. EU CR1-A - Maturity of exposures	95
Table 23. EU CR2 - Changes in the balance of exposures to credit risk in default and impaired	95
Table 24. EU CQ1 - Credit quality of forborne exposures	95
Table 25. EU CQ7 - Collateral obtained by taking possession and execution processes	97
Table 26. EU CR3 - CRM techniques - overview	101
Table 27. EU CR4 - Standardised approach - credit risk exposure and credit risk mitigation effects	103
Table 28. EU CR5 - Standardised approach: exposure values after application of credit risk mitigation techniques	105
Table 29. RWA flow statements of credit risk exposures under the standardised approach	111
Table 30. EU CR10 (5) - Equity exposures	112
Table 31. EU CR6-A — Scope of the use of IRB and SA approaches	113
Table 32.1. EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range	123
Table 32.2. EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range (FIRB)	131
Table 33. EU CR7-A - IRB approach - Disclosure of the extent of the use of CRM techniques	136
Table 34.1. EU CR9 - IRB approach - Backtesting of PD per exposure class	141
Table 34.2. EU CR9 - IRB approach - Backtesting of PD per exposure class  (FIRB)	149

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Pillar 3  |  2025 >  Index of tables

Table 35.1. EU CR9.1 - Backtesting of PD per exposure class	154
Table 35.2. EU CR9.1 - Backtesting of PD per exposure class (FIRB)	162
Table 36. EU CR8 - RWA flow statements of credit and counterparty risk exposures under the IRB approach	167
Table 37. EU CR10  (1-4) - IRB: specialised lending	168
Table 38. Positions subject to counterparty credit risk in terms of OE, EAD and RWA	175
Table 39. EU CCR1 - Analysis of CCR exposure by approach	176
Table 40. EU CCR3 - Standardised approach - CCR exposures by regulatory portfolio and risk	178
Table 41.2. EU CCR4 - IRB approach: CCR exposures by portfolio and PD scale  (FIRB)	179
Table 42. EU CCR5 - Composition of collateral for exposure to Counterparty Credit Risk	181
Table 43. EU CCR6 - Credit derivatives exposures	182
Table 44. EU CCR8 -  Exposures to CCPs	183
Table 45. RWEA flow statements of credit valuation adjustment risk	185
Table 46. EU CVA1 - Credit valuation adjustment risk under the Reduced Basic Approach (R-BA)	183
Table 47. EU SEC1 - Securitisation exposures in the banking book	191
Table 48. EU SEC2: Securitisation exposures in the trading portfolio	192
Table 49. EU SEC3 - Securitisation exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor	195
Table 50. EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments	197
Table 51. Outstanding balance corresponding to the underlying assets of the Group's originated securitisations, in which risk transfer criteria are not fulfilled	197
Table 52. EU SEC4: Securitisation exposures in the banking book and associated capital requirements – bank acting as investor	199
Table 53. EU MR1 - Market risk under the standardised approach	203
Table 54. EU PV1 - Prudent Valuation Adjustments	210
Table 55. Trading Book. VaR without smoothing by risk factors	211
Table 56. EU MR2-A - Market risk under the IMA	212
Table 57. EU MR3 - IMA values for trading portfolios	212
Table 58. EU MR2-B - RWA flow statements of market risk exposures under the IMA	213
Table 59. Trading Book. Impact on earnings in Lehman scenario	214
Table 60. Trading Book. Stress resampling	215
Table 61. Average Maturities for NMDs	227
Table 62. Sensitivity to interest-rate and credit spread analysis	230
Table 63. EU IRRBB1 -  Interest rate risk in the banking book	231
Table 64. Sensitivity to 1% change	233
Table 65. Breakdown of RWA, equity investments and capital instruments by applicable approach	235
Table 66. Variation in RWA for Equity Risk	235
Table 67. LtSCD by LMU	240
Table 68. LCR main LMU	241
Table 69. NSFR main LMU	241
Table 70. Inflows - Contractual maturities	241
Table 71. Outflows - Contractual maturities	242
Table 72. Maturity of wholesale issuances of Balance Euro by nature	245

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Pillar 3  |  2025 >  Index of tables

Table 73. EU LIQ1: Liquidity Coverage Ratio disclosure	246
Table 74. EU LIQ2 – Net Stable Funding Ratio (NSFR)	248
Table 75. Encumbered assets over total assets ratio	250
Table 76. Covered bonds	251
Table 77. Covered bonds and securitisations issued and retained	252
Table 78. EU AE1 - Encumbered and unencumbered Assets	252
Table 79. EU AE2 - Collateral received	253
Table 80. EU AE3 - Sources of encumbrance	254
Table 81. Business indicator (EU OR2)	261
Table 82. EU OR3 - Operational risk own funds requirements and risk exposure amounts	262
Table 83. EU OR1 - Operational risk losses	264
Table 84. EU CAE1 - Exposures to cryptoassets	266
Tabla 85. Short term annual indicators 2025	279
Table 86. Long term annual indicators 2025	280
Table 87. Annual financial and non-financial indicators - Level of achievement	285
Table 88. EU REM1 - Remuneration awarded for the financial year	292
Table 89. EU REM2 - Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff)	293
Table 90. EU REM3 - Deferred remuneration	294
Table 91. EU REM4 - Remuneration of €1 million or more	295
Table 92. EU REM5 -  Information on remuneration of staff whose professional activities have a material impact on institutions’ risk profile (identified staff)	296
Table 93. Number of meetings held by the Board of Directors and by its Committees	307
Table 94. Annual variable remuneration 2025 - Short-term incentive annual indicators (BBVA Group)	320
Table 95. Long-term incentive for the identified group 2025 - Long-term indicators (BBVA Group)	321
Table 96. ESG3. Banking book - Climate change transition risk: Alignment metrics	328
Table 97. Calculation of the PACTA metric	329
Table 98. Climate change Risk Assessment 2025	340
Table 99. ESG1. Banking book- Climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity	346
Table 100. ESG4. Banking book - Climate change transition risk: Exposures to top 20 carbon-intensive firms	350
Table 101. ESG2. Banking book - Climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral	352
Table 102. ESG5. Banking book - Climate change physical risk: Exposures subject to physical risk	356
Table 103. Exposure sensitive to natural capital risk (Percentage 2025)	358
Table 104. Risk Level of economic activities (BBVA Group. 2025)	360
Table 105. Operational data analysed according to the Equator Principles criteria	370

p.6

Pillar 3  |  2025 >  Index of charts

Index of charts

Chart 1. Annual evolution by quarter of the CET1 ratio	15
Chart 2. Annual evolution of the CET1 ratio	16
Chart 3. Liquidity ratios by LMUs	16
Chart 4. Leverage ratio	17
Chart 5. MREL requirements and ratios	18
Chart 6. Capital requirements and capital ratios	42
Chart 7. Distribution of RWA by risk type eligible on Pillar I	46
Chart 8. Composition of the total capital ratio	51
Chart 9. Quarterly evolution of the CET1 ratio	52
Chart 10. Trends in the leverage ratio	55
Chart 11. Distribution by geographical area of exposure to Credit Risk	84
Chart 12. Distribution of Exposure between the use of PPU, IRB and rollout plans	114
Chart 13. Trading book. Trends in VaR without smoothing	211
Chart 14. Trading book. Market Risk Model Validation for BBVA, S.A. Hypothetical Backtesting (EU MR4)	219
Chart 15. Trading book. Market Risk Model Validation for BBVA, S.A. Real Backtesting (EU MR4)	220
Chart 16. Trading book. Market Risk Model Validation for BBVA Bancomer. Hypothetical Backtesting (EU MR4)	221
Chart 17. Trading book. Market Risk Model Validation for BBVA Bancomer. Real Backtesting (EU MR4)	222
Chart 18. Operational Risk Profile of BBVA Group	263
Chart 19. Breakdown of the sustainable business channeling 2025	313
Chart 20. Sustainable Business channeling related to the environment	324
Chart 21. Channeling sustainable business to the environment - Breakdown by customer segment	325
Chart 22. Climate and Environmental risks (BBVA Group 2025)	338
Chart 23. Exposure to sectors sensitive to transition risk (% of wholesale EAD)	342
Chart 24. Transition score of top customers by sector	343
Chart 25. Portfolio coverage by energy performace certificate rating in Spain	344
Chart 26. Financed emissions by PCAF asset types (MtCO2e) (BBVA Group 2025)	345
Chart 27. Emissions financed by geography	345
Chart 28. Exposure to physical risk	354
Chart 29. Sustainable business channeling related to social activities	366
Chart 30. Sustainable social business channeling - Breakdown by customer segment	366

p.7

Pillar 3  |  2025 >  1. Introduction

1.Introduction

1.1.BBVA Group	8
1.2.Executive summary	15

p.8

Pillar 3  |  2025 >  1. Introduction

1.1.BBVA Group

BBVA is a global financial group with a customer-centric vision, characterized by its pioneering strategy in digitalization, innovation

and sustainability. With a presence in more than 25 countries, it serves over 81.2 million active customers through a team of

127,174 employees. BBVA holds a leading position in Spain, is the largest financial institution in Mexico, and has leading franchises

in South America and Turkey. In Europe, BBVA has a steadily growing presence, driven by its specialized offices serving business

customers and its focus on digital banks, currently operating in Italy and Germany. In addition, BBVA provides specialized services

to large corporations through its offices in the United States and Asia. This strong geographic diversification, together with high

levels of customer acquisition through digital channels, positions us to strengthen our leadership and address the challenges of

the future.

In addition, through its activities, BBVA contributes to the progress and well-being of all its stakeholders: shareholders, customers,

employees, suppliers and society as a whole. In this regard, BBVA supports families, entrepreneurs and companies in their future

plans, helping them seize the opportunities provided by innovation and sustainability. Likewise, BBVA offers its customers a

differentiated value proposition, underpinned by technology and data, helping them improve their financial health through

personalized information to support financial decision-making.

Key figures 2025

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Pillar 3  |  2025 >  1. Introduction

BBVA organizes its operations into several geographical areas (mainly Spain, Mexico, Turkey, and South America) and, key

indicators such as net interest income, fees, cost-to-income ratio, and asset quality are detailed for each of them. In the "Financial

Information" section of this consolidated Management Report, a breakdown of BBVA Group's business areas by segments and key

regions is presented.

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Pillar 3  |  2025 >  1. Introduction

(1) Non-doubtful investment in management excluding temporary asset acquisitions.

(2) Considering the latest official updates to the countercyclical capital buffer and the systemic risk buffer, applied on the basis of exposure as of December 31, 2025. Meanwhile, as of January 1,

2026, the minimum regulatory requirement for the Group would be reduced to 8.98%, in accordance with the outcome of the Supervisory Review and Evaluation Process (SREP) communicated by

the European Central Bank (ECB).

(3) Gross acquisition of retail customers through own channels. The data excludes the US business sold to PNC.

(4) Growth compared to the same period last year, excluding the activity of BBVA Asset Management and the BBVA Microfinance Foundation.

(5) Objective 2029 includes the channeling of financial flows, on a cumulative basis, in relation to activities, customers, or products considered sustainable or that promote sustainability in

accordance with internal standards inspired by existing regulations, market standards such as the Green Bond Principles, the Social Bond Principles and the Sustainability Linked Bond Principles

of the International Capital Markets Association, as well as the Green Loan Principles, Social Loan Principles, and Sustainability Linked Loan Principles of the Loan Market Association, and best

market practices. The foregoing is understood without prejudice to the fact that such channeling, both initially and at a later date, may not be recorded on the balance sheet. Internal criteria based

on both internal and external information, whether public, provided by customers or by a third party (mainly data providers and independent experts), are used to determine the amounts of

sustainable business channeled. This Sustainable Business Channeling objective does not include the activities of BBVA Asset Management or the BBVA Microfinance Foundation.

p.11

Pillar 3  |  2025 >  1. Introduction

Purpose

BBVA's strategy revolves around a single Purpose: "Support your drive to go further". A renewed Purpose in which the customer

is the clear protagonist. BBVA wants to be the bank that not only supports individuals and businesses during key moments, but

also empowers them to achieve their goals and make their projects a reality.

Its meaning is expressed through three key ideas:

This is BBVA’s vocation.

Always being by its

customers’ side, especially

when they need it most. It

involves listening,

understanding, and adapting

to their needs, identifying

with them, sharing their

concerns, projects, and

dreams, with empathy and

constant support, to be a

true ally on their journey who

genuinely understands what

they need.

Embodies the spirit of

progress and innovation.

BBVA knows the path and

projects its customers toward

the future. It is an attitude

that is part of BBVA’s DNA,

always seeking to anticipate,

see today what will come

tomorrow, and look to the

future with optimism, sharing

the ambitions of customers

and helping them turn their

dreams into reality.

Represents the dreams,

hopes, and ambitions of

customers. BBVA recognizes

that behind every project,

every goal, and every step

forward, there is something

deeper: willpower. It is the

inner strength that drives

individuals and companies to

improve, pursue their

objectives, and believe in a

better future. It’s the

determination to keep moving

forward and the motivation

fueling them every day.

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Pillar 3  |  2025 >  1. Introduction

This Purpose represents the future of BBVA to be built in this 2025–2029 strategic cycle. It inspires the way we work and the

culture of the Group, and it aligns the entire organization to build trustful relationships and generate a positive impact on

customers and society.

Values

The Group is grounded in strong Values, which form the foundation of its culture and serve as a guide for decision-making and the

expected behavior across the entire organization. These Values have been instrumental to the success of BBVA’s strategy and will

continue to be a key management lever in the new strategic cycle. The Values remain fully in force in this new stage as a hallmark

of the BBVA team; however, behaviors take on renewed meaning in this context, including the nuances of radically incorporating

the client’s perspective.

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Pillar 3  |  2025 >  1. Introduction

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Pillar 3  |  2025 >  1. Introduction

1 Considering the official update of the countercyclical capital buffer, calculated on the basis of exposure as of December 31, 2025.

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Pillar 3  |  2025 >  1. Introduction

1.2.Executive summary

Articles  438 b), 447 CRR

The entry into force of Regulation (EU) 2024/1623 (commonly referred to as ‘CRR3’) on January 1, 2025 brought about

substantial changes in the calculation of minimum capital requirements. The impact of these changes on the Group's CET1 ratio

was not significant at that date.

The strength of the BBVA Group's earnings has contributed to achieving a consolidated CET1 ratio of 12.70% as of December 31,

2025, which allows it to maintain a large management buffer over the Group's CET1 requirement as of that date (9.29%1), which is

also above the Group's target management range of 11.5 - 12.0% CET1.

The CET1 ratios path at the end of each quarter since December 31, 2024 is presented below:

The CET1 ratio decreased by -18 basis points, mainly explained by the impact of -105 basis points from the extraordinary share

buyback program (SBB).

Among the recurring impacts, there has been a great generation of earnings in the year (+265 basis points) which, net of

shareholder remuneration and payment of contingent convertible instrument coupons (CoCos), generated a positive contribution

of +122 basis points.

Meanwhile, the growth in risk-weighted assets (RWA) derived from the organic growth of the business in constant terms, mainly as

a result of the increase in the loan portfolio, and, to a lesser extent, debt securities, partially offset by a risk transfer initiatives

drained the ratio by -152 basis points.

Finally, the other elements that make up CET1 had a positive contribution of +61 basis points; these include the calculation of

minority interests and the positive impact in Other Comprehensive Income (OCI) equivalent to the net monetary position value

loss in hyperinflationary economies, as well as the portfolio recorded in fair value through other comprehensive income

(corresponding to assets classified as Held to Collect and Sell) HTC&S. In addition, the negative effects of market evolution are

also included, particularly the variation of the foreign exchange, mainly represented by the variation of Turkish lira and, to a lesser

extent, the Mexican peso, partially offset by the depreciation of US dollar, throughout the year.

2 Considering the official update of the countercyclical capital buffer, calculated on the basis of exposure as of December 31, 2025.

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Pillar 3  |  2025 >  1. Introduction

The evolution of CET1 ratio during the year 2025 is below:

As of December 31, 2025 there is no difference between fully loaded and phased in ratios given that the impact associated with the

transitional provisions is zero.

Following the latest SREP (Supervisory Review and Evaluation Process) decision, the ECB has informed the Group that, effective

on January 1, 2026, BBVA Group must maintain at consolidated level a total capital ratio of 13.13%2 and a CET1 capital ratio of

8.98%2, including a Pillar 2 requirement at consolidated level of 1.62% (a minimum of 0.96% must be satisfied with CET1), of

which 0.12% is determined on the basis of the ECB's prudential provisioning expectations, and must be satisfied by CET1.

With respect to liquidity metrics, the BBVA Group maintains a solid liquidity position in every geographical area in which it

operates, with ratios well above the minimum required:

–The BBVA Group's liquidity coverage ratio (LCR) remained comfortably above 100% throughout the year 2025, the

average ratio stood at 140%. For the calculation of this ratio, it is assumed that there is no transfer of liquidity among

subsidiaries; i.e. no type of excess liquidity levels in foreign subsidiaries is being considered in the calculation of the

consolidated ratio. When considering these excess liquidity levels, the average BBVA Group's LCR would stand at 167%.

–The net stable funding ratio (NSFR), defined as the result between the amount of stable funding available and the amount

of stable funding required, demands banks to maintain a stable funding profile in relation to the composition of their

assets and off-balance sheet activities. This ratio should be at least 100% at all times. The BBVA Group's NSFR ratio,

stood at 126% as of December 31, 2025.

As of December 31, 2025, the breakdown of the point-in-time ratios in the main Liquidity Management Units (“hereinafter, LMU”)

of the Group is shown below:

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Pillar 3  |  2025 >  1. Introduction

As for the leverage ratio, as of December 31, 2025, the ratio stood at 6.15%, above the minimum required ratio of 3.00 %.

The ratios as of December 31, 2024 and December 31, 2025 are shown below:

3 Including combined buffer requirement (CBR). 3.97% as of December 31, 2025.

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Pillar 3  |  2025 >  1. Introduction

With respect to MREL, as of December 31, 2025, both the RWA and Leverage ratios (LR) were at 28.89% and 10.21%, respectively.

Both comfortably above their respective requirements (27.10%3 and 8.59%).

These data are shown below, separating the excess:

The following table shows the main regulatory metrics in accordance with Article 447 of the CRR:

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Pillar 3  |  2025 >  1. Introduction

TABLE 1. EU KM1 - KEY METRICS (MILLION EUROS)

	12-31-2025	9-30-2025	6-30-2025	3-31-2025	12-31-2024
Available own funds (amounts)
Common Equity Tier 1 (CET1) capital	50,446	53,056	51,634	51,745	50,799
Tier 1 capital	55,934	58,541	57,123	57,452	56,822
Total capital	68,365	70,156	68,603	69,397	66,680
Risk-weighted exposure amounts
Total risk-weighted exposure amount	397,241	395,271	387,051	395,352	394,468
Total risk exposure pre-floor	397,241	395,271	387,051	395,352
Capital ratios (as a percentage of risk-weighted exposure amount)
Common Equity Tier 1 ratio (%)	12.70 %	13.42 %	13.34 %	13.09 %	12.88 %
Common Equity Tier 1 ratio considering unfloored TREA (%)	12.70 %	13.42 %	13.34 %	13.09 %
Tier 1 ratio (%)	14.08 %	14.81 %	14.76 %	14.53 %	14.40 %
Tier 1 ratio considering unfloored TREA (%)	14.08 %	14.81 %	14.76 %	14.53 %
Total capital ratio (%)	17.21 %	17.75 %	17.72 %	17.55 %	16.90 %
Total capital ratio considering unfloored TREA (%)	17.21 %	17.75 %	17.72 %	17.55 %
Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)
Additional own funds requirements to address risks other than the risk of excessive leverage (%)	1.68 %	1.68 %	1.68 %	1.68 %	1.68 %
Of which: to be made up of CET1 capital (percentage points)	1.02 %	1.02 %	1.02 %	1.02 %	1.02 %
Of which: to be made up of Tier 1 capital (percentage points)	1.31 %	1.31 %	1.31 %	1.31 %	1.31 %
Total SREP own funds requirements (%)	9.68 %	9.68 %	9.68 %	9.68 %	9.68 %
Combined buffer requirement (as a percentage of risk-weighted exposure amount)
Capital conservation buffer (%)	2.50 %	2.50 %	2.50 %	2.50 %	2.50 %
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)	—	—	—	—	—
Institution specific countercyclical capital buffer (%)	0.25 %	0.10 %	0.10 %	0.09 %	0.11 %
Systemic risk buffer (%)	0.01 %	0.01 %	0.01 %	—	—
Global Systemically Important Institution buffer (%)	—	—	—	—	—
Other Systemically Important Institution buffer	1.00 %	1.00 %	1.00 %	1.00 %	1.00 %
Combined buffer requirement (%)	3.76 %	3.61 %	3.61 %	3.60 %	3.61 %
Overall capital requirements (%)	13.44 %	13.29 %	13.29 %	13.28 %	13.29 %
CET1 available after meeting the total SREP own funds requirements (%)	6.78 %	7.51 %	7.45 %	7.23 %	7.10 %
Leverage ratio
Total exposure measure	908,869	871,029	824,769	827,965	834,488
Leverage ratio (%)	6.15 %	6.72 %	6.93 %	6.94 %	6.81 %
Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)
Additional own funds requirements to address the risk of excessive leverage (%)	—	—	—	—	—
Of which: to be made up of CET1 capital (percentage points)	—	—	—	—	—
Total SREP leverage ratio requirements (%)	3.00 %	3.00 %	3.00 %	3.00 %	3.00 %
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
Leverage ratio buffer requirement (%)	—	—	—	—	—
Overall leverage ratio requirements (%)	3.00 %	3.00 %	3.00 %	3.00 %	3.00 %
Liquidity Coverage Ratio (1)
Total high-quality liquid assets (HQLA) (Weighted value)	112,732	107,751	104,579	105,596	106,927
Cash outflows - Total weighted value	117,302	112,494	108,573	106,972	105,027
Cash inflows - Total weighted value	36,887	35,311	33,844	32,849	31,821
Total net cash outflows (adjusted value)	80,415	77,183	74,729	74,123	73,206
Liquidity coverage ratio (%)	140.08 %	139.50 %	140.04 %	142.61 %	146.12 %
Net Stable Funding Ratio
Total available stable funding	506,694	481,724	464,443	467,920	464,027
Total required stable funding	400,962	377,110	368,929	368,609	364,835
NSFR ratio (%)	126.37 %	127.74 %	125.89 %	126.94 %	127.19 %
(1)  The EBA "mapping tool" links the LCR information to the regulatory models C72, C73, C74 and C76, which show end-of-quarter point-in-time values. However, article 447(f) of Regulation 575/2013 (CRR) establishes that the information related to the LCR and its components should be disclosed as the average of the preceding 12 months’ values  and not as point-in-time as of the end of the quarter. In compliance with this Regulation, and under guidance of EBA Q&A 2024_7092, this information is not based on the "mapping tool" but on table 73 (EU LIQ1).

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Pillar 3  |  2025 >  1. Introduction

TABLE 2. EU KM2 - KEY METRICS - MREL AND, WHERE APPLICABLE, G-SII REQUIREMENT FOR OWN FUNDS AND

ELIGIBLE LIABILITIES (MILLION EUROS)

	12-31-2025	6-30-2025	12-31-2024
Own funds and eligible liabilities ratios and requirements
Own funds and eligible liabilities	59,277	63,288	63,887
Of which own funds and subordinated liabilities	50,616	53,440	52,926
Total risk exposure amount of the resolution group (TREA)	205,154	200,574	228,796
Own funds and eligible liabilities as a percentage of TREA	28.89 %	31.55%	27.92%
Of which own funds and subordinated liabilities	24.67 %	26.64 %	23.13 %
Total exposure measure of the resolution group	580,788	525,985	527,804
Own funds and eligible liabilities as a percentage of the total exposure measure	10.21 %	12.03%	12.10%
Of which own funds and subordinated liabilities	8.72 %	10.16 %	10.03 %
Minimum requirement for own funds and eligible liabilities (MREL)
MREL requirement expressed as percentage of the total risk exposure amount (1)	27.10 %	26.79%	26.44%
Of which own funds and subordinated liabilities (1)	17.47 %	17.16 %	17.15 %
MREL requirement expressed as percentage of the total exposure measure	8.59 %	8.59%	8.48%
Of which own funds and subordinated liabilities	5.66 %	5.66 %	5.78 %
(1) Including the combined buffer requirement (CBR), 3.97% as of December 31, 2025, 3.66% as of June, 30, 2025 and 3.65% as of December, 31, 2024.

The following sections detail matters relating to the Group's solvency. These are supplemented by information included in the

Group's Consolidated Financial Statements and Management Report as of year 2025, which also contain the Group's main activity

and profitability indicators.

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.General aspects and information

requirements

2.1.Corporate name and scope of application	22
2.2.Regulatory framework and main developments	23
2.2.1.Applicable regulatory framework	23
2.2.2.Regulatory developments in 2025	24
2.2.3.Regulatory framework update - Entry into force of CRR3	28
2.3.Contents of the 2025 Prudential Relevance Report	30
2.4.Consolidation perimeters	32
2.4.1Differences between the consolidated for the purposes of solvency regulations and accounting criteria	32
2.4.2.Identification of dependent entities with bank capital below the minimum requirement. Possible impediments to transferring own funds	39
2.4.3.Exemptions from capital requirements at the individual or sub-consolidated level	39

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.1.Corporate name and scope of application

Article 436 a) CRR

Banco Bilbao Vizcaya Argentaria, S.A. (hereinafter “the Bank”, "BBVA" or “BBVA, S.A.”), registered with the Company Register of

Vizcaya, is a private-law entity subject to the laws and regulations governing banking entities operating in Spain. It carries out its

activity through branches and agencies across the country and abroad.

The Bylaws and other public information are available for inspection at the Bank’s registered address (Plaza San Nicolás 4, Bilbao)

as noted on its web site (www.bbva.com).

Solvency regulations are applicable at a consolidated level for the whole Group.

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.2.Regulatory framework and developments

2.2.1. Applicable regulatory framework

As a Spanish credit institution, BBVA is subject to Directive 2013/36/EU of the European Parliament and of the Council dated June

26, 2013, on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms

("CRD IV”), mainly amended by Directive 2019/878/EU (“CRD V”) and Directive (EU) 2024/1619 (“CRD VI”), which applies

effectively since January 2025.

The major regulation governing the solvency of credit institutions is (EU) Regulation No. 575/2013 of the European Parliament and

of the Council of June 26, 2013, on the prudential requirements for credit  institutions and investment firms amending (EU)

Regulation No 648/2012 ("CRR" and in conjunction with CRD IV and any implementing measures of CRD IV), which is

complemented by several binding Regulatory Technical Standards that are directly applicable to all EU member states, without the

need to implement national measures. This Regulation was mainly amended by Regulation 2019/876/EU (“CRR2”) and Regulation

2024/1623/EU (“CRR3” or “CRR III”).

The CRD IV Directive was transposed to Spanish national law by means of the Royal Decree-Law 14/2013, of November 29 (“RD-L

14/2013”), Law 10/2014 of June 26, Royal Decree 84/2015, of February 13 (“RD 84/2015”), Bank of Spain Circular 2/2014 of

January 31 and Circular 2/2016 of February 2 (“Bank of Spain Circular 2/2016”), which has been amended by Circular 3/2022 of

March, 30.

During 2021, Directive 2019/878 was transposed into the Spanish legal system through the publication of Royal Decree-Law

7/2021, of April 27 (amending Law 10/2014), Royal Decree 970/2021, of November 8 (which modifies RDL 84/2015) and Circular

5/2021, of September 22 (which modifies Circular 2/2016).

In the Macroprudential field, Royal Decree 102/2019 was published in March 2019, establishing the Macroprudential Authority of

the Financial Stability Board, establishing its legal regime. The aforementioned Royal Decree also develops certain aspects related

to the macroprudential tools contained in Royal Decree-Law 22/2018. Among them, it provides that the Bank of Spain may adopt

measures such as the countercyclical buffer for a given sector, sectoral limits on the concentration of exposures or the

establishment of limits and conditions on the granting of loans and other operations. These measures are developed in Bank of

Spain Circular 5/2021, of September 22.

In addition to the regulation on the prudential supervision of institutions, Directive 2014/59/EU ("BRRD") was approved in 2014,

which establishes a framework for the restructuring and resolution of credit institutions, making it mandatory for institutions to

have an adequate funding structure to absorb losses.

The aforementioned Directive was integrated into the Spanish legal system through its transposition by Law 11/2015, of June 18,

and its main amendment was made by Directive 2019/879 ("BRRD2"), which was subsequently incorporated into Spanish law by

Royal Decree-Law 7/2021, of April 27.

Section 2.3 of this chapter includes the specific regulations governing the information requirements of the Prudential Relevance

Report (Pillar 3).

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.2.2. Regulatory developments in 2025

2025 has been a period of regulatory transition and consolidation, both in the European Union and globally. Europe has been

focused on implementing previous regulations and on a new political cycle that is aiming for economic growth and

competitiveness through regulatory simplification. This year has been key for the final implementation of the Basel III reforms, with

the entry into force of CRR III and the revised GL/RTS by the European Banking Authority (hereinafter, EBA). In addition,

digitization remains a priority with a strong focus on crypto-assets and Artificial Intelligence with proposals such as the Digital

Omnibus, which affects various regulations on data, cybersecurity, artificial intelligence and digital identity. In ESG regulation, the

work on the Omnibus regulatory simplification package stands out. Additionally, 2025 was crucial for the operational launch of the

new Anti-Money Laundering and Counter-Terrorist Financing Authority (hereinafter, AMLA) and for financial institutions to begin

the transformation necessary to comply with the ambitious legal framework against money laundering.

Prudential framework

In the prudential sphere, the most notable development in 2025 was the implementation of the global framework of post-crisis

Basel III reforms in Europe. With regard to this implementation, most of the provisions of the banking package, entered into force

on January 1, 2025, containing the reform of the Capital Requirements Regulation (CRR III) and the Capital Requirements Directive

(CRD VI), published on June 9, 2024. However, the provisions relating to the new market risk framework (FRTB) have been

postponed until January 2027. As for CRD VI, European Union (hereinafter EU) member states have 18 months to transpose the

Directive into their national legislation (expiring in January 2026) and, once this transposition is complete, CRD VI will enter into

force the following day.

Of the 140 mandates granted to the EBA by CRR III and CRD VI, progress has been made in various technical developments during

2025: final versions of both guidelines and Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS)

have been published. Some of the most relevant ones include those relating to credit risk (e.g., the RTS on credit conversion

factors for off-balance sheet exposures or the Guidelines on exposures to real estate purchases, construction, and development

(ADC)), operational risk (RTS on loss taxonomy and RTS on business indicator components), as well as on ESG management and

crypto-assets (RTS on the transitional prudential treatment introduced in CRR III for these exposures). For its part, the EBA Guide

on ESG scenario analysis, initially scheduled for January 2026, has been published as final, delaying its application until January

2027. Lastly, the EBA also published various consultations (Guidelines on the definition of default, Guidelines on internal

governance, RTS on material changes to internal models, etc.), for which the final text is expected in 2026.

With regard to Level 1 legislative proposals, the reform of the securitization framework was presented by the European

Commission (hereinafter EC) in June 2025 and is currently under negotiation, while the legislative proposal on the permanent

capital treatment of exposures to crypto-assets, scheduled for the first half of 2025, has not yet been published.

At an international level, the implementation of the disclosure and prudential treatment framework for exposures related to

crypto-assets is still pending. It will come into force in January 2026 following its publication by the Base Committee on Banking

Supervision (hereinafter BCBS) in July 2024. In addition, in April 2025, the BCBS published guidelines with revised principles for

credit risk management.

Meanwhile, in 2025, in the EU, more work related to prudential arena is expected, in this case by the European Central Bank

(hereinafter ECB): updating the Internal Models Guide to include adjustments on market risk, credit risk, and counterparty risk, as

well as a new section on machine learning; and the revision of the Guide to Options and Discretion, which details how it will exercise

the supervisory powers granted to it by CRR III on certain issues.

Finally, in Spain, work continues to complete the transposition of CRD VI (the deadline is January 2026, as indicated above).

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Pillar 3  |  2025 >  2. General aspects and information requirements

ESG

In the area of ESG (Environmental, Social and Governance), and at a global level, the publication in June 2025 by the BCBS of the

final version of its framework for the disclosure of climate-related financial risks stands out.

In February 2025, the Commission announced the Omnibus regulatory simplification package on Environmental, Social, and

Governance (ESG) issues, which includes the Corporate Sustainability Reporting Directive (CSRD), the Corporate Sustainability

Due Diligence Directive (CSDDD), the Taxonomy Regulation, and the Carbon Border Adjustment Mechanism Regulation (CBAM).

The main changes proposed are a reduction in the number of companies affected, a postponement of reporting deadlines and

entry into force, and a reduction in the data reporting.

The postponement of maturities or “Stop the Clock” was approved in April and published in the Official Journal of the European

Union (OJEU) and the Simplification Directive, which affects the content of the CSRD and the CSDDD, was finally approved on

December 16 in Parliament.

Companies that exceed 1,000 employees and €450 million in net turnover for two consecutive financial years will be required to

provide sustainability information under the CSRD, starting January 1, 2027. For the CSDDD, companies that exceed 5,000

employees and €1.5 billion in net turnover for two consecutive financial years will be subject to this requirement. Member States

will have until July 2028 to transpose the CSDD, and, in general, the obligations will enter into force for all companies from July 26,

2029.

Regarding the content of the CSRD, it is maintained that the verification of information has a limited scope, the information that

companies subject to the CSRD can require from companies in their value chain is limited, and civil liability at the European level

and climate transition plans are eliminated, among other issues.

With regard to taxonomy, a materiality threshold for disclosure is introduced, and adjusting the green asset ratio (GAR) to exclude

from the denominator those companies that are not subject to the CSRD. The Delegated Act was published in January 2026. This

Delegated Act includes the possibility of suspending the GAR report, subject to the publication of a statement in the sustainability

report.

The Carbon Border Adjustment Mechanism Regulation seeks to exempt smaller companies from the obligations of the Regulation

by establishing a broader de minimis exemption. The amendment was published in the OJEU in October.

As part of this simplification process, EFRAG submitted its technical report on December 3 with its proposal for simplifying

reporting standards.

In November 2025, the European Commission presented the review of the Regulation on sustainability-related disclosures in the

financial services sector (SFDR), with the aim of simplifying the current framework and harmonizing sustainability disclosure

requirements in the financial sector.

In relation to the prudential framework, the EBA published its guidelines for ESG risk management in January, in response to the

mandate of Article 87a of the CRD. The guidelines set out requirements for internal processes and ESG risk management to

ensure the resilience of institutions' business models and risk profiles in the short, medium, and long term. The guidelines will

come into force in January 2026.

From the disclosure framework perspective, the EBA consulted the amendment to the ESG reporting requirements in Pillar 3, aims

to simplify sustainability reporting by deprioritising the publication of certain ESG templates. The deprioritisation was endorsed in

August with the publication of a non-action letter, which will cease to be valid when the final version of the ESG disclosure

requirements comes into force.

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Pillar 3  |  2025 >  2. General aspects and information requirements

Finally, Spain established the Sustainable Finance Council, strengthening the public-private commitment to decarbonizing the

economy. In March, the Royal Decree creating the carbon footprint, compensation, and carbon dioxide absorption projects

registry was published, thus continuing the Registry that has been in operation since 2014, expanding its scope to accommodate

new types of absorption projects, introducing additional clarifications to improve its operation, introducing improvements in

processing, and strengthening coordination with equivalent regional registries.

Macroprudential framework

At the European level, in December 2024 the ECB published a new methodology for systemic risk buffers for domestic systemic

institutions (DSIBs) that incorporates the perspective of the Banking Union. The methodology will be fully implemented as of

January 1, 2028.

In Spain, in October, the Bank of Spain approved an increase in the countercyclical capital buffer (CCA) requirement from 0.5% to

1%, which will be required of institutions for their exposures located in Spain as of October 1, 2026.

Crisis management framework

At the global level, the Financial Stability Board (FSB) continued to support bank resolution authorities on issues related to the

operationalization and implementation of bail-in and other tools, as well as the exchange of knowledge and practices related to

public liquidity mechanisms. In November, the FSB published guidelines for the application of the key elements of the framework

in the insurance sector.

In Europe, the Single Resolution Board (SRB) updated its operational guidelines on: i) operational continuity in resolution (OCIR),

ii) orderly liquidation of the trading book (SWD), iii) self-assessment of resolvability, and iv) assessment of resolvability. It also

announced that no additional contributions to the Single Resolution Fund were necessary (as it had reached its target level). It also

launched consultations on: i) the valuation of banks in resolution, and ii) its approach to transferability and separability. Meanwhile,

the EBA published an ITS on resolution planning, a manual on simulation exercises for resolution authorities, a consultation to

simplify resolution plans and the functioning of resolution colleges, and an ITS on the framework for reporting MREL decisions by

resolution authorities.

Finally, the European Council and the European Parliament reached a political agreement on the main points of the crisis

management and deposit insurance framework (CMDI) reform package. The package is expected to be finally published and

approved in 2026.

Digital transformation

Digitalization has continued to be one of the priorities of various authorities globally, with significant advances in areas such as

crypto-assets, data and artificial intelligence.

The regulation of crypto-assets is becoming increasingly important, and 2025 has been marked by the full implementation of the

MiCA (Markets in Crypto-Assets) Regulation in Europe.

At the international level, in October 2025, the FSB published a report assessing progress in implementing its 2023

recommendations for regulating crypto-asset activities and global stablecoins. The FSB has concluded that the implementation of

its recommendations is incomplete, uneven, and inconsistent across jurisdictions, increasing the risk of regulatory arbitrage and

complicating the oversight of the global cryptoasset market. On the other hand, the G20 initiative to improve cross-border

payments continues to move forward.

In the EU, the digital strategy remains a priority for 2025, and in the area of simplification, the Commission published in November

an omnibus package of digital regulations focused on five key pillars: data rules, rules on cookies and other elements of the

ePrivacy Directive, cybersecurity incident notification systems, the practical application of the AI Regulation, and the Digital

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Pillar 3  |  2025 >  2. General aspects and information requirements

Identity framework. Of particular note in the data field is the proposed amendment to the GDPR, a regulation that, due to its

complexity, the Commission had previously avoided changing. Furthermore, the Commission also announced and published in

November a consultation to conduct an in-depth review of regulations (digital fitness check) to assess the interaction between

different rules, their cumulative impact on businesses, and how effectively they support EU competitiveness, values, and

fundamental rights.

Among the regulations currently being implemented, the Artificial Intelligence Regulation, approved in 2024, stands out. It has

begun to be implemented in stages, while the European Commission has published various guides to help companies apply the

regulation. In February 2025, the first obligations of the regulation, on literacy and prohibited practices, came into force, and the

EC published guidelines on this subject and on the definition of AI systems under the regulation. In August 2025, the obligations of

general-purpose AI model providers came into force, and the Commission previously published the corresponding guidelines and a

code of good practice for these providers.

The efforts of EU Member States are focusing on adapting national legal frameworks to European regulations and designating or

creating competent authorities for supervision. In Spain, the government presented in March the Draft Bill for the Proper Use and

Governance of AI, which designates the Spanish Artificial Intelligence Supervisory Agency (AESIA) as the main market surveillance

authority for most AI systems. Other sectoral authorities assume oversight in their specific areas of competence, such as the Bank

of Spain and the National Securities Market Commission (CNMV), in the area of competence that each holds in relation to the

financial supervision of financial institutions, for systems in the field of solvency assessment or credit rating, respectively.

Additionally, as part of the simplification package discussed above, the Commission has proposed a series of amendments to the

AI Regulation to reduce the compliance burden and delay the entry into force of the requirements on high-risk AI systems until 2

December 2027 at the latest.

With regard to digital identity, the eIDAS Regulation, which requires Member States to offer digital identity wallets (EUDIW)) by

December 2026, has seen substantial progress with the completion by the EC of multiple implementing acts introducing the

technical specifications necessary for the launch of the wallets.

In the field of digital assets, the EBA published the final technical standards (RTS) for the capital treatment of exposures to crypto-

assets under the EU transitional framework and its adoption by the European Commission is still pending.

Finally, in December, the Council and the EU Parliament reached a political agreement on the revision of PSD2, which includes new

rules for combating fraud, reimbursing victims of payment provider impersonation scams, and combating fraud and

compensating for losses by digital platforms and communications providers. This agreement will be formally ratified by lawmakers

in the first half of 2026 and will enter into force at the end of 2027 or the beginning of 2028.

Other regulatory developments

In 2025, progress has been made in implementing the amendment of several directives and regulations approved in the last two

years (e.g., MiFIR/MiFID, EMIR, Index Regulation). Of particular note are the application of the new active account requirement,

the latest amendment to EMIR, and the changes to transparency requirements in the MiFIR amendment.

European regulators also have published several consultations with the aim of improving the integration and development of

European capital markets (the EC consultation on the integration of European capital markets), encouraging retail investment in

capital markets (ESMA's Retail Investor Journey), and simplifying operational burdens (ESMA's call for evidence on simplifying

financial transaction disclosure).

For its part, the year 2025 marks the operational launch of the Anti-Money Laundering and Counter-Terrorist Financing Authority

(hereinafter, AMLA). The creation of this new authority is part of a broader regulatory package, known as the AML (Anti-Money

Laundering) package, which was published in 2024 and includes the creation of AMLA, the publication of the new European AML

Regulation, and the 6th AML Directive.

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.2.3. Regulatory framework update - Entry into force of CRR3

Regulation (EU) 2024/1623 (CRR3), together with the associated Directive (CRD VI), consolidates the implementation in the

European Union of the final Basel III standards and establishes a new prudential framework applicable to credit institutions. The

Regulation applies generally from 1 January 2025 and includes a set of transitional provisions aimed at facilitating a gradual

transition to the new requirements. In this context, the objective of the new framework is to strengthen the resilience of the

financial system, enhance comparability across institutions and limit unwarranted variability in capital requirements, in particular

that arising from the use of internal models.

CRR3 introduces relevant changes to the prudential treatment of the main risk categories. In the area of credit risk, the

Standardised Approach is extensively revised, increasing the granularity of risk weights and updating the treatment of various

exposure classes, including exposures to institutions and corporates, specialised lending transactions, exposures secured by

immovable property and equity exposures. In parallel, the Internal Ratings-Based (IRB) framework is adjusted to align with the

final Basel standards, limiting the use of the Advanced IRB approach for certain portfolios and introducing minimum input floors

for key parameters such as probability of default (PD), loss given default (LGD) and credit conversion factors (CCF).

With regard to operational risk, CRR3 replaces the multiple-approach framework under CRR2 with a single, non-model-based

Standardised Approach. The new methodology is built around the Business Indicator (BI), which reflects the size and business

profile of the institution, and the Business Indicator Component (BIC), which determines the base capital requirement.

In the area of Credit Valuation Adjustment (CVA) risk, CRR3 introduces a new calculation framework aligned with the final Basel

standards. The revised framework includes a more risk-sensitive Standardised Approach (SA-CVA), a Basic Approach with lower

complexity and a Simplified Approach for institutions with limited derivatives activity. While certain exemptions are retained,

supervisory reporting requirements are strengthened, increasing transparency regarding valuation adjustment risk arising from

derivatives transactions.

CRR3 also introduces the output floor as a cross-cutting mechanism designed to limit the aggregate benefit derived from the use

of internal models in the calculation of risk-weighted assets (RWA). Under this mechanism, RWA calculated using internal models

may not fall below 72.5% of the RWA calculated under the corresponding Standardised Approaches, with a gradual phase-in from

2025 until reaching its final level in 2030.

In addition, CRR3 incorporates specific regulatory provisions relating to exposure to crypto-assets, recognizing the growing

impact of these assets on the financial sector and the associated risks. These new developments establish specific prudential

requirements for exposures linked to crypto-assets, subject to high risk weights and enhanced supervisory criteria to mitigate

volatility, liquidity, and valuation risks. The new framework thus promotes more rigorous and transparent management of these

emerging risks, aligning with international initiatives to ensure financial stability in a rapidly evolving technological environment.

With respect to market risk, although CRR3 incorporates the Fundamental Review of the Trading Book (FRTB) framework, its

application for capital requirement purposes has been deferred in the European Union until 1 January 2027. During the 2025 and

2026 financial years, institutions will continue to calculate market risk capital requirements in accordance with the CRR2

framework, with FRTB applying primarily for reporting purposes.

In other matters, CRR3 includes a set of transitional provisions designed to ensure an orderly transition to the new prudential

framework and to mitigate potential cliff effects on capital requirements.

Together with the prudential changes, CRR3 significantly strengthens the disclosure framework (Pillar 3), expanding and updating

transparency requirements relating to own funds, risk-weighted assets, the use of internal models and the impact of the output

floor. New disclosure requirements are also introduced for specific risk types, in particular credit risk, operational risk and CVA

risk, and alignment between public disclosures and supervisory reporting under the European Banking Authority (EBA) technical

standards is further enhanced.

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Pillar 3  |  2025 >  2. General aspects and information requirements

Overall, CRR3 represents a significant reform of the European prudential and transparency framework, with relevant impacts on

risk measurement and management processes and on the calculation of capital requirements, as well as on the content and scope

of the information disclosed in the Group’s Pillar 3 Report, which will progressively reflect the effects of the application of the new

regulatory framework.

In this context, the entry into force of CRR3 did not have a significant impact on the BBVA Group’s capital ratio, with its main

effects relating to changes in the calculation approaches applied to the different risk types and to the enhancement and adaptation

of the information disclosed to the market under the Pillar 3 framework.

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.3.Contents of the 2025 Prudential Relevance Report

Article 431 (3) CRR

Article 13 of the CRR establishes that the parent entities of the European Union are subject, based on their consolidated situation,

to the disclosure requirements set by Part Eight of CRR.

The Prudential Relevance Report (Pillar 3) of the BBVA Group, reflects the prudential information at the consolidated level,

corresponding to the year ended December 31, 2025.The Pillar 3 has been prepared in accordance with the precepts contained in

Part Eight of the CRR, complying with the guidelines published by EBA as well as the applicable technical implementation

standards.

In addition, the main EBA guidelines that apply as of December 31, 2025 are highlighted below:

–Guidelines on materiality, proprietary information, and confidentiality, and on the frequency of disclosure of information

according to Article 432, sections 1 and 2, and Article 433 of Regulation (EU) No. 575/2013 (EBA/GL/2014/14). These

guidelines detail the process and the criteria to be followed regarding the principles of materiality, proprietary

information, confidentiality and the right to omit information, and provide guidance for entities to assess the need to

publish information more frequently than the annual one. These guidelines were adopted by the Bank of Spain Executive

Commission in February 2015.

–Implementing Technical Standards published in June 2020 concerning reporting and disclosure of public information

(EBA/ITS/2024/05, hereinafter “CRR3 EBA ITS”).

In these technical standards, the EBA, following the mandate of the European Commission in article 434a of the CRR3,

implements the changes introduced by aforementioned regulation, integrating in a single document most of the

disclosure requirements to the market that were disseminated in various guidelines published to date.

Additionally, these regulations also align with the aim of unifying, as far as possible, public information with the

information reported to the Supervisor through integration in regulatory reporting.

Likewise, together with the aforementioned ITS, the EBA publishes for informative purposes a document called mapping

tool that interrelates the quantitative information of most of the standard templates required in Pillar 3 with the regulatory

reporting, which has been taken into account in the preparation of this report. The implementation of these standards

may produce variations in the content and the way in which the information is presented with respect to previous periods.

–Guidelines on the specification and disclosure of systemic importance indicators (EBA/GL/2020/14), adopted by the

Bank of Spain Executive Commission. These guidelines have been amended and subsequently adopted by Bank of Spain

in 2022 by EBA/GL/2022/12 Guidelines.

–Guidelines on sound remuneration policies under Directive 2013/36/EU (EBA/GL/2021/04). These guidelines were

adopted by the Bank of Spain Executive Commission in December 2021. In addition, as regards remuneration, the

Guidelines on the benchmarking exercises on remuneration practices, the gender pay gap and approved higher ratios

under Directive 2013/36/EU (EBA/GL/2022/06), adopted as its own by the Bank of Spain on December 21, 2022, also

apply.

–Implementing Technical Standards (ITS) on disclosure and reporting on the G-SII requirement for own funds and eligible

liabilities (TLAC) and the minimum requirements for own funds and eligible liabilities (MREL) (EBA/ITS/2020/06),

modified by EBA/Rep/2023/41.

In addition, the BBVA Group's Pillar 3 for the year ended December 31, 2025 has been prepared by applying the standards for the

preparation of the BBVA Group's financial information and, in compliance with the "General Policy for disclosure of economic-

financial, non-financial and corporate information" approved by the governance bodies of Banco Bilbao Vizcaya Argentaria, S.A.

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Pillar 3  |  2025 >  2. General aspects and information requirements

Likewise, it should be noted that the data disclosed in the Pillar 3, have been prepared in accordance with the internal processes

and controls described in the "Standard for the preparation of periodic public information of Banco Bilbao Vizcaya Argentaria, S.A.

and BBVA Group” and the “Procedure for the preparation of the Prudential Relevance Report - Pillar 3”. The aforementioned

internal regulations guarantee that the information disclosed in the Pillar 3 is subject to the internal control framework defined by

the Group, as well as to an adequate level of internal review.

The Pillar 3 was approved by the Board of Directors at its meeting held on February 25, 2026, after analysis by the Audit

Committee at its meeting held on February 23, 2026.

Throughout this report, and, in order to provide greater clarity in compliance with the regulatory requirements, the applicable

regulatory references are included in the heading of each corresponding section. The abovementioned references refer to the

articles of Part Eight of the CRR, followed, where applicable, by the tables required by EBA/ITS/2020/04, unless expressly

indicated in the case of another regulatory publication.

In addition, Annex XIII.a of this report contains the correspondence of the articles of Part Eight of the CRR on disclosure of

information that are applicable at the date of the report with the different sections of the document where the required information

is found. Likewise, Annex XIII.b contains the correspondence of the articles of Annex I, section 21 of the Commission Implementing

Regulation (EU) 2024/3172 on ESG risk disclosure with the different sections of this report.

The aforementioned annex, together with the other annexes and the tables included in this report, are in an editable format in

order to facilitate their treatment, following the recommendations of the EBA Guidelines. This document is called "Pillar 3 2025 -

Tables & Annexes" and available in the Shareholders and Investors / Financial Information section of the Group's website.

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.4.Consolidation perimeters

2.4.1. Differences between the consolidated group for the purposes of

solvency regulations and accounting criteria

Article 436 b) CRR

The BBVA Group’s Consolidated Financial Statements are presented in compliance with IFRS-IASB (International Financial

Reporting Standards as issued by the International Accounting Standards Board (hereinafter “IASB”)), as well as in accordance

with the International Financial Reporting Standards endorsed by the European Union (hereinafter, “EU-IFRS”) applicable as of

December 31, 2025, considering the Bank of Spain Circular 4/2017, as well as its successive amendments, and any other

legislation governing financial reporting which was, as of the date of preparation of such consolidated financial statements,

applicable, and with the format and mark-up requirements established in the EU Delegated Regulation 2019/815 of the European

Commission.

On the basis of accounting criteria, companies are considered to form part of a consolidated group when the parent entity holds or

can hold, directly or indirectly, control of them. An institution is understood to control a subsidiary when it is exposed, or is entitled

to, variable returns as a result of its involvement in the subsidiary and has the capacity to influence those returns through the

power it exercises over the subsidiary. For control to exist, the following aspects must be fulfilled:

a.Power: An investor has power over a subsidiary when it has current rights that provide it with the capacity to direct its

relevant activities, i.e. those that significantly affect the returns of the subsidiary.

b.Returns: An investor is exposed, or is entitled to variable returns, as a result of its involvement in the subsidiary when the

returns obtained by the investor for such involvement may vary based on the economic performance of the subsidiary.

Investor returns can be positive only, negative only, or positive and negative at the same time.

c.Relationship between power and returns: An investor has control over a subsidiary when it not only has power over the

subsidiary and is exposed, or is entitled to, variable returns for its involvement in the subsidiary, but it also has the capacity to

use its power to influence the returns it obtains due to its involvement in the subsidiary.

Therefore, in drawing up the Consolidated Financial Statements of BBVA Group, all dependent companies and consolidating

structured entities have been consolidated by applying the full consolidation method.

Associated companies, as well as joint ventures (those over which joint control arrangements are in place), are valued using the

equity method.

The list of all the companies forming part of the Group is included in the appendices to the Consolidated Financial Statements of

BBVA Group.

For the purposes of solvency regulations, the following subsidiaries form part of the consolidated group, as defined in Article 18 of

the CRR:

–Credit institutions

–Investment firms

–Financial Institutions

A financial institution is a company, separate from other institutions (credit institution or investment firm), whose main activity

may consist of acquiring holdings or performing one or more of the following activities:

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Pillar 3  |  2025 >  2. General aspects and information requirements

–Loans, including in particular consumer finance, credit agreements relating to immovable property, recourse and non-

recourse factoring, and financing of commercial transactions (including forfaiting)

–Financial leasing

–Payment services

–Issuing and managing other payment channels (e.g. traveler's checks and bank checks)

–Granting of guarantees and commitments

–Trading on their own account or on behalf of customers on any of the following instruments:

–Money market instruments (checks, bills, certificates of deposit etc.)

–Foreign currency

–Financial futures and options

–Foreign-exchange or interest-rate instruments

–Marketable securities

–Participating in the issuance of securities and the provision of corresponding services

–Advising companies with regard to capital structure, industrial strategy and related matters, as well as advice

and services for mergers and acquisitions of companies

–Brokerage in the interbank markets

–Managing or advising on equity management

–Custody and administration of marketable securities

–Issuance of electronic money

This definition includes financial holding companies, mixed financial holding companies, payment institutions

and asset management firms, but excludes pure industrial holding companies, insurance companies, insurance

holding companies and mixed insurance holding companies.

–Auxiliary services companies: A company whose main activity is holding or management of property,

management of computing services or any other similar activity of an auxiliary nature with regard to the main

activity of one or more institutions (credit institution or investment firm).

Therefore, for the purposes of calculating solvency requirements, and hence the drawing up of this Prudential Relevance Report,

the scope of consolidating entities is different from the scope defined for the purposes of drawing up the Consolidated Financial

Statements of BBVA Group.

The effect of the difference between the two regulations is mainly due to:

–Withdrawals from the balance made by entities (largely insurance companies regulated by the Solvency II regulatory

framework) that are consolidated in the Consolidated Financial Statements of BBVA Group by the full consolidation

method and consolidated for the purposes of solvency by applying the equity method.

–Entries to the balance contributed mainly by financial entities, consolidated by applying the equity method at the

accounting level, but for the purposes of solvency, are proportionally integrated.

–The list of entities that use different consolidation methods in their public and regulatory balance sheets is included in the

table EU LI3 in Annex I.

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.4.1.1.Significant transactions in the Group in 2025

During the year 2025 no significant or relevant corporate operations have been completed.

2.4.1.2.Reconciliation of the Public Balance Sheet from the accounting perimeter to the

regulatory perimeter

Articles 436 b), c), d), 437 a) CRR

EU LIA

The following table includes an exercise in transparency to show the reconciliation process between the book balances reported in

the public balance sheet (attached to the Consolidated Financial Statements of BBVA Group) and the book balances this report

uses (regulatory perimeter), revealing the main differences between both perimeters.

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Pillar 3  |  2025 >  2. General aspects and information requirements

TABLE 3. EU CC2 - RECONCILIATION OF REGULATORY CAPITAL TO BALANCE SHEET (MILLION EUROS. 12-31-2025)

Public Balance Sheet Headings	Public Balance Sheet	Regulatory balance sheet	Reference to template EU CC1
Cash, cash balances at central banks and other demand deposits	58,837	58,961
Financial assets held for trading	123,185	121,853
Non-trading financial assets mandatorily at fair value through profit or loss	11,272	2,149
Financial assets designated at fair value through profit or loss	1,006	—
Financial assets at fair value through accumulated other comprehensive income	58,809	36,846
Financial assets at amortised cost	568,893	568,604
Derivatives - Hedge accounting	570	506
Fair value changes of the hedged items in portfolio hedges of interest rate risk	(87)	(87)
Joint ventures and associates	994	3,898
Insurance and reinsurance assets	198	—
Tangible assets	9,482	9,471
Intangible assets	2,856	2,818	g)
Tax assets	17,867	17,235
Of which: deferred tax assets	13,869	13,257	h)
Other assets	4,985	4,824
Non-current assets and disposal groups classified as held for sale	709	675
Total Assets	859,576	827,753
Financial liabilities held for trading	91,917	93,010
Financial liabilities designated at fair value through profit or loss	18,417	5,997
Financial liabilities at amortised cost	658,599	652,701	o) q)
Derivatives - Hedge accounting	1,933	1,766
Fair value changes of the hedged items in portfolio hedges of interest rate risk	—	—
Liabilities under insurance and reinsurance contracts	12,760	—
Provisions	4,422	4,098
Tax liabilities	4,020	3,081
Of which: deferred tax liabilities	2,540	1,631
Other liabilities	5,709	5,533
Non-current assets and disposal groups classified as held for sale	—	—
Total Liabilities	797,778	766,186
Capital	2,797	2,797	a)
Share premium	18,469	18,469	a)
Equity instruments issued other than capital	—	—
Other equity	40	40	c)
Retained earnings	46,346	45,117	b)
Revaluation reserves	—	—
Other reserves	203	1,143	c)
Less: treasury shares	(299)	(299)	l)
Profit or loss attributable to owners of the parent	10,511	10,499	e)
Less: interim dividend	(1,840)	(1,840)	e)
Accumulated other comprehensive income (loss)	(18,871)	(18,642)	c)
Minority interests	4,441	4,282
Total Equity	61,798	61,567
Total Equity and total Liabilities	859,576	827,753

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Pillar 3  |  2025 >  2. General aspects and information requirements

The main differences between the public balance sheet and the regulatory balance sheet are due to withdrawals from the balance

generated by insurance, real estate and financial entities that are consolidated through the application of the equity method for the

amount of €-32,974 million; and balance entries generated by entities that are consolidated using the proportional integration

method for an amount of €+1,151 million.

The process of reconciliation between accounting equity and regulatory own funds is shown below. Based on the shareholders’

equity reported in the Consolidated Financial Statements of BBVA Group and applying the deductions and adjustments shown in

the table below, reaching to the regulatory capital figure eligible for solvency purposes:

TABLE 4. RECONCILIATION OF ACCOUNTING EQUITY AND THE REGULATORY CAPITAL (MILLION EUROS)

Eligible capital own funds	12-31-2025	12-31-2024
Capital	2,797	2,824
Share premium	18,469	19,184
Retained earnings, revaluation reserves and other reserves	46,550	42,507
Other equity	40	40
(-) Treasury shares	(299)	(66)
Attributable results to the parent company	10,511	10,054
Interim dividend	(1,840)	(1,668)
Total equity	76,228	72,875
Accumulated other comprehensive income (Loss)	(18,871)	(17,220)
Non-controlling interest	4,441	4,359
Shareholders' equity	61,798	60,014
Goodwill and other intangible assets	(1,691)	(1,553)
Equity not eligible at solvency level	(231)	(185)
Other adjustments and deductions (1)	(9,430)	(7,476)
Adjustments, deductions and prudential filters on Equity	(11,352)	(9,215)
Common Equity Tier 1 (CET1)	50,446	50,799
Additional Tier 1 (AT1)	5,488	6,023
Tier 2 (T2)	12,431	9,858
Total Capital (CET1 + AT1 + T2)	68,365	66,680
Total Minimum capital required (2)	53,403	52,427
(1) Other adjustments and deductions include, among others, the adjustment related to the amount of minority interest not eligible as capital, the amount of the treasury shares repurchase up to the maximum limit authorised by the ECB to BBVA Group (including the tranches not initiated of the extraordinary share buyback) and the amount of foreseeable dividend not yet distributed.
(2) Calculated over minimum total capital applicable for each period.

The following table also shows the risk to which each of the items on the regulatory balance sheet is exposed:

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Pillar 3  |  2025 >  2. General aspects and information requirements

TABLE 5. EU LI1 - DIFFERENCES BETWEEN THE ACCOUNTING AND REGULATORY SCOPES OF CONSOLIDATION AND THE MAPPING OF THE FINANCIAL STATEMENTS

CATEGORIES WITH REGULATORY RISK CATEGORIES (MILLION EUROS. 12-31-2025)

	Carrying values as reported in published financial statements	Carrying Values under scope of regulatory consolidation	Carrying values of items(1)
			Subject to credit risk framework	Subject to counterparty credit risk framework	Subject to the Securitisation framework	Subject to the market risk framework	Not subject to capital requirements or subject to deduction from capital
Assets
Cash, cash balances at central banks and other demand deposits	58,837	58,961	58,808	152	—	—	—
Financial assets held for trading	123,185	121,853	—	80,950	—	121,853	—
Non-trading financial assets mandatorily at fair value through profit or loss	11,272	2,149	2,011	—	—	—	138
Financial assets designated at fair value through profit or loss	1,006	—	—	—	—	—	—
Financial assets at fair value through accumulated other comprehensive income	58,809	36,846	35,754	—	1,013	—	79
Financial assets at amortised cost	568,893	568,604	528,727	16,026	2,879	—	20,974
Derivatives - Hedge accounting	570	506	—	506	—	—	—
Fair value changes of the hedged items in portfolio hedges of interest rate risk	(87)	(87)	—	—	—	—	—
Joint ventures and associates	994	3,898	3,898	—	—	—	—
Insurance and reinsurance assets	198	—	—	—	—	—	—
Tangible assets	9,482	9,471	9,471	—	—	—	—
Intangible assets	2,856	2,818	1,106	—	—	—	1,712
Tax assets(2)	17,867	17,235	16,421	—	—	—	815
Other assets(3)	4,985	4,824	1,259	—	—	—	3,566
Non-current assets and disposal groups classified as held for sale	709	675	658	—	—	—	17
Total Assets	859,576	827,753	658,111	97,633	3,892	121,853	27,300
Liabilities
Financial liabilities held for trading	91,917	93,010	—	79,305	—	93,010	—
Financial liabilities designated at fair value through profit or loss	18,417	5,997	—	—	—	—	5,997
Financial liabilities at amortised cost	658,599	652,701	—	31,175	—	—	621,527
Derivatives - Hedge accounting	1,933	1,766	—	1,766	—	—	—
Fair value changes of the hedged items in portfolio hedges of interest rate risk	—	—	—	—	—	—	—
Liabilities under insurance and reinsurance contracts	12,760	—	—	—	—	—	—
Provisions	4,422	4,098	722	—	—	—	3,375
Tax liabilities(2)	4,020	3,081	1,427	—	—	—	1,654
Other liabilities	5,709	5,533	—	—	—	—	5,533
Liabilities included in disposal groups classified as held for sale	—	—	—	—	—	—	—
Total Liabilities	797,778	766,186	2,149	112,245	—	93,010	638,086
(1) For the purpose of the template, when a single item is associated with the capital requirements according to more than one risk framework, it is shown in all the columns corresponding to the capital requirements to which it is associated. As a result, the sum of the values of the columns by type of risk may be greater than the carrying value according to the scope of regulatory consolidation.
(2) Deferred tax assets that depend on future income, reduced by the amount of deferred tax liabilities (article 38 of the CRR) are € 3,197 million and have a risk weight of 250% in application of article 48 of the CRR. The remaining tax assets include deferred tax assets that do not depend on future income and current tax assets.
(3) Other assets include mainly an amount of €1,117 million relating to insurance contracts linked to pensions, which are not subject to capital requirements.

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Pillar 3  |  2025 >  2. General aspects and information requirements

A summary table with the main sources of differences between the amount of exposures in regulatory terms (EAD) and the accounting balances according to the Financial Statements is

below:

TABLE 6. EU LI2 - MAIN SOURCES OF THE DIFFERENCES BETWEEN REGULATORY ORIGINAL EXPOSURE AMOUNTS AND CARRYING VALUES IN FINANCIAL STATEMENTS

(MILLION EUROS. 12-31-2025)

	Total	Items subject to:
		Credit risk framework	Counterparty credit risk  framework	Securitisation framework	Market risk framework
Asset carrying value amount under scope of regulatory consolidation	881,490	658,111	97,633	3,892	121,853
Liabilities carrying value amount under scope of regulatory consolidation	207,404	2,149	112,245	—	93,010
Total net amount under regulatory scope of consolidation	674,085	655,962	(14,612)	3,892	28,843
Amount of off-balance-sheet	298,237	298,161	—	75	—
Differences in valuation(1)	(333)	—	—	—	(333)
Differences due to netting agreements (netting, long/short positions) (2)	79,222	—	79,222	—	—
Differences due to accounting Provisions(3)	2,429	2,429	—	—	—
Differences due to credit risk mitigation techniques (CRM)	(39,249)	(5,723)	(32,968)	(558)	—
Differences due to credit conversion factors (CCF)	(227,871)	(227,871)	—	—	—
Differences due to risk transfer securitisations	—	—	—	—	—
Other(4)	15,357	(671)	16,028	—	—
Exposure amounts considered for regulatory purposes	827,695	722,286	47,670	29,228	28,511
(1) It includes the deduction for prudent valuation adjustments. This deduction is included in row 7 of table EU CC1.
(2) This amount includes the reversal of the accounting netting of derivatives and repurchase agreements to include the netting adjustment applicable in prudential regulation; and the impact of the collateral adjustment on securities financing transactions.
(3) Includes provisions for exposures to credit risk under advanced approach that do not reduce the EAD.
(4) Includes, among others, derivatives counterparty credit risk.

As the table shows, the main sources of difference between the accounting value on the balance sheet and the amount of exposure for regulatory purposes are the inclusion of off-balance

sheet items after the conversion factor, the different treatment of the guarantees eligible as risk mitigation techniques and the regulatory treatment of derivative and securities financing

transactions (inclusion of netting rules other than those applied in accounting value and the inclusion of the potential future exposure).

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Pillar 3  |  2025 >  2. General aspects and information requirements

2.4.2.Identification of dependent entities with bank capital below the

minimum requirement. Possible impediments to transferring own funds

Article 436 f), g) CRR

EU LIB a), d)

As of December 31, 2025, there are no entities in the Group with capital adequacy below their applicable minimum regulatory

requirement.

The Group operates mainly in Spain, Mexico, Turkey and South America. The Group’s banking subsidiaries around the world are

subject to supervision and regulation (with respect to issues such as compliance with a minimum level of regulatory capital) by a

number of regulatory bodies.

The obligation to comply with these capital requirements may affect the capacity of these banking subsidiaries to transfer funds

(e.g. via dividends) to the parent company.

In some jurisdictions in which the Group operates, the regulations lay down that dividends may only be paid with the funds

available by regulation for this purpose.

2.4.3. Exemptions from capital requirements at the individual or sub-

consolidated level

Article 436 h) CRR

EU LIB c)

In accordance with what is set out in the solvency regulations regarding the exemption from capital requirements compliance for

Spanish credit institutions belonging to a consolidated group (at individual or sub-consolidated level) established in the

aforementioned regulation, the Group obtained exemption from the supervisor on December 30, 2009 for Banco Occidental, S.A.

(this exemption was ratified through ECB decision 1024/2013).

In addition, for Financiero de Crédito de Portugal (BBVA IFIC, S.A.), the ECB has decided not to apply prudential requirements

individually.

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Pillar 3  |  2025 >  3. Solvency

3.Solvency

3.1.Capital	41
3.1.1.Minimum own funds requirements per capital tier	41
3.1.2.Minimum own funds requirements by risk type	43
3.1.3.Eligible own funds	47
3.1.4.Procedure used in the capital self-assessment process	53
3.2.Leverage Ratio	54
3.3.MREL	58

TABLE 7. SOLVENCY METRICS (MILLION EUROS)

	12-31-2025	9-30-2025	6-30-2025	3-31-2025	12-31-2024
Common Equity Tier 1 Capital before other regulatory adjustments	54,471	57,189	55,728	55,536	54,681
Total Common Equity Tier 1 regulatory adjustments	(4,024)	(4,132)	(4,094)	(3,791)	(3,882)
Common Equity Tier 1 (CET1)	50,446	53,056	51,634	51,745	50,799
Additional Tier 1 before regulatory adjustments	5,488	5,485	5,489	5,706	6,023
Additional Tier 1 regulatory adjustments	—	—	—	—	—
Additional Tier 1 (AT1)	5,488	5,485	5,489	5,706	6,023
Tier 1 (Common Equity Tier 1+Additional Tier 1)	55,934	58,541	57,123	57,452	56,822
Tier 2 before regulatory adjustments	12,441	11,624	11,490	11,956	9,868
Tier 2 regulatory adjustments	(10)	(10)	(10)	(10)	(10)
Tier 2	12,431	11,614	11,480	11,946	9,858
Total Capital (Total capital = Tier 1 + Tier 2)	68,365	70,156	68,603	69,397	66,680
Total RWA	397,241	395,271	387,051	395,352	394,468
CET 1 ratio	12.70%	13.42%	13.34%	13.09%	12.88%
Tier 1 ratio	14.08%	14.81%	14.76%	14.53%	14.40%
Total Capital ratio	17.21%	17.75%	17.72%	17.55%	16.90%
Exposure to leverage ratio	908,869	871,029	824,769	827,965	834,488
Leverage ratio	6.15%	6.72%	6.93%	6.94%	6.81%
Subordinated own funds and eligible liabilities	50,616	54,689	53,440	54,868	52,926
Total own funds and eligible liabilities	59,277	64,342	63,288	65,776	63,887
MREL RWA	205,154	205,497	200,574	198,078	228,796
Subordinated RWA MREL ratio	24.67%	26.61%	26.64%	27.70%	23.13%
RWA MREL ratio	28.89%	31.31%	31.55%	33.21%	27.92%
MREL exposure to leverage ratio	580,788	547,217	525,985	525,772	527,804
Subordinated LR MREL ratio	8.72%	9.99%	10.16%	10.44%	10.03%
LR MREL ratio	10.21%	11.76%	12.03%	12.51%	12.10%

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Pillar 3  |  2025 >  3. Solvency

3.1.Capital

3.1.1. Minimum own funds requirements per capital tier

Article 440 b) CRR

Article 92 of the CRR establishes that credit institutions must maintain the following own funds requirements at all times:

a.Common Equity Tier 1 capital ratio of 4.5%, calculated as Common Equity Tier 1 capital expressed as a percentage on the

total amount of risk-weighted assets.

b.Tier 1 capital ratio of 6%, calculated as the level of tier capital 1 expressed as a percentage of the total amount of risk-

weighted assets.

c.Total capital ratio of 8%, calculated as the total own funds expressed as a percentage of the total amount of risk-weighted

assets.

Notwithstanding the application of the Pillar 1 requirement, CRD IV allows competent authorities to require credit institutions to

maintain a level of own funds higher than the requirements of Pillar 1 to cover types of risk other than those already covered by the

Pillar 1 requirement (this power of the competent authority is commonly referred to as "Pillar 2R" from “Requirement”).

Additionally, CRD IV also grants the power to these authorities to propose an additional indicative buffer that entities should

maintain for optimal capitalization (Pillar 2G, for “Guidance”). The latter is non-binding and, therefore, is not part of the official

requirement of the entities, which establishes the threshold of the Maximum Distributable Amount (MDA, for its acronym in

English). However, not complying with this additional buffer could trigger the definition of additional supervision and control

measures by the ECB.

Furthermore, since 2016 and in accordance with CRD IV, credit institutions must comply with the following combined requirement

of capital buffers at all times: (i) the capital conservation buffer, (ii) the buffer for global systemically important banks (the "G-SIB"

buffer), (iii) the entity-specific countercyclical capital buffer, (iv) the buffer for other systemically important banks ("D-SIB" buffer)

and (v) the systemic risk capital buffer. The “combined capital buffer requirement” must be met with Common Equity Tier 1 capital

(“CET1”) to cover both minimum capital required by “Pillar 1” and “Pillar 2".

Both the capital conservation buffer and the G-SIB buffer (where appropriate) will apply to credit institutions as it establishes a

percentage greater than 0%.

The buffer for global systemically important banks applies to those institutions on the list of global systemically important banks,

which is updated annually by the Financial Stability Board (“FSB”). Considering the fact that BBVA does not appear on that list, as

at the report date, the G-SIB buffer does not apply to BBVA.  Detailed information on each of the quantitative indicators that form

part of the evaluation process is available on the BBVA Group's website.

The Bank of Spain has extensive discretionary powers as regards the countercyclical capital buffer specific to each bank, the

buffer for other systemically important financial institutions (which are those institutions considered to be systemically important

domestic financial institutions “D-SIB”) and the buffer against systemic risk (to prevent or avoid systemic or macroprudential

risk). The European Central Bank (ECB) has the powers to issue recommendations in this respect following the entry into force on

November 4, 2014 of the Single Supervisory Mechanism (SSM).

With regard to the minimum capital requirements applicable to the Group as of December 31, 2025, these amount to a minimum

CET1 ratio of 9.29%, as well as a minimum total capital ratio of 13.44%.

4 Including 0.12% determined on the basis of the ECB prudential provisioning expectations.

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Following the latest decision of the SREP (Supervisory Review and Evaluation Process), which came into force on January 1, 2026,

the ECB has notified the Group that the Pillar 2 requirement is maintained at 1.62% (of which 0.96%4 at least should be covered by

CET1). In addition, the Bank of Spain has reduced the D-SIB buffer requirement to 0.75% which the Group must maintain since

January 1, 2026, 0.25% less than that in force on December 31, 2025. Therefore, BBVA must maintain a CET1 capital ratio of

8.98% and a total capital ratio of 13.13% at a consolidated level.

Thus, the consolidated overall capital requirement includes: i) the minimum capital requirement of Common Equity Tier 1 (CET1)

of Pillar 1 (4.50%); ii) the capital requirement of Additional Tier 1 (AT1) of Pillar 1 (1.50%); iii) the capital requirement of Tier 2 of

Pillar 1 (2.00%); iv) the CET1 requirement of Pillar 2 (0.96%4), v) the capital requirement of Additional Tier 1 (AT1) of Pillar 2

(0.28%); vi) the capital requirement of Tier 2 of Pillar 2 (0.38%); vii) the capital conservation buffer (2.50% of CET1); viii) the

capital buffer for Other Systemically Important Institutions (O-SIIs) (0.75% of CET1); and ix) the countercyclical buffer (CCyB) and

systemic risk buffer updated as of December 31, 2025 (0.25% and 0.01% of CET1, respectively)

The BBVA Group has set the objective of maintaining a fully loaded CET1 ratio at a consolidated level between 11.5% and 12.0%. At

the end of the financial year 2025, the fully loaded CET1 ratio was above this target management range.

CET1 ratio reached 12.70% which represents 341 basis points over the minimum requirement of 9.29%.

The following table shows a comparison between the Group's capital requirements and its ratios as of December 31, 2025:

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The following table shows the CET1 ratio that would trigger restrictions on capital distribution capacity and the capital ratios as of

December 2025:

TABLE 8. CAPITAL DISTRIBUTION CONSTRAINTS (12-31-2025)

	CET1 capital ratio that would trigger capital distribution constraints (%)	Current CET 1 capital ratio (%)
CET1 Pillar 1	4.50 %	12.70 %
CET1 Pillar 2 (P2R)	1.02 %
Capital conservation buffer	2.50 %
D-SIB buffer	1.00 %
Countercyclical buffer	0.25 %
Systemic Risk Buffer	0.01 %
CET1 phased-in minimum plus Basel III buffers (excluding capital used to meet other minimum regulatory capital)	9.29%
CET1 phased-in minimum plus Basel III buffers (including capital used to meet other minimum regulatory capital)	9.69%

The countercyclical capital buffer requirement applicable to the BBVA Group is approximately 0.25%, which increased 15 basis

points compared to December 2024. This requirement means that the Group must maintain an additional capital buffer of €1,008

million at the end of December 2025.

The increase is mainly motivated by the activation of the Spanish requirement, to 0.5% from October 1, 2025, which represents 15

basis points.

TABLE 9. EU CCYB2 - AMOUNT OF INSTITUTION-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER (MILLION EUROS.

12-31-2025)

Total risk exposure amount	397,241
Institution specific countercyclical buffer rate (1)	0.25 %
Institution specific countercyclical buffer requirement	1,008
(1) Countercyclical capital buffer calculated as of December 2025 in accordance with Commission Delegated Regulation (EU) 2015/1555.

Annex IV shows the country breakdown of exposures and countercyclical buffer requirements (EU CCyB1).

On the other hand, regarding the systemic risk buffer, it is still active for all credit and counterparty risk exposures in Italy, being up

from 0.5% as of 31 December 2024 to 1% applicable as from 30 June 2025.

In practice, this has meant that the Group had to increase its systemic risk buffer to €38 million (0.01%).

3.1.2. Minimum own funds requirements by risk type

The entry into force of CRR3 on 1 January 2025 brought about substantial changes in the calculation of minimum capital

requirements based on Article 92 of the aforementioned Regulation.

These changes are aimed at developing more risk-sensitive approaches, as well as limiting the variability of the capital

requirements resulting from the application of internal models and facilitating their comparability and robustness, by increasing

segmentation, restricting the capacity to estimate certain parameters in those risk categories where robust modelling is more

complex and, lastly, establishing a lower limit for the capital requirements resulting from internal models with respect to those if

standardised methods were used.

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3.1.2.1. Entity risk profile

Article 438 d) CRR

The BBVA Group has a general risk management and control model (hereinafter, the “Model”) that is appropriate for its business

model, its organisation, the countries where it operates and its corporate governance system. This model allows the Group to

carry out its activity within the risk management and control strategy and policy defined by the corporate bodies of BBVA and to

adapt itself to a changing economic and regulatory environment, facing this management at a global level and aligned to the

circumstances at all times. The Model establishes a suitable risk management system related to the risk profile and strategy of the

entity.

The types of risk inherent in the business that make up the risk profile of the Group are as follows:

1.Credit risk and dilution: Credit risk arises from the probability that one party to a financial instrument will fail to meet its

contractual obligations for reasons of insolvency or inability to pay and cause a financial loss for the other party. This includes

counterparty risk, issuer risk, liquidation risk and country risk.

2.Counterparty risk: The credit risk corresponding to derivative instruments, repurchase and reverse repurchase transactions,

securities or commodities lending or borrowing transactions and deferred settlement transactions.

3.Credit Valuation Adjustment Risk (CVA): Its aim is to reflect the impact on the fair value of the counterparty’s credit risk,

resulting from OTC derivative instruments which are not recognised credit derivatives for the purpose of reducing the

amount of credit risk weighted exposure.

4.Market risk: Market risk originates in the possibility that there may be losses in the value of positions held due to movements

in the market variables that affect the valuation of financial products and assets in the trading book. This includes risk with

respect to the position in debt and equity instruments, exchange rate risk and commodity risk.

5.Operational risk: a risk that may cause losses as a result of human error; inadequate or defective internal processes;

inadequate conduct toward customers, in the markets or against the company; failures, interruptions or deficiencies in

systems or communications; theft, loss or misuse of information, as well as deterioration of its quality; internal or external

fraud including, in all cases, fraud resulting from cyber-attacks; theft or physical damage to assets or persons; legal risks;

risks resulting from workforce and occupational health management; and inadequate service provided by suppliers. This

definition includes legal risk, but excludes strategic and/or business risk and reputational risk.

6.Structural risk: This is divided into structural interest-rate risk (movements in market interest rates that cause changes in an

entity’s net interest income and book value) and structural exchange-rate risk (exposure to variations in exchange rates

originating in the Group’s foreign companies and in the provision of funds to foreign branches financed in a different currency

from that of the investment).

7.Liquidity risk: Risk of an entity having difficulties in duly meeting its payment commitments, or where, to meet them, it has to

resort to funding under burdensome terms which may harm the Group’s image or reputation.

8.Reputational risk: Considered to be the potential loss in earnings as a result of events that may negatively affect the

perception of the Group’s different stakeholders.

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The following table shows the total capital requirements broken down by risk type as of quarter-end from December 31, 2024 to

December 31, 2025:

TABLE 10. EU OV1 - OVERVIEW OF RWA (MILLION EUROS)

	RWEAs (1)					Minimum Capital Requirements (2) (3)
	12-31-2025	9-30-2025	6-30-2025	3-31-2025	12-31-2024	12-31-2025
Credit risk (excluding CCR) (4)(5)	314,655	323,647	315,848	323,101	332,426	25,172
Of which the standardised approach (4)	204,557	182,461	178,510	178,439	163,518	16,365
Of which the Foundation IRB (F-IRB) approach	78,581	49,031	46,174	45,398	—	6,286
Of which: slotting approach	10,950	9,194	8,082	8,006	8,225	876
Of which equity IRB under the simple risk-weighted approach	—	—	—	—	2,456	—
Of which the Advanced IRB (A-IRB) approach	15,580	75,145	74,809	76,628	143,562	1,246
Counterparty credit risk - CCR	10,019	9,891	9,414	9,706	9,918	802
Of which the standardised approach (6)	7,789	7,244	7,017	7,596	7,045	623
Of which internal model method (IMM)	—	—	—	—	—	—
Of which exposures to a CCP(7)	576	678	511	576	406	46
Of which other CCR	1,654	1,970	1,886	1,534	2,466	132
Credit valuation adjustment - CVA risk	2,530	2,403	2,298	2,663	1,307	202
Of which the standardised approach (SA)	—	—	—	—	—	—
Of which the basic approach ( F-BA and R-BA)	2,530	2,403	2,298	2,663	—	202
Of which the simplified approach	—	—	—	—	—	—
Settlement risk	—	12	17	1	1	—
Securitisation exposures in the non-trading book (after the cap)(8)	5,121	3,942	3,128	1,939	1,212	410
Of which SEC-IRBA	2,708	2,957	2,148	1,811	1,087	217
Of which SEC-ERBA	355	191	152	129	125	28
Of which SEC-SA	2,058	794	827	—	—	165
Of which 1250%(8)	—	—	—	—	—	—
Market Risk(9)	18,365	17,065	17,536	17,668	16,805	1,469
Of which the alternative standardised approach (A-SA)(10)
Of which the simplified standardised approach (S-SA)(10)
Of which Alternative Internal Model Approach (A-IMA)(10)
Large exposures	—	—	—	—	—	—
Reclassifications between trading and non-trading books	—	—	—	—		—
Operational risk	46,538	38,299	38,799	40,262	32,799	3,723
Exposures to crypto-assets	11	11	11	12	13	1
Amounts below the thresholds for deduction (subject to 250% risk weight) (11)	17,607	17,485	16,770	17,107	17,818	1,409
Output floor applied (%)	72.5 %	72.5 %	72.5 %	72.5 %
Floor adjustment (before application of transitional cap)	—	—	—	—
Floor adjustment (after application of transitional cap)	—	—	—	—
Total	397,241	395,271	387,051	395,352	394,468	31,779
(1) Risk-weighted assets according to the phased-in period. In the periods showed these RWA coincide with those corresponding to fully loaded.
(2) Considering the minimum total capital requirement of 8% (Article 92 of the CRR).
(3) After the supervisory review process (SREP), the total capital ratio requirement amounts to 13.44% (€53,403 million as of the reporting date).
(4) Including amounts below the deduction thresholds subject to 250% weight (DTAs rise to €7,991 million and significant investments in financial sector entities and insurance companies amounting to €9,615 million).
(5) This line includes capital consumptions that the Group incorporates to reflect a more conservative treatment of certain elements in accordance with article 3 CRR.
(6) It only includes SA-CCR for derivatives.
(7) This row includes the total RWA corresponding to exposures with central counterparties (CCPs), both qualified and non-qualified, among which are also the initial margins.
(8) The BBVA Group deducts from capital those securitisations meeting the deduction requirements, so it does not apply a weight of 1,250% to these exposures. In this row, the value of €1,232 million that would result from applying this weight to the exposures deducted is not included.
(9) This row shows information according to the current calculation methodology.
(10) This row does not include information given that FRTB is not yet into force.
(11) The information in this row is disclosed for information purposes only, as the amount included here is also included in row 1, where institutions are requested to disclose information on credit risk. As a consequence, this row should not be taken into account when calculating the total indicated at the bottom of the table.

5 From January 1, 2030, when the measure will be considered fully loaded. CRR3 establishes a phased-in implementation period, during which the percentage will be

increased annually (50% in 2025, 55% in 2026, 60% in 2027, 65% in 2028, 70% in 2029). The BBVA Group has not adhered to the transitional period, so the ratios

presented include the 72.5% established as the lower limit.

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In 2025, risk-weighted assets increased by approximately 3 billion euros. The impact of organic growth stemming from banking

activity under credit risk is offset by the exchange-rate impact (mainly driven by turkish lira, argentinian peso and US dollar) and

by regulatory impacts. Meanwhile, operational risk increased due to regulatory changes and changes in the years considered in the

calculation.

The evolution of RWA by type of risk is explained in more detail in the respective sections of the report.

Total risk-weighted assets are shown below, broken down by type of risk (where credit risk includes counterparty risk) as of

December 31, 2025 and December 31, 2024:

3.1.2.2. Comparison of modelled and standardised risk weighted exposure amounts

Article 438 d.a) CRR

The new CRR3 Regulation provides for an amendment to the calculation of the minimum capital requirements set out in Article 92,

paragraph 3. This modification implies that the capital requirements calculated using internal models will have a lower limit of

72.5%5 with respect to that resulting if they had been calculated using the standardised approach. This lower limit is denominated

as Output Floor. As shown in table 11, the Group is not affected by this limit.

The summary table showing the comparison between risk-weighted assets calculated by internal models and standardised

approach by risk type, as of December 31, 2025 and September 30, 2025 are below.

This table provide a comparison of the current risk-weighted assets (third column) with those that the Group would have in the

event of the Output Floor being affected on a full basis (fourth column) or under the transitional provisions of article 465 of CRR3

(fifth column).

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TABLE 11. EU CMS1 -  COMPARISON OF MODELLED AND STANDARDISED RISK WEIGHTED EXPOSURE AMOUNTS AT

RISK LEVEL (MILLION EUROS 12-31-2025)

	RWEAs for modelled approaches that banks have supervisory approval to use	RWEAs for portfolios where standardised approaches are used	Total actual RWEAs (a+b)	RWEAs calculated using full standardised approach	RWEAs that is the base of the output floor
Credit risk (excluding counterparty credit risk)	105,111	204,557	309,668	391,366	366,588
Counterparty credit risk	5,850	4,169	10,019	15,880	15,880
Credit valuation adjustment (CVA)		2,530	2,530	2,530	2,530
Securitisation exposures in the banking book	2,708	2,413	5,121	5,779	5,779
Market risk(1)	9,556	8,809	18,365	19,164	19,164
Operational risk		46,538	46,538	46,538	46,538
Other risk weighted exposure amounts		4,999	4,999	4,999	3,170
Total	123,224	274,017	397,241	486,256	459,649
(1) This row shows information according to the current calculation methodology.

EU CMS1 (MILLION EUROS. 9-30-2025)

	RWEAs for modelled approaches that banks have supervisory approval to use	RWEAs for portfolios where standardised approaches are used	Total actual RWEAs (a+b)	RWEAs calculated using full standardised approach	RWEAs that is the base of the output floor
Credit risk (excluding counterparty credit risk)	133,369	182,461	315,831	375,880	352,552
Counterparty credit risk	5,636	4,256	9,891	15,065	15,065
Credit valuation adjustment (CVA)		2,403	2,403	2,403	2,403
Securitisation exposures in the banking book	2,957	985	3,942	5,057	5,057
Market risk(1)	10,381	6,684	17,065	17,446	17,446
Operational risk		38,299	38,299	38,299	38,299
Other risk weighted exposure amounts		7,839	7,839	7,839	7,839
Total	152,344	242,927	395,271	461,989	438,661
(1) This row shows information according to the current calculation methodology.

As seen in the tables above, the BBVA Group has no impact of the output floor on internal models, calculated as 72.5% of RWA

calculated using only the standardised approaches.

The summary table showing the comparison between risk-weighted assets calculated by internal models and standardised

approach by exposure class for credit risk (EU CMS2) is in Annex V.

In addition, the full series of templates EU CMS1 and EU CMS2 during the year 2025, is available in the editable file "Pillar 3 2025 -

Tables & Annexes".

3.1.3. Eligible own funds

Article 437 a), b), c), d), e) CRR

For the purposes of calculating eligible own funds, according to Regulation (EU) 575/2013 and subsequent amendments, which

are applicable as of the report date, the elements and instruments of Tier 1 capital are defined as the sum of Common Equity Tier 1

capital (CET1) and additional Tier 1 capital (AT1), as defined in Part Two, Title I, Chapters I to III of the CRR, as well as their

corresponding deductions, in accordance with Articles 36 and 56, respectively.

Also considered are the elements of Tier 2 capital defined in Part Two, Title I of Chapter IV, Section I of the CRR. The deductions

defined as such in Section II of the same Chapter are also considered.

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The level of Common Equity Tier 1 capital essentially comprises the following elements:

a.Capital and share premium: this includes the elements described in article 26 section 1, and 28 of the CRR and the EBA list

referred to in Article 26 Section 3 of the CRR.

b.Accumulated gains: in accordance with Article 26. 1 c), the gains that may be used immediately and with no restriction to

cover any risk or losses are included, in the event that they occur.

c.Other accumulated income and other reserves: in accordance with Article 26. 1, d) and e), this item primarily classifies the

exchange-rate differences and the valuation adjustments associated with the portfolio of financial assets at fair value with

changes to other comprehensive income.

d.Minority interests eligible as CET1: includes the sum of the Common Equity Tier 1 capital instruments of a subsidiary that

arise in the process of its global consolidation and are attributable to natural or legal third persons other than companies

included in the consolidation, calculated in accordance with Article 84 et seq. of the CRR.

e.Net profit of the year attributed to the Group: the independently verified profits are included, net of any possible expense or

foreseeable dividend previously authorised by the supervisor (following the treatment set out in Article 5 of Decision (EU)

2015/656 of the ECB). As of December 31, 2025, it includes the prudential accrual of €0.6 /share in cash as Shareholders

remuneration related to 2025 Group results, which has been agreed by the Management Board on January, 4, 2026 (raised

for approval by the General Shareholders' Meeting of March 20, 2026).

Furthermore, CET1 capital is adjusted mainly through the following deductions:

f.Additional value adjustments: this includes adjustments resulting from the prudent valuation of positions at fair value, as set

out in Article 105 of the CRR.

g.Intangible assets: these are included net of the corresponding tax liabilities, as set out in Article 36.1 b) and Article 37 of the

CRR. It mainly includes goodwill, software and other intangible assets. The amount shall be deducted from the amount of the

accounting revaluation of the intangible assets of the subsidiaries derived from the consolidation of the subsidiaries

attributable to persons other than the companies included in the consolidation. This includes the positive effect due to the

prudent treatment of software following the publication of Delegated Regulation 2020/2176 of December 22.

h.Deferred tax assets: it includes deferred tax assets that rely on future profitability and do not rise from temporary

differences (net of the corresponding tax liabilities when the conditions established in Article 38.3 of the CRR are met), as per

Article 36.1 c) and Article 38 of the CRR, mainly loss carryforwards (LCFs).

i.Reserves at fair value related to losses or gains from cash flow hedging: includes value adjustments of cash flow hedging

of financial instruments not valued at fair value, including expected cash flows in accordance with Article 33 a) of the CRR.

j.Negative amounts due to the calculation of the expected losses: the default provision on expected losses in exposure

weighted by method based on internal ratings, calculated in accordance with Article 36.1 d) of the CRR, is included.

k.Profit and loss at fair value: these are derived from the entity’s own credit risk, in accordance with Article 33 b) of the CRR.

l.Direct, indirect and synthetic holdings of own instruments (treasury stock): includes the shares and other instruments

eligible as capital that are held by any of the Group’s consolidating entities, together with those held by non-consolidating

entities belonging to the economic Group, as set out in Article 36.1 f) and Article 42 of the CRR. It mainly includes the amount

of the treasury stock up to the maximum limit authorized by the ECB to the BBVA Group and the financing of own treasury

shares.

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m.Exposures at 1,250%: any instance of exposure that receives a risk weight of 1,250% and the Group considers for deduction

purposes is included, as set out in Article 36.1 k) of the CRR.

n.Other regulatory adjustments: other CET1 deductions are included according to the CRR, which were not recognised in the

above headings, such as:

i.losses and gains at fair value arising from the entity's own credit risk related to derivative liabilities (DVA).

ii.the amount corresponding to the insufficient coverage of non-performing exposures, taking into account both

Article 36.1.m) of the CRR and the supervisory expectations on prudential provisions for non-performing exposures

published in the Appendix to the ECB Guide on non-performing loans for credit institutions published in March 2018.

iii.the amount of the deduction arise from significant holdings in financial institutions and deferred tax assets arising

from temporary differences that exceed the 10% limit of the CET1, as well as the deduction for exceeding the joint

limit of 17.65% of the CET1 according to Article 48.2 of the CRR.

In addition, as of December 31, 2025, the Group do not hold stakes in financial institutions that are excluded from the

application of the previously mentioned limits (article 49 of the CRR) and, therefore, the standard template of the

EBA EU INS1 shall not be applicable.

In addition, the Group includes as eligible own funds the AT1 capital, which is comprised of:

o.Capital instruments and share premium eligible as AT1: this item includes the perpetual contingent convertible securities

that meet the conditions set out in Articles 51 and 52.1, 53 and 54 of the CRR.

p.Qualifying Tier 1 capital included in the consolidated additional capital issued by affiliates and held by third parties: this

item includes the amount of additional Tier 1 capital from the subsidiaries, calculated in accordance with Article 85 and 86 of

the CRR.

Finally, the Group also includes Tier 2 eligible capital as own funds, which includes the following elements:

q.Capital instruments and Tier 2 share premiums: includes funding that, for credit ranking purposes, comes behind all the

common creditors. The issues, moreover, have to fulfil a number of conditions, which are laid out in Article 63 of the CRR,

taking into account the transitory provisions established in Part Ten, Chapter 4 of the CRR

r.Eligible own funds instruments eligible as Tier 2 capital issued by subsidiaries and held by third parties: these

instruments are included under Articles 87 and 88 of the CRR.

s.Credit risk adjustments: it includes the surplus resulting from comparing the provisions and expected credit losses related

to exposures calculated under IRB approach with the limit of 0.6% of the risk-weighted exposure.

Annex III outlines the main characteristics of capital instruments eligible for inclusion as additional Tier 1 and Tier 2 capital, in

accordance with the standard template EU CCA.

The amount of total eligible capital, net of deductions, for the different items making up the capital base as of December 31, 2025,

June 30, 2025 and December 31, 2024, respectively, is below, in accordance with the requirements for the disclosure of

information related to regulatory own funds established by the Implementing Technical Standards (EBA/ITS/2024/05)

(Implementing Regulation 2024/3172 of November 29, 2024):

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TABLE 12. AMOUNT OF CAPITAL (EU CC1) (MILLION EUROS)

Reference to template EU CC2(1)	12-31-2025	6-30-2025	12-31-2024
a) Capital and share premium	21,266	22,008	22,008
b) Retained earnings	42,657	44,078	39,652
c) Other accumulated earnings and other reserves	(17,459)	(15,649)	(14,334)
d) Minority interests eligible as CET1	2,762	2,581	2,343
e) Net profit attributable to the Group (2)(3)(4)	5,244	2,710	5,013
Common Equity Tier 1 Capital before other regulatory adjustments	54,471	55,728	54,681
f) Additional value adjustments	(333)	(330)	(355)
g) Intangible assets	(1,691)	(1,596)	(1,553)
h) Deferred tax assets	(815)	(904)	(844)
i) Fair value reserves related to gains or losses on cash flow hedges	(280)	(313)	(333)
j) Expected losses in equity	(84)	(268)	(199)
k) Profit or losses on liabilities measured at fair value	127	66	17
l) Direct, indirect and synthetic holdings of own instruments	(390)	(290)	(243)
m) Exposures at 1250%	(238)	(94)	(23)
n) Other CET1 regulatory adjustments	(321)	(364)	(349)
Total Common Equity Tier 1 regulatory adjustments	(4,024)	(4,094)	(3,882)
Common Equity Tier 1 (CET1)	50,446	51,634	50,799
o) Equity instruments and AT1 share premium	5,303	5,310	5,638
p) Qualifying Tier 1 capital included in consolidated AT1 capital issued by subsidiaries and held by third parties	185	179	386
Additional Tier 1 before regulatory adjustments	5,488	5,489	6,023
Additional Tier 1 (AT1)	5,488	5,489	6,023
Tier 1 (Common Equity Tier 1+Additional Tier 1)	55,934	57,123	56,822
q) Equity instruments and Tier 2 share premiums	6,239	6,434	5,629
r) Eligible own funds instruments included in consolidated Tier 2 issued by subsidiaries and held by third parties	6,022	5,056	4,192
s) Credit risk adjustments	180	—	47
Tier 2 before regulatory adjustments	12,441	11,490	9,868
t) Tier 2 regulatory adjustments	(10)	(10)	(10)
Tier 2	12,431	11,480	9,858
Total Capital (Total capital = Tier 1 + Tier 2)	68,365	68,603	66,680
Total RWA	397,241	387,051	394,468
CET 1 ratio	12.70 %	13.34 %	12.88 %
Tier 1 ratio	14.08 %	14.76 %	14.40 %
Total Capital ratio	17.21 %	17.72 %	16.90 %
(1) References to regulatory balance sheet (EU CC2) where these items are included.
(2) As of December 31, 2024, the total shareholder remuneration approved by the General Shareholders' Meeting is deducted.
(3) As of June 30, 2025, according to the article 26 of CRR, the foreseeable accrued dividend is deducted.
(4) As of December 31, 2025, the foreseeable total shareholder remuneration, raised for approval by the General Shareholders' Meeting is deducted.

The BBVA Group does not make use of the transitional provisions included in the CRR, so the phased-in and fully loaded ratios are

the same.

The CET1 fully loaded ratio of the BBVA Group (hereinafter, the Group) stood at 12.70% at the end of December 2025,

representing a large management buffer over the Group's CET 1 requirement (9.29%) and over the Group's target management

range of between 11.5 - 12% of CET 1.

The CET1 ratio decreased by -18 basis points, mainly explained by the impact of -105 basis points from the extraordinary share

buyback program (SBB). Among the recurring impacts, there has been a great generation of earnings in the year (+265 basis

points) which, net of shareholder remuneration and payment of contingent convertible instrument coupons (CoCos), generated a

positive contribution of +122 basis points.

Meanwhile, the growth in risk-weighted assets (RWA) derived from the organic growth of the business in constant terms, mainly as

a result of the increase in the loan portfolio, and, to a lesser extent, debt securities, partially offset by a risk transfer initiatives

drained the ratio by -152 basis points.

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Finally, the other elements that make up CET1 had a positive contribution of +61 basis points; these include the calculation of

minority interests and the positive impact in Other Comprehensive Income (OCI) equivalent to the net monetary position value

loss in hyperinflationary economies, as well as the portfolio recorded in fair value through other comprehensive income

(corresponding to assets classified as Held to Collect and Sell) HTC&S. In addition, the negative effects of market evolution are

also included, particularly the variation of the foreign exchange, mainly represented by the variation of Turkish lira and, to a lesser

extent, the Mexican peso, partially offset by the depreciation of US dollar, throughout the year.

Consolidated Additional Tier 1 (AT1) capital fully loaded stood at 1.38% as of December 31, 2025, -15 basis points lower than in

2024. In January 2025, BBVA, S.A. issued contingent convertible instruments (CoCos) for USD 1 billion, and it made a further

issuance in November 2025 for €1 billion. On the other hand, in March 2025, BBVA redeemed an issuance of contingent

convertible bonds of USD 1 billion. Additionally, in December 2025, the redemption of another issuance of contingent convertible

instruments of €1 billion was announced, which took place in January 2026.

The Tier 2 fully  stood at 3.13% as of December 31, 2025, which represents an increase of +63 basis points compared to 2024,

mainly due to the issuance of a subordinated bond in Spain (€1 billion) in February 2025, the issuance in Mexico, also in February

2025 of subordinated debt for an amount of USD 1 billion, and the issuances in July and October 2025 of USD 500 million and USD

700 million, respectively of subordinated debt in Turkey.

As a result of the above, the total capital ratio stood at 17.21% as of December 31, 2025.

The composition of the fully loaded total capital ratio as of December 31, 2024 and December 31, 2025 is shown below:

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Regarding the specific variation during the quarter, the Group’s CET1 fully loaded decreased by -72 basis points with respect to the

September level (13.42%).

Regarding the recurring aspects that impact the ratio, it is worth noting the strong earnings generation during the quarter, which

contributed +64 basis points to the ratio, which, net of the provision for dividends and the coupon payments on AT1 instruments

(CoCos) contributed +30 basis points to CET1 ratio. Organic growth in risk-weighted assets (RWA) at constant exchange rates,

which net of risk transfer initiatives, represents a consumption of -57 basis points, reflecting, once again, the Group's ability to

continue reinvesting in new growth.

Meanwhile, among the other impacts whose aggregate has not had a significant effect on the ratio (4 basis points), it is worth

highlighting the positive compensatory effect on "Other Comprehensive Income" offsetting the negative impact in the income

statement from the loss on the net monetary position recorded in the financial statements of the subsidiaries operating in

hyperinflationary economies and the negative effects of the exchange rate and other market variables

On the other hand, noteworthy is the positive effect of regulatory impacts that have resulted in +56 basis points and on the

contrary,  the impact of -105 basis points from the extraordinary share buyback program (SBB) announced in December 2025 for

a maximum amount of €3.96 billion.

The AT1 fully loaded ratio stood at 1.38% showing a slight variation (-1 basis points) compared to September 30, 2025. Merely

impacted in the quarter by organic RWA growth, offset by the currency effect. The issuance of €1 billion contingent convertible

debt (CoCo) by BBVA, S.A. in November was offset by the redemption of another issuance for the same amount in December.

The Tier 2 fully loaded ratio has experienced a significant variation in the quarter (19 basis points), mainly impacted by the

issuance in Turkey of a USD 700 million of subordinated debt in October.

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3.1.4. Procedure used in the capital self-assessment process

Article 438 a), c) CRR

EU OVC a)

The Group carries out the internal capital assessment process in accordance with the Capital Requirements Directive 2013/36/EU

and guidelines on the supervisory review and evaluation process (SREP) published by the European Banking Authority. In

accordance with Article 108 of the Capital Requirements Directive (2013/36/EU), the Group complies with the obligations set out

in Article 73 thereof on a consolidated basis. Furthermore, the document is structured on the basis of the ECB's guidance on the

internal capital adequacy assessment process (ICAAP) of November 2018.

Within the framework of the internal capital assessment process, the Group assesses and quantifies all risk that could significantly

affect its capital position and draws a conclusion on the capital adequacy from a holistic medium-term perspective.

The Group applies a proportionate approach that aims to ensure the entity's survival and continued compliance with all legal and

internal requirements. In addition to regulatory and accounting perspectives, the Group bases its capital adequacy position

analysis on a sound internal approach in which its capital position is assessed under an economic vision, which includes

quantifying capital needs for risk covered in Pillar 1 of Basel and the needs due to risk not covered by Pillar 1.

The following are some of the points assessed in the internal capital assessment process:

–Business and strategy model, describing both the changes planned by the bank in the current business model and its

underlying activities such as the relationship between the business strategy and internal capital assessment process.

–Internal governance, risk management and the control framework, reviewing the processes and mechanisms that ensure

that the bank has a sound and integrated framework for managing present and future material risk.

–Risk appetite framework, describing the correspondence between this framework and the bank’s business strategy and

model.

–Identification and assessment of risk (including credit, operational, market, liquidity and other structural risk) and

quantification of the capital necessary to cover them, with a quantitative reconciliation between the Pillar 1 and Pillar 2

approaches.

–Planning capital under baseline and stress scenarios, projecting the capital base of the Group, the parent and its main

subsidiaries over the next four years and analysing capital sufficiency in accordance with the regulatory requirements and

the internal objectives set out by the entity for the close of the period, also dealing with the planned capital actions.

This internal capital assessment process concludes with submission to the supervisor of an annual report on the process. The

report plays a key role in the review and evaluation methodology applied by the Single Supervisory Mechanism, and is an

important element for determining capital requirements under Pillar 2.

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Pillar 3  |  2025 >  3. Solvency

3.2.Leverage Ratio

Article 451 (1) a), b), d), e), f) CRR

EU LRA

The leverage ratio (LR) is a regulatory measure (not risk-based) complementing capital designed to guarantee the soundness and

financial strength of institutions in terms of indebtedness.

The entry into force of CRR2 in June 2021 meant the equalization, at the regulatory level, of the leverage ratio with that of capital,

through the establishment of a Pillar 1 minimum requirement of 3%, added to the article 92. In addition, this regulation, also

establishes an additional requirement for those entities considered to be of global systemic importance (GSII).

Furthermore, CRD V, as well as for regulatory capital, incorporated supervisory discretion so that the competent authority can

establish an additional requirement (Pillar 2R), as well as an indicative buffer to cover excessive leverage (Pillar 2G).

As of December 31, 2025, the BBVA Group does not have any additional LR requirement, so the applicable requirement is 3%.

Described below are the elements making up the leverage ratio, in accordance with CRR:

–Tier 1 capital: Section 3.1.3. of this Document presents details of the eligible own funds, calculated based on the criteria

defined in the CRR.

–Total Exposure: As set out in Article 429 of the CRR, the total exposure measure generally follows the book value subject

to the following considerations:

–On-balance sheet exposure other than derivatives is included net of allowances and accounting valuation

adjustments.

–The measure of the Group’s total exposure is composed of the total assets as per financial statements adjusted

for reconciliation between the accounting perimeter and the prudential perimeter.

Total exposure for the purpose of calculating the leverage ratio is composed by the sum of the exposure values of:

–Assets: the exposure value of an asset item will be its accounting value remaining after the application of specific credit

risk adjustments. In general terms, securities financing transactions will not be compensated except for certain

conditions.

–Derivatives contracts: the Entity calculates the exposure value of derivatives contracts in accordance with the standard

method of counterparty risk (SA-CCR). When calculating the exposure value, the effects of compensation agreements

(netting) will be taken into account. For the purposes of calculating the exposure value, collateral received will not be

included, except under certain conditions.

–Add-ons for counterparty credit risk of securities financing transactions (SFTs): in addition to the calculation of the

exposure value of securities financing transactions, included in the first point, the total exposure measure shall include an

add-on due to counterparty credit risk in accordance with article 429e of the CRR2.

–Off-balance sheet items: these correspond to risk and contingent liabilities and commitments, mainly collateral and

undrawn balances. A minimum floor is applied to conversion factors (CCFs) of 10% in line with the provisions of the

Article 429f (3) of CRR2.

–Regular-way purchases or sales awaiting settlement.

In addition, certain concepts are excluded:

–Exposures excluded from the total exposure measure. Items that, in accordance with Article 429 of the CRR, are not

included in the exposure measure of the leverage ratio because they meet specific regulatory exemption conditions.

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Pillar 3  |  2025 >  3. Solvency

–Tier 1 deductions: all those amounts of assets that have been deducted in the determination of the eligible Tier 1 capital

are deducted, in order not to duplicate exposure. The main deductions are intangible assets, loss carry forwards and

other deductions defined in Article 36 of CRR2 and indicated in section 3.1.3 of this report.

On the following chart, the leverage ratio quarterly evolution along the year, as well as its components is shown:

As of December 31, 2025, the leverage ratio stood at 6.15%, decreasing in -57 basis points with respect to September 2025. This

decrease is mainly due to the negative evolution of Tier 1 capital, which has resulted in a -30 basis points reduction in the leverage

ratio, due to the deduction of the share buyback program, and by the exposure measure, which has subtracted -7 basis points to

the leverage ratio, evolving in line with the Group's asset growth.

Additionally, during the year (-65 basis points), the organic evolution of the balance sheet stands out, representing a decrease of

-55 basis points. On the other hand, solid earnings generation has limited the reduction in annual Tier 1 as a consequence of SBB,

representing -11 basis points. compared to December 31, 2024.

The table below shows a breakdown of the main items making up the leverage ratio as of December 31, 2025, June 30, 2025 and

as of December 31, 2024.

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TABLE 13. EU LR1 - SUMMARY RECONCILIATION OF ACCOUNTING ASSETS AND EXPOSURE CORRESPONDING TO

THE LEVERAGE RATIO (MILLION EUROS)

	12-31-2025	6-30-2025	12-31-2024
(a) Total assets as published financial statements	859,576	776,974	772,402
(b) Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation	(31,822)	(30,020)	(28,304)
(Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference)	(5,841)	(5,673)	(3,035)
(Adjustment for temporary exemption of exposures to central bank (if applicable))	—	—	—
(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio total exposure measure in accordance with Article 429a(1)(i) of  Regulation (EU) No 575/2013)	—	—	—
Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting	—	—	—
Adjustment for eligible cash pooling transactions	—	—	—
(c) Adjustments for derivative financial instruments	(2,267)	(510)	(1,650)
(d) Adjustments for securities financing transactions "SFTs"	5,642	5,211	10,629
(e) Adjustment for off-balance sheet items(1)	87,390	82,927	88,298
(Adjustment for prudent valuation adjustments and general credit risk adjustments which have reduced Tier 1 capital)	—	—	—
(f) (Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (7) of Regulation (EU) No 575/2013)	—	—	—
(g) (Adjustment for exposures excluded from the total exposure measure corresponding to the leverage ratio under Article 429(14) of Regulation (EU) No 575/2013)	—	—	—
(h) Other adjustments	(3,809)	(4,141)	(3,852)
Leverage ratio total exposure measure	908,869	824,769	834,488
Capital Tier 1	55,934	57,123	56,822
Leverage ratio	6.15 %	6.93%	6.81 %
(1) Corresponds to the off-balance sheet exposure after applying the conversion factors obtained in accordance with Article 429f of the CRR.

Annex VI includes the complete breakdown of the elements making up the leverage ratio, in the standardised EU LR2 template.

The table below includes the breakdown of on balance sheet exposures, excluding derivatives and securities financing

transactions.

TABLE 14. EU LR3 - SPLIT-UP OF ON BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES, SFTS AND

EXEMPTED EXPOSURES) (MILLON EUROS)

	12-31-2025	6-30-2025	12-31-2024
Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:	731,592	658,654	655,531
Trading book exposures	41,030	34,535	35,353
Banking book exposures, of which:	690,562	624,119	620,178
Covered bonds	3,440	2,955	1,934
Exposures treated as sovereigns	188,558	159,152	161,322
Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns	9,295	9,975	10,357
Institutions	28,933	17,310	19,344
Secured by mortgages of immovable properties	117,217	112,845	104,926
Retail exposures	102,746	94,269	102,251
Corporates	177,042	163,070	159,560
Exposures in default	6,294	6,681	6,788
Other exposures (eg equity, securitisations, and other non-credit obligation assets)	57,035	57,863	53,696

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Pillar 3  |  2025 >  3. Solvency

Regarding leverage management, this is included in the Capital Plan approved by the Board of Directors. The BBVA Group

systematically follows the evolution of leverage levels and monitors their degree of adequacy with the regulatory requirements and

internal objectives. The evolution of this ratio, as well as its evaluation with the different operational measures, are part of the

monitoring and reporting that, at least quarterly, is reported to different committees and governing bodies. Additionally, the

evolution of the ratio is evaluated, contrasting possible deviations from planning.

As part of the Internal Capital Adequacy Assessment Process (ICAAP), four-year leverage ratio estimates are calculated annually

for different macroeconomic scenarios, including a stress scenario.

Following the SREP process, the supervisor has not imposed additional capital requirements as a result of excessive leverage.

Within this management framework, the Group has established specific measures aimed at restoring its optimal leverage levels in

the event of potential contingencies or unexpected elements that could affect compliance with them.

In line with the risk appetite framework and the structural risk management, the Group operates by establishing limits and

operational measures that allow achieving sustainable evolution and growth of the Balance Sheet, always maintaining tolerable

risk levels. Proof of this is the level of regulatory leverage itself, which is comfortably above the minimum requirements.

6 Multiple Point of Entry established by the Single Resolution Board (SRB). Being an MPE implies that, should any of the group's subsidiaries have solvency, liquidity or

operational problems, the resolution authority could liquidate/resolve that entity without affecting the rest of the companies in the banking group.

7 The resolution group is made up of Banco Bilbao Vizcaya Argentaria, S.A. and the subsidiaries belonging to the same European resolution group.

8 According to the article 64 of the CRR, during the 5 years prior to the maturity of an issuance, its eligibility progressively decreases until it reaches zero at maturity.

9 The subordinated requirement in RWA is 13.50%.

10 Calculated according to current regulations and supervisory criteria as of December 31, 2025

11 The subordinated requirement in LR is 5.66%.

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Pillar 3  |  2025 >  3. Solvency

3.3.MREL

Article 45i (3) a), c) BRRD

EBA/ITS/2020/06

The Minimum Requirement for Own Funds and Eligible Liabilities, MREL, aims to ensure that institutions maintain a sufficient

amount of equity and debt instruments available to absorb losses and, if necessary, convert into capital.

Institutions have the obligation to comply with the aforementioned requirement as a result of the Bank Recovery and Resolution

Directive (BRRD), whose update (BRRD2) published in 2019 and effective as of December 2020, established January 1, 2024 as

the deadline to comply with this requirement. Additionally, it established another requirement on subordinated instruments, which

came into force on January 1, 2022.

BBVA, as an MPE6, has sub-consolidated requirements, based on its resolution group7.

In line with other prudential ratios, non-compliance with any of the MREL requirements might entail additional supervision and

control measures, as well as the prohibition of distribution of dividends, coupons of AT1 instruments and variable remuneration.

In order to achieve the basis of own funds and eligible liabilities that make up the numerator of the ratio, resolution institutions

have at their disposal their total capital, to which are added other eligible debt instruments (hereinafter Tier 3) for loss absorption

and recapitalisation (bail-in). These instruments are classified according to their seniority in the event of a resolution event into

subordinated and senior. This is why the BRRD establishes two separate requirements (subordination and MREL).

In the event that the entity incurs losses, and once Tier 1 and Tier 2 capital has been exhausted, the hierarchy of Tier 3 instruments

available to BBVA is as follows:

1.Senior non-preferred debt.

2.Senior preferred debt.

3.Eligible subordinated liabilities not recognised as own funds; includes the decline8 of T2 issuances and subordinated debt.

In short, MREL compliant liabilities must be eligible to absorb losses, and their seniority will depend on the nature of the instrument

and its classification within the above hierarchy.

In the case of the denominator, institutions will use the total RWA and the leverage ratio exposure measure of their resolution

group, under the same provisions as in the calculation of their capital and leverage ratios, respectively.

On June 12, 2025 the Group made public that it had received a communication from the Bank of Spain regarding its MREL

requirement, established by the Single Resolution Board (“SRB”). According to this communication, BBVA must maintain, as from

June 12, 2025, an MREL in RWA of 23.13%9, not taking into account the current10 combined buffer requirement (CBR) of 3.97%. In

addition, BBVA must keep, also as from June 12, 2025, a volume of own funds and eligible liabilities in terms of total exposure

considered for purposes of calculating the leverage ratio of 8.59% (the “MREL in LR”)11.

With respect to the MREL ratios achieved as of December 31, 2025, these were 28.89% and 10.21%, respectively for MREL in RWA

and MREL in LR, reaching the subordinated ratios of both 24.67% and 8.72%, respectively.

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In terms of disclosure, BBVA, as an O-SII, is subject to the requirements of the BRRD (article 45 i, paragraph 6), and article 437a of

the CRR does not apply to it as it is not considered to be G-SIB.

The following table shows, among others, the detail of shareholders' equity and eligible liabilities, which make up the structure of

the MREL base. Only the applicable rows and columns are presented in the table:

TABLE 15. EU TLAC1 - COMPOSITION - MREL AND, WHERE APPLICABLE, G-SII REQUIREMENT FOR OWN FUNDS AND

ELIGIBLE LIABILITIES (MILLION EUROS)

	12-31-2025	12-31-2024
	Minimum requirement for own funds and eligible liabilities (MREL)	Minimum requirement for own funds and eligible liabilities (MREL)
Own funds and eligible liabilities and adjustments
Common Equity Tier 1 capital (CET1)	31,053	33,419
Additional Tier 1 capital (AT1)	5,303	5,638
Tier 2 capital (T2)	6,349	5,876
Own funds for the purpose of Articles 92a CRR and 45 BRRD	42,705	44,933
Own funds and eligible liabilities: Non-regulatory capital elements
Eligible liabilities instruments issued directly by the resolution entity that are subordinated to excluded liabilities (not grandfathered)	6,739	6,067
Eligible liabilities instruments issued by other entities within the resolution group that are subordinated to excluded liabilities (not grandfathered)	—	—
Eligible liabilities instruments that are subordinated to excluded liabilities, issued prior to 27 June 2019 (subordinated grandfathered)	340	1,140
Tier 2 instruments with a residual maturity of at least one year to the extent they do not qualify as Tier 2 items	942	896
Eligible liabilities that are not subordinated to excluded liabilities (not grandfathered pre cap)	8,637	10,693
Eligible liabilities that are not subordinated to excluded liabilities  issued prior to 27 June 2019 (pre-cap)	24	268
Amount of non subordinated instruments eligible, where applicable after application of Article 72b (3) CRR	8,661	10,961
Eligible liabilities items  before adjustments	16,682	19,065
Of which subordinated	8,021	8,103
Own funds and eligible liabilities: Adjustments to non-regulatory capital elements
Own funds and eligible liabilities items before adjustments	59,388	63,997
(Deduction of investments in other eligible liabilities instruments)	111	110
Own funds and eligible liabilities after adjustments	59,277	63,887
Of which own funds and subordinated	50,616	52,926
Risk-weighted exposure amount and leverage exposure measure of the resolution group
Total risk exposure amount	205,154	228,796
Total exposure measure	580,788	527,804
Ratio of own funds and eligible liabilities
Own funds and eligible liabilities (as a percentage of total risk exposure amount )	28.89 %	27.92 %
Of which own funds and subordinated	24.67 %	23.13 %
Own funds and eligible liabilities (as a percentage of total exposure measure)	10.21 %	12.10 %
Of which own funds and subordinated	8.72 %	10.03 %
CET1 (as a percentage of TREA) available after meeting the resolution group’s requirements	5.76 %	5.13 %

The full template, including non applicable cells, is available in the editable file “Pillar 3 2025 – Tables & Annexes”.

The MREL situation with respect to the requirement has significantly decreased during the year, by €-7.5 billion, partly motivated

by the own requirement update in 2025, higher than the one in force in December 2024. Throughout the year, other relevant

effects have occurred:

On the CET1 side, there was a very positive contribution from the year's results, supported in part by the dividends from Mexico,

Garanti, and Peru. This impact is offset by the extraordinary Share Buyback of €-3.96 billion.

p.60

Issuances were planned and executed in such a way as to adequately cover the period's maturities and redemptions during the

period (€-2 billion in AT1), and a new T2 issuance of €1 billion has been made. In the case of Senior preferred issuances, a negative

balance was presented at year-end, with 4 issuances maturing for a total value of €2 billion, with the certainty that two issuances

have already been made in January that compensate for the position.

Given the structure of the resolution group's own funds and eligible liabilities, as of December 31, 2025, the Group meets the

aforementioned requirements.

As mentioned before, with the aim of reinforcing compliance with these requirements, BBVA has made several debt issuances

during 2025. For more information of issuances, see section 4.5.3 of this report.

A table showing the ranking of creditors of the instruments eligible for MREL, as well as their amounts is presented in Annex VII,

according to the standardised EBA template EU TLAC3b.

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Pillar 3  |  2025 >  4. Risk

4.Risk

4.1.General Risk Management and Control Model	63
4.1.1.General Principles	63
4.1.2.Risk governance model within the corporate bodies	64
4.1.3.Risk governance model within the executive domain	66
4.1.4.Risk Appetite Framework	72
4.1.5. Risk assessment, monitoring and reporting	74
4.1.6. Internal regulation, resources and infrastructure	75
4.1.7. Risk culture	75
4.1.8. Transactions with related parties	76
4.2.Credit and Counterparty Risk	77
4.2.1.Scope and nature of the Credit Risk measurement and reporting systems for capital framework purposes	77
4.2.2.Definitions and accounting methodologies	78
4.2.3.Exposure to credit risk	81
4.2.4.Hedging and risk reduction policies. Supervision strategies and processes	97
4.2.5.Information on credit risk mitigation techniques	98
4.2.6.Information on the standardised approach	102
4.2.7.Information on the IRB approach	112
4.2.8.Information on counterparty credit risk	171
4.2.9.Information on securitisation	186
4.3.Market Risk	201
4.3.1.Scope and nature of the market risk measurement and reporting systems	201
4.3.2.Differences in the trading book under accounting and prudential regulation	203
4.3.3Standardised approach	203
4.3.4.Internal models	204
4.4.Structural risk	223
4.4.1.Structural interest rate risk	224
4.4.2.Structural exchange rate risk	232
4.4.3.Structural equity risk	233
4.5.Liquidity Risk	236
4.5.1.Liquidity and Funding strategy and planning	244

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Pillar 3  |  2025 >  4. Risk

4.5.2.Governance and monitoring	237
4.5.3.Liquidity and funding performance in 2025	245
4.5.4.Liquidity and funding prospects	247
4.5.5.LCR disclosure	250
4.5.6.Net Stable Funding Ratio	247
4.5.7.Encumbered assets in funding operations	250
4.6.Operational Risk	255
4.6.1.Operational risk management	261
4.6.2.Methods used for calculating capital	261
4.6.3.Group’s operational risk profile	262
4.7.Risks on cryptoassets	265

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Pillar 3  |  2025 >  4. Risk

4.1.General Risk Management and Control Model

The BBVA Group has implemented a comprehensive Risk Management and Control Model (the “Model”) tailored to its business

model, organizational structure, countries of operation, and corporate governance system. The Model enables the Group to

operate in alignment with the risk strategy and policy defined by BBVA’s governing bodies, providing both those bodies and the

highest executive levels with a holistic view of all risks to which the Group is exposed.

The Model is applied across the entire Group and consists of the following core elements:

–a governance model, both at the level of the corporate bodies and the executive domain;

–a Risk Appetite Framework;

–a set of processes for risk assessment, monitoring, and reporting;

–a set of internal regulations, resources, and infrastructure; and

–a risk culture led by senior management (tone from the top).

The Model also incorporates the regulatory environment applicable to the Bank, supervisory expectations, and the evolving

economic and regulatory landscape in which the Group operates.

4.1.1. General principles

Article 435 (1) a), b) CRR

EU OVA b), f)

Risk management and control within the BBVA Group shall be carried out in accordance with the provisions of the General Policies

(including the Model) and the decisions adopted by the corporate bodies (including the Risk Appetite Framework), and in

compliance with the following general principles:

–Prudence: risk management at BBVA is guided by a prudent approach, aiming to ensure the Group’s preparedness to

address risks, even under highly adverse scenarios.

–Proactivity and foresight: BBVA adopts a proactive and forward-looking approach to risk management, enabling the swift

implementation of measures in response to any early signs of undesired risk increases.

–Comprehensive Management (end-to-end): BBVA manages risk throughout its entire lifecycle: origination and/or

identification, measurement, monitoring, and management (including mitigation and/or prevention, as applicable). This

requires proper coordination among all relevant executive areas.

–Critical thinking: risk management and control at BBVA shall be carried out in an environment that enables and

encourages constructive challenge, critical thinking, and diversity of perspectives to enrich the decision-making process.

–Integrity, ethical conduct, and regulatory compliance: the effectiveness of BBVA’s risk management and control model

requires maintaining the highest standards of corporate integrity and ethical conduct by all its members, in accordance

with the BBVA Group’s Code of Conduct, the Group’s purpose and values, and in full compliance with all laws and

regulations applicable to the Bank in the course of its activities.

–Well-defined organizational responsibilities: risk management relies on a governance framework that must include clearly

defined organizational responsibilities, commonly referred to as the «three lines of defense»:

–the business line;

–an independent risk management and compliance function, separate from the first line of defense; and

–an internal audit function, independent from both the first and second lines of defense.

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Pillar 3  |  2025 >  4. Risk

–Accountability: the effectiveness of BBVA’s risk management and control model depends on each employee

fulfilling and taking responsibility for the functions assigned to them under the three lines of defense model.

4.1.2. Risk Governance model within the corporate bodies

Article 435 (1) a), b), (2) d), e) CRR

EU OVA b), EU OVB b), d)

The BBVA Group’s risk governance model is characterized by the active involvement of its corporate bodies, both in setting the

risk strategy and in continuously overseeing its implementation. This provides them with a holistic view of all the risks to which the

Group is exposed.

In accordance with BBVA’s corporate governance system, the Board of Directors reserves certain responsibilities related both to

management—by adopting the most significant decisions—and to oversight and control—by monitoring and supervising decisions

taken and the Bank’s management.

To ensure the effective performance of these management and supervisory responsibilities, the corporate governance system

provides for various committees that support the Board of Directors in matters within its remit, as defined by the specific

regulations governing each committee. A coordinated working structure among these governing bodies has been established.

The following sections outline the roles of BBVA’s corporate bodies in the Group’s risk management and control framework:

Board of Directors

The Board of Directors is responsible for setting the Group’s risk strategy and, in carrying out this function, defines the risk

management and control policy, which is embodied in:

–the Group’s Risk Appetite Framework, as defined in the Model;

–the set of General Risk Management Policies for the various risk types to which the Bank is or may be exposed, which

establish the core principles for managing and controlling risks in a consistent and uniform manner across the Group, and

in alignment with the Model and the Risk Appetite Framework; and

–the Model.

These responsibilities are carried out in coordination with the Bank’s other strategic and forward-looking decisions, including the

Strategic Plan, the Annual Budget, the Capital Plan, and the Liquidity and Funding Plan, as well as other management objectives,

all of which are also subject to the approval of the Board of Directors.

In addition to defining the risk strategy, the Board of Directors exercises oversight and control functions related to risk by

monitoring the evolution of risks at the Group level and across its main business areas, to ensure alignment with the Group’s Risk

Appetite Framework. The Board also oversees the internal information and control systems.

In discharging all of these responsibilities, the Board of Directors is supported by its Committees, in accordance with the roles set

out in their respective regulations and as described below.

The Risk and Compliance Committee

The Risk and Compliance Committee ("RCC") is a committee of the Board composed of non-executive directors. Its primary role is

to assist the Board of Directors in defining and monitoring the Group’s risk management and control policy.

In line with the responsibilities assigned under its regulations, the Committee supports the Board of Directors by performing,

among others, the following functions:

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–it reviews, based on the strategic foundations set by the Board of Directors (or, where applicable, by the Executive

Committee), proposals related to the Group’s risk strategy, control, and management—such as the Risk Appetite

Framework and the Model—and submits them to the Board for consideration and, where appropriate, approval;

–it proposes, in alignment with the Group’s Risk Appetite Framework and the Model, the General Risk Management Policies

for the Group’s various risk types and supervises the internal control and information systems;

–it monitors the evolution of both financial and non-financial risks and their alignment with the Risk Appetite Framework

and the general policies, providing more detailed and frequent oversight than that performed by the Board of Directors or

the Executive Committee;

–it preliminarily assesses risk mitigation measures that fall under the authority of the Executive Committee or the Board of

Directors;

–it oversees the procedures, tools, and indicators used for Group-wide risk measurement and ensures compliance with

regulatory and supervisory requirements in risk-related matters;

–it analyzes the risks associated with projects deemed strategic for the Group or corporate transactions to be submitted to

the Board of Directors or the Executive Committee, within its scope of competence;

–it participates in the design of the remuneration policy, ensuring that it is consistent with sound and effective risk

management and does not encourage risk-taking that exceeds the Group’s risk tolerance; and

–it promotes the risk culture throughout the Group.

In 2025, the CRC has held 22 meetings.

Executive Committee

In order to maintain a comprehensive and integrated view of the Group’s overall business performance and that of its business

units, the Executive Committee monitors the evolution of the Group’s risk profile and the key metrics defined by the Board of

Directors. It is informed of any deviations or breaches of the metrics established in the Risk Appetite Framework and, where

appropriate, adopts the necessary measures, as outlined in this Model.

In addition, the Executive Committee supports the Board of Directors in the development of the foundations for the Risk Appetite

Framework, ensuring alignment and coherence with the Bank’s broader strategic and forward-looking decisions, as well as with its

management objectives.

Lastly, the Executive Committee assists the Board of Directors in decision-making related to business risk and reputational risk, in

accordance with its own regulations.

Other Committees

In addition to the functions carried out by the Risk and Compliance Committee and the Executive Committee, the Board of

Directors is also supported by other specialized committees in overseeing certain non-financial risks that fall within the purview of

the Risk and Compliance Committee. These include the Audit Committee, which is responsible for the supervision of accounting,

tax, and public reporting risks, in addition to its oversight function regarding the independent review activities performed by the

Internal Audit Area; and the Technology and Cybersecurity Committee, which oversees risks related to technology and

cybersecurity.

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4.1.3. Risk Governance model within the executive domain

Article 435 (1) a), b), (2) d), e) CRR

EU OVA b), EU OVB b), d)

To carry out the Group’s risk management and control activities, BBVA’s corporate bodies rely on the executive areas, which

perform the functions assigned to them under the general policies (including the Model) and the remaining internal regulations.

These functions must be carried out in accordance with the Group’s Risk Appetite Framework and the management objectives

established by the corporate bodies.

Accordingly, the Board of Directors has defined a model for the management and control of financial and non-financial risks across

the Group, based on the three lines of defense model, with clearly defined and independent roles:

Lines of defense	Responsible Area	Functions
First line of defense	Executive areas, depending on the type of risk	Manage and control financial and/or non-financial risks to which the Bank and its Group entities are exposed during the development of their duties including risk identification, measurement, monitoring, and reporting. Risk management and control shall be conducted in accordance with external and internal regulations, while incorporating the challenge function performed by the second and third lines of defense within their respective areas of responsibility.
Second line of defense	Global Risk Management (GRM) Regulation & Internal Control (R&IC)	Acting independently from the first line of defense, it shall be responsible for identifying, measuring, monitoring, and reporting the risks affecting the Group. Establish (or submit to the corporate bodies for approval) the financial and/or non- financial risk management and control frameworks across all executive areas of the Bank, within their respective scopes. Challenge how the executive areas manage and/or control their respective risks throughout their life cycles; and Conduct reviews of the Group’s risk management and control practices.
Third line of defense	Internal Audit	Conduct independent reviews of how the other executive areas fulfill their first and second line risk management and control responsibilities.

The following section outlines, at a general level, the roles and responsibilities of the various executive areas involved in risk

management and control under this three lines of defense model, without prejudice to the specific functions assigned to them

under other applicable internal and external regulations in force at any given time.

Enterprise Risk Management Committee

To ensure a holistic view of all risks—both financial and non-financial—within key risk planning processes, the BBVA Group has

established the Enterprise Risk Management Committee (ERMC). This is a high-level executive committee responsible for the

comprehensive management and control of risks.

The committee is co-chaired by the Group Heads of Global Risk Management (GRM) and Regulation & Internal Control (R&IC), and

includes other senior executives responsible for financial and non-financial risks across the Group, all of whom perform second line

of defense functions. Among its key responsibilities:

–It reviews and endorses the final proposals for the Group’s Risk Appetite Framework and the Model, prior to their

submission to BBVA’s corporate bodies for consideration and, where appropriate, approval. It also monitors compliance

with these frameworks throughout the year;

–It promotes a holistic risk management across the BBVA Group, integrating both financial and non-financial risks into the

Group’s planning processes and into the most relevant regulatory processes (e.g., ICAAP, ILAAP, or the Recovery Plan);

and

–It fosters a strong risk culture across the Group, encouraging informed and responsible decision-making aligned with

BBVA’s Purpose and values, and tracks its evolution over time.

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Financial risk domain

BBVA has a Global Risk Management (GRM) area, which is responsible for:

–safeguarding the solvency of the Group and its constituent entities;

–supporting the definition of the Group’s strategy in relation to financial risk; and

–supporting the business development through independent and comprehensive financial risk management.

In this context, the GRM area ensures the consistent integration and application of the financial risk strategy across the Group, as

well as a uniform regulatory framework, infrastructure, and control environment for this type of risk. To this end, GRM is supported

by a committee structure that includes both first and second lines of defense units.

Head of Global Risk Management (GRM)

The Chief Risk Officer (CRO), who leads the Global Risk Management function, is appointed by BBVA’s Board of Directors and

reports to the Board on the evolution of the Group’s financial risks. Functionally, the CRO reports to the Chief Executive Officer and

is assigned the responsibilities defined in the General Policy on executive decision-making, as approved by the Board. Specifically,

the CRO performs the second line of defense function for financial risks and is granted the independence, authority, seniority,

experience, expertise, and resources necessary to perform this role effectively.

To better fulfill its responsibilities, the CRO relies, on the one hand, on an organizational structure composed of financial risk units

at the corporate level and the Internal Risk Control Unit. On the other hand, risk units are also embedded within the business units,

performing first line of defense functions.

Additionally, the CRO relies on a governance structure composed of various specialized committees, depending on the nature of

the risks under his/her responsibility. These culminate in the Global Risk Management Committee (GRMC), which serves as the

main executive-level committee for financial risks. Its objective is to develop the strategies, internal regulations, and infrastructure

necessary to identify, assess, measure, and manage the risks within its scope of responsibility that the Group faces in the course

of its business activities. In some cases, these may be subject to approval by BBVA's corporate governing bodies.

The GRMC carries out its functions assisted by various support committees which include:

–Global Credit Risk Management Committee: It is responsible for analyzing and decision-making related to wholesale

credit risk admission.

–Work Out Committee: Its purpose is to analyze and make decisions regarding the admission of wholesale credit risks of

customers classified as Watch List, "non-performing” or write-offs in accordance with the criteria established in the

Group, as well as to be informed of the decisions adopted by the Head in GRM WR of the Portfolio Surveillance & Work Out

function within its area of responsibility; it will also include the approval of proposals related to changes in the

classification of risks within its scope of responsibility; as well as the approval of other proposals that must be seen in this

Committee according to the established thresholds and criteria.

–Wholesale & Sustainability Risk Committee: Its purpose is the analysis, discussion and support for decision-making on all

those matters of wholesale credit risk management that impact or potentially impact the corporate practices, processes

and metrics established in the Policies, Standards and Frameworks for Action. In addition, it serves as a basis for the

development of the risk management model and its monitoring of the BBVA Group's insurance companies. Finally, it is

the main area of decision and monitoring of the lines of action for the integration of climate and environmental risk into

the Group's risk management framework.

–Portfolio Management Committee: it is the executive body responsible for ensuring a holistic view of all risks and

promoting the optimal mix and composition of portfolios under the constraints imposed by the Risk Appetite Framework

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("RAF"). In this way, the aim is to obtain an adequate return for the risks incurred through the cycle and to maintain a

robust financial position, reflected in the sufficiency of liquidity and capital to face stress situations.

–Risk Models Management Committee: It ensures an appropriate decision-making process regarding the planning,

development, implementation, use, validation and monitoring of the models required to achieve an appropriate

management of the Model Risk in the BBVA Group.

–Retail Credit Risk Committee: it ensures for the analysis, discussion and decision support on all issues regarding the retail

credit risk management that impact or potentially do in the practices, processes and corporate metrics established in the

General Policies, Rules and Operating Frameworks.

Also:

–Global Credit Committee of CIB: its purpose is to analyze and make decisions related to wholesale credit risk admission

from certain segments of BBVA Group's customer base in addition to receiving information about relevant decisions

adopted in this area.

–Global Operational Market and Counterparty Risk Committee: is the executive body responsible for ensuring adequate

operational management of these risks in all the group's units, through the design, approval and supervision of the

processes necessary for said management, including decision-making with respect to the most relevant operations.

–GRM Continuity Committee: as established by the Corporate Continuity Committee for the different areas, this

Committee is dedicated to analyzing and taking decisions in response to exceptional crisis situations, with a view to

managing the continuity and restoration of critical GRM processes, with a view to ensuring its operations have a minimum

impact through the Continuity Plan, which addresses crisis management and Recovery Plans.

–The Corporate Committee for Admission of Operational Risk and Product Governance aims to ensure the adequate

evaluation of initiatives with significant risk (new business, product, outsourcing, process transformation, new systems,

etc.) from the perspective of operational risk and reputational as well as the approval of the proposed control frameworks.

Corporate GRM units

The GRM units at the corporate level, as part of the second line of defense for financial risks, support the CRO in the development

of the elements used to define the proposal for the Group’s Risk Appetite Framework, general policies, internal regulations, and

global infrastructures—within the action framework approved by BBVA’s corporate governing bodies. They also ensure the

implementation of these elements and report—either directly or through the CRO—to BBVA’s corporate governing bodies.

Heads of Risk in business units

Each business unit is headed by a Local Head of Risk, who, within the scope of their first line of defense responsibilities, performs

risk management and control functions. This role is responsible for managing and controlling the financial risks of the

corresponding business area through the consistent application of the Group’s Risk Model, general policies, and other internal

regulations approved at Group level—adapting them, where necessary, to local requirements—and reporting accordingly to the

local corporate governing bodies.

The CRO shall be responsible for ensuring that local Risk units operate with full independence from the units directly linked to the

business and are guided by their own risk management criteria. To this end, the CRO assumes the following responsibilities:

–Set the performance objectives for the local Heads of Risk.

–Validate, or if necessary, adjust the performance evaluation of the local Heads of Risk conducted by their hierarchical

managers. In the event of a discrepancy, the opinion of the CRO shall prevail.

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–Approve the appointment of local Heads of Risk, with the right to veto such appointments, as well as the authority to

unilaterally remove them from their position.

In addition, the CRO has access to forums—such as the Global Risk Management Committee (GRMC)—to ensure appropriate

coordination with the local Heads of Risk in the execution of their financial risk management and control responsibilities.

Internal Risk Control

The Group has a dedicated Internal Risk Control Unit, whose Group-level head reports directly to the Group CRO. This unit acts as

a control function over the activities carried out by the GRM area and the Local Risk areas.

Specifically, the Internal Risk Control Unit is responsible for:

–verifying that the normative framework, models, processes, and measures established by GRM are appropriate and

sufficient for each type of financial risk;

–overseeing their implementation and performance, ensuring proper segregation of duties among units;

–challenging decisions made in GRM’s most relevant committees, applying an independent and expert perspective;

–conducting validation of risk models; and

–supporting the Risk and Compliance Committee in carrying out its responsibilities related to financial risks.

The Internal Risk Control function operates on a global and cross-cutting basis under a unified methodological framework that

covers the full lifecycle of financial risk management. It promotes a critical and analytical perspective, and actively fosters the

Group’s risk culture.

Non-financial risk domain

BBVA has a Regulation & Internal Control (R&IC) area, which, as a cross-functional unit serving all BBVA Group businesses, is

responsible for:

–supporting the definition of its strategy regarding non-financial risks; and

–assisting business areas in operating with integrity and in compliance with applicable laws, regulations, and self-

regulatory standards.

To this end, it defines the Group’s internal control model for non-financial risks, supervises its effectiveness, and ensures that non-

financial risks are managed and controlled by the executive areas in line with the guidelines approved by the corporate bodies and

by the R&IC area itself. This includes applying appropriate independent challenge by R&IC.

This area includes, among others, the Non-Financial Risk and Compliance units, as well as Risk Control Specialists, all of whom

perform second line of defense functions in the domain of other non-financial risks.

Group head of Regulation & Internal Control

The Group Head of Regulation & Internal Control (R&IC) is appointed by BBVA’s Board of Directors, upon proposal by the Risk and

Compliance Committee. This executive reports directly to the corporate bodies on the performance of their duties, which

reinforces their independence from the rest of the Group’s executive areas. The role is endowed with the authority, seniority,

experience, expertise, and resources necessary to carry out their responsibilities effectively.

As the person responsible for the second line of defense for non-financial risks, the Head of R&IC ensures that such risks within the

Group are managed and controlled in accordance with this Model and with the general policies for the various types of non-

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financial risk. This executive informs the corporate bodies about the status and evolution of the non-financial risks and internal

control framework and, where appropriate, proposes the adoption of corrective measures deemed necessary at any given time,

promoting a culture of integrity and compliance across the Group, and acting, in accordance with the BBVA Group’s Compliance

System and Statute, as the Chief Compliance Officer (the most senior executive responsible for the Compliance function).

To support decision-making, the Head of R&IC is backed by the Regulation & Internal Control Leadership Committee, the Group’s

primary executive forum for non-financial risk. This forum is responsible for:

–supporting the Head of R&IC in developing strategies, programs, projects, plans, internal regulations, and infrastructure

necessary to appropriately identify, assess, measure, manage, and control non-financial risks arising from the Group’s

activities;

–coordinating the implementation of the above in the areas responsible for managing and controlling material non-financial

risks; and

–monitoring, supervising, and controlling the main non-financial risks faced by the Group in the course of its activities; and

–proposing the inclusion of non-financial risks in the Risk Appetite Framework.

Non-Financial Risk, Compliance, and Risk Control Specialists Units

Within the Regulation & Internal Control (R&IC) area, the second line of defense for non-financial risks is composed of the following

units, whose heads report directly to the Group Head of R&IC:

–Non-Financial Risk unit, responsible, among other functions, for:

–submitting proposals to the corporate bodies regarding general policies for non-financial risk management, as

well as developing, implementing and supervising the application of the internal regulations that operationalize

those policies;

–defining a common methodology and shared tools to enable executive areas to manage and control the non-

financial risks within their remit, including the admission of operational risk within the Group;

–coordinating the transversal processes related to the management of non-financial risks.

–Compliance unit, responsible, in accordance with the Compliance Function System and Statute, among other duties, for:

–supporting the business areas in assessing the compliance risks inherent to BBVA Group activities by promoting,

prioritizing, and, where appropriate, defining and implementing plans and actions for their prevention and

management;

–establishing and/or proposing internal regulations, as well as the systems, tools, procedures, indicators, and

controls necessary for the management, control, and mitigation of compliance risk—including the management

of certain related processes;

–supervising and verifying the management of compliance risks in accordance with the internal regulations within

its scope of responsibility;

–conducting training and awareness programs for employees to foster a strong compliance culture; and

–reporting relevant compliance risk information to Senior Management and the corporate bodies.

–Risk Control Specialists , responsible, among other functions, for:

–defining a general, homogeneous framework across the Group for mitigating, controlling, and monitoring the

most relevant non-financial risks within each area’s scope of responsibility;

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–participating in the definition of metrics, indicators, and limits that establish risk tolerance thresholds—both at

the Group and business unit level—and performing periodic follow-ups to ensure that the non-financial risk

profile remains within the defined parameters;

–challenging how executive areas manage their respective non-financial risks and promoting a consistent

management approach across the Group.

To support decision-making in the non-financial risk domain, the R&IC area has a governance model that enables the identification

and prioritization of relevant situations from a control and risk management perspective, and facilitates proper evaluation of

initiatives involving significant non-financial risks, including approval of their associated control environments.

This governance model is structured through, among others, the Regulation & Internal Control Leadership, the Operational Risk

Admission and Product Governance Committees, the Corporate Assurance Committees, the Internal Control Body for AML or the

Criminal Responsibility Committee.

Executive areas

All of the Group’s executive areas are responsible, as the first line of defense, for managing non-financial risks within their

processes, activities, products, systems, and third-party relationships, including activities relying on outsourced services.

To ensure proper management and control of non-financial risks, each area is supported by a Risk Control Assurer (RCA) function,

composed of individuals with the appropriate experience, expertise, and organizational standing. The RCA supports the area’s

most senior executive—and the area as a whole—in ensuring that non-financial risks are managed and controlled in line with the

general mitigation, control, and monitoring frameworks established by the Risk Control Specialists, within the defined

management parameters and applicable internal regulations.

Parent-Subsidiary risk management relationship model

In accordance with the BBVA Group’s General Corporate Governance Policy, the Group operates under a common risk

management and control framework that ensures integrated oversight. This framework consists of high-level guidelines—such as

the Risk Appetite Framework—and general policies, including the Model, which are approved by BBVA’s corporate bodies for the

entire Group.

To ensure that the risk strategy and risk management model are effectively implemented at the subsidiary level, a parent-

subsidiary governance model has been defined. This model includes a minimum catalog of decisions that must be adopted by the

corporate bodies of subsidiaries. These decisions provide for a governance structure that is aligned with and coordinated by the

parent company. Depending on the area of competence, it is the responsibility of the GRM or R&IC head of the respective business

unit to formulate the relevant proposals for submission to the subsidiary’s governing body for consideration and, if appropriate,

approval.

The approval of such decisions by the subsidiary’s corporate bodies entails the design and execution of a corresponding risk

monitoring and control plan, which will be overseen by the proposing area.

Notwithstanding the above, certain risk-related decisions falling within the authority of the subsidiary’s corporate bodies will

require prior endorsement by BBVA’s corporate bodies, in accordance with the provisions of the internal regulations in effect at

any given time.

In the specific case of the Spain and Corporate & Investment Banking (CIB) business areas—which are not legally independent

entities and therefore do not have their own corporate bodies separate from BBVA as the Group parent and transversal business

unit, respectively—any references in this document to “corporate bodies” shall, where applicable, be understood to refer to the

most senior executive responsible for the business area. In all other cases, they refer to BBVA’s own corporate bodies. Any actions

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involving proposals to these bodies shall be carried out in coordination with the Group’s Head of GRM and/or Head of R&IC, as

appropriate.

4.1.4. Risk appetite framework

Article 435 (1) b), e), f)

EU OVA a), b), c)

Elements

The Group’s Risk Appetite Framework (RAF) defines the Group’s target risk profile, including the level of risk the Group is willing to

assume in order to achieve its objectives, taking into account the organic development of its business. The structure and key

elements of the RAF are approved by the Board of Directors and are subject to regular review by the GRM and R&IC areas within

the Enterprise Risk Management Committee (ERMC), and may also be updated following significant changes to the business

strategy or material corporate transactions.

The RAF is tailored to each of the Group’s key business areas and is structured around the following elements approved by the

Board of Directors:

–Risk Appetite Statement: articulates the general principles of the Group’s risk strategy and its target risk profile:

"The BBVA Group aims to achieve a solid risk-adjusted profitability throughout the cycle by developing a universal

banking business model. This model is based on values, centered on the needs and life goals of our clients, and prioritizes

sustainability as a lever for growth, operational excellence and the preservation of adequate business security and

continuity.

BBVA intends to achieve these goals while maintaining a moderate risk profile, understood as achieving profitability that is

commensurate with the risks incurred throughout the cycle, and maintaining a robust financial position reflected in

sufficient liquidity and capital to withstand stress scenarios.

Risk Management at BBVA is based on a holistic and forward-looking approach to all risks, enabling adaptation to the

disruption risks inherent to the banking business, while leveraging the capabilities offered by innovation and technological

evolution. The key pillars of risk management to promote responsible growth, with recurrent generation of value, are the

diversification of portfolios across geographies, the quality and profile of asset classes and client segments, anti-money

laundering and financing of terrorism prevention, the incorporation of the impact of climate change, and accompanying

our clients in achieving their life goals.”

–Core Statements: based on the Risk Appetite Statement, these define the Group’s general risk management principles in

the areas of solvency, liquidity and funding, and profitability and income recurrence.

–Core Metrics: quantitatively express the principles and target risk profile set out in the Risk Appetite Statement and the

corresponding Core Statements. These metrics are organized under a traffic light approach, with the following

thresholds:

–Management reference: a comfortable risk level for the Group.

–Maximum appetite: the highest risk level the Group is willing to accept in the normal course of business.

–Maximum capacity: the highest level of risk the Group could assume, which in some metrics is linked to

regulatory requirements.

–Statements by type of risk: based on the Core Statements, these outline the general principles for managing each specific

type of risk, ensuring alignment with the overall Risk Appetite Statement.

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–By type of risk Metrics: based on the Core Metrics, these define specific indicators for each risk type. Each includes a

maximum appetite threshold to ensure consistency with the Risk Appetite Statement and Core Metrics.

In addition, the RAF includes a set of management limits and monitoring metrics that are defined at the executive level by the risk-

owning areas to support proactive risk management and ensure alignment with the key elements of the RAF approved by the

Board of Directors.

Each key business area has its own local Risk Appetite Framework, which consist of a local Risk Appetite Statement, Core

Statements and Metrics, and By Type of Risk Statements and Metrics. These must be consistent with the Group-level RAF but

tailored to the business area's specific context and approved by its respective governing bodies. Additionally, the local RAF

establishes, at the local executive level, a set of management limits and monitoring metrics that are aligned with and consistent

with the above.

Development process

The proposal for the Group’s Risk Appetite Framework is jointly developed by the GRM and R&IC areas, each within their

respective scope of responsibility. Both areas shall operate under robust governance models that ensure the proposal is properly

challenged and refined.

In this context, for financial risks, the Internal Risk Control Unit conducts an effective challenge of the proposal presented to the

Global Risk Management Committee (GRMC), whereas for non-financial risks, the corresponding statements and metrics are

analyzed by the Regulation & Internal Control Leadership, which includes the Group’s senior non-financial risk executives.

Once finalized, the Enterprise Risk Management Committee (ERMC) is responsible for reviewing the RAF proposal prior to its

submission to BBVA’s corporate bodies for consideration and, where appropriate, approval, in accordance with the functions set

out in their respective regulations and described in the Model.

As with the Group-level RAF proposal, each business area's RAF proposal will be supported by solid governance models that

ensure effective challenge and review before being submitted to the corporate governing bodies (or the most senior executive) of

the respective business area. In addition, it will be ensured that the proposal is properly coordinated and aligned with the RAF

approved at Group level.

Integration of the RAF into the management

The integration of the Risk Appetite Framework into the Group’s day-to-day risk management relies on the following three

foundational elements:

–A consistent normative framework, headed by a set of general policies for the various risk types. These policies define the

basic management guidelines and are further developed through rules and procedures, as outlined in the Internal

Normative Framework. This normative framework is complemented by specific frameworks and programs that guide the

actions of executive areas to ensure appropriate risk management and control. Business units, in turn, adapt this

normative framework to local requirements and their specific characteristics, ensuring that each unit has clearly defined

decision-making, oversight, and control processes that are aligned with Group-wide general policies.

–The inclusion, within the Framework itself, of a set of management limits and monitoring metrics, defined by the GRM and

R&IC areas within their respective scopes. These indicators guide executive areas in the day-to-day management of risks,

helping to steer the Group’s risk profile toward the target risk level.

–Comprehensive risk management across the full lifecycle, with a tailored approach based on the nature of each risk type.

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Monitoring of the RAF and management of breaches

To enable the corporate bodies to effectively perform their assigned risk oversight functions, the senior executives responsible for

risks must report regularly to them—with greater frequency and detail in the case of the Risk and Compliance Committee (RCC)—

on the evolution of the Group’s Risk Appetite Framework metrics. This ensures that the corporate bodies can verify the degree of

compliance with the risk strategy approved by the Board of Directors.

If, during the monitoring of these metrics, the executive areas detect a significant deviation or breach of the maximum appetite

threshold of the metrics that fall within the scope of the Board of Directors, they must promptly inform the RCC (via its Chair),

along with a proposal for corrective measures if applicable. This communication is coordinated through the General Secretariat.

Once reviewed by the RCC, the breach is then reported to the Executive Committee—as part of its responsibility to monitor the

Group’s risk profile—and to the Board of Directors at its next scheduled meeting. The Board will decide whether to adopt any

executive measures it deems necessary, including the potential revision of any RAF metric. To support this decision, the RCC will

submit all relevant information, including the analysis provided by the executive areas and its own assessment.

However, once the information has been analysed and the proposal for corrective measures reviewed by the CRC, the CDP may

adopt, for urgent matters and in accordance with applicable legal provisions, the Executive Committee may adopt measures that

would otherwise fall under the authority of the Board. These decisions must then be communicated to the RCC (via its Chair) and

reported to the Board of Directors at its next meeting.

In all cases, enhanced monitoring will be implemented for the breached metric—including more frequent and granular reporting if

needed—until the deviation is fully resolved. Updates will be provided to the corporate bodies in accordance with their respective

supervisory and control functions.

Additionally, the executive areas may establish reinforced monitoring and breach management models to anticipate or address

RAF metric breaches. Any such developments will be reported to the RCC, Executive Committee, and Board of Directors, following

the communication standards outlined in this section—or with greater frequency if deemed appropriate.

Management thresholds for fundamental metrics shall be established as early-warning alerts prior to exceeding the maximum risk

appetite, without requiring remediation plans if breached. A notification will occur at an executive level within the relevant area

(GRM or R&IC), with updates provided to the Corporate Bodies during periodic monitoring session.

At the business unit level, the senior GRM and R&IC executives of each area must report periodically—within their respective

scopes—to their local corporate bodies (or to the most senior executive, if no such bodies exist) on the evolution of their own RAF

metrics. This follows a structure consistent with the Group-level governance model.

4.1.5. Risk assessment, monitoring and reporting

Article 435 (1) c) CRR

EU OVA d)

The assessment, monitoring, and reporting of both financial and non-financial risks at the Group level enable the Model to maintain

a dynamic and forward-looking approach, ensuring compliance with the Risk Appetite Framework (RAF) approved by the Board,

even under adverse scenarios.

This process is integrated into the day-to-day activities of the GRM and R&IC units, both at the corporate level and within business

areas. Within the framework of the Enterprise Risk Management Committee (ERMC), the process also ensures that the highest

executive level maintains a holistic view of the risks affecting the Group.

The process is structured across the following stages:

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–Identification (Risk Assessment) of the material risks to which BBVA is exposed. This includes identifying key risk events

(including emerging risks) as well as key vulnerabilities, both at the Group level and within individual business areas.

–Risk profile monitoring of the Group and the evolution of identified risk factors using a range of internal indicators, peer

comparisons, and market data, enabling the anticipation of future developments.

–Impact assessment of realized risk factors on RAF metrics under various scenarios, including stress scenarios.

–Response to undesirable situations and corrective measures proposal, enabling the Group to manage risk proactively

even before the undesired event materializes.

–Reporting: ensures that risk information is conveyed to the corporate bodies and senior management in a comprehensive

and reliable manner, in accordance with principles of transparency, accountability, accuracy, completeness, clarity,

relevance, timeliness, and confidentiality.

4.1.6. Internal regulation, resources and infrastructure

Article 435 (1) b) CRR

EU OVA b)

To ensure prudent and forward-looking risk management, as well as proper oversight and control, the Group relies on the following

key enablers:

–Internal regulation, comprising general policies (including the Model), rules, and procedures that define roles,

responsibilities, guidelines, and processes for risk management and control across the Group.

–A qualified team, composed of individuals with the necessary skills, experience, and technical capabilities, and sized

appropriately to the Group’s business activities. The composition and profile of the risk team will evolve over time based

on the nature and level of risks the Group faces, the analytical and technological capabilities required, and the specific

conditions in the markets where the Group operates.

–Appropriate methodologies and models, which support the measurement and management of different risk types, as well

as the assessment of capital required to absorb those risks

–Technology infrastructure and systems, which support the Risk Appetite Framework, enable the calculation and

measurement of variables, parameters, and data across different risk types, facilitate risk management and control, and

provide a platform for storing and leveraging data needed for risk oversight and reporting to both corporate bodies and

supervisory authorities.

–Data governance, which ensures that the Group has access to high-quality, sufficient data for its risk management

processes, based on principles of governance, infrastructure, accuracy and integrity, completeness, timeliness, and

adaptability.

All these components follow a global and consistent approach, delivering value both to the Group as a whole and to the individual

entities that comprise it, in alignment with corporate-level standards

4.1.7. Risk culture

Article 435 (1) e) CRR

EU OVA c)

BBVA has fostered a risk culture, grounded in the decisions and guidance issued by its corporate bodies. These have promoted

responsible risk management, aligned with the Group’s corporate culture and core values.

The Board of Directors and Senior Management actively promote a shared understanding of risk throughout the organization. This

shared vision is communicated to all areas and levels, so that all employees understand, manage, and control the financial and

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non-financial risks relevant to their role, in a consistent manner according to the type of risk, and in line with the highest standards

of integrity, ethical conduct, and compliance with applicable regulations.

This approach ensures that day-to-day decisions involving risk management and control are made based on a common set of

attitudes and behaviors across the organization. These are built on a clear understanding of the risks being assumed (awareness),

responsibility for one’s risk-related actions (accountability), a constructive environment (atmosphere) that promotes open

dialogue.

The Group’s risk culture is developed and reinforced through a coherent set of integrated levers, including the Risk Appetite

Framework, general policies and other internal regulations, decision-making processes, indicator-based monitoring and control

(KPIs/KRIs), ongoing training, internal communication, incentives, testing exercises, and internal audits.

The Enterprise Risk Management Committee (ERMC), as the Group’s most senior executive body in this area, is responsible for

promoting, developing, and monitoring the risk culture across the organization. To this end, it is supported by the GRM and R&IC

areas, which actively contribute to its promotion, action planning, and structured reporting on its progress.

4.1.8. Transactions with related parties

Article 435 (1) f).ii) CRR

EU OVA a)

In addition to the provisions of the General Risk Management and Control Model, the BBVA Group has internal policies and

procedures in place to approve, supervise, and control related-party transactions and intra-group transactions.

In this regard, BBVA and other Group subsidiaries, in their capacity as financial entities, carry out transactions with their related

parties in the normal course of their business, all of which are not significant and are carried out under normal market conditions.

Additionally, BBVA Group has a resolution strategy defined by the SRB as Multiple Point of Entry (MPE), which is based, according

to the Financial Self-Sufficiency Principle and the Decentralized Management Principle, on a decentralized business model in

which the subsidiaries are substantially self-sufficient in terms of legal structure, governance, capital, funding relationships and

operations, subject, however, to the corporate policies established for the BBVA Group and to the general supervision and control

of the corporate areas. Under this model, and subject to these principles, funding operations for subsidiaries are limited and at

market prices.

Details of transactions with related parties and transactions with joint ventures and associates can be found in note 53 of the BBVA

Group Consolidated Financial Statements.

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4.2.Credit and Counterparty Risk

4.2.1. Scope and nature of the Credit Risk measurement and reporting

systems for capital framework purposes

Article 435 (1)  a), b), c), f) CRR

EU CRA a), b), c), d)

Credit risk arises from the probability that one of the parties to the financial instrument contract will default on its contractual

obligations due to insolvency or inability to pay and cause the other party to incur a financial loss.

It is the most relevant risk for the Group and includes the management of issuer, settlement and country risks, with counterparty

risk constituting an additional risk category within BBVA’s risk taxonomy.

The Group has a risk strategy established by the Board of Directors of the parent company, which establishes the Group's Risk

Appetite statement, core metrics and the statements and metrics by type of risk in which it materializes, as well as the General

Risk Management and Control Model.

The credit risk statement outlines BBVA's general principles and objectives in managing this risk, which are specified through a set

of metrics related to economic capital, asset quality, portfolio structure, and profitability. Maximum appetite thresholds are

established for these metrics, defining the Group's credit risk profile.

The Risk and Compliance Committee assists the Board of Directors in different areas relating to risk control and monitoring,

complementing these functions by submitting to the Board proposals on the Group's risk strategy, control and management. It

also establishes, in line with the Group's Risk Appetite Framework approved by the Board of Directors, the control and

management policies for the different risks of the Group.

The Risk and Compliance Committee, the Executive Committee and the Board itself adequately monitor the implementation of the

Group's risk strategy and profile.

Based on the risk strategy determined by the Board of Directors, and as part of the Risk Appetite Framework, the Global Risk

Management Committee approves the management limits structure that articulates the framework at the level of geographies,

risk types, asset classes and portfolios, including the proposed Asset Allocation management limits that are established on an

annual basis with the appropriate level of disaggregation.

Asset Allocation limits for portfolios, businesses and risks are defined, considering the established metrics, in terms of exposure,

capital consumption, profitability and composition of the portfolio mix, subject to the restrictions framework resulting from the

target risk profile definition. These limits are established through a combination of quantitative criteria aimed at maximising the

profitability–risk trade-off, based on the risk positioning and its alignment with business projections.

The Corporate Risk Area establishes individual, portfolio, sector and geographic risk concentration thresholds. These thresholds

are established in terms of EAD and Herfindahl indexes in order to limit the impact on capital consumption.

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The Business Areas work in line with the global view and the defined metrics, optimizing in terms of profitability-risk, within the

Group's limits and policies, each of the portfolios for which they are responsible.

Existing gaps with regard to the target portfolio are identified at global level and submitted to the Business Areas, establishing

global and local plans to align the risk with the predefined target profile and taking into account the expected future evolution of

the portfolios.

For risk and capital management purposes, credit risk at BBVA is quantified using two main measures: expected loss ("EL") and

economic capital ("EC"). The expected loss reflects the average value of losses and is considered as business cost. However,

economic capital is the amount of capital considered necessary to cover unexpected losses arising from the possibility that actual

losses may exceed expected losses.

These risk measures are combined with profitability information within the value-based management framework, thus integrating

the profitability-risk binomial in decision-making, from the business strategy definition to the approval of individual loans, pricing,

the assessment of non-performing portfolios, incentives to the Group's areas, etc.

There are three essential parameters for obtaining the aforementioned measures (PE and CE): probability of default ("PD"), loss

given default ("LGD") and exposure at default ("EAD"), based mainly on the estimation of credit conversion factors ("CCF"), which

are generally estimated using the historical information available in the systems, and which are assigned to transactions and

customers depending on their characteristics.

In this context, credit rating tools (ratings and scorings) assess the risk of each client/transaction based on its credit quality

through a score, which is used in the allocation of risk metrics along with other additional information: age of facilities, loan-to-

value ratio, client segment, etc.

Section 4.2.7.1. of this document details the definitions, methods and data used by the Group in determining the own funds

requirements for the estimation of the probability of default (PD), loss given default (LGD) and credit conversion factor (CCF).

4.2.2.Definitions and methodologies

4.2.2.1.Prudential definition of default

Article 442 a), b) CRR

EU CRB a), b), c)

The definition of default in the prudential field is included in Article 178 of Regulation (EU) No. 575/2013. This definition is

applicable both under the standardized approach and under the internal ratings-based (IRB) approach.

Likewise, for the purposes of the application of point (b) of Article 178(1) of Regulation (EU) No 575/2013, where any amount of

principal, interest or fee has not been paid at the date it was due, the Group recognises this as the credit obligation past due.

In 2021, the EBA Guidelines (EBA/GL/2016/07) and the Regulations on materiality thresholds (Delegated Regulation of the

European Commission 2018/171 and Regulation 2018/1845 of the European Central Bank) that develop the content of the

aforementioned article 178, entered into force. The modifications introduced cover aspects such as the calculation of past due

days, clarifications on the indicators of probable non-payment (“Unlikely to Pay”), the criteria for the classification to non-

defaulted status, definition of retail exposures and aspects related to documentation and external governance. During 2021, BBVA

completed the implementation of the prudential definition of default, both for portfolios under the standardised approach, as well

as portfolios under the IRB approach, once the relevant supervisory authorization has been received.

Currently, the BBVA Group considers that a default has occurred in relation to a certain obligor when at least one of the following

circumstances occurs:

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a.that the obligor has a delay for more than 90 consecutive days with respect to any significant credit obligation to the entity.

b.that the entity considers that there are reasonable doubts about the payment of all of its credit obligations to the entity itself,

the parent company or any of its subsidiaries, without resorting to actions such as the execution of guarantees.

In relation to the computation of past due days, an obligor is considered in default when the sum of the past due amounts in all its

credit obligations with the entity exceed the materiality thresholds (both absolute and relative) for more than 90 consecutive days.

The absolute threshold is set at €100 for retail exposures and €500 for wholesale exposures and the relative threshold at 1% of all

on-balance sheet exposures to the obligor.

Regarding the existence of reasonable doubts about payment, the following elements are considered as indicators of probability

of default:

A.Specific credit risk adjustments: an adjustment to the carrying amount as a result of a sharp deterioration in the credit risk

quality of the obligor is an indicator of probable default.

B.Sale of credit obligations with significant economic loss: a sale of a credit obligation against an obligor with a material

economic loss related to a deterioration in credit quality should be considered an indicator of default. When the economic loss

exceeds the 5% threshold, the credit obligations will be considered to be in default.

C.Distressed restructuring: it is considered that there is an indicator of probable default, and therefore the client must be

considered in default, when the restructuring or refinancing measures may result in a reduction of the financial obligation that

is considered to be caused by a material forgiveness or deferral of principal, interest or fees.

Specifically, unless proven otherwise, transactions that meet any of the following criteria will be reclassified to the default risk

category:

–They are supported by an inadequate payment plan.

–They Include contractual clauses that delay the reimbursement of the operation through regular payments.

–Present amounts derecognized from the balance sheet.

In any case, a restructuring will be considered impaired when the reduction in the net present value of the financial obligation is

greater than 1%.

D.Bankruptcy/Arrangement/Liquidation/Failure/Pre-arrangement of the client: These situations will be valued as indicators

of non-payment as long as this prevents or delays the payments of credit obligations to the institution.

E.Fraud: If credit fraud is identified before the default is recognized.

The definition of default is applied at the debtor level for wholesale counterparties. Therefore, the classification of any material

exposure of a client as defaulted, either because it is more than 90 past due days or due to any of the subjective criteria, implies

the consideration of all the client's exposures as default.

Regarding retail customers, the definition of default is applied at the contract level following risk management practices.

Notwithstanding the foregoing, when an operation of a retail client presents defaults of more than 90 days and this represents

more than 20% of the client's total balance, all its operations are considered in default.

Additionally, it should be noted that when operations of related entities with the holder are considered in default, including both

entities of the same group and those with which there is a relationship of economic or financial dependence, the operations of the

holder are also classified as default if after its analysis it is concluded that there are reasonable doubts about its total

reimbursement.

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The classification of an operation as in default is carried out in such a way that each contract can only be either in default or non

default in its entirety.

With regard to transactions/customers classified as in default, it should be noted that they will cease to be classified as such when

no default trigger is still applicable, either because the client/transaction does not have material past due balances, that is, above

both materiality thresholds, for more than 90 consecutive days, either when the recovery process is considered complete in

accordance with the entity's recovery management or because no criterion of probable non-payment continues to apply. However,

in any case, at least three months must elapse from the moment in which the situation that triggered the non-payment ceased to

be fulfilled in order to stop classifying an operation in a defaulted situation as such. During this period, the obligor must show good

payment behaviour and an improvement in its credit quality. In restructuring processes, the minimum period will be one year.

4.2.2.2.Accounting definitions and methodologies

Article 442 a), b) CRR

EU CRB a), c), d)

The calculation of credit risk adjustments applicable to the BBVA Group's Consolidated Financial Statements follows the

provisions of IFRS 9 - Financial Instruments. This standard establishes an expected loss model to calculate aforementioned

provision for credit risk.

Credit risk provision is calculated for financial assets valued at amortised cost, debt instruments valued at fair value with changes

in accumulated other comprehensive income, financial guarantee contracts and other commitments. All financial instruments

measured at fair value through profit or loss are excluded from the impairment model.

Given the nature of the calculation of provisions under IFRS 9, all adjustments are considered specific credit risk adjustments for

the purposes of Regulation (EU) No. 575/2013 of the European Parliament and of the Council.

Definition of impaired financial asset

According to IFRS 9, an asset is credit-impaired (stage 3) if one or more events have occurred and they have a detrimental impact

on the estimated future cash flows of the asset.

The definition of impaired asset under IFRS 9 is currently aligned with that of default used by the Group both for internal credit risk

management and for regulatory purposes, in accordance with the definitions established in the Guidelines mentioned in section

4.2.2.1, as well as in the CRR. This alignment facilitates the integration of both definitions in credit risk management, giving

coherence and consistency in the processes.

Definition of restructured exposure

For accounting purposes, the Group uses the concept of restructured exposure for a transaction in which, for economic or legal

reasons related to current or foreseeable financial difficulties of the holder (or holders), its financial conditions are modified in

order to facilitate the payment of the debt (principal and interest) because the holder is unable, or is expected to be unable, to

comply with those conditions in due time and form. In this respect, the definition used for accounting purposes is aligned with the

definition used for the purposes of Article 47b of the CRR.

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4.2.3.Exposure to credit risk

According to Article 5 of the CRR, with respect to the regulatory capital requirements for credit risk, exposure is understood to be

any asset item and all items included in the Group’s off-balance sheet accounts involving credit risk and not deducted from the

Group’s bank capital. Accordingly, mainly loan and advances to customers are included, with their corresponding undrawn

balances, letters of credit and guarantees, debt securities and capital instruments, cash and balances with central banks and

credit institutions, repurchase and reverse repurchase agreements, financial derivatives and intangible assets.

The credit risk exposure specified in the following sections of this document is broken down into credit risk according to the

standardised approach (Section 4.2.6), credit risk according to the advanced approach (Section 4.2.7), counterparty credit risk

(Section 4.2.8), securitisation credit risk (Section 4.2.9) and structural equity risk (Section 4.4.3).

The following table shows the main metrics of credit risk (including counterparty credit risk) by approach and exposure class as of

December 31, 2025:

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TABLE 16. CREDIT RISK AND COUNTERPARTY RISK EXPOSURE (MILLION EUROS. 12-31-2025)

Exposure Class	Original Exposure(1)	Provisions	Net exposure of provisions(3)	On-balance exposure after credit risk mitigation techniques(4a)	Off-balance exposure after credit risk mitigation techniques(4b)	Exposure in the adjusted value(5)	EAD(6)	RWA	RWA density
Central governments or central banks	192,022	(57)	191,965	202,316	8,257	214,243	210,125	28,687	14 %
Regional governments or local authorities	28,064	(12)	28,052	2,275	560	2,819	2,486	1,491	60 %
Public sector entities	1,807	(1)	1,807	854	351	1,273	1,064	784	74 %
Multilateral development banks	570	—	570	2,615	—	2,620	2,620	2	— %
International organisations	676	—	676	454	5	459	459	—	—
Institutions	40,608	(42)	40,566	10,131	20,122	32,254	13,757	4,546	33 %
Corporates	87,817	(418)	87,399	49,121	24,411	75,067	60,007	55,842	93 %
Retail	211,229	(3,280)	207,949	97,162	106,841	199,975	97,924	66,795	68 %
Secured by mortgages on immovable property	44,300	(370)	43,930	41,866	1,654	43,346	42,357	18,640	44 %
Exposures in default	10,818	(6,364)	4,454	3,790	315	4,068	3,849	3,951	103 %
Subordinated debt exposures	—	—	—	—	—	—	—	—	— %
Covered bonds	—	—	—	—	—	—	—	—	—
Claims on institutions and corporates with a short-term credit assessment	—	—	—	—	—	—	—	—	— %
Collective investments undertakings	469	—	469	175	293	469	322	805	250 %
Equity exposures	6,175	—	6,175	6,134	—	6,175	6,175	14,105	228 %
Other exposures	21,693	—	21,693	21,470	8	21,721	21,716	12,954	60 %
Total standardised approach	646,249	(10,544)	635,705	438,364	162,819	604,488	462,860	208,602	45 %
FIRB approach	329,775	(1,600)		154,329	129,643	322,613	239,451	95,381	40 %
Central governments or central banks	—	—		—	—	—	—	—	— %
Regional governments or local authorities	—	—		—	—	—	—	—	— %
Public sector entities	—	—		—	—	—	—	—	— %
Institutions	62,884	(6)		19,739	13,334	64,004	55,488	9,183	17 %
Corporates	266,892	(1,594)		134,590	116,309	258,609	183,963	86,198	47 %
AIRB approach	70,770	(829)		66,875	3,852	70,726	67,645	15,580	23 %
Central governments or central banks	—	—		—	—	—	—	—	— %
Regional governments or local authorities	—	—		—	—	—	—	—	— %
Public sector entities	—	—		—	—	—	—	—	— %
Corporates	—	—		—	—	—	—	—	— %
Retail	70,770	(829)		66,875	3,852	70,726	67,645	15,580	23 %
Total IRB approach	400,545	(2,429)		221,204	133,495	393,339	307,096	110,961	36 %
Total positions in securitisation (7)	31,041	(5)	31,036	30,478	—	29,327	29,327	5,121	17 %
Total credit risk	1,077,835	(12,977)	666,742	690,046	296,314	1,027,154	799,283	324,683	41 %
(1) Gross exposure value before credit risk mitigation techniques and CCF, excluding contributions to the default fund for a CCP.
(2) Includes provisions and impairment of financial assets and contingent risk and commitments.
(3) Exposures are only adjusted  by credit risk adjustments in the case of the standardised method.. The original exposurefor equity  is shown net of impairment.
(4a) (4b) Reduced exposure by eligible credit risk mitigation techniques is included, either on-balance sheet or off-balance sheet, not subject to counterparty credit risk according to Chapter 4 of CRR. In the case of securitisation exposure,
(5)  Under the standardised approach, it corresponds to the exposure value after the application of the eligible credit risk mitigation techniques, net of volatility adjustments.
(6) Exposure at default.
(7) This row includes the SEC-SA, SEC-ERBA and SEC-IRBA methods. The exposure of securitisations with a risk weight of 1,250% which are deducted from own funds is included (€98.573 thousand).

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Within the framework of the implementation of CRR3 and the transitional provisions applicable to IRB approaches, in 2025 the

Group developed a holistic modelling strategy aimed at assessing the suitability, scope and sustainability of internal credit risk

models.

As a result of this exercise, and subject to approval by the European Central Bank, the Advanced IRB (AIRB) approach has been

partially reversed in favour of the Foundation IRB (FIRB) approach or the Standardised approach for certain exposures of BBVA,

S.A. and BBVA México.

This action is part of the process of adapting to the new European regulatory framework and is intended to reinforce

methodological robustness, consistency in the calculation of APRs and alignment with supervisory expectations regarding internal

models.

During 2025, the evolution in exposure and RWA is due to the activity in the different portfolios, the variation of which will be

detailed in their respective sections.

See following sections for more information on the variations of RWA by standardised and IRB approaches.

The distribution of the Group's original exposure by geography (classification by country of the counterparty) is shown below:

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The average RWA densities for credit and counterparty risk as of December 31, 2025 are shown below, by exposure class and

geography where the Group operates.

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TABLE 17. BREAKDOWN OF RWA DENSITY BY GEOGRAPHICAL AREA AND APPROACH (MILLION EUROS. 12-31-2025)

	RWA Density(1)
	Spain	Mexico	Turkey	South America	Other areas(2)	Total
Central governments or central banks (3)	10 %	20 %	34 %	49 %	2 %	14 %
Regional governments or local authorities	17 %	96 %	100 %	100 %	21 %	60 %
Public sector entities	64 %	16 %	100 %	100 %	20 %	74 %
Multilateral development banks	— %	— %	— %	— %	— %	— %
International organisations	— %	— %	— %	— %	— %	— %
Institutions	18 %	30 %	86 %	42 %	27 %	33 %
Corporates	87 %	96 %	95 %	96 %	81 %	93 %
Retail	65 %	71 %	65 %	71 %	73 %	68 %
Secured by mortgages on immovable property	49 %	40 %	60 %	44 %	45 %	44 %
Exposures in default	109 %	100 %	102 %	102 %	105 %	103 %
Subordinated debt exposures	— %	— %	— %	— %	— %	— %
Covered bonds	— %	— %	— %	— %	— %	— %
Claims on institutions and corporates with a short- term credit assessment	— %	— %	— %	— %	— %	— %
Collective investments undertakings	250 %	— %	— %	— %	250 %	250 %
Equity exposures	195 %	250 %	252 %	250 %	250 %	228 %
Other exposures	92 %	49 %	65 %	42 %	15 %	60 %
Total standardised approach	29 %	51 %	67 %	70 %	21 %	45 %
Central governments or central banks	— %	— %	— %	— %	— %	— %
Regional governments or local authorities	— %	— %	— %	— %	— %	— %
Public sector entities	— %	— %	— %	— %	— %	— %
Institutions	18 %	37 %	110 %	40 %	15 %	17 %
Corporates	54 %	47 %	117 %	55 %	41 %	47 %
Retail	23 %	23 %	67 %	32 %	32 %	23 %
Collective investment undertakings (CIU)	— %	— %	— %	— %	— %	— %
Total IRB approach	36 %	47 %	111 %	50 %	32 %	36 %
Total positions in securitisation	16 %	— %	— %	— %	26 %	17 %
Total credit risk	31 %	50 %	68 %	68 %	28 %	41 %
(1) Calculated as RWA/EAD.
(2) Other countries includes mainly exposures in Europe (excluding Spain), United States and Asia.
(3) Includes deferred tax assets net of deferred tax liabilities.

4.2.3.1.Credit quality of exposures

Article 442 c), d), e), f), g) CRR

The carrying amount of performing and non-performing exposures, broken down by product and counterparty sector, as of

December 31, 2025 and as of December 31, 2024, is below:

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TABLE 18. EU CR1 - PERFORMING AND NON-PERFORMING EXPOSURES AND RELATED PROVISIONS (MILLION EUROS. 12-31-2025)

	Gross carrying amount (1) /nominal amount						Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions (2)						Accumulated partial write- off	Collateral and financial guarantees received
	Performing exposures (3)			Non-performing exposures			Performing exposures			Non-performing exposures
		Of which: stage 1	Of which: stage 2		Of which: stage 2	Of which: stage 3		Of which: stage 1	Of which: stage 2		Of which: stage 2	Of which: stage 3		On performing exposures	On non- performing exposures
Cash balances at central banks and other demand deposits	50,902	50,902	—	—	—	—	(6)	(6)	—	—	—	—	—	—	—
Loans and advances	494,384	462,619	31,223	14,354	—	14,354	(4,460)	(2,507)	(1,953)	(7,992)	—	(7,992)	(150)	213,702	3,988
Central banks	10,881	10,881	—	—	—	—	(12)	(12)	—	—	—	—	—	—	—
General governments	25,726	25,649	77	18	—	18	(10)	(8)	(2)	(8)	—	(8)	—	8,453	4
Credit institutions	24,402	24,259	34	—	—	—	(20)	(18)	(1)	—	—	—	—	9,817	—
Other financial corporations	23,451	23,349	101	11	—	11	(18)	(16)	(1)	(7)	—	(7)	—	6,031	3
Non-financial corporations	217,012	204,426	12,395	5,118	—	5,118	(1,217)	(591)	(625)	(2,961)	—	(2,961)	(150)	88,975	1,369
Of which: SME	61,380	55,784	5,474	3,646	—	3,646	(556)	(310)	(246)	(2,081)	—	(2,081)	(8)	36,420	1,048
Households	192,911	174,055	18,617	9,207	—	9,207	(3,184)	(1,860)	(1,324)	(5,015)	—	(5,015)	—	100,427	2,612
Debt securities	108,576	108,399	5	62	—	62	(47)	(47)	—	(41)	—	(41)	—	—	—
Central banks	1,917	1,807	—	—	—	—	—	—	—	—	—	—	—	—	—
General governments	95,422	95,386	—	—	—	—	(39)	(39)	—	—	—	—	—	—	—
Credit institutions	4,840	4,839	—	—	—	—	(1)	(1)	—	—	—	—	—	—	—
Other financial corporations	2,520	2,494	—	60	—	60	(4)	(4)	—	(39)	—	(39)	—	—	—
Non-financial corporations	3,877	3,872	5	1	—	1	(2)	(2)	—	(1)	—	(1)	—	—	—
Off-balance-sheet exposures	311,591	302,752	8,839	676	—	676	548	387	160	177	—	177		9,851	78
Central banks	—	—	—	—	—	—	—	—	—	—	—	—		—	—
General governments	4,400	4,372	28	—	—	—	1	1	—	—	—	—		87	—
Credit institutions	26,262	26,208	54	—	—	—	4	3	—	—	—	—		50	—
Other financial corporations	21,230	20,844	386	1	—	1	6	4	2	—	—	—		143	—
Non-financial corporations	160,366	155,288	5,078	561	—	561	183	87	96	158	—	158		8,541	70
Households	99,333	96,040	3,293	114	—	114	354	292	63	19	—	19		1,030	7
Total	965,452	924,672	40,067	15,092	—	15,092	(5,061)	(2,947)	(2,114)	(8,210)	—	(8,210)	(150)	223,553	4,065
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(2) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.
(3) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios. Due to this, the balance of the rows other than "Cash and balances with central banks" performing may differ from the sum of the balances of stage 1 and stage 2 columns for these rows.

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Pillar 3  |  2025 >  4. Risk

EU CR1 (MILLION EUROS. 6-30-2025)

	Gross carrying amount (1) /nominal amount						Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions (2)						Accumulated write-off	Collateral and financial guarantees received
	Performing exposures (3)			Non-performing exposures			Performing exposures			Non-performing exposures
		Of which: stage 1	Of which: stage 2		Of which: stage 2	Of which: stage 3		Of which: stage 1	Of which: stage 2		Of which: stage 2	Of which: stage 3		On performing exposures	On non- performing exposures
Cash balances at central banks and other demand deposits	34,070	34,070	—	—	—	—	(8)	(8)	—	—	—	—	—	—	—
Loans and advances	457,451	426,756	30,276	14,136	—	14,136	(4,262)	(2,443)	(1,819)	(7,430)	—	(7,430)	(143.466)	200,633	4,498
Central banks	8,732	8,732	—	—	—	—	(7)	(7)	—	—	—	—	—	—	—
General governments	25,978	25,904	73	20	—	20	(10)	(8)	(2)	(7)	—	(7)	—	7,838	7
Credit institutions	24,428	24,364	9	—	—	—	(17)	(16)	(1)	—	—	—	—	9,683	—
Other financial corporations	19,378	19,049	329	11	—	11	(16)	(13)	(3)	(7)	—	(7)	—	5,095	3.218
Non-financial corporations	197,820	184,583	13,051	4,883	—	4,883	(1,283)	(647)	(637)	(2,732)	—	(2,732)	(143)	83,177	1,547
Of which: SME	56,233	49,468	6,640	3,477	—	3,477	(643)	(350)	(293)	(1,919)	—	(1,919)	(27)	32,552	1,244
Households	181,115	164,124	16,814	9,223	—	9,223	(2,929)	(1,752)	(1,177)	(4,683)	—	(4,683)	—	94,840	2,941
Debt securities	99,139	98,559	2	64	—	64	(61)	(61)	—	(39)	—	(39)	—	—	—
Central banks	665	422	—	—	—	—	—	—	—	—	—	—	—	—	—
General governments	87,434	87,138	—	—	—	—	(53)	(53)	—	—	—	—	—	—	—
Credit institutions	4,626	4,626	—	—	—	—	(1)	(1)	—	—	—	—	—	—	—
Other financial corporations	2,310	2,273	—	63	—	63	(4)	(4)	—	(38)	—	(38)	—	—	—
Non-financial corporations	4,104	4,101	2	1	—	1	(3)	(2)	—	(1)	—	(1)	—	—	—
Off-balance-sheet exposures	293,326	285,170	8,156	653	—	653	442	310	132	171	—	171		11,999	86
Central banks	539	539	—	—	—	—	—	—	—	—	—	—		—	—
General governments	3,502	3,471	32	2	—	2	1	1	—	—	—	—		243	—
Credit institutions	41,915	41,877	38	—	—	—	3	2	—	—	—	—		6	—
Other financial corporations	16,488	16,282	205	1	—	1	6	4	1.195	—	—	—		94	—
Non-financial corporations	144,972	139,928	5,044	545	—	545	167	88	78	154	—	154		10,586	77
Households	85,911	83,074	2,837	106	—	106	266	213	53	16	—	16		1,070	9
Total	883,986	844,555	38,434	14,854	—	14,854	(4,773)	(2,822)	(1,952)	(7,640)	—	(7,640)	(143)	212,632	4,584
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(2) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.
(3) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios. Due to this, the balance of the rows other than "Cash and balances with central banks" performing may differ from the sum of the balances of stage 1 and stage 2 columns for these rows.

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During the second half of 2025 there was an increase in exposure, linked mainly to the organic growth of activity, particularly

lending to corporates and retail, and to a lesser extent, the off balance sheet exposures.

Non performing exposures, in constant terms, slightly increased from June 2025.

Similarly, the accumulated impairment and negative changes in fair value had a slight increase.

The following table shows the credit quality of performing and non-performing exposures according to the number of past due

days as of December 31, 2025 and December 31, 2024:

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TABLE 19. EU CQ3 - CREDIT QUALITY OF PERFORMING AND NON-PERFORMING EXPOSURES BY PAST DUE DAYS (MILLION EUROS. 12-31-2025)

	Gross carrying amount (1) /nominal amount
	Performing exposures			Non-performing exposures
		Not past due or past due ≤ 30 days	Past due > 30 days ≤ 90 days		Unlikely to pay that are not past due or are past due ≤ 90 days	Past due > 90 days ≤ 180 days	Past due > 180 days ≤ 1 year	Past due > 1 year ≤ 2 years	Past due > 2 years ≤ 5 years	Past due > 5 years ≤ 7 years	Past due > 7 years	Of which defaulted
Cash balances at central banks and other demand deposits	50,902	50,902	—	—	—	—	—	—	—	—	—	—
Loans and advances	494,384	492,699	1,685	14,354	7,378	1,954	1,864	1,700	1,313	53	90	14,354
Central banks	10,881	10,881	—	—	—	—	—	—	—	—	—	—
General governments	25,726	25,722	4	18	10	—	2	—	5	—	1	18
Credit institutions	24,402	24,402	—	—	—	—	—	—	—	—	—	—
Other financial corporations	23,451	23,451	—	11	8	—	1	1	1	—	—	11
Non-financial corporations	217,012	216,632	380	5,118	2,465	462	693	667	704	49	78	5,118
Of which SMEs	61,380	61,138	241	3,646	1,690	285	506	507	610	17	31	3,646
Households	192,911	191,611	1,300	9,207	4,895	1,492	1,169	1,032	604	4	11	9,207
Debt Securities	108,576	108,576	—	62	62	—	—	—	—	—	—	62
Central banks	1,917	1,917	—	—	—	—	—	—	—	—	—	—
General governments	95,422	95,422	—	—	—	—	—	—	—	—	—	—
Credit institutions	4,840	4,840	—	—	—	—	—	—	—	—	—	—
Other financial corporations	2,520	2,520	—	60	60	—	—	—	—	—	—	60
Non-financial corporations	3,877	3,877	—	1	1	—	—	—	—	—	—	1
Off-balance sheet exposures	311,591			676								676
Central banks	—			—								—
General governments	4,400			—								—
Credit institutions	26,262			—								—
Other financial corporations	21,230			1								1
Non-financial corporations	160,366			561								561
Households	99,333			114								114
Total	965,452	652,177	1,685	15,092	7,440	1,954	1,864	1,700	1,313	53	90	15,092
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.

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EU CQ3 (MILLION EUROS. 12-31-2024)

	Gross carrying amount (1) /nominal amount
	Performing exposures			Non-performing exposures
		Not past due or past due ≤ 30 days	Past due > 30 days ≤ 90 days		Unlikely to pay that are not past due or are past due ≤ 90 days	Past due > 90 days ≤ 180 days	Past due > 180 days ≤ 1 year	Past due > 1 year ≤ 2 years	Past due > 2 years ≤ 5 years	Past due > 5 years ≤ 7 years	Past due > 7 years	Of which defaulted
Cash balances at central banks and other demand deposits	42,582	42,582	—	—	—	—	—	—	—	—	—	—
Loans and advances	440,695	439,077	1,618	14,217	7,630	1,814	1,768	1,784	1,037	110	73	14,217
Central banks	8,261	8,261	—	—	—	—	—	—	—	—	—	—
General governments	21,889	21,883	6	26	23	—	—	—	1	—	2	26
Credit institutions	22,388	22,388	—	2	—	—	—	1.639	—	—	—	2
Other financial corporations	17,371	17,371	—	13	8	1	1.073	2.467	—	—	—	13
Non-financial corporations	192,808	192,565	242	5,014	2,474	384	631	781	587	104	54	5,014
Of which SMEs	57,329	57,170	159	3,492	1,458	290	514	622	529	37	43	3,492
Households	177,978	176,609	1,369	9,162	5,125	1,430	1,136	998	450	6	17	9,162
Debt Securities	96,695	96,695	—	50	50	—	—	—	—	—	—	50
Central banks	679	679	—	—	—	—	—	—	—	—	—	—
General governments	85,240	85,240	—	—	—	—	—	—	—	—	—	—
Credit institutions	3,470	3,470	—	—	—	—	—	—	—	—	—	—
Other financial corporations	2,579	2,579	—	48	48	—	—	—	—	—	—	48
Non-financial corporations	4,727	4,727	—	2	2	—	—	—	—	—	—	2
Off-balance sheet exposures	261,040			791								791
Central banks	254			—								—
General governments	3,783			1								1
Credit institutions	20,525			—								—
Other financial corporations	14,353			1								1
Non-financial corporations	141,930			690								690
Households	80,195			100								100
Total	841,011	578,353	1,618	15,057	7,680	1,814	1,768	1,784	1,037	110	73	15,057
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.

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The distribution of exposures by geographical area as of December 31, 2025 and June 30, 2025 are below:

TABLE 20. EU CQ4 - QUALITY OF NON-PERFORMING EXPOSURES BY GEOGRAPHY (MILLION EUROS. 12-31-2025)

	Gross carrying amount(1)(2) / nominal amount						Accumulated negative changes in fair value due to credit risk on non- performing exposures
		Of which: non performing	Of which: defaulted	Of which: subject to impairment (3)	Accumulated impairment	Provisions on off- balance sheet (4)
On balance exposures	668,277	14,416	14,416	667,563	(12,546)		—
Spain	248,774	6,432	6,432	248,762	(4,448)		—
Mexico	126,809	2,818	2,818	126,270	(3,485)		—
Turkey	70,252	2,576	2,576	70,235	(1,926)		—
South America	73,739	2,254	2,254	73,606	(2,255)		—
Other countries (5)	148,704	337	337	148,691	(431)		—
Off balance exposures	312,267	676	676			725
Spain	62,461	340	340			113
Mexico	31,635	17	17			233
Turkey	67,191	153	153			203
South America	26,019	152	152			119
Other countries (5)	124,961	14	14			57
Total	980,544	15,092	15,092	667,563	(12,546)	725	—
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(2) Includes gross carrying amount of the "cash balances at central banks and other demand deposits" portfolio, the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios.
(3) Includes gross carrying amount of "cash balances at central banks and other demand deposits" portfolio, assets at amortised cost and assets at fair value through other comprehensive income.
(4) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.
(5) Other countries includes mainly exposures in Europe (excluding Spain), United States and Asia.

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EU CQ4 (MILLION EUROS. 6-30-2025)

	Gross carrying amount(1)(2) / nominal amount						Accumulated negative changes in fair value due to credit risk on non- performing exposures
		Of which: non performing	Of which: defaulted	Of which: subject to impairment (3)	Accumulated impairment	Provisions on off- balance sheet (4)
On balance exposures	604,860	14,201	14,201	603,863	(11,800)		—
Spain	232,096	7,229	7,229	232,089	(4,505)		—
Mexico	118,213	2,521	2,521	117,786	(3,142)		—
Turkey	64,691	2,014	2,014	64,678	(1,703)		—
South America	67,087	2,117	2,117	66,566	(2,070)		—
Other countries (5)	122,774	319	319	122,744	(380)		—
Off balance exposures	293,979	653	653			613
Spain	58,967	346	346			122
Mexico	27,677	13	13			174
Turkey	54,025	122	122			174
South America	25,205	146	146			100
Other countries (5)	128,105	26	26			42
Total	898,839	14,854	14,854	603,863	(11,800)	613	—
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(2) Includes gross carrying amount of the "cash balances at central banks and other demand deposits" portfolio, the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios.
(3) Includes gross carrying amount of "cash balances at central banks and other demand deposits" portfolio, assets at amortised cost and assets at fair value through other comprehensive income.
(4) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.
(5) Other countries includes mainly exposures in Europe (excluding Spain), United States and Asia.

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Pillar 3  |  2025 >  4. Risk

Throughout 2025, and specifically in the second half, activity grew in the main geographies where the Group operates. This growth

was due to the strong dynamism in lending, standing out United States where CIB operations are particularly noteworthy.

Meanwhile, in Turkey there has been a significant increase in Turkish lira and foreign currency lending across all products. In

Mexico, the increase has mainly occurred in the retail segment.

In terms of non-performing exposure, in constant terms, the slight increase is mainly explained by Turkey, where new

restructuring regulations have come into force, although this has been partially offset by portfolio sales and recoveries in the

wholesale segment. In South America, growth has mainly occurred in Argentina. Growth in other regions has been offset by the

decline at BBVA, S.A., which made two portfolio sales in the second half of the year.

Annex VIII is an extension of this table, showing the ten countries with the highest on-balance sheet exposures and the ten

countries with the highest off-balance sheet exposures as of December 31, 2025.

The distribution by counterparty sector of total and non-performing exposures of loans and advances, as well as their impairment

as of December 31, 2025 and June 30, 2025, are shown below:

TABLE 21. EU CQ5 - CREDIT QUALITY OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY

INDUSTRY  (MILLION EUROS. 12-31-2025)

	Gross carrying amount (1)(2) /nominal amount					Accumulated negative changes in fair value due to credit risk on non- performing exposures
		Of which: non performing	Of which: defaulted	Of which: subject to impairment (3)	Accumulated impairment
Agriculture, forestry and fishing	5,583	152	152	5,583	(134)	—
Mining and quarrying	4,396	37	37	4,396	(42)	—
Manufacturing	53,223	1,034	1,034	53,159	(831)	—
Electricity, gas, steam and air conditioning supply	18,087	269	269	18,087	(206)	—
Water supply	1,160	23	23	1,160	(18)	—
Construction	11,599	469	469	11,599	(353)	—
Wholesale and retail trade	41,930	1,388	1,388	41,930	(1,054)	—
Transport and storage	13,641	288	288	13,636	(236)	—
Accommodation and food service activities	9,929	237	237	9,929	(192)	—
Information and communication	13,410	106	106	13,410	(85)	—
Financial activities and insurance	11,644	103	103	11,644	(158)	—
Real estate activities	13,425	369	369	13,304	(214)	—
Professional, scientific and technical activities	5,765	216	216	5,763	(184)	—
Administrative and support service activities	5,708	130	130	5,708	(109)	—
Public administration and defence, compulsory social security	2,327	5	5	2,327	(7)	—
Education	679	27	27	679	(20)	—
Human health services and social work activities	2,387	85	85	2,387	(55)	—
Arts, entertainment and recreation	912	32	32	912	(27)	—
Other services	6,327	147	147	6,327	(253)	—
Total	222,130	5,118	5,118	221,939	(4,178)	—
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(2) Includes gross carrying amount of assets at amortised cost, assets at fair value through other comprehensive income and assets designated at fair value through profit and loss other than those held for trading.
(3) Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income.

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EU CQ5 (MILLION EUROS. 6-30-2025)

	Gross carrying amount (1)(2) /nominal amount					Accumulated negative changes in fair value due to credit risk on non-performing exposures
		Of which: non performing	Of which: defaulted	Of which: subject to impairment (3)	Accumulated impairment
Agriculture, forestry and fishing	4,922	177	177	4,922	(144)	—
Mining and quarrying	4,757	24	24	4,757	(45)	—
Manufacturing	50,966	918	918	50,904	(733)	—
Electricity, gas, steam and air conditioning supply	18,083	50	50	18,083	(167)	—
Water supply	1,208	24	24	1,208	(16)	—
Construction	10,728	484	484	10,725	(346)	—
Wholesale and retail trade	36,752	1,296	1,296	36,752	(1,004)	—
Transport and storage	12,391	282	282	12,385	(223)	—
Accommodation and food service activities	9,208	244	244	9,208	(190)	—
Information and communication	9,997	107	107	9,997	(76)	—
Financial activities and insurance	11,147	88	88	11,147	(130)	—
Real estate activities	12,362	589	589	12,247	(371)	—
Professional, scientific and technical activities	5,223	222	222	5,223	(165)	—
Administrative and support service activities	5,427	124	124	5,427	(99)	—
Public administration and defence, compulsory social security	281	4	4	281	(6)	—
Education	665	26	26	665	(17)	—
Human health services and social work activities	2,267	45	45	2,267	(37)	—
Arts, entertainment and recreation	715	39	39	715	(24)	—
Other services	5,603	140	140	5,603	(221)	—
Total	202,702	4,883	4,883	202,516	(4,015)	—
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(2) Includes gross carrying amount of assets at amortised cost, assets at fair value through other comprehensive income and assets designated at fair value through profit and loss other than those held for trading.
(3) Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income.

During the second half of 2025, the gross book balance of loans and advances to non-financial corporations increased by 10%

compared to June, in current terms. Despite defaulted exposures increased by €236 million and the impairment by €163 million,

the impairment ratio was  -10 basis points below the June 2025 level.

The distribution of the gross book value of performing and non-performing exposures of loans and debt securities by residual

maturity is presented below. The accounting values as of  December 31, 2025 and June 30, 2025 are presented:

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TABLE 22. EU CR1-A - MATURITY OF EXPOSURES (MILLION EUROS. 12-31-2025)

	Value of net exposure(1)
	On demand	≤ 1 year	> 1 year ≤ 5 year	> 5 year	No stated maturity	Total
Loans and advances	6,193	153,859	158,726	177,533	—	496,310
Debt securities	—	25,096	43,959	39,200	218	108,472
Total	6,193	178,955	202,685	216,733	218	604,783
(1) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios.

EU CR1-A (MILLION EUROS. 6-30-2025)

	Value of net exposure(1)
	On demand	≤ 1 year	> 1 year ≤ 5 year	> 5 year	No stated maturity	Total
Loans and advances	5,945	147,218	138,257	168,475	—	459,895
Debt securities	—	20,690	42,790	35,089	118	98,687
Total	5,945	167,908	181,047	203,564	118	558,582
(1) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios.

The changes of non performing exposures between December 31, 2024 and December 31, 2025 is shown below in the following

tables:

TABLE 23. EU CR2 - CHANGES IN THE BALANCE OF EXPOSURES TO CREDIT RISK IN DEFAULT AND IMPAIRED

(MILLION EUROS)

	Gross book value of defaulted exposures
Balance as of December 2024	15,057
Loans and debt securities that have defaulted or whose value has deteriorated since the last reporting period	6,082
Reclassification to non-default status	(3,442)
Amounts recognized as write-offs	(2,287)
Other changes	(556)
Balance as of June 2025	14,854

	Gross book value of defaulted exposures
Balance as of June 2025	14,854
Loans and debt securities that have defaulted or whose value has deteriorated since the last reporting period	7,069
Reclassification to non-default status	(3,475)
Amounts recognized as write-offs	(2,247)
Other changes	(1,109)
Balance as of December 2025	15,092

The balance of defaulted exposures has remained almost stable (+0.2%) offsetting the increase in the second half of the year

mentioned above.the decrease of the first half of the year.

Annex IX shows the standardised table EU CR2 including changes in the stock of non-performing loans and advances.

A table with a general overview of forborne exposures is shown below, which includes the amounts as of December 31, 2025  and

the main figures as of June 30, 2025:

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TABLE 24. EU CQ1 - CREDIT QUALITY OF FORBORNE EXPOSURES (MILLION EUROS. 12-31-2025)

	Gross carrying amount (1) /nominal amount of exposures with forbearance measures				Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions (2)		Collateral received and financial guarantees received on forborne exposures
		Non-performing forborne
	Performing forborne		Of which defaulted	Of which impaired	On performing forborne exposures	On non- performing forborne exposures		Of which collateral and financial guarantees received on non- performing exposures with forbearance measures
Cash balances at central banks and other demand deposits	—	—	—	—	—	—	—	—
Loans and advances	5,381	6,055	6,055	6,055	(496)	(3,027)	4,618	1,907
Central banks	—	—	—	—	—	—	—	—
General governments	23	7	7	7	(1)	(5)	—	—
Credit institutions	—	—	—	—	—	—	—	—
Other financial corporations	1	4	4	4	—	(2)	3	2
Non-financial corporations	2,235	2,509	2,509	2,509	(243)	(1,323)	1,654	634
Households	3,122	3,535	3,535	3,535	(252)	(1,698)	2,961	1,271
Debt Securities	—	10	10	10	—	(3)	—	—
Loan commitments given	231	24	24	24	13	4	—	—
Total exposures	5,612	6,089	6,089	6,089	(509)	(3,034)	4,618	1,907
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(2) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.

EU CQ1 (MILLION EUROS. 6-30-2025)

	Gross carrying amount (1) /nominal amount of exposures with forbearance measures				Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions (2)		Collateral received and financial guarantees received on forborne exposures
		Non-performing forborne
	Performing forborne		Of which defaulted	Of which impaired	On performing forborne exposures	On non- performing forborne exposures		Of which collateral and financial guarantees received on non-performing exposures with forbearance measures
Cash balances at central banks and other demand deposits	—	—	—	—	—	—	—	—
Loans and advances	4,537	6,474	6,474	6,474	(417)	(3,136)	4,832	2,307
Central banks	—	—	—	—	—	—	—	—
General governments	24	8	8	8	(2)	(4)	—	—
Credit institutions	—	—	—	—	—	—	—	—
Other financial corporations	4	4	4	4	—	(2)	6	3
Non-financial corporations	1,911	2,557	2,557	2,557	(204)	(1,382)	1,733	757
Households	2,598	3,904	3,904	3,904	(211)	(1,749)	3,092	1,548
Debt Securities	—	—	—	—	—	—	—	—
Loan commitments given	144	22	22	22	5	3	—	—
Total exposures	4,681	6,496	6,496	6,496	(422)	(3,139)	4,832	2,307
(1) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(2) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.

The amounts of collateral obtained by taking possession and execution processes as of December 31, 2025 and June 30, 2025 are

shown below, differentiating property, plant and equipment from other collateral:

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TABLE 25. EU CQ7 - COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (MILLION

EUROS)

	12-31-2025		6-30-2025
	Collateral obtained		Collateral obtained
	Value at initial recognition(1)	Accumulated negative changes(2)	Value at initial recognition(1)	Accumulated negative changes(2)
Property, plant and equipment (PP&E)	—	—	—	—
Other than PP&E	880	(316)	925	(291)
Residential immovable property	660	(220)	676	(185)
Commercial Immovable property	186	(64)	208	(80)
Movable property (auto, shipping, etc.)	8	(7)	8	(5)
Equity and debt instruments	20	(21)	28	(20)
Other	6	(4)	6	(1)
Total	880	(316)	925	(291)
(1) Value at initial recognition: the gross carrying amount of the collateral obtained by taking possession at initial recognition.
(2) Cumulative negative changes: cumulative impairment or negative cumulative changes in the value of collateral initially recognised.

4.2.4. Hedging and risk reduction policies. Supervision strategies and

processes

Article 435 (1) d) CRR

EU OVA g), EU CRA b)

In certain cases, maximum credit risk exposure is reduced by collateral, credit enhancements and other actions which mitigate the

Group’s exposure. The BBVA Group applies a credit risk hedging and mitigation policy deriving from a banking approach focused

on relationship banking. The existence of guarantees could be a necessary but not sufficient instrument for accepting risks, as the

assumption of risks by the Group requires prior evaluation of the debtor’s capacity for repayment, or that the debtor can generate

sufficient resources to allow the amortization of the risk incurred under the agreed terms.

The policy of accepting risks is therefore organized into three different levels in the BBVA Group:

–analysis of the financial risk of the transaction, based on the debtor’s capacity for repayment or generation of funds;

–the constitution of guarantees that are adequate, or at any rate generally accepted, for the risk assumed, in any of the

generally accepted forms: monetary, secured, personal or hedge guarantees; and

–assessment of the repayment risk (asset liquidity) of the guarantees received.

This is carried out through a prudent risk policy that consists of the analysis of the financial risk, based on the capacity for

reimbursement or generation of resources of the borrower, the analysis of the guarantee, assessing, among others, the efficiency,

the robustness and the risk, the adequacy of the guarantee with the operation and other aspects such as the location, currency,

concentration or the existence of limitations. Additionally, the necessary tasks for the constitution of guarantees must be carried

out - in any of the generally accepted forms (collaterals, personal guarantees and financial hedge instruments) - appropriate to the

risk assumed.

The procedures for the management and valuation of collateral are set out in the corporate general policies (retail and wholesale),

which establish the basic principles for credit risk management, including the management of collaterals assigned in transactions

with customers. The criteria for the systematic, standardized and effective treatment of collateral in credit transaction procedures

in BBVA Group’s wholesale and retail banking are included in the Specific Collateral Rules.

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The methods used to value the collateral are in line with the best market practices and imply the use of appraisal of real estate

collateral, the market price in market securities, the trading price of shares in mutual funds, etc. All the collaterals received must

be correctly assigned and entered in the corresponding register. They must also have the approval of the Group’s legal units.

The valuation of the collateral is taken into account in the calculation of the expected losses. The Group has developed internal

models to estimate the realization value of the collaterals received, the time that elapses until then, the costs for their acquisition,

maintenance and subsequent sale, from real observations based on its own experience. This modeling is part of the LGD

estimation processes that are applied to the different segments, and is included within the annual review and validation

procedures.

The following is a description of the main types of collateral for each financial instrument class:

–Debt instruments held for trading: the guarantees or credit enhancements obtained directly from the issuer or

counterparty are implicit in the clauses of the instrument (mainly guarantees of the issuer).

–Derivatives and hedging derivatives: in derivatives, credit risk is minimized through contractual netting agreements,

where positive- and negative-value derivatives with the same counterparty are offset for their net balance. There may

likewise be other kinds of guarantees and collaterals, depending on counterparty solvency and the nature of the

transaction (mainly collaterals).

–Other financial assets designated at fair value through profit or loss and financial assets at fair value through other

comprehensive income: the guarantees or credit enhancements obtained directly from the issuer or counterparty are

inherent to the structure of the instrument (mainly personal guarantees).

–Financial assets at amortised cost:

a.Loans and advances to credit institutions: these usually have the counterparty’s personal guarantee or pledged

securities in the case of reverse repurchase agreements (repos).

b.Loans and advances to customers: most of these loans and advances are backed by personal guarantees

extended by the customer. There may also be collateral to secure loans and advances to customers (such as

mortgages, cash collaterals, pledged securities and other collateral), or to obtain other credit enhancements

(bonds or insurances).

c.Debt securities: the guarantees or credit enhancements obtained directly from the issuer or counterparty are

inherent to the structure of the instrument.

–Financial guarantees, other contingent risks and drawable by third parties: these have the counterparty’s personal

guarantee or other types of collaterals.

4.2.5.Information on credit risk mitigation techniques

4.2.5.1.Processes and use of on- and off-balance sheet netting

Article 453 a) CRR

EU CRC a)

Derivative contracts are executed under master agreements —such as ISDA (International Swaps and Derivatives Association) or

CMOF (Contrato Marco de Operaciones Financieras)— that incorporate netting mechanisms.

The specific clauses of each agreement determine which transactions may be subject to netting, thus establishing the scope of the

contractual offsetting.

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The application of counterparty risk mitigation techniques, such as position netting and the use of collateral agreements,

contributes to reducing the total exposure, understood as the sum of the current market value and the potential associated risk.

Financial assets and liabilities may be netted in certain cases. In particular, they are presented for a net amount on the

consolidated balance sheet only when the Group's entities satisfy the provisions of IAS 32-Paragraph 42, so they have both the

legal right to net recognised amounts, and the intention of settling the net amount or of realizing the asset and simultaneously

paying the liability.

4.2.5.2.Hedging based on collateral

4.2.5.2.1.Management and valuation policies and procedures

Article 453 b) CRR

EU CRC b)

The procedures for management and valuation of collateral are included in the Specific Collateral Rules, or in the Policies and

Procedures for Retail and Wholesale Credit Risk.

These Policies and Procedures lay down the basic principles of credit risk management, which includes the management of the

collateral assigned in transactions with customers.

Accordingly, the risk management model jointly values the existence of a suitable cash flow generation by the debtor that enables

them to service the debt, together with the existence of suitable and sufficient guarantees that ensure the recovery of the credit

when the debtor’s circumstances render them unable to meet their obligations.

The valuation of collaterals is carried out in a rigorous and prudent manner, with the necessary information to determine it and

with extreme caution in the use of appraisal values and any other type of valuation by independent experts. At the time of granting

credit, unless local regulations provide for a shorter term, individual appraisals / independent expert appraisals must be available

for a maximum age of one year in new origination proposals or that imply an increase in the amount over the existing risk; and

three years in proposals on existing risk such as subrogations, forbearance, financing of assets on the group's balance sheet, etc.

In the case of non-performing assets, as well as in restructuring and refinancing, the appraisal review period will be twelve months.

The milestones under which the valuations of the collaterals must be updated in accordance with local regulation are established

under these prudential principles.

Random or rotating case assignment processes must be established to ensure the independence in the activity of the

professionals or companies in charge of the appraisal with respect to the credit originating units. The valuation of non-real estate

guarantees will also be carried out considering the general principles of prudence and rigour. Similarly, the independence and

objectivity of the valuations is a critical factor that must be guaranteed through the use of external sources or the value contrast

with them. Given the heterogeneity of this type of guarantees, in general the validity of the valuations must be ensured through

documentation (for example, pro-forma invoices for movable property, certificates of deposits) or through consultation processes

of market values (eg. in securities accounts, investment funds).

With respect to the entities that carry out the valuation of the collateral, principles are in place in accordance with local regulations

that govern the level of customer loyalty and dependence on the Group, along with related processes. These valuations will be

updated by statistical methods, indices or appraisals of goods, consultation of internal and external sources, etc. which shall be

carried out under the generally accepted standards in each market and in accordance with local regulations.

For the validation of the collaterals, the Legal Services, support in the formalisation process ensuring that the requirements are

met so that the guarantees are duly established in the corresponding jurisdiction. The guarantees are required to be included in

the corresponding policies, duly guarded and registered in the official formats and bodies established, in order to fully preserve

their recovery effectiveness. In general, these policies must include the general circumstances of the guarantees, the description

of the assets that act as collateral, the obligations and rights of the parties involved and the related insurance.

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Additionally, a critical review of the valuation is carried out, focusing in particular on aspects such as its understandability, the

prudence of the assumptions and the clear and reasonable identification of other comparable properties used as a reference to

determine the appraised value. In the wholesale sphere, the possibility of carrying out a due diligence will be considered when the

risk or complexity of the operation so requires.

4.2.5.2.2.Types of collateral

Article 453 c) CRR

EU CRC c)

As collateral for the purpose of calculating bank capital, the Group uses the hedging established in the solvency regulations. The

following are the main types of collateral available in the Group:

–Mortgage Guarantees: The collateral is the property upon which the loan is arranged.

–Financial guarantees: Their object is any one of the following financial assets, as per articles 197 and 198 of the solvency

regulation.

–Cash deposits, deposit certificates or similar instruments.

–Debt securities issued for the different categories.

–Shares or convertible bonds.

–Other goods and rights used as a real collateral: The following property and rights are considered acceptable as

collateral as per Article 200 of the CRR.

–Cash deposits, deposit certificates or similar instruments held in third-party institutions other than the lending

credit institution, when these are pledged in favour of the latter.

–Life insurance policies pledged in favour of the lending credit institution.

–Debt securities issued by other institutions, provided that these securities are to be repurchased at a pre-set

price by the issuing institutions at the request of the holder of the securities.

4.2.5.3.Hedging based on personal guarantees

Article 453 d) CRR

EU CRC d)

According to the solvency regulations, unfunded credit protection consists of personal guarantees, including those arising from

credit insurance, that have been granted by the providers of protection defined in Articles 201 and 202 of the solvency regulation.

In the category of Retail exposure under the advanced measurement approach, unfunded credit protection impacts the PD and

does not reduce the amount of the credit risk in EAD.

4.2.5.4.Amount of the credit risk mitigation

Article 453 f), g) CRR

This section shows the amounts of credit risk mitigation techniques.

In line with the EBA standards published in June 2024 (EBA/ITS/2024/05), the following table shows the book value of secured

and unsecured exposures, including all guarantees recognised for accounting purposes, regardless of their use for capital

purposes.

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TABLE 26. EU CR3 - CRM TECHNIQUES - OVERVIEW (MILLION EUROS. 12-31-2025)

	Exposures unsecured - carrying amount (1)	Exposures secured - Carrying amount (1)	Exposures secured by collateral	Exposures secured by financial guarantees (2)	Exposures secured by credit derivatives
Total Loans	329,516	217,690	151,746	65,944	—
Total debt securities	108,550	—	—	—	—
Total exposures	438,065	217,690	151,746	65,944	—
Of which: non performing	2,395	3,988	3,081	907	—
Of which: defaulted	2,395	3,988	3,081	907	—
(1) Includes net carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios, as well as cash and balances with central banks.
(2) Excluding personal guarantees (unfunded credit protection which impacts on the PD but not in EAD.

EU CR3 (MILLION EUROS. 6-30-2025)

	Exposures unsecured - carrying amount (1)	Exposures secured - Carrying amount (1)	Exposures secured by collateral	Exposures secured by financial guarantees (2)	Exposures secured by credit derivatives
Total Loans	288,826	205,131	144,941	60,189	—
Total debt securities	99,103	—	—	—	—
Total exposures	387,929	205,131	144,941	60,189	—
Of which: non performing	2,234	4,498	3,352	1,146	—
Of which: defaulted	2,234	4,498	3,352	1,146	—
(1) Includes net carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios, as well as cash and balances with central banks.
(2) Excluding personal guarantees (unfunded credit protection which impacts on the PD but not in EAD.

During 2025, a non significant variation has been observed in the coverage level, which reached as of December 31, 2025 a

percentage of 33%, slightly lower than the coverage recorded in June (35%).

Currently, the Group does not use credit derivatives as a credit risk mitigation technique.

For a breakdown of the specific mitigation techniques for the standardised and IRB approaches to credit risk, see sections 4.2.6.2.

y 4.2.7.2. respectively.

4.2.5.5.Risk concentration

Article 453 e) CRR

EU CRC e)

BBVA has established the measurement, monitoring and reporting criteria for the analysis of large credit exposures that could

represent a concentration risk, with the aim of ensuring their alignment with the risk appetite framework defined in the Group.

Particularly, measurement and monitoring criteria are established for large exposures at the level of individual concentrations,

concentrations of retail portfolios, wholesale sectors and geographies.

A quarterly measurement and monitoring process has been established for reviewing concentration risk.

The main measures to prevent risk concentration in BBVA are:

–At both the Group level and the subsidiaries belonging to the banking group, the information of customers (groups) that

hold the largest exposures (greater than 10% of fully loaded Tier1; in the subsidiaries their level of own funds are used) is

available. If a customer presents a concentration that exceeds the thresholds, the reasonableness of maintaining this

exposure must be justified, or the measures to reduce the exposure be explained (for example, cancellation of risk) in

writing every year.

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–As an additional support to management, the portfolio concentration is calculated using the Herfindahl index. To date, the

concentration at Group level is “very low”.

–The credit risk mitigation does not have a significant impact on the Group’s large exposures, being used solely as a

mechanism for mitigating intra-group risk (“standby letters of credit” issued by BBVA in favor of the banking Group’s

subsidiaries).

–The concentration to different industries is calculated based on the risk aggregation by economic activity. BBVA uses a

classification that groups activities into 16 sectors. All of them are under the acceptable thresholds at the Group level.

–In retail portfolios, the analysis is carried out at subportfolio level (mortgage and non-mortgage retail). Both are below the

acceptable thresholds at the Group level.

4.2.6.Information on the standardised approach

4.2.6.1.Identification of external rating agencies and credit ratings assignments

Article 444 a), b), c), d) CRR

EU CRD a), b), c), d)

The external credit assessment institutions (ECAIs) appointed by the Group to determine the risk weights applicable to its

exposure are as follows: Standard & Poors’, Moodys, Fitch and DBRS.

The ratings of ECAI are used for exposures to wholesale portfolios, basically those involving “Sovereigns and central banks” in

developed countries, and “Financial Institutions”.

In cases where a counterparty has ratings from different ECAIs, the Group follows the procedure laid down in Article 138 of the

Solvency Regulations, which specifies the order of priority to be used in the assignment of ratings.

When two different credit ratings made by designated ECAIs are available for a rated exposure, the higher risk weight will be

applied. However, when there are more than two credit ratings for the same rated exposure, use is to be made of the two credit

ratings that provide the lowest risk weights. If the two lowest risk weights coincide, then that weight will be applied; if they do not

coincide, the higher of the two will be applied.

The correspondence between the alphanumeric scale of each agency used and the risk categories used by the Group are defined

in the Implementing Technical Standards on the mapping of ECAIs credit assessment under Article 136(1) and (3) of Regulation

(EU) No. 575/2013; complying with the provisions of Article 136 of the CRR.

The number of cases and the amount of the assignments of credit ratings to public share issuances in the banking book are not

relevant for the Group in terms of credit admission and issuer risk management.

4.2.6.2.Exposure values before and after the application of credit risk mitigation

techniques

Articles 444 d), 453 g), h), i) CRR

The original exposure net of value adjustments and provisions, before and the application of after risk mitigation techniques and

credit conversion factors (CCF), as well as RWA density for each exposure category, according to the standardised approach, are

shown below, excluding securitisation and counterparty credit risk exposure:

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TABLE 27. EU CR4 - STANDARDISED APPROACH - CREDIT RISK EXPOSURE AND CREDIT RISK MITIGATION EFFECTS

(MILLION EUROS. 12-31-2025)

	Exposures before CCF and CRM(1)		Exposures post-CCF and CRM(2)		RWA(3) and RWA Density
	On-balance sheet amount	Off-balance sheet amount	On-balance sheet amount	Off-balance sheet amount	RWA	RWA Density
Central governments or central banks	170,141	2,652	202,150	4,139	27,557	13 %
Non-central government public sector entities	26,553	2,918	3,098	356	2,244	65 %
Regional governments or local authorities	25,353	2,567	2,244	227	1,488	60 %
Public sector entities	1,201	351	854	130	756	77 %
Multilateral development banks	483	—	2,615	—	2	0 %
International organisations	676	—	454	5	—	0 %
Institutions	10,085	20,085	10,131	1,624	4,181	36
Covered bonds	—	—	—	—	—	0 %
Corporates	50,498	25,232	48,111	9,089	53,668	94 %
Of which: Specialised Lending	2,999	301	2,998	221	2,880	89 %
Subordinated debt exposures and equity	6,134	—	6,134	—	14,003	228 %
Subordinated debt exposures	—	—	—	—	—	0 %
Equity	6,134	—	6,134	—	14,003	228 %
Retail	100,733	107,215	93,575	4,349	66,794	68 %
Secured by mortgages on immovable property and ADC exposures	42,276	1,654	41,696	660	18,640	44 %
Secured by mortgages on residential immovable property - non IPRE	30,620	217	30,367	31	9,153	30 %
Secured by mortgages on residential immovable property - IPRE	599	—	595	—	214	36 %
Secured by mortgages on commercial immovable property - non IPRE	6,784	703	6,666	431	4,451	63 %
Secured by mortgages on commercial immovable property - IPRE	1,639	16	1,626	7	1,027	63 %
Acquisition, Development and Construction (ADC)	2,635	719	2,441	192	3,795	144 %
Exposures in default	4,136	318	3,760	89	3,951	103 %
Claims on institutions and corporates with a short-term credit assessment	—	—	—	—	—	—
Collective investment undertakings (CIU)	175	293	175	147	805	250 %
Other items	21,449	1	21,470	3	12,711	59 %
Not applicable
Total	433,340	160,370	433,370	20,461	204,557	45%
(1) Net OE: original exposure net of value adjustments and provisions.
(2) EAD: original exposure net of value adjustments and provisions after CRM and CCF.
(3) RWA: EAD after risk-weighting.

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EU CR4 (MILLION EUROS. 6-30-2025)

	Exposures before CCF and CRM(1)		Exposures post-CCF and CRM(2)		RWA(3) and RWA Density
	On-balance sheet amount	Off-balance sheet amount	On-balance sheet amount	Off-balance sheet amount	RWA	RWA Density
Central governments or central banks	141,455	3,924	171,766	3,148	26,033	15 %
Non-central government public sector entities	25,597	2,386	2,588	309	2,023	70 %
Regional governments or local authorities	24,348	2,063	1,716	202	1,227	64 %
Public sector entities	1,248	323	872	108	796	81 %
Multilateral development banks	376	—	1,710	5	2	0 %
International organisations	758	—	758	—	—	0 %
Institutions	9,215	32,546	9,281	1,672	4,051	37
Covered bonds	—	—	—	—	—	0 %
Corporates	47,070	23,178	45,723	8,230	50,710	94 %
Of which: Specialised Lending	3,005	354	3,004	252	2,940	90 %
Subordinated debt exposures and equity	6,381	311	6,381	156	15,840	242 %
Subordinated debt exposures	—	—	—	—	—	0 %
Equity	6,381	311	6,381	156	15,840	242 %
Retail	72,038	66,285	63,912	4,175	46,362	68 %
Secured by mortgages on immovable property and ADC exposures	37,504	1,395	37,069	593	16,918	45 %
Secured by mortgages on residential immovable property - non IPRE	27,008	149	26,921	9	8,616	32 %
Secured by mortgages on residential immovable property - IPRE	478	—	477	—	170	36 %
Secured by mortgages on commercial immovable property - non IPRE	6,510	695	6,369	431	4,291	63 %
Secured by mortgages on commercial immovable property - IPRE	1,339	19	1,333	18	873	65 %
Acquisition, Development and Construction (ADC)	2,169	533	1,968	135	2,967	141 %
Exposures in default	3,498	266	3,109	73	3,276	103 %
Claims on institutions and corporates with a short-term credit assessment	—	—	—	—	—	—
Collective investment undertakings (CIU)	—	—	—	—	—	0 %
Other items	20,186	—	20,202	1	13,296	66 %
Not applicable
Total	364,078	130,291	362,497	18,364	178,510	47%
(1) Net OE: original exposure net of value adjustments and provisions.
(2) EAD: original exposure net of value adjustments and provisions after CRM and CCF.
(3) RWA: EAD after risk-weighting.

The increase in exposure observed during the period is mainly explained by the increase in the retail, corporate and sovereign

portfolios, although this organic growth is partially attenuated by the exchange rate effect, especially in the case of retail and

corporate. On the other hand, as a result of regulatory impacts, there has been a significant increase in the retail portfolio following

the reclassification of certain portfolios in Mexico and Spain from the advanced approach to the standardised approach.

The average density in these categories remains largely unchanged, and therefore the evolution of RWA is in line with this growth

in exposure.

In addition, the following tables show the exposure net of provisions, after the application of credit risk mitigation techniques and

CCFs by risk weights and exposure categories under the standardised approach, excluding securitisation positions and

counterparty credit risk exposure.

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TABLE 28. EU CR5 - STANDARDISED APPROACH: EXPOSURE VALUES AFTER APPLICATION OF CREDIT RISK

MITIGATION TECHNIQUES (MILLION EUROS. 12-31-2025)

	Risk Weight
	0%	2%	4%	10%	20%	30%	35%	40%	45%	50%
Central governments or central banks	177,848	—	—	299	985	—	—	—	—	9,732
Non-central government public sector entities	603	—	—	—	621	—	—	—	—	222
Regional governments or local authorities	406	—	—	—	582	—	—	—	—	222
Public sector entities	197	—	—	—	39	—	—	—	—	—
Multilateral development banks	2,604	—	—	—	11	—	—	—	—	—
International organisations	458	—	—	—	—	—	—	—	—	—
Institutions	—	103	—	—	7,684	1,259	—	—	—	884
Covered bonds	—	—	—	—	—	—	—	—	—	—
Corporates	—	—	—	—	967	—	—	—	—	473
Of which: Specialised Lending	—	—	—	—	—	—	—	—	—	—
Subordinated debt exposures and equity	—	—	—	—	—	—	—	—	—	—
Subordinated debt exposures	—	—	—	—	—	—	—	—	—	—
Equity	—	—	—	—	—	—	—	—	—	—
Retail exposures	—	—	—	—	—	—	135	—	7,244	—
Secured by mortgages on immovable property and ADC exposures	—	—	—	—	24,817	309	97	—	114	—
Secured by mortgages on residential immovable property - non IPRE	—	—	—	—	24,817	—	—	—	7	—
No loan splitting applied	—	—	—	—	—	—	—	—	1	—
Loan splitting applied (secured)	—	—	—	—	24,815	—	—	—	—	—
Loan splitting applied (unsecured)	—	—	—	—	2	—	—	—	5	—
Secured by mortgages on residential immovable property - IPRE	—	—	—	—	—	309	97	—	107	—
Secured by mortgages on commercial immovable property - non IPRE	—	—	—	—	—	—	—	—	1	—
No loan splitting applied	—	—	—	—	—	—	—	—	—	—
Loan splitting applied (secured)	—	—	—	—	—	—	—	—	—	—
Loan splitting applied (unsecured)	—	—	—	—	—	—	—	—	1	—
Secured by mortgages on commercial immovable property - IPRE	—	—	—	—	—	—	—	—	—	—
Acquisition, Development and Construction (ADC)	—	—	—	—	—	—	—	—	—	—
Exposures in default	—	—	—	—	—	—	—	—	—	—
Claims on institutions and corporates with a short- term credit assessment	—	—	—	—	—	—	—	—	—	—
Collective investment undertakings (CIU)	—	—	—	—	—	—	—	—	—	—
Other items	8,711	—	—	—	65	—	—	—	—	—
Not applicable
Total	190,224	103	—	299	35,149	1,568	232	—	7,358	11,312
(1) Refers to exposure for which no credit rating from designated ECAIs is available.

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TABLE 28. EU CR5 (MILLION EUROS. 12-31-2025. CONTINUATION)

	Risk Weight
	60%	70%	75%	80%	90%	100%	105%	110%	130%	150%
Central governments or central banks	—	—	—	—	—	13,735	—	—	—	494
Non-central government public sector entities	—	—	—	—	—	2,008	—	—	—	—
Regional governments or local authorities	—	—	—	—	—	1,260	—	—	—	—
Public sector entities	—	—	—	—	—	748	—	—	—	—
Multilateral development banks	—	—	—	—	—	—	—	—	—	—
International organisations	—	—	—	—	—	—	—	—	—	—
Institutions	—	—	446	—	—	1,157	—	—	—	223
Covered bonds	—	—	—	—	—	—	—	—	—	—
Corporates	—	—	1,877	1,529	—	50,716	—	—	507	1,132
Of which: Specialised Lending	—	—	19	1,529	—	1,164	—	—	507	—
Subordinated debt exposures and equity	—	—	—	—	—	—	—	—	—	—
Subordinated debt exposures	—	—	—	—	—	—	—	—	—	—
Equity	—	—	—	—	—	—	—	—	—	—
Retail exposures	—	—	89,859	—	—	686	—	—	—	—
Secured by mortgages on immovable property and ADC exposures	4,144	1,267	6,073	—	244	2,774	30	101	—	2,387
Secured by mortgages on residential immovable property - non IPRE	—	—	5,407	—	—	168	—	—	—	—
No loan splitting applied	—	—	409	—	—	104	—	—	—	—
Loan splitting applied (secured)	—	—	—	—	—	—	—	—	—	—
Loan splitting applied (unsecured)	—	—	4,998	—	—	64	—	—	—	—
Secured by mortgages on residential immovable property - IPRE	10	—	4	—	—	—	30	—	—	38
Secured by mortgages on commercial immovable property - non IPRE	4,134	—	662	—	—	2,298	—	—	—	2
No loan splitting applied	—	—	227	—	—	1,176	—	—	—	—
Loan splitting applied (secured)	4,134	—	—	—	—	—	—	—	—	—
Loan splitting applied (unsecured)	—	—	435	—	—	1,122	—	—	—	2
Secured by mortgages on commercial immovable property - IPRE	—	1,267	—	—	244	—	—	101	—	22
Acquisition, Development and Construction (ADC)	—	—	—	—	—	308	—	—	—	2,325
Exposures in default	—	—	—	—	—	3,644	—	—	—	204
Claims on institutions and corporates with a short-term credit assessment	—	—	—	—	—	—	—	—	—	—
Collective investment undertakings (CIU)	—	—	—	—	—	—	—	—	—	—
Other items	—	—	—	—	—	12,698	—	—	—	—
Not applicable
Total	4,144	1,267	98,255	1,529	244	87,419	30	101	507	4,439

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TABLE 28. EU CR5 (MILLION EUROS. 12-31-2025. CONTINUATION)

						Total credit exposures amount (post-CCF and post-CRM)	Of which: unrated (1)
	250%	370%	400%	1250%	Others
Central governments or central banks	3,197	—	—	—	—	206,290	—
Non-central government public sector entities	—	—	—	—	—	3,454	147
Regional governments or local authorities	—	—	—	—	—	2,470	147
Public sector entities	—	—	—	—	—	984	—
Multilateral development banks	—	—	—	—	—	2,615	11
International organisations	—	—	—	—	—	458	458
Institutions	—	—	—	—	—	11,755	3,974
Covered bonds	—	—	—	—	—	—	—
Corporates	—	—	—	—	—	57,201	54,362
Of which: Specialised Lending	—	—	—	—	—	3,219	3,219
Subordinated debt exposures and equity	5,016	—	4	—	1,114	6,134	4,885
Subordinated debt exposures	—	—	—	—	—	—	—
Equity	5,016	—	4	—	1,114	6,134	4,885
Retail exposures	—	—	—	—	—	97,923	97,923
Secured by mortgages on immovable property and ADC exposures	—	—	—	—	—	42,357	42,357
Secured by mortgages on residential immovable property - non IPRE	—	—	—	—	—	30,398	30,398
No loan splitting applied	—	—	—	—	—	514	514
Loan splitting applied (secured)	—	—	—	—	—	24,815	24,815
Loan splitting applied (unsecured)	—	—	—	—	—	5,069	5,069
Secured by mortgages on residential immovable property - IPRE	—	—	—	—	—	595	595
Secured by mortgages on commercial immovable property - non IPRE	—	—	—	—	—	7,097	7,097
No loan splitting applied	—	—	—	—	—	1,404	1,404
Loan splitting applied (secured)	—	—	—	—	—	4,134	4,134
Loan splitting applied (unsecured)	—	—	—	—	—	1,560	1,560
Secured by mortgages on commercial immovable property - IPRE	—	—	—	—	—	1,633	1,633
Acquisition, Development and Construction (ADC)	—	—	—	—	—	2,633	2,633
Exposures in default	—	—	—	—	—	3,849	3,849
Claims on institutions and corporates with a short- term credit assessment	—	—	—	—	—	—	—
Collective investment undertakings (CIU)	322	—	—	—	—	322	273
Other items	—	—	—	—	—	21,473	21,473
Not applicable
Total	8,535	—	4	—	1,114	453,831	229,713
(1) Refers to exposure for which no credit rating from designated ECAIs is available.

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EU CR5 (Million Euros. 6-30-2025)

	Risk Weight
	0%	2%	4%	10%	20%	30%	35%	40%	45%	50%
Central governments or central banks	149,587	—	—	279	369	—	—	—	—	7,518
Non-central government public sector entities	359	—	—	—	516	—	—	—	—	207
Regional governments or local authorities	217	—	—	—	466	—	—	—	—	203
Public sector entities	141	—	—	—	50	—	—	—	—	4
Multilateral development banks	1,704	—	—	—	11	—	—	—	—	—
International organisations	758	—	—	—	—	—	—	—	—	—
Institutions	—	144	—	—	7,058	827	—	178	—	924
Covered bonds	—	—	—	—	—	—	—	—	—	—
Corporates	—	—	—	—	344	—	—	—	—	1,313
Of which: Specialised Lending	—	—	—	—	—	—	—	—	—	—
Subordinated debt exposures and equity	—	—	—	—	—	—	—	—	—	—
Subordinated debt exposures	—	—	—	—	—	—	—	—	—	—
Equity	—	—	—	—	—	—	—	—	—	—
Retail exposures	—	—	—	—	—	—	115	—	3,085	—
Secured by mortgages on immovable property and ADC exposures	—	—	—	—	21,112	266	72	—	80	—
Secured by mortgages on residential immovable property - non IPRE	—	—	—	—	21,112	—	—	—	7	—
No loan splitting applied	—	—	—	—	—	—	—	—	1	—
Loan splitting applied (secured)	—	—	—	—	21,090	—	—	—	—	—
Loan splitting applied (unsecured)	—	—	—	—	22	—	—	—	5	—
Secured by mortgages on residential immovable property - IPRE	—	—	—	—	—	266	72	—	72	—
Secured by mortgages on commercial immovable property - non IPRE	—	—	—	—	—	—	—	—	1	—
No loan splitting applied	—	—	—	—	—	—	—	—	—	—
Loan splitting applied (secured)	—	—	—	—	—	—	—	—	—	—
Loan splitting applied (unsecured)	—	—	—	—	—	—	—	—	1	—
Secured by mortgages on commercial immovable property - IPRE	—	—	—	—	—	—	—	—	—	—
Acquisition, Development and Construction (ADC)	—	—	—	—	—	—	—	—	—	—
Exposures in default	—	—	—	—	—	—	—	—	—	—
Claims on institutions and corporates with a short- term credit assessment	—	—	—	—	—	—	—	—	—	—
Collective investment undertakings (CIU)	—	—	—	—	—	—	—	—	—	—
Other items	6,739	—	—	—	210	—	—	—	—	—
Not applicable
Total	159,145	144	—	279	29,619	1,093	187	178	3,164	9,962

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EU CR5 (Million Euros. 6-30-2025. CONTINUATION)

	Risk Weight
	60%	70%	75%	80%	90%	100%	105%	110%	130%	150%
Central governments or central banks	—	—	—	—	—	13,434	—	—	—	580
Non-central government public sector entities	—	—	—	—	—	1,816	—	—	—	—
Regional governments or local authorities	—	—	—	—	—	1,032	—	—	—	—
Public sector entities	—	—	—	—	—	784	—	—	—	—
Multilateral development banks	—	—	—	—	—	—	—	—	—	—
International organisations	—	—	—	—	—	—	—	—	—	—
Institutions	—	—	402	—	—	1,154	—	—	—	267
Covered bonds	—	—	—	—	—	—	—	—	—	—
Corporates	—	—	1,325	1,473	—	48,146	—	—	663	690
Of which: Specialised Lending	—	—	22	1,473	—	1,099	—	—	663	—
Subordinated debt exposures and equity	—	—	—	—	—	—	—	—	—	—
Subordinated debt exposures	—	—	—	—	—	—	—	—	—	—
Equity	—	—	—	—	—	—	—	—	—	—
Retail exposures	—	—	64,308	—	—	579	—	—	—	—
Secured by mortgages on immovable property and ADC exposures	3,782	992	6,356	—	218	2,868	16	108	—	1,793
Secured by mortgages on residential immovable property - non IPRE	—	—	5,605	—	—	206	—	—	—	—
No loan splitting applied	—	—	912	—	—	146	—	—	—	—
Loan splitting applied (secured)	—	—	—	—	—	—	—	—	—	—
Loan splitting applied (unsecured)	—	—	4,693	—	—	60	—	—	—	—
Secured by mortgages on residential immovable property - IPRE	7	—	18	—	—	—	16	—	—	27
Secured by mortgages on commercial immovable property - non IPRE	3,775	—	733	—	—	2,288	—	—	—	2
No loan splitting applied	—	—	327	—	—	1,161	—	—	—	—
Loan splitting applied (secured)	3,775	—	—	—	—	—	—	—	—	—
Loan splitting applied (unsecured)	—	—	406	—	—	1,127	—	—	—	2
Secured by mortgages on commercial immovable property - IPRE	—	992	—	—	218	—	—	108	—	34
Acquisition, Development and Construction (ADC)	—	—	—	—	—	373	—	—	—	1,729
Exposures in default	—	—	—	—	—	2,995	—	—	—	187
Claims on institutions and corporates with a short-term credit assessment	—	—	—	—	—	—	—	—	—	—
Collective investment undertakings (CIU)	—	—	—	—	—	—	—	—	—	—
Other items	—	—	—	—	—	13,254	—	—	—	—
Not applicable
Total	3,782	992	72,390	1,473	218	84,246	16	108	663	3,517

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EU CR5 (Million Euros. 6-30-2025. CONTINUATION)

						Total credit exposures amount (post-CCF and post-CRM)	Of which: unrated (1)
	250%	370%	400%	1250%	Others
Central governments or central banks	3,147	—	—	—	—	174,915	46,149
Non-central government public sector entities	—	—	—	—	—	2,897	—
Regional governments or local authorities	—	—	—	—	—	1,918	397
Public sector entities	—	—	—	—	—	979	1,261
Multilateral development banks	—	—	—	—	—	1,715	81
International organisations	—	—	—	—	—	758	—
Institutions	—	—	—	—	—	10,952	3,608
Covered bonds	—	—	—	—	—	—	—
Corporates	—	—	—	—	—	53,954	26,450
Of which: Specialised Lending	—	—	—	—	—	3,256	1,288
Subordinated debt exposures and equity	5,091	—	4	109	1,333	6,537
Subordinated debt exposures	—	—	—	—	—	—
Equity	5,091	—	4	109	1,333	6,537
Retail exposures	—	—	—	—	—	68,087
Secured by mortgages on immovable property and ADC exposures	—	—	—	—	—	37,662
Secured by mortgages on residential immovable property - non IPRE	—	—	—	—	—	26,931
No loan splitting applied	—	—	—	—	—	1,059
Loan splitting applied (secured)	—	—	—	—	—	21,090
Loan splitting applied (unsecured)	—	—	—	—	—	4,781
Secured by mortgages on residential immovable property - IPRE	—	—	—	—	—	477
Secured by mortgages on commercial immovable property - non IPRE	—	—	—	—	—	6,800
No loan splitting applied	—	—	—	—	—	1,488
Loan splitting applied (secured)	—	—	—	—	—	3,775
Loan splitting applied (unsecured)	—	—	—	—	—	1,536
Secured by mortgages on commercial immovable property - IPRE	—	—	—	—	—	1,352
Acquisition, Development and Construction (ADC)	—	—	—	—	—	2,103
Exposures in default	—	—	—	—	—	3,182
Claims on institutions and corporates with a short- term credit assessment	—	—	—	—	—	—
Collective investment undertakings (CIU)	—	—	—	—	—	—
Other items	—	—	—	—	—	20,203	14,995
Not applicable
Total	8,238	—	4	109	1,333	380,861	169,103
(1) Refers to exposure for which no credit rating from designated ECAIs is available.

During the period, there were significant variations in exposure, primarily driven by an increase in sovereign exposures (0% RW),

reflecting growth in the fixed-income portfolio and central bank balances. Simultaneously, corporate and retail exposures (100%

and 75% RW, respectively) rose due to heightened commercial activity. These increases were partially offset by foreign exchange

headwinds in specific geographies. Furthermore, regulatory adjustments led to a notable increase in the retail portfolio following

the reclassification of specific portfolios in Mexico and Spain from the Internal Ratings-Based (IRB) approach to the Standardised

Approach.

Exposure net of provisions and after applying CCF and CRM related to counterparty credit risk are shown in table EU CCR3 of

Section 4.2.8.2.2 of this report.

The following table shows the flow statements of credit and counterparty credit risk RWA under standardised approach during the

fourth quarter of 2025:

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TABLE 29. RWA FLOW STATEMENTS OF CREDIT RISK EXPOSURES UNDER THE STANDARDISED APPROACH

(MILLION EUROS)

	Credit Risk		Counterparty Credit Risk		Total
	RWA amounts	Capital Requirements	RWA amounts	Capital Requirements	RWA amounts	Capital requirements
RWA as of September 30, 2025	167,601	13,408	4,115	329	171,716	13,737
Asset size	7,637	611	(182)	(15)	7,455	596
Asset quality	187	15	(1)	—	186	15
Model updates	—	—	—	—	—	—
Methodology and policy	15,317	1,225	(1)	—	15,316	1,225
Acquisitions and disposals	—	—	—	—	—	—
Foreign exchange movements	(188)	(15)	12	1	(176)	(14)
Other	—	—	—	—	—	—
RWA as of December 31, 2025	190,554	15,244	3,943	315	194,497	15,560

During the fourth quarter of 2025, the risk-weighted assets under the standardized approach increased substantially, driven by the

partial reversal of the IRB approach for retail portfolios in BBVA, S.A. and BBVA Mexico. Aside from this factors, RWA experienced

organic growth linked to increased activity in Turkey and South America, most notably in Argentina.

There was no material impact from foreign exchange fluctuations in this period.

The full annual series of RWA flow of credit risk under the standardised approach is available in the editable file “Pillar 3 2025 –

Tables & Annexes”.

4.2.6.3.Equity exposure by method

Article 438 e) CRR

Under the new CRR3 framework, equity exposures are calculated using standard methodology. To this end, different risk weights

are established depending on the type of asset in question:

–Exposures to unlisted companies will generally receive a risk weight of 400%.

–Exposures arising from legislative programmes will receive a risk weight of 100%.

–Exposures to central banks will receive a risk weight of 0%.

–Exposures to funds not established in the European Union will receive a risk weight of 1,250%.

–All other equity exposures will receive a risk weight of 250%.

As an exception, the risk weighting applied on July 8, 2024 may continue to be applied to exposures that may be considered

strategic for the institution.

The following table shows equity exposures broken down by type of exposure, as of December 31, 2025 and as of June 30, 2025.

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TABLE 30. EU CR10 (5) - EQUITY EXPOSURES (MILLION EUROS. 12-31-2025)

	Equity under the standardised approach
Categories	On-balance sheet amount(1)	Off-balance sheet amount(1)	RWA(2)
Equity exposures to unlisted companies	4	—	16
Equity exposures arising from legislative programmes	—	—	—
Equity exposures to central banks	—	—	—
Equity exposures subject to 1,250% RW	—	—	—
Other equity exposures	5,016	—	12,641
Equity exposures under article 495a(3)	1,114	—	1,447
Total	6,134	—	14,105
(1) Corresponds to the exposure value, regardless of credit conversion factors (CCF), after the effect of the Credit Risk Mitigation (CRM) techniques.
(2) Includes the risk-weighted exposure value of on-balance sheet and off-balance sheet items, as well as derivatives, which, as of December 31, 2025, have an exposure value of €40 million.

EU CR10 (5) (MILLION EUROS. 6-30-2025)

	Equity under the standardised approach
Categories	On-balance sheet amount(1)	Off-balance sheet amount(1)	RWA
Equity exposures to unlisted companies	4	—	17
Equity exposures arising from legislative programmes	—	—	—
Equity exposures to central banks	—	—	—
Equity exposures subject to 1,250% RW	106	6	1,363
Other equity exposures	4,938	305	12,726
Equity exposures under article 495a(3)	1,333	—	1,733
Total	6,381	311	15,840
(1) Corresponds to the exposure value, regardless of credit conversion factors (CCF), after the effect of the Credit Risk Mitigation (CRM) techniques.

During second half of the year 2025 there is no relevant changes in the composition of equity exposures, except for the deduction

of those exposures weighting 1,250% as of June 2025.

Additionally, section 4.4.3 shows detailed information on the structural risk of equities.

4.2.7.Information on the IRB approach

4.2.7.1.General information

4.2.7.1.1.Authorisation by the supervisor to use the IRB approach

Article 452 a), b), f) CRR

EU CRE a), e)

The following are the models authorised by the supervisor for use in the calculation of regulatory capital (own funds)

requirements.

12 Sequential deployment process of IRB models in each exposure category.

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Institution Portfolio	Portfolio	Number of models	Model description
BBVA S.A.	Financial institutions	2	1 Rating, 1 PD model
	Specialised finance	1	1 Slotting criteria
	Developers	2	1 Rating, 1 PD model
	Small Corporates	2	1 Rating, 1 PD model
	Medium-sized Corporates	2	1 Rating, 1 PD model
	Large Corporates	2	1 Rating, 1 PD model
	Mortgages	6	2 Scorings, 2 PD models, 1 LGD model, 1 CCF model
BBVA Bancomer	Large Corporates	2	1 Rating, 1 PD model
	Medium-sized Corporates	2	1 Rating, 1 PD model

The following table shows the distribution of EAD of credit and counterparty risk by method for each category of exposure as of

December 31, 2025, in addition to the percentage subject to rollout12 (counterparty credit risk included and securitisations are

excluded):

TABLE 31. EU CR6-A — SCOPE OF THE USE OF IRB AND SA APPROACHES  (MILLION EUROS. 12-31-2025)

	Exposure value as defined in Article 166 CRR for exposures subject to IRB approach	Total exposure value for exposures subject to the Standardised approach and to the IRB approach (1)	Percentage of total exposure value subject to the permanent partial use of the SA (%)	Percentage of total exposure value subject to IRB Approach (%)	Percentage of total exposure value subject to a roll-out plan (%)
Central governments or central banks	—	176,134	100.00 %	— %	—
Regional governments or local authorities	—	27,770	100.00 %	—	—
Public sector entities	—	1,599	100.00 %	—	—
Institutions		75,732	8.09 %	72.16 %	19.75
Corporates	190,535	264,755	14.05 %	71.51 %	14.44 %
Of which: Corporates - General		235,884	14.04 %	71.14 %	14.82 %
Of which: Corporates - Specialised lending		18,919	—	82.63	17.37
Of which: Corporates - Specialised lending, excluding slotting approach		—	—	—	—
Of which: Corporates - Specialised lending under slotting approach		18,919	—	82.63 %	17.37
Of which: Corporates - Purchased Receivables		9,952	41.06 %	58.94 %	— %
Retail	67,688	220,315	61.66 %	30.35 %	8.00 %
Of which: Retail – Qualifying revolving		29,289	100.00 %	— %	— %
Of which: Retail – Secured by residential immovable property		97,681	13.52 %	68.45 %	18.03 %
Of which: Retail - Purchased Receivables	—	1,113	100.00	— %	— %
Of which: Retail - Other retail exposures	—	92,232	100.00 %	— %	— %
Equity	—	6,175	100.00 %	— %	— %
Collective investment undertakings (CIU)	—	469	100.00	— %	—
Other non-credit obligation assets	—	21,692	100.00 %	—	—
Total	312,747	794,641	51.57 %	39.45 %	8.99 %
(1) Includes the value of the exposure defined by article 429(4) of the CRR that corresponds to the exposure to the leverage ratio as defined in section 3.2.

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The above table is shown according to the CRR EBA ITS where the first column includes the exposure value (EAD) of the portfolios

subject to the IRB method, while the second column includes the value of the exposures subject to the standard and IRB

approaches.

The entry into force of CRR3 on 1 January 2025, as well as the new holistic model strategy carried out at the Group level, has led to

substantial changes in the internal models used by the Group to calculate capital requirements for credit risk, as well as its

corresponding roll-out plan.

The following chart shows the exposures distributed by permanent partial use of the standard method, subject to roll-out plans

and those that are already subject to the IRB method:

CHART 12. DISTRIBUTION OF EXPOSURE BETWEEN THE USE OF PPU, IRB AND ROLLOUT PLANS

The main types of rating models used in the IRB portfolios are ratings for wholesale portfolios and proactive and reactive scorings

in the case of retail portfolios.

The rating models give contracts/customers a score that orders customers according to their credit quality. This score is

determined, among others, by the characteristics of the transactions, economic and financial conditions of the customer,

information on payment behaviour, and credit bureau.

The approval of the models by the supervisor includes both own estimations of the probability of default (PD), loss given default

(LGD) and the internal estimation of credit conversion factors (CCFs).

As an IRB entity, the BBVA Group has defined the IRB Strategy at consolidated level, including the IRB Roll-Out plan (see table EU

CR6-A for more information).

4.2.7.1.2.Structure of internal rating systems and relationship between internal and external

ratings

Artículo 452 f), i) CRR

EU CRE e), i)

The Group has rating tools for each exposure category listed in the CRR3.

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The retail portfolio has scoring tools for determining the credit quality of transactions on the basis of information on the

transaction itself and on the customer. The scoring models are algorithms calculated using statistical methods that score each

transaction. This score reflects the transaction’s level of risk and is in direct relation to its probability of default (PD).

These decision models are the basic tool to decide who should receive a loan and the amount to be granted, thereby contributing

to both the arrangement and management of retail-type loans.

For the wholesale portfolio, the Group has rating tools that, unlike scorings, do not assess transactions but rather customers. The

Group has different tools for rating the various customer segments: small companies or corporates. In those wholesale portfolios

where the number of defaults is very low (corporates, financial institutions) the internal information is supplemented by the

benchmarks of external rating agencies.

The PD estimates made by the Group are transferred to the Master Scale, enabling a comparison to be made with the scales used

by external agencies.

Internal rating	Probability of default (basic points)
Reduced List (22 groups)	Average	Minimum from >=	Maximum
AAA	1	0	2
AA+	2	2	3
AA	3	3	4
AA-	4	4	5
A+	5	5	6
A	8	6	9
A-	10	9	11
BBB+	14	11	17
BBB	20	17	24
BBB-	31	24	39
BB+	51	39	67
BB	88	67	116
BB-	150	116	194
B+	255	194	335
B	441	335	581
B-	785	581	1,061
CCC+	1,191	1,061	1,336
CCC	1,500	1,336	1,684
CCC-	1,890	1,684	2,121
CC+	2,381	2,121	2,673
CC	3,000	2,673	3,367
CC-	3,780	3,367	4,243

4.2.7.1.3.Use of internal estimates for purposes other than the calculation of regulatory capital

requirements

The Group’s internal estimates are a critical component of management based on value creation, giving rise to criteria for

assessing the risk-return trade-off.

These measures have a broad range of uses, from the adoption of strategic business decisions through to the individual admission

of transactions.

Specifically, internal estimates are used in everyday business in support of credit risk management through their inclusion in

admission and monitoring processes, as well as in the pricing of transactions.

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The management use of performance metrics that consider expected loss, economic capital and risk-adjusted return enables the

monitoring of portfolios and the assessment of non-performing positions, among others.

4.2.7.1.4.Process for managing and recognizing the effects of credit risk mitigation

Article 435 (1) d) CRR

EU CRA b)

Mitigation is an iterative process whose purpose is to recognize the benefits of the existence of collateral and guarantees, ordering

them from the highest to the lowest credit quality.

The Group uses risk mitigation techniques for exposure pertaining to the wholesale portfolio by replacing the debtor’s RW with

that of the guarantor, in cases in which the latter is eligible and its RW is lower than the debtor’s. In retail admission processes the

guarantor is included in the scoring itself.

Collateral in IRB models is recognised through the LGD and must meet eligibility criteria based on maturity and minimum exposure

coverage, and making the necessary adjustments depending on the type of existing collateral, financial or real.

4.2.7.1.5.Control mechanisms for internal rating models

Article 452 c), d), e) CRR

EU CRE b), c), d)

The Group has a management framework for rating models that covers all the phases of the model  life-cycle: from the

identification of a need, to planning and the initiation of model development or modification, through the second line of defense

review, to its implementation, use, and monitoring.

Model Development

The development of a model is an activity that requires the involvement of different stakeholders, experience and multidisciplinary

technical knowledge. GRM Data & Advanced Analytics is the area responsible for the development of BBVA Group's risk models.

As a global function, it must ensure that the models are developed according to the best market practices, that the model

development process is homogenous within the Group and an efficient management of existing resources.

Every model development must be properly documented. A correct and updated documentation allows to reduce the

dependencies of key people and facilitates control, review and training tasks, mitigating the model risk.

An outsourcing of specific activities in the development of risk models is possible, but in no case does this imply a transfer of

responsibility outside the Group.

The Group has internal policies where all concepts are defined.

Model Approval

The Group's Chief Risk Officer (CRO) is the head of the risk function in the executive line and, in order to better perform his duties,

he is supported by a specific committee structure.

The IRB Rating System and IMA Models Change Rule defines the internal governance process that must be followed in order to

start using the BBVA Group's risk models, as defined in the Model Risk Management Policy, indicating the committees that must

authorize the new models and their changes (methodological changes, changes in scope and usage), as well as the cessation of its

use, depending on the materiality of the changes introduced in the model.

The Global Risk Management Committee (GRMC) is constituted as a forum for advising and supporting the Group Risk Director for

the exercise of the functions and decision-making that the latter is responsible for adopting. This includes with regards to model

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risk, among other functions, approving both the material modifications of the Internal Models that are used in the Calculations of

Regulatory Capital  (IRB; IMA) as well as of new models that will be used to this end.

Moreover, the Risk Models Management Committee (RMMC) reports to the GRMC, providing it with adequate technical support in

decisions associated with model risk management. One of its functions is the review, prior to its presentation to the GRMC, of the

requests for new Internal models that will be for Regulatory Capital calculations or the changes  to be introduced in the existing

ones, acting in a delegated manner to approve  those changes of less relevance or immaterial.

Given its technical component, the presidency is exercised by the Head of GRM Data & Advanced Analytics. In addition to including

members of GRM's Senior Management and the responsible for GRM Internal Control, the committee is also complemented by

members of the GRM Data & the GRM Internal Validation COE.

Model Monitoring

A comprehensive  monitoring framework allows to identify unexpected behaviour incorrect model usages and even to anticipate

when changes in the risk profile of portfolios or products require corrective actions to be taken. The risk rating models are

monitored with a frequency appropriate to the nature of the model, the availability of new data, modelling techniques and the

importance of their use in management.The monitoring  is analysed with a double perspective: performance and use.

Performance monitoring aims to detect deficiencies in the behaviour of risk rating models, anticipating their possible deterioration

over time. It is a mechanism to determine if the models are working correctly, helping to verify that the components of the model

work as expected. The performance monitoring framework makes possible to identify weaknesses and establish the necessary

action plans to ensure its proper functioning. This analytical framework, a fundamental component of risk model planning,

establishes the minimum criteria that must be taken into account, as well as the metrics and thresholds that allow warning of

unwanted behaviour.

Usage monitoring aims to verify that the model is effectively used in the risk management process, for the uses defined, and in an

appropriate way. This control mechanism continuously allows the detection of deviations from the intended use of the models, as

well as the establishment of action plans for their correction.

In addition, the Group has an area independent from the developers and users of the rating models, whose main function is to

backtest the models, in order to ensure  their accuracy, robustness and stability (see “Validation Process” in section 4.2.7.1.7)

On the other hand, a series of reports are periodically presented to the governing bodies for their review, which  purpose of is to

monitor the main risk indicators and management metrics, the presentation of follow-up reports and plans to redirect exceeded

indicators with respect to the action frameworks approved annually.

4.2.7.1.6.Description of the internal rating process

Article 452 f) CRR

EU CRE e)

There follows a description of the internal rating process by type of customer:

–Financial institutions: The relevant risk unit periodically rates these types of clients, and constantly monitors the

evolution of these clients in national and international markets. External ratings are a key factor in the ratings assignment

for financial institutions.

–Large Companies: Includes the rating of exposure with corporate business groups. The result is affected both by

indicators of business risk (evaluation of the competitive environment, business positioning, regulation, etc.) and financial

risk indicators (size of the group by sales, cash generation, levels of debt, financial flexibility, etc.).

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In accordance with the characteristics of the large companies, the rating model has a global nature with specific algorithms

according to the sector of activity and geographical adaptations. The rating of these customers is generally calculated within the

framework of the annual risk review process, or the admission of new operations.

The responsibility for the assessment lies with the units proposing the risk, while those responsible of approvals, validate it when

the decision is taken.

–Medium-sized companies: This segment also takes into account quantitative factors derived from economic and

financial information, and qualitative factors that are related to the age of the company, the sector, management quality,

etc. and alert factors derived from risk monitoring.

As in the Corporate segment, the rating tends to run parallel to the admission process, so the responsibility for rating lies with the

unit proposing the risk, while the decision-making level is in charge of validating it.

–Small-sized companies: As in the case of medium-sized companies, this segment also takes into account quantitative

factors derived from economic and financial information, and qualitative factors that are related to the age of the

company, the sector, management quality, etc. and alert factors derived from risk monitoring. Similarly, the rating tends

to run parallel with the admission process, so the responsibility for rating is with the unit proposing the risk, while the

decision-making level is in charge of validating it.

–Specialised Lending: To classify this segment, the Group has chosen to use the approach of slotting criteria, as included

in the Basel Accord of June 2004 and in the solvency regulations (CRR Article 153.5).

–Developers: The rating of real estate developers covers the rating of both customers who are developers and the

Property Projects unit. Its use makes it easier to monitor and rate projects during their execution phase, as well as

enriching the admission processes.

–BBVA Mexico Corporates: This segment also takes into account quantitative factors derived from economic and financial

information and bureau information, as well as qualitative factors related to the age of the company, the sector, the

quality of its management, etc. The rating tends to run parallel to the admission process, so that responsibility for the

rating is with the unit originating the risk, while the decision-making body validates it.

In general in the wholesale area, the rating of customers is not limited to admission, as the ratings are updated according to new

information available at any time (economic and financial data, changes in the company, external factors, etc.).

–Retailers: Retail exposure is rated by models developed internally by the Entity that allow the credit risk of portfolios to be

assessed. The model score can be assigned at the customer or product level and transformed into a probability of default,

allowing for management based on risk groups. Depending on the information available, ratings can be reactive or

proactive. The reactive ratings are generated from the customer's request to take out a product, while the proactive

ratings are periodically calculated on the basis of the information available, internal and external, on the customer's

payment behaviour. Proactive models allow offers of pre-approved products, which are instrumentalised in mass

marketing campaigns. Ratings are integrated into admission and monitoring processes for retail portfolios, ensuring

adequate credit risk management.

The rating process is as follows for each specific category of retail exposure:

a.Mortgages - Spain:

–Reactive processes: The manager collects data on the customer (personal, financial, banking relationship information)

and on the transaction (LTV, amount, maturity, destination etc.) and calculates the rating of the transaction with the

scoring. The decision on whether it is approved is made based on the results of applying the model and risk policies

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–Proactive processes: Each month all the customers who have asset positions in credit cards, consumer finance or

mortgages and first and second in liability seniority, are rated according to information on their behavior.

4.2.7.1.7.Definitions, methods and data for estimating and validating risk parameters

Article 452 f) CRR

EU CRE e)

The estimation of the parameters is based on the uniform definition of default established at Group level. Specifically, for a facility

or customer to be considered in a situation of default, the provisions of current regulations must be met.

Specifically, there are two approaches in the Group for considering default and estimating parameters:

–The facility level approach is applied within the sphere of retail risk. Each customer transaction is handled as an

independent unit in terms of credit risk. Therefore, non compliance with credit obligations to the bank is handled at the

transaction level.

–The obligor level approach is applied to the remainder portfolios. The significant unit for defining default is the customer’s

sum of contracts, which enter a situation of default en masse when the customer defaults.

Furthermore, to avoid including non material defaults in the estimates, non-performing volumes have to pass through a materiality

filter that depends on the type of customer and transaction, according to what is established by the EBA’s Definition of Default

guidelines.

Estimating parameters

In the case of Spain and Mexico, the Group has an internal information system denominated CORE that reflects exposure to credit

risk in the Group’s different portfolios included in advanced foundation and slotting criteria approaches.

The Group’s rating systems ensure the availability of historical data necessary for estimating the following parameters:

1.Advanced Approach: Probability of Default (PD), Loss Given Default (LGD), and Credit Conversion Factors (CCF). These

parameters are subsequently used in the calculation of regulatory capital under the advanced approach, as well as in the

estimation of economic capital and expected credit loss for credit risk.

2.Foundation Approach: Probability of Default (PD), which is used in the calculation of regulatory capital, economic capital, and

expected credit loss.

3.Slotting Approach for Specialised Lending: Assignment of regulatory categories based on a set of prescribed qualitative and

quantitative factors. These factors, combined with the maturity of the exposure, determine the risk-weighted asset density

Other sources of information for the Bank may be used in addition, depending on any new needs detected in the estimation

process.

In the case of low default portfolios (LDP), in which the number of defaults tends to be insufficient for obtaining empirical

estimates, use is made of data from external agencies that are merged with the internal information available and expert criteria.

The following shows the estimation methodologies used for the PD, LGD and CCF risk parameters, for the purpose of calculating

regulatory capital requirements.

Probability of default (PD)

The methodology used for estimating the PD in cases that have a sufficiently large mass of internal data is based on the creation of

risk groups. The groups proposed with a view to calibration are defined by grouping contracts together, seeking to achieve intra-

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group homogeneity in terms of credit quality and differentiation with all the other risk groups. The largest possible number of

groups is defined in order to allow a suitable discrimination of risk.

The fundamental metric used for making these groupings is the score, being supplemented by other metrics relevant to PD that

are proven to be sufficiently discriminating depending on the portfolio.

Once the risk groups have been defined, the average empirical PD recorded for each one is obtained and adjusted to represent the

likely range of variability of the parameter.

In low default portfolios (LDPs) empirical PDs observed by external credit rating agencies are used, in order to derive robust PD

estimates for the internal risk group classifications.

Loss given default (LGD)

As a general rule, the method used to estimate loss given default (LGD) in portfolios with a sufficient number of defaults is

Workout LGD. Here, the LGD of a contract is obtained as a quotient of the sum of all the financial flows recorded during the

recovery process that takes place when a transaction defaults, and the transaction’s exposure at the time of default.

This estimate is made by considering all the historical data recorded in internal systems. When making the estimates, there are

transactions that have already defaulted but for which the recovery process is still ongoing. The loss given default recorded at the

time of the estimate is therefore higher than it will ultimately be. The necessary adjustments are made in these cases so as not to

distort the estimate.

These estimates are made by defining uniform risk groups in terms of the nature of the operations that determine the LGD. They

are made in such a way that there are enough groups for each one to be distinguishable and receive a different estimate.

The loss given default (LGD) rates estimated according to the internal databases the Bank holds are conditioned to the moment of

the cycle of the data window used, since loss given default varies over the economic cycle. Hence, the following concepts can be

defined: long-run loss given default (LRLGD), the downturn loss given default (DLGD), and loss given default best estimate (LGD

BE).

The DLGD is the key parameter to calculate the risk weighted assets and represents the LGD observed in an economic downturn.

Finally, LGD BE is determined according to the loss given default (LGD) observed in the BE period, which aims to cover the defaults

closest in time to the present, in other words those that have been produced at a time of the economic cycle that is similar to the

present and that also correspond to a very similar portfolio to the present one.

However, for defaulted transactions, the LGD at the worst time will be the LGD BE plus a stress, which is measured based on the

volatility of LGD.

Credit conversion factor (CCF)

As with the two preceding parameters, exposure at default is another of the necessary inputs for calculating expected loss and

regulatory capital. A contract’s exposure usually coincides with its balance. However, this is not applicable in all cases.

For example, for products with committed limits, such as credit facilities, the exposure should incorporate the potential increase in

the balance that may be recorded up to the time of default.

In observance of regulatory requirements, exposure is calculated as the drawn balance, which is the real risk at any specific

moment, plus a percentage (CCF) of the undrawn balance, which is the part that the customer can still use until the available limit

is reached. Therefore, the CCF is defined as the percentage of the undrawn balance that is expected to be used before default

occurs.

13 A cohort is a twelve-month window that has a reference date (closing of each month) and contains all delinquent transactions whose default date occurs within the

cohort. All operations must have a contract date prior to the reference date.

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CCF is estimated by using the cohort13 approach, analysing how the exposure varies from a pre-established reference date

through to the moment of default, obtaining the average performance according to the relevant metrics.

Different approaches are used for retail and wholesale exposure. The facility level approach analyses the evolution of the exposure

up to the time of the breach of contract, while the obligor level approach analyses the evolution of the exposure up to the moment

of the non-compliance of the client.

Again, in low-default portfolios there is not enough historical experience to be able to make a reliable estimate with the defined

LGD methodology. In this case, external sources are also used, which are combined with internal data to obtain a CCF

representative of the portfolio.

Validation process

The models used for calculating the parameters, as explained above, are subject to an effective contrast, in accordance with the

principle of proportionality, by the Internal Approval team, independent from those that have developed or used said calculation, in

order to ensure its accuracy, robustness and stability.

This review process is not restricted as to the time of approval, or the inclusion of changes in the models, but rather is framed

within a plan that allows for a periodic evaluation of them, resulting in the issuance of recommendations and mitigating actions for

the deficiencies identified.

As such, all models used in regulatory capital calculations using internal models must be subject to an annual review of the

calculation, which meet the minimum quantitative and qualitative test content requested by the supervisor in Section 4 of the

ECB's Guidelines on Internal Models (General Aspects); even when, in accordance with the principle of proportionality, certain

aspects or models that are relatively insignificant within the capital calculation may be subject to revision in the context of a

broader review cycle.

However, this possibility does not provide an exemption from conducting the various tests defined in the Instructions for Reporting

the Validation Results of Internal Models, issued by the ECB in February 2019 and the Supervisory handbook on the validation of

rating systems under the internal ratings based approach, and that should—for Internal Models on Capital for Credit Risk—be sent

to the supervisor on an annual basis and include:

–Back-testing of the parameters by comparing the model estimates with the levels actually achieved in the annual study

period.

–Discrimination Capacity Analysis, it being important to analyse the evolution of the calculated indices over time by

comparing them with indices obtained at different points in time (for example, during model construction).

–Representativeness Analysis, both in order to analyse that the model's application perimeter is set to the approved and

defined perimeter, and in order to analyse the representativeness of the historical data used in the estimation of the risk

parameters applied; with particular emphasis on tracking the record of changes made to the definition of default.

–Override analyses, which modify the final score obtained as a large number of analyses could indicate that the model is

lacking certain important information.

–Stability analysis: in order to assess the stability of the rating system, analyses will be conducted on customer migrations,

on the stability of the migration matrix and on concentration in rating grades; these analyses may be supplemented,

optionally and based on results, by comparing the Population Stability Index (PSI).

–Evaluation of the Data Used in the calibration by analysing the data extraction, processing and purging processes;

assessing potential implications for the estimate and establishing appropriate remedial actions.

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The various aspects detected by Internal Validation during the review process which are susceptible to be improved will be

reflected in the validation report by setting weaknesses (recommendations, suggestions or limitations) whose criticality is

expressed on a four-color scale based on the risk assigned to the same.

For each recommendation issued, the validation report will include the details of the person responsible for its resolution, the

proposed action plan and the committed resolution date (which will be limited by the maximum terms defined by validation based

on the severity granted to the same and the model TIER, these being greater for recommendations of lesser severity and TIER).

Once the suggestions, limitations and recommendations have been established, Internal Validation will issue its opinion on the

level of risk existing in the revised model, using a four-level scale.

The reports issued by Internal Validation, required as part of the approval process for the implementation of new models or

relevant changes to existing ones, will be presented to the committees established for this purpose.

Additionally, at least every six months, the periodic reports that have been issued throughout the period will be sent to the Risk

Models Management Committee (RMMC) for information purposes, and those classified as having a high level of Model Risk will be

presented.

Annually, the results of the year's Internal Validation work will be presented to the Global Risk Management Committee (GRMC)

and to the Risk and Compliance Committee of the BBVA Group Board of Directors (CRyC), with a summary of the conclusions

obtained on the models used in IRB Systems to calculate the Credit Risk Weight Assets reviewed detailing the main strengths and

weaknesses of the most relevant.

In addition, the details of the expired recommendations will be presented to the RMMC on a quarterly basis. The Committee urges

its members to take the appropriate measures to execute the necessary plans aiming to solve or mitigate the weaknesses

associated with the expired recommendations. Moreover, the information to these recommendations will be submitted to the

GRMC on a biannual basis.

4.2.7.2.IRB metrics by exposure class

Article 452 g), 453 g) CRR

The following table presents the information on credit risk as of December 31, 2025 (excluding counterparty credit risk, which is

set out in detail in Table CCR4 in section 4.2.8.2.3) using the internal ratings-based (IRB) approach, by debtor grade for the

different categories of exposure (AIRB and FIRB):

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TABLE 32.1. EU CR6 - IRB APPROACH - CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE (AIRB. MILLION EUROS. 12-31-2025)

PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
Prudential portfolios for AIRB approach	66,875	3,852	1.00 %	67,645	3.98 %	922,241	34.16 %		15,580	23 %	1,076	(829)
Central governments or central banks	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	—	—	—	—	—	—	—	—	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	—	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	—	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	—	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Regional governments or local authorities	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	—	—	—	—	—	—	—	—	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—

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PD Scale (1)(6)

Original on- balance sheet gross exposure

Off-balance sheet exposures pre CCF

Average CCF(2)

EAD post CRM and post-CCF

Average PD(3)

Number of obligors

Average LGD(4)

Average Maturity (days)(5)

RWA

RWA Density

EL

Value adjustments and provisions

30,00 to <100,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

100,00 (Default)

—

—

— %

—

— %

—

— %

—

—

— %

—

—

Public sector entities

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,00 to <0,15

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,00 to <0,10

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,10 to <0,15

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,15 to <0,25

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,25 to <0,50

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,50 to <0,75

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,75 to <2,50

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,75 to <1,75

—

—

— %

—

— %

—

— %

—

—

— %

—

—

1,75 to <2,50

—

—

— %

—

— %

—

— %

—

—

— %

—

—

2,50 to <10,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

2,50 to <5,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

5,00 to <10,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

10,00 to <100,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

10,00 to <20,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

20,00 to <30,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

30,00 to <100,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

100,00 (Default)

—

—

— %

—

— %

—

— %

—

—

— %

—

—

Corporates - Purchased receivables

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,00 to <0,15

—

—

—

—

—

—

—

—

—

—

—

—

0,00 to <0,10

—

—

—

—

—

—

—

—

—

—

—

—

0,10 to <0,15

—

—

—

—

—

—

—

—

—

—

—

—

0,15 to <0,25

—

—

—

—

—

—

—

—

—

—

—

—

0,25 to <0,50

—

—

—

—

—

—

—

—

—

—

—

—

0,50 to <0,75

—

—

—

—

—

—

—

—

—

—

—

—

0,75 to <2,50

—

—

—

—

—

—

—

—

—

—

—

—

0,75 to <1,75

—

—

—

—

—

—

—

—

—

—

—

—

1,75 to <2,50

—

—

—

—

—

—

—

—

—

—

—

—

2,50 to <10,00

—

—

—

—

—

—

—

—

—

—

—

—

2,50 to <5,00

—

—

—

—

—

—

—

—

—

—

—

—

5,00 to <10,00

—

—

—

—

—

—

—

—

—

—

—

—

10,00 to <100,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

p.125

Pillar 3  |  2025 >  4. Risk

PD Scale (1)(6)

Original on- balance sheet gross exposure

Off-balance sheet exposures pre CCF

Average CCF(2)

EAD post CRM and post-CCF

Average PD(3)

Number of obligors

Average LGD(4)

Average Maturity (days)(5)

RWA

RWA Density

EL

Value adjustments and provisions

10,00 to <20,00

—

—

—

—

—

—

—

—

—

—

—

—

20,00 to <30,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

30,00 to <100,00

—

—

—

—

— %

—

— %

—

—

— %

—

—

100,00 (Default)

—

—

— %

—

— %

—

— %

—

—

— %

—

—

Corporates - Other

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,00 to <0,15

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,00 to <0,10

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,10 to <0,15

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,15 to <0,25

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,25 to <0,50

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,50 to <0,75

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,75 to <2,50

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,75 to <1,75

—

—

— %

—

— %

—

— %

—

—

— %

—

—

1,75 to <2,50

—

—

— %

—

— %

—

— %

—

—

— %

—

—

2,50 to <10,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

2,50 to <5,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

5,00 to <10,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

10,00 to <100,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

10,00 to <20,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

20,00 to <30,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

30,00 to <100,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

100,00 (Default)

—

—

— %

—

— %

—

— %

—

—

— %

—

—

Memo item: Corporates - Large Corporates

—

—

— %

—

— %

—

— %

—

—

— %

—

—

0,00 to <0,15

—

—

—

—

—

—

—

—

—

—

—

—

0,00 to <0,10

—

—

—

—

—

—

—

—

—

—

—

—

0,10 to <0,15

—

—

—

—

—

—

—

—

—

—

—

—

0,15 to <0,25

—

—

—

—

—

—

—

—

—

—

—

—

0,25 to <0,50

—

—

—

—

—

—

—

—

—

—

—

—

0,50 to <0,75

—

—

—

—

—

—

—

—

—

—

—

—

0,75 to <2,50

—

—

—

—

—

—

—

—

—

—

—

—

0,75 to <1,75

—

—

—

—

—

—

—

—

—

—

—

—

1,75 to <2,50

—

—

—

—

—

—

—

—

—

—

—

—

2,50 to <10,00

—

—

—

—

—

—

—

—

—

—

—

—

2,50 to <5,00

—

—

—

—

—

—

—

—

—

—

—

—

5,00 to <10,00

—

—

—

—

—

—

—

—

—

—

—

—

10,00 to <100,00

—

—

— %

—

— %

—

— %

—

—

— %

—

—

p.126

Pillar 3  |  2025 >  4. Risk

PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
10,00 to <20,00	—	—	—	—	—	—	—	—	—	—	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	—	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Memo item: Corporates - SME	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Retail  - Secured by residential real estate	66,875	3,852	1.00 %	67,645	3.98 %	922,241	34.16 %	—	15,580	23 %	1,076	(829)
0,00 to <0,15	34,373	1,593	1.02 %	34,692	0.07 %	460,444	33.87 %	—	2,044	6 %	8	(4)
0,00 to <0,10	29,673	1,568	1.02	29,987	0.06	389,054	33.98	—	1,622	5	6	(3)
0,10 to <0,15	4,700	25	1.11 %	4,705	0.12 %	71,390	33.13 %	—	423	9 %	2	(1)
0,15 to <0,25	8,956	853	0.96 %	9,126	0.19 %	129,651	32.80 %	—	1,154	13 %	6	(2)
0,25 to <0,50	9,459	642	1.17 %	9,587	0.38 %	130,445	35.83 %	—	2,208	23 %	13	(4)
0,50 to <0,75	3,106	244	0.79 %	3,155	0.64 %	49,690	33.05 %	—	971	31 %	7	(3)
0,75 to <2,50	4,743	369	0.77 %	4,816	1.31 %	72,886	33.64 %	—	2,416	50 %	21	(19)
0,75 to <1,75	3,635	261	0.81 %	3,688	1.12 %	56,371	33.67 %	—	1,687	46 %	14	(12)
1,75 to <2,50	1,107	108	0.68	1,129	1.97	16,515	33.53	—	729	65	7	(7)
2,50 to <10,00	2,552	116	0.79 %	2,576	4.89 %	34,372	33.56 %	—	2,738	106 %	42	(75)
2,50 to <5,00	1,361	89	0.85 %	1,379	3.43 %	20,271	32.39 %	—	1,184	86 %	15	(51)
5,00 to <10,00	1,191	27	0.56 %	1,197	6.57 %	14,101	34.92 %	—	1,554	130 %	27	(24)
10,00 to <100,00	1,619	22	3.08 %	1,623	20.88 %	16,600	32.74 %	—	2,838	175 %	112	(69)

p.127

Pillar 3  |  2025 >  4. Risk

PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
10,00 to <20,00	825	4	1.21 %	826	13.76 %	8,469	33.11 %	—	1,381	167 %	38	(30)
20,00 to <30,00	531	7	5.87 %	532	22.79 %	5,029	31.07 %	—	948	178 %	38	(28)
30,00 to <100,00	263	10	1.75 %	265	39.23 %	3,102	34.92 %	—	510	192 %	37	(11)
100,00 (Default)	2,067	13	0.71 %	2,069	100.00 %	28,153	41.92 %	—	1,212	59 %	868	(653)
Retail  - Qualifying revolving	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	—	—	— %	—	— %	—	—	— %	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Retail  - Purchased receivables	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—

p.128

Pillar 3  |  2025 >  4. Risk

PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Retail - Other	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Memo item: Retail - Secured by immovable property SME	—	—	6.88 %	—	22.72 %	3	34.11 %	—	—	149 %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	—	—	—	—	—	—	—	—	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	—	—	—	—	—	—	—	—	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	6.88 %	—	22.72 %	3	34.11 %	—	—	149 %	—	—

p.129

Pillar 3  |  2025 >  4. Risk

PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	6.88 %	—	22.72 %	3	34.11 %	—	—	149 %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Memo item: Retail - Secured by immovable property non-SME	66,874	3,851	1.00 %	67,645	3.98 %	922,238	34.16 %	—	15,580	23 %	1,076	(829)
0,00 to <0,15	34,373	1,593	1.02 %	34,692	0.07 %	460,444	33.87 %	—	2,044	6 %	8	(4)
0,00 to <0,10	29,673	1,568	1.02 %	29,987	0.06 %	389,054	33.98 %	—	1,622	5 %	6	(3)
0,10 to <0,15	4,700	25	1.11 %	4,705	0.12 %	71,390	33.13 %	—	423	9 %	2	(1)
0,15 to <0,25	8,956	853	0.96 %	9,126	0.19 %	129,651	32.80 %	—	1,154	13 %	6	(2)
0,25 to <0,50	9,459	642	1.17 %	9,587	0.38 %	130,445	35.83 %	—	2,208	23 %	13	(4)
0,50 to <0,75	3,106	244	0.79 %	3,155	0.64 %	49,690	33.05 %	—	971	31 %	7	(3)
0,75 to <2,50	4,743	369	0.77 %	4,816	1.31 %	72,886	33.64 %	—	2,416	50 %	21	(19)
0,75 to <1,75	3,635	261	0.81 %	3,688	1.12 %	56,371	33.67 %	—	1,687	46 %	14	(12)
1,75 to <2,50	1,107	108	0.68	1,129	1.97 %	16,515	33.53 %	—	729	65 %	7	(7)
2,50 to <10,00	2,552	116	0.79 %	2,576	4.89 %	34,372	33.56 %	—	2,738	106 %	42	(75)
2,50 to <5,00	1,361	89	0.85 %	1,379	3.43 %	20,271	32.39 %	—	1,184	86 %	15	(51)
5,00 to <10,00	1,191	27	0.56 %	1,197	6.57 %	14,101	34.92 %	—	1,554	130 %	27	(24)
10,00 to <100,00	1,619	21	3.01 %	1,623	20.88 %	16,597	32.74 %	—	2,838	175 %	112	(69)
10,00 to <20,00	825	4	1.21 %	826	13.76 %	8,469	33.11 %	—	1,381	167 %	38	(30)
20,00 to <30,00	531	7	5.82 %	532	22.79 %	5,026	31.07 %	—	947	178 %	38	(28)
30,00 to <100,00	263	10	1.75 %	265	39.23 %	3,102	34.92 %	—	510	192 %	37	(11)
100,00 (Default)	2,067	13	0.71 %	2,069	100.00 %	28,153	41.92 %	—	1,212	59 %	868	(653)
Memo item: Retail - Other SME	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—

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PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Memo item: Retail - Other non-SME	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Total AIRB Approach	66,875	3,852	1.00 %	67,645	3.98 %	922,241	34.16 %		15,580	23 %	1,076	(829)
(*) Exposures of less than 500,000 euros rounded down to zero are shown with a dash.
(1) PD intervals established by the CRR3 EBA ITS.
(2) Calculated as EAD after CCF for off-balance sheet exposure over total off-balance exposure before CCF.
(3) Corresponds to obligor grade PD weighted by EAD post CRM.
(4) Corresponds to obligor grade LGD weighted by EAD post CRM.
(5) Corresponds to the maturity of the obligor in years weighted by EAD. In accordance with Regulation (EU) 680/2014, it is reported only for those categories where average maturities are relevant for the calculation of RWA. Residual maturities of less than one year are rounded to 1.
(6) Specialised lending exposures are included in the FIRB approach. The Group has chosen to use the supervisory slotting criteria method, in line with the provisions of article 153.5 of the CRR, therefore, following the CRR3 EBA ITS, Specialised Lending exposures are not included in this table.

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TABLE 32.2. EU CR6 - IRB APPROACH - CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE (FIRB. MILLION EUROS. 12-31-2025)

PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
Prudential portfolios for FIRB approach	142,974	123,081	35.57 %	186,739	1.54 %	66,325	38.47 %		78,993	42 %	1,086	(1,461)
Central governments or central banks	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	—	—	—	—	—	—	—	—	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	—	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	—	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	—	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Regional governments or local authorities	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	—	—	—	—	—	—	—	—	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—

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PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Public sector entities	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,15 to <0,25	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,25 to <0,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,50 to <0,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,75 to <1,75	—	—	— %	—	— %	—	— %	—	—	— %	—	—
1,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <5,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
5,00 to <10,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Institutions	19,739	13,334	36.17 %	24,557	0.20 %	1,007	39.35 %	7	6,450	26 %	19	(6)
0,00 to <0,15	14,674	10,377	35.55 %	18,356	0.07 %	503	39.89 %	9	3,497	19 %	5	(2)
0,00 to <0,10	11,624	9,307	35.40 %	14,912	0.06 %	370	39.81 %	11	2,546	17 %	3	(1)
0,10 to <0,15	3,050	1,069	36.85 %	3,444	0.11 %	133	40.22 %	2	951	28 %	2	(1)
0,15 to <0,25	1,980	2,159	37.61 %	2,793	0.18 %	167	44.76 %	3	1,052	38 %	2	(1)
0,25 to <0,50	584	399	46.44 %	772	0.34 %	80	30.92 %	4	253	33 %	1	—
0,50 to <0,75	1,643	157	41.09 %	1,707	0.56 %	64	25.55 %	2	677	40 %	2	(1)
0,75 to <2,50	769	134	25.04 %	798	1.21 %	95	44.95 %	2	787	99 %	4	(1)
0,75 to <1,75	769	134	25.04 %	798	1.21 %	95	44.95 %	2	787	99 %	4	(1)
1,75 to <2,50	—	—	— %	—	— %	—	— %	—	—	— %	—	—
2,50 to <10,00	80	95	37.07 %	117	4.19 %	37	44.42 %	1	151	129 %	2	(1)
2,50 to <5,00	80	95	37.15 %	117	4.19 %	29	44.42 %	1	151	129 %	2	(1)
5,00 to <10,00	—	—	11.71 %	—	8.64 %	8	45.00 %	1	—	175 %	—	—
10,00 to <100,00	9	14	30.56 %	12	38.34 %	59	45.00 %	3	32	261 %	2	(1)
10,00 to <20,00	—	7	20.23 %	1	13.26 %	8	45.00 %	2	3	200 %	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	9	8	39.29 %	11	41.58 %	51	45.00 %	3	29	269 %	2	—

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PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
100,00 (Default)	—	—	20.00 %	—	100.00 %	2	45.00 %	5	—	— %	—	—
Corporates - Specialised Lending	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,00 to <0,15	—	—	—	—	—	—	—	—	—	—	—	—
0,00 to <0,10	—	—	—	—	—	—	—	—	—	—	—	—
0,10 to <0,15	—	—	—	—	—	—	—	—	—	—	—	—
0,15 to <0,25	—	—	—	—	—	—	—	—	—	—	—	—
0,25 to <0,50	—	—	—	—	—	—	—	—	—	—	—	—
0,50 to <0,75	—	—	—	—	—	—	—	—	—	—	—	—
0,75 to <2,50	—	—	—	—	—	—	—	—	—	—	—	—
0,75 to <1,75	—	—	—	—	—	—	—	—	—	—	—	—
1,75 to <2,50	—	—	—	—	—	—	—	—	—	—	—	—
2,50 to <10,00	—	—	—	—	—	—	—	—	—	—	—	—
2,50 to <5,00	—	—	—	—	—	—	—	—	—	—	—	—
5,00 to <10,00	—	—	—	—	—	—	—	—	—	—	—	—
10,00 to <100,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
10,00 to <20,00	—	—	—	—	—	—	—	—	—	—	—	—
20,00 to <30,00	—	—	— %	—	— %	—	— %	—	—	— %	—	—
30,00 to <100,00	—	—	—	—	— %	—	— %	—	—	— %	—	—
100,00 (Default)	—	—	— %	—	— %	—	— %	—	—	— %	—	—
Corporates - Purchased receivables	5,123	—	— %	5,123	0.99 %	5,938	39.97 %	—	1,491	29 %	21	(14)
0,00 to <0,15	825	—	— %	825	0.09 %	792	40.00 %	1	138	17 %	—	—
0,00 to <0,10	444	—	— %	444	0.06 %	75	40.00 %	1	50	11 %	—	—
0,10 to <0,15	381	—	— %	381	0.12 %	717	40.00 %	2	89	23 %	—	—
0,15 to <0,25	2,623	—	— %	2,623	0.20 %	986	40.00 %	—	542	21 %	2	—
0,25 to <0,50	1,105	—	— %	1,105	0.37 %	865	39.94 %	—	354	32 %	2	—
0,50 to <0,75	219	—	— %	219	0.60 %	663	39.92 %	—	99	45 %	1	—
0,75 to <2,50	236	—	— %	236	1.22 %	974	39.83 %	—	146	62 %	1	(2)
0,75 to <1,75	191	—	— %	191	1.08 %	905	39.81 %	—	113	59 %	1	—
1,75 to <2,50	45	—	— %	45	1.81 %	69	39.92 %	—	32	72 %	—	(1)
2,50 to <10,00	38	—	— %	38	4.04 %	1,171	38.84 %	—	37	97 %	1	(1)
2,50 to <5,00	28	—	— %	28	3.09 %	694	38.59 %	—	24	88 %	—	—
5,00 to <10,00	10	—	— %	10	6.66 %	477	39.54 %	—	12	122 %	—	—
10,00 to <100,00	67	—	— %	67	37.34 %	429	39.98 %	—	175	262 %	10	(2)
10,00 to <20,00	1	—	— %	1	13.27 %	117	40.00 %	—	2	190 %	—	(1)
20,00 to <30,00	1	—	— %	1	23.81 %	10	40.00 %	—	2	206 %	—	—
30,00 to <100,00	65	—	— %	65	37.91 %	302	39.98 %	—	171	264 %	10	(1)
100,00 (Default)	10	—	— %	10	100.00 %	58	39.53 %	—	—	— %	4	(9)

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PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
Corporates - Other	118,113	109,747	35.50 %	157,059	1.76 %	59,380	38.28 %	2	71,052	45 %	1,046	(1,441)
0,00 to <0,15	18,311	29,983	34.63 %	28,815	0.09 %	6,403	39.89 %	2	6,109	21 %	11	(6)
0,00 to <0,10	11,265	16,896	33.54	17,034	0.07	364	40.00	2	3,044	18	5	(1)
0,10 to <0,15	7,046	13,087	36.04 %	11,782	0.12 %	6,039	39.74 %	2	3,064	26 %	6	(4)
0,15 to <0,25	43,133	44,450	37.85 %	59,977	0.20 %	5,995	39.27 %	2	20,631	34 %	48	(16)
0,25 to <0,50	22,900	14,291	35.54 %	27,902	0.36 %	8,121	37.58 %	2	13,234	47 %	39	(17)
0,50 to <0,75	10,743	6,907	37.75 %	13,376	0.59 %	6,768	37.76 %	2	8,077	60 %	30	(17)
0,75 to <2,50	13,515	8,285	34.57 %	16,379	1.24 %	12,003	36.15 %	2	12,721	78 %	76	(84)
0,75 to <1,75	11,375	6,791	33.30 %	13,646	1.12 %	11,476	36.07 %	2	10,318	76 %	57	(46)
1,75 to <2,50	2,140	1,494	40.35	2,733	1.81	527	36.54	2	2,404	88	18	(37)
2,50 to <10,00	6,964	5,214	18.83 %	7,851	4.58 %	13,208	33.37 %	2	8,129	104 %	128	(210)
2,50 to <5,00	4,931	4,007	17.54 %	5,559	3.41 %	8,963	33.12 %	2	5,236	94 %	67	(136)
5,00 to <10,00	2,032	1,207	23.10 %	2,293	7.42 %	4,245	33.98 %	2	2,893	126 %	61	(74)
10,00 to <100,00	996	412	36.60 %	1,141	23.06 %	3,538	36.79 %	2	2,148	188 %	101	(81)
10,00 to <20,00	482	140	29.32 %	519	14.20 %	1,628	36.80 %	2	910	176 %	29	(33)
20,00 to <30,00	224	169	44.70 %	300	23.04 %	229	39.02 %	1	615	205 %	27	(22)
30,00 to <100,00	291	102	33.19 %	323	37.27 %	1,681	34.72 %	2	623	193 %	45	(26)
100,00 (Default)	1,550	206	32.54 %	1,616	100.00 %	3,344	36.34 %	2	4	— %	615	(1,011)
Memo item: Corporates - Large Corporates	80,742	91,079	26.92 %	114,015	0.47 %	8,089	39.44 %	2	44,189	39 %	211	(226)
0,00 to <0,15	16,761	28,388	34.86 %	26,756	0.09 %	1,098	40.00 %	2	5,541	21 %	10	(3)
0,00 to <0,10	11,099	16,783	33.57 %	16,833	0.07 %	398	40.00 %	2	2,966	18 %	5	(1)
0,10 to <0,15	5,661	11,605	36.72 %	9,923	0.12 %	700	40.00 %	2	2,575	26 %	5	(1)
0,15 to <0,25	38,399	39,861	37.51 %	53,357	0.20 %	2,502	39.68 %	2	18,110	34 %	43	(13)
0,25 to <0,50	15,010	11,584	35.20 %	19,009	0.37 %	1,464	38.32 %	2	9,050	48 %	27	(10)
0,50 to <0,75	5,353	5,122	39.40 %	7,402	0.61 %	809	39.59 %	2	4,573	62 %	18	(7)
0,75 to <2,50	4,016	4,771	37.84 %	5,831	1.27 %	1,009	38.81 %	2	4,741	81 %	29	(42)
0,75 to <1,75	2,993	3,435	37.76 %	4,311	1.08 %	781	38.65 %	2	3,293	76 %	18	(10)
1,75 to <2,50	1,023	1,337	38.05	1,520	1.80 %	228	39.27 %	2	1,449	95 %	11	(32)
2,50 to <10,00	938	1,087	33.00 %	1,286	4.85 %	865	36.57 %	2	1,546	120 %	23	(94)
2,50 to <5,00	534	612	36.42 %	738	3.21 %	477	36.69 %	2	807	109 %	9	(62)
5,00 to <10,00	404	475	28.58 %	548	7.07 %	388	36.41 %	2	739	135 %	14	(32)
10,00 to <100,00	204	210	42.65 %	294	24.41 %	276	40.00 %	1	628	214 %	29	(22)
10,00 to <20,00	29	12	29.43 %	33	14.45 %	85	40.00 %	2	77	236 %	2	(6)
20,00 to <30,00	148	155	45.22 %	218	22.70 %	18	40.00 %	1	449	206 %	20	(15)
30,00 to <100,00	27	42	37.02 %	43	40.71 %	173	40.00 %	1	101	237 %	7	(1)
100,00 (Default)	60	56	38.83 %	82	100.00 %	66	39.76 %	1	—	— %	33	(35)
Memo item: Corporates - SME	17,156	6,218	26.92 %	18,785	6.81 %	46,479	34.31 %	2	10,720	57 %	484	(738)

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PD Scale (1)(6)	Original on- balance sheet gross exposure	Off-balance sheet exposures pre CCF	Average CCF(2)	EAD post CRM and post-CCF	Average PD(3)	Number of obligors	Average LGD(4)	Average Maturity (days)(5)	RWA	RWA Density	EL	Value adjustments and provisions
0,00 to <0,15	818	855	34.26 %	1,113	0.12 %	5,212	37.94 %	2	243	22 %	—	(3)
0,00 to <0,10	—	—	— %	—	— %	—	— %	—	—	— %	—	—
0,10 to <0,15	818	855	34.26 %	1,113	0.12 %	5,212	37.94 %	2	243	22 %	—	(3)
0,15 to <0,25	2,120	431	41.22 %	2,294	0.22 %	2,823	33.43 %	3	692	30 %	2	(1)
0,25 to <0,50	2,328	684	38.78 %	2,592	0.34 %	5,610	35.58 %	2	972	38 %	3	(3)
0,50 to <0,75	1,901	574	33.80 %	2,094	0.53 %	5,284	36.12 %	2	1,004	48 %	4	(5)
0,75 to <2,50	4,428	1,116	31.97 %	4,775	1.19 %	9,940	34.06 %	2	2,999	63 %	20	(23)
0,75 to <1,75	4,199	1,077	29.63 %	4,508	1.15 %	9,824	34.44 %	2	2,830	63 %	19	(22)
1,75 to <2,50	229	39	96.01 %	267	1.88 %	116	27.64 %	3	168	63 %	1	(1)
2,50 to <10,00	4,159	2,380	14.08 %	4,466	4.42 %	11,615	32.16 %	2	3,835	86 %	69	(79)
2,50 to <5,00	3,191	1,877	14.37 %	3,436	3.44 %	8,015	32.12 %	2	2,758	80 %	41	(57)
5,00 to <10,00	968	503	13.02 %	1,030	7.69 %	3,600	32.29 %	2	1,076	105 %	28	(22)
10,00 to <100,00	572	101	29.21 %	599	24.60 %	3,080	34.79 %	2	970	162 %	55	(35)
10,00 to <20,00	284	49	30.52 %	298	14.01 %	1,376	35.31 %	2	425	143 %	16	(18)
20,00 to <30,00	44	7	39.33 %	47	23.70 %	180	35.24 %	2	77	164 %	4	(4)
30,00 to <100,00	244	45	26.19 %	255	37.12 %	1,524	34.11 %	2	467	183 %	35	(13)
100,00 (Default)	829	77	29.60 %	852	100.00 %	2,915	36.00 %	2	4	1 %	330	(589)
Total FIRB Approach	142,974	123,081	35.57 %	186,739	1.54 %	66,325	38.47 %		78,993	42 %	1,086	(1,461)
(*) Exposures of less than 500,000 euros rounded down to zero are shown with a dash.
(1) PD intervals established by the CRR3 EBA ITS.
(2) Calculated as EAD after CCF for off-balance sheet exposure over total off-balance exposure before CCF.
(3) Corresponds to obligor grade PD weighted by EAD post CRM.
(4) Corresponds to obligor grade LGD weighted by EAD post CRM.
(5) Corresponds to the maturity of the obligor in years weighted by EAD. In accordance with Regulation (EU) 680/2014, it is reported only for those categories where average maturities are relevant for the calculation of RWA. Residual maturities of less than one year are rounded to 1.
(6) The Group has chosen to use the supervisory slotting criteria method fo specialised lending exposures, in line with the provisions of article 153.5 of the CRR, and therefore, following the CRR3 EBA ITS, specialised lending exposures are not included in this table.

For information about exposures and RWA under IRB approach, see tables 16 and 36.

The tables corresponding to June 30, 2025 are available in the editable file “Pillar 3 2025 - Tables & Annexes”.

The table below includes all collaterals meeting the eligibility criteria for solvency purposes, and have an effect on EAD or other parameters such as LGD in the case of credit risk exposures

under internal models (IRB).

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TABLE 33. EU CR7-A - IRB APPROACH – DISCLOSURE OF THE EXTENT OF THE USE OF CRM TECHNIQUES (MILLION EUROS. 12-31-2025)

	Total exposures	Funded credit Protection (FCP)									Unfunded credit Protection (UFCP)		RWEA without substitution effects (reduction effects only)	RWEA with substitution effects (both reduction and sustitution effects)
		Part of exposures covered by Financial Collaterals (%)	Part of exposures covered by Other eligible collaterals (%)				Part of exposures covered by Other funded credit protection (%)				Part of exposures covered by Guarantees (%)	Part of exposures covered by Credit Derivatives (%)
				Part of exposures covered by Immovable property Collaterals (%)	Part of exposures covered by Receivables (%)	Part of exposures covered by Other physical collateral (%)		Part of exposures covered by Cash on deposit (%)	Part of exposures covered by Life insurance policies (%)	Part of exposures covered by Instruments held by a third party (%)
Central governments and central banks	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Regional governments and local authorities	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Public sector entities	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Institutions	24,557	3.41 %	0.09 %	0.03 %	— %	0.07 %	— %	— %	— %	— %	— %	— %	12,434	6,450
Corporates	176,253	0.61 %	7.31 %	2.73 %	0.18 %	4.40 %	— %	— %	— %	— %	— %	— %	143,608	83,081
Corporates – General	157,059	0.69 %	8.20 %	3.06 %	0.20 %	4.93 %	— %	— %	— %	— %	— %	— %	124,376	71,052
Corporates – Specialised lending	14,071	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	17,222	10,538
Corporates – Purchased Receivables	5,123	0.03 %	0.12 %	0.03 %	0.04 %	0.06 %	— %	— %	— %	— %	— %	— %	2,010	1,491
Total FIRB	200,810	0.96 %	6.42 %	2.40 %	0.16 %	3.87 %	— %	— %	— %	— %	— %	— %	156,042	89,531

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TABLE 33. EU CR7-A - IRB APPROACH – DISCLOSURE OF THE EXTENT OF THE USE OF CRM TECHNIQUES (MILLION EUROS. 12-31-2025)

	Total exposures	Funded credit Protection (FCP)									Unfunded credit Protection (UFCP)		RWEA without substitution effects (reduction effects only)	RWEA with substitution effects (both reduction and sustitution effects)
		Part of exposures covered by Financial Collaterals (%)	Part of exposures covered by Other eligible collaterals (%)				Part of exposures covered by Other funded credit protection (%)				Part of exposures covered by Guarantees (%)	Part of exposures covered by Credit Derivatives (%)
				Part of exposures covered by Immovable property Collaterals (%)	Part of exposures covered by Receivables (%)	Part of exposures covered by Other physical collateral (%)		Part of exposures covered by Cash on deposit (%)	Part of exposures covered by Life insurance policies (%)	Part of exposures covered by Instruments held by a third party (%)
Central governments and central banks	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Regional governments and local authorities	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Public sector entities	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Corporates	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Corporates – General	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Corporates – Specialised lending	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Corporates – Purchased Receivables	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Retail	67,645	— %	98.05 %	96.83 %	— %	1.22 %	— %	— %	— %	— %	— %	— %	16,029	15,580
Retail – Qualifying revolving	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Retail – Secured by residential immovable property	67,645	— %	98.05 %	96.83 %	— %	1.22 %	— %	— %	— %	— %	— %	— %	16,029	15,580
Retail – Purchased Receivables	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Retail – Other retail exposures	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Total AIRB	67,645	— %	98.05 %	96.83 %	— %	1.22 %	— %	— %	— %	— %	— %	— %	16,029	15,580

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EU CR7-A (MILLION EUROS. 6-30-2025)

	Total exposures	Funded credit Protection (FCP)									Unfunded credit Protection (UFCP)		RWEA without substitution effects (reduction effects only)	RWEA with substitution effects (both reduction and sustitution effects)
		Part of exposures covered by Financial Collaterals (%)	Part of exposures covered by Other eligible collaterals (%)				Part of exposures covered by Other funded credit protection (%)				Part of exposures covered by Guarantees (%)	Part of exposures covered by Credit Derivatives (%)
				Part of exposures covered by Immovable property Collaterals (%)	Part of exposures covered by Receivables (%)	Part of exposures covered by Other physical collateral (%)		Part of exposures covered by Cash on deposit (%)	Part of exposures covered by Life insurance policies (%)	Part of exposures covered by Instruments held by a third party (%)
Central governments and central banks	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Regional governments and local authorities	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Public sector entities	—	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	—	—
Institutions	21,065	3.66 %	0.25 %	0.03 %	— %	0.22 %	— %	— %	— %	— %	3.77 %	— %	20,107	5,584
Corporates	116,206	0.51 %	1.92 %	0.55 %	0.02 %	1.35 %	— %	— %	— %	— %	10.36 %	— %	83,403	48,672
Corporates – General	101,447	0.59 %	2.19 %	0.63 %	0.02 %	1.54 %	— %	— %	— %	— %	10.76 %	— %	69,151	39,995
Corporates – Specialised lending	11,207	— %	— %	— %	— %	— %	— %	— %	— %	— %	6.03 %	— %	13,056	7,734
Corporates – Purchased Receivables	3,552	— %	— %	— %	— %	— %	— %	— %	— %	— %	12.64 %	— %	1,196	944
Total FIRB	137,270	1.00 %	1.66 %	0.47 %	0.01	1.18 %	— %	— %	— %	— %	9.35 %	— %	103,511	54,256

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EU CR7-A (MILLION EUROS. 6-30-2025)

	Total exposures	Funded credit Protection (FCP)									Unfunded credit Protection (UFCP)		RWEA without substitution effects (reduction effects only)	RWEA with substitution effects (both reduction and sustitution effects)
		Part of exposures covered by Financial Collaterals (%)	Part of exposures covered by Other eligible collaterals (%)				Part of exposures covered by Other funded credit protection (%)				Part of exposures covered by Guarantees (%)	Part of exposures covered by Credit Derivatives (%)
				Part of exposures covered by Immovable property Collaterals (%)	Part of exposures covered by Receivables (%)	Part of exposures covered by Other physical collateral (%)		Part of exposures covered by Cash on deposit (%)	Part of exposures covered by Life insurance policies (%)	Part of exposures covered by Instruments held by a third party (%)
Central governments and central banks	1,716	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	3	183
Regional governments and local authorities	186	0.03 %	0.03 %	— %	— %	0.03 %	— %	— %	— %	— %	— %	— %	85	34
Public sector entities	1,056	0.04 %	4.03 %	3.75 %	— %	0.28 %	— %	— %	— %	— %	— %	— %	842	613
Corporates	44,135	1.01 %	14.90 %	5.67 %	0.60 %	8.63 %	— %	— %	— %	— %	— %	— %	56,360	35,120
Corporates – General	43,017	1.03 %	15.27 %	5.82 %	0.61 %	8.84 %	— %	— %	— %	— %	— %	— %	54,299	34,620
Corporates – Specialised lending	0	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	0	0
Corporates – Purchased Receivables	1,118	0.06 %	0.59 %	0.07 %	0.13 %	0.40 %	— %	— %	— %	— %	— %	— %	1,431	500
Retail	98,806	0.03 %	64.95 %	63.84 %	— %	1.10 %	— %	— %	— %	— %	— %	— %	54,833	38,859
Retail – Qualifying revolving	16,293	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	29,868	16,422
Retail – Secured by residential immovable property	69,550	— %	91.57 %	90.52 %	— %	1.05 %	— %	— %	— %	— %	— %	— %	16,493	15,471
Retail – Purchased Receivables	5	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	— %	13	3
Retail – Other retail exposures	12,958	0.20 %	3.73 %	0.98 %	— %	2.75 %	— %	— %	— %	— %	— %	— %	8,459	6,964
Total AIRB	145,899	0.32 %	48.52 %	44.98 %	0.18 %	3.36 %	— %	— %	— %	— %	— %	— %	112,123	74,809

Currently, the Group does not use credit derivatives as a credit risk mitigation technique, so the EU CR7 table “IRB Approach - Effect on RWA of credit derivatives used as credit risk mitigation

techniques” is not applicable.

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4.2.7.3.Comparative analysis of the estimates made

Article 452 h) CRR

In application of article 452.h) of the CRR, two tables are presented below that show relevant information on the retrospective

tests of the probability of default (PD backesting) of exposures to credit risk (excluding counterparty and securitisations), at

consolidated level of the BBVA Group. Specifically, the PD estimated for the IRB models is compared with the average annual

default rate of obligors.

As of December 31, 2025, this information is shown in the standard format and applying the instructions of the CRR3 EBA ITS:

–EU CR9: Backtesting of PD per exposure class by fixed PD scale.

–EU CR9.1: Backtesting of PD by exposure class where an additional column is added to report the equivalent external

rating. The equivalence between the PD and the external ratings described in section 4.2.7.1.2 has been used.

Both tables exclude counterparty risk, securitisations and equity. It should be noted that this information is presented at a

consolidated level, adding the IRB portfolios of BBVA.S.A. and BBVA Mexico. The information presented in these tables is as

follows:

–Number of obligors: the obligors at the end of the previous fiscal year are presented.

–Of which: number of obligors who have defaulted: customers who defaulted at some point during the last 12 months, so

that the debtors in default during the year are shown for each PD interval.

–Observed average default rate: arithmetic mean of one-year default rates. To calculate this rate, the obligors at the end

of the previous year are taken into account in the denominator, and the obligors in default in the numerator.

–Arithmetic average PD and weighted average PD (EU CR9 only): the first one refers to the arithmetic average of the PD

per obligor grade at the beginning of the period. The weighted average PD will be calculated by weighting by the exposure

value of each PD range used for the RWA calculation. This weighted average PD will be the same as the one reported in

the EU CR6 table.

–Average historical annual default rate: it corresponds to the average annual default rate for the previous five years.

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TABLE 34.1. EU CR9 - IRB APPROACH - BACKTESTING OF PD PER EXPOSURE CLASS (FIXED PD SCALE) (AIRB. 12-31-2025)

AIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
Central governments or central banks
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Regional governments or local authorities
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %

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AIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
Public sector entities
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Corporates - Specialised Lending
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Corporates - Purchased receivables
0,00 to <0,15	—	—	— %	— %	— %	— %

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AIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Corporates - Other
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Memo item: Corporates - Large Corporates
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %

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AIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Memo item: Corporates - SME
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Retail  - Secured by residential real estate
0,00 to <0,15	159,323	270	— %	— %	— %	— %
0,00 to <0,10	135,737	224	— %	— %	— %	— %
0,10 to <0,15	23,586	46	— %	— %	— %	— %
0,15 to <0,25	86,889	269	— %	— %	— %	— %
0,25 to <0,50	61,937	355	1 %	— %	— %	1 %

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AIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
0,50 to <0,75	17,639	201	1 %	1 %	1 %	2 %
0,75 to <2,50	50,046	815	2 %	1 %	1 %	2 %
0,75 to <1,75	40,481	635	2 %	1 %	1 %	2 %
1,75 to <2,50	9,565	180	2 %	2 %	2 %	3 %
2,50 to <10,00	18,277	1,019	6 %	5 %	5 %	8 %
2,50 to <5,00	11,531	471	4 %	3 %	3 %	6 %
5,00 to <10,00	6,746	548	8 %	7 %	7 %	12 %
10,00 to <100,00	23,302	2,110	9 %	21 %	25 %	12 %
10,00 to <20,00	5,478	813	15 %	14 %	14 %	20 %
20,00 to <30,00	15,988	659	4 %	23 %	25 %	6 %
30,00 to <100,00	1,836	638	35 %	39 %	52 %	44 %
100,00 (Default)	25,005	—	— %	100 %	100 %	— %
Retail  - Qualifying revolving
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Retail  - Purchased receivables
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %

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AIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Retail - Other
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Memo item: Retail - Secured by immovable property SME
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %

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AIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	23 %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	23 %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Memo item: Retail - Secured by immovable property non-SME
0,00 to <0,15	159,323	270	0.17 %	0.07 %	0.08 %	0.26 %
0,00 to <0,10	135,737	224	0.17 %	0.06 %	0.07 %	0.24 %
0,10 to <0,15	23,586	46	0.20 %	0.12 %	0.13 %	0.35 %
0,15 to <0,25	86,889	269	0.31 %	0.19 %	0.19 %	0.43 %
0,25 to <0,50	61,937	355	0.57 %	0.38 %	0.35 %	0.83 %
0,50 to <0,75	17,639	201	1.14 %	0.64 %	0.57 %	1.50 %
0,75 to <2,50	50,046	815	1.63 %	1.31 %	1.39 %	2.49 %
0,75 to <1,75	40,481	635	1.57 %	1.12 %	1.23 %	2.30 %
1,75 to <2,50	9,565	180	1.88 %	1.97 %	2.08 %	3.31 %
2,50 to <10,00	18,277	1,019	5.58 %	4.89 %	4.84 %	8.01 %
2,50 to <5,00	11,531	471	4.08 %	3.43 %	3.35 %	5.84 %
5,00 to <10,00	6,746	548	8.12 %	6.57 %	7.37 %	11.73 %
10,00 to <100,00	23,302	2,110	9.06 %	20.88 %	24.67 %	12.12 %
10,00 to <20,00	5,478	813	14.84 %	13.76 %	14.04 %	20.17 %
20,00 to <30,00	15,988	659	4.12 %	22.79 %	25.16 %	5.74 %
30,00 to <100,00	1,836	638	34.75 %	39.23 %	52.03 %	43.59 %
100,00 (Default)	25,005	—	— %	100.00 %	100.00 %	— %
Memo item: Retail - Other SME
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %

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AIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Memo item: Retail - Other non-SME
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
(1) A floor of 0.03% PD is applied to exposures in the categories of Institutions, Corporates and Retail, according to Articles 160 and 163 of the CRR.

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TABLE 34.2. EU CR9 - IRB APPROACH - BACKTESTING OF PD PER EXPOSURE CLASS (FIXED PD SCALE) (FIRB. 12-31-2025)

FIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
Central governments or central banks
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Regional governments or local authorities
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %

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FIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
Public sector entities
0,00 to <0,15	—	—	— %	— %	— %	— %
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Institutions
0,00 to <0,15	1,053	6	0.57 %	0.07 %	0.11 %	0.32 %
0,00 to <0,10	245	1	0.41 %	0.06 %	0.07 %	— %
0,10 to <0,15	808	5	0.62 %	0.11 %	0.12 %	0.41 %
0,15 to <0,25	529	2	0.38 %	0.18 %	0.20 %	0.18 %
0,25 to <0,50	271	—	— %	0.34 %	0.33 %	0.37 %
0,50 to <0,75	147	—	— %	0.56 %	0.55 %	0.68 %
0,75 to <2,50	99	—	— %	1.21 %	1.28 %	— %
0,75 to <1,75	99	—	— %	1.21 %	1.28 %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	74	1	1.35 %	4.19 %	4.35 %	1.04 %
2,50 to <5,00	61	1	1.64 %	4.19 %	3.51 %	1.26 %
5,00 to <10,00	13	—	— %	8.64 %	8.28 %	— %
10,00 to <100,00	48	1	2.08 %	38.34 %	36.77 %	1.77 %
10,00 to <20,00	9	—	— %	13.26 %	14.46 %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	39	1	2.56 %	41.58 %	41.91 %	2.17 %
100,00 (Default)	22	—	— %	100.00 %	100.00 %	— %
Corporates - Specialised Lending
0,00 to <0,15	—	—	— %	— %	— %	— %

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FIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
0,00 to <0,10	—	—	— %	— %	— %	— %
0,10 to <0,15	—	—	— %	— %	— %	— %
0,15 to <0,25	—	—	— %	— %	— %	— %
0,25 to <0,50	—	—	— %	— %	— %	— %
0,50 to <0,75	—	—	— %	— %	— %	— %
0,75 to <2,50	—	—	— %	— %	— %	— %
0,75 to <1,75	—	—	— %	— %	— %	— %
1,75 to <2,50	—	—	— %	— %	— %	— %
2,50 to <10,00	—	—	— %	— %	— %	— %
2,50 to <5,00	—	—	— %	— %	— %	— %
5,00 to <10,00	—	—	— %	— %	— %	— %
10,00 to <100,00	—	—	— %	— %	— %	— %
10,00 to <20,00	—	—	— %	— %	— %	— %
20,00 to <30,00	—	—	— %	— %	— %	— %
30,00 to <100,00	—	—	— %	— %	— %	— %
100,00 (Default)	—	—	— %	— %	— %	— %
Corporates - Purchased receivables
0,00 to <0,15	339	—	— %	0.09 %	0.12 %	— %
0,00 to <0,10	28	—	— %	0.06 %	0.09 %	— %
0,10 to <0,15	311	—	— %	0.12 %	0.12 %	— %
0,15 to <0,25	447	—	— %	0.20 %	0.20 %	— %
0,25 to <0,50	341	—	— %	0.37 %	0.33 %	— %
0,50 to <0,75	279	—	— %	0.60 %	0.53 %	— %
0,75 to <2,50	419	3	0.72 %	1.22 %	1.19 %	0.60 %
0,75 to <1,75	400	3	0.75 %	1.08 %	1.16 %	0.63 %
1,75 to <2,50	19	—	— %	1.81 %	1.80 %	— %
2,50 to <10,00	523	3	0.57 %	4.04 %	4.67 %	— %
2,50 to <5,00	324	1	0.31 %	3.09 %	3.47 %	— %
5,00 to <10,00	199	2	1.01 %	6.66 %	6.64 %	— %
10,00 to <100,00	172	4	2.33 %	37.34 %	29.60 %	1.50 %
10,00 to <20,00	55	2	3.64 %	13.27 %	14.50 %	4.68 %
20,00 to <30,00	—	—	— %	23.81 %	— %	— %
30,00 to <100,00	117	2	1.71 %	37.91 %	36.70 %	— %
100,00 (Default)	30	—	— %	100.00 %	100.00 %	— %
Corporates - Other
0,00 to <0,15	5,410	4	0.07 %	0.09 %	0.12 %	0.17 %
0,00 to <0,10	224	—	— %	0.07 %	0.08 %	— %
0,10 to <0,15	5,186	4	0.08 %	0.12 %	0.12 %	0.18 %

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FIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
0,15 to <0,25	5,075	13	0.26 %	0.20 %	0.20 %	0.25 %
0,25 to <0,50	6,458	24	0.37 %	0.36 %	0.34 %	0.43 %
0,50 to <0,75	5,659	25	0.44 %	0.59 %	0.54 %	0.46 %
0,75 to <2,50	10,032	127	1.27 %	1.24 %	1.20 %	1.05 %
0,75 to <1,75	9,695	119	1.23 %	1.12 %	1.17 %	1.04 %
1,75 to <2,50	337	8	2.37 %	1.81 %	1.85 %	1.35 %
2,50 to <10,00	11,215	415	3.70 %	4.58 %	4.79 %	2.66 %
2,50 to <5,00	7,705	236	3.06 %	3.41 %	3.42 %	2.02 %
5,00 to <10,00	3,510	179	5.10 %	7.42 %	7.80 %	4.06 %
10,00 to <100,00	2,527	251	9.93 %	23.06 %	24.67 %	8.51 %
10,00 to <20,00	1,252	132	10.54 %	14.20 %	14.56 %	8.68 %
20,00 to <30,00	185	33	17.84 %	23.04 %	23.68 %	11.80 %
30,00 to <100,00	1,090	86	7.89 %	37.27 %	36.45 %	7.75 %
100,00 (Default)	2,505	—	— %	100.00 %	100.00 %	— %
Memo item: Corporates - Large Corporates
0,00 to <0,15	775	1	0.13 %	0.09 %	0.11 %	0.08 %
0,00 to <0,10	227	—	— %	0.07 %	0.09 %	— %
0,10 to <0,15	548	1	0.18 %	0.12 %	0.12 %	0.11 %
0,15 to <0,25	1,864	5	0.27 %	0.20 %	0.20 %	0.12 %
0,25 to <0,50	1,054	—	— %	0.37 %	0.35 %	0.25 %
0,50 to <0,75	601	1	0.17 %	0.61 %	0.57 %	— %
0,75 to <2,50	690	1	0.14 %	1.27 %	1.25 %	— %
0,75 to <1,75	555	—	— %	1.08 %	1.11 %	— %
1,75 to <2,50	135	1	0.74 %	1.80 %	1.81 %	— %
2,50 to <10,00	588	2	0.34 %	4.85 %	4.90 %	0.79 %
2,50 to <5,00	315	—	— %	3.21 %	3.42 %	0.69 %
5,00 to <10,00	273	2	0.73 %	7.07 %	6.60 %	0.92 %
10,00 to <100,00	220	6	2.73 %	24.41 %	29.72 %	3.35 %
10,00 to <20,00	72	2	2.78 %	14.45 %	15.18 %	1.98 %
20,00 to <30,00	14	—	— %	22.70 %	23.25 %	9.09 %
30,00 to <100,00	134	4	2.99 %	40.71 %	38.20 %	3.49 %
100,00 (Default)	62	—	— %	100.00 %	100.00 %	— %
Memo item: Corporates - SME
0,00 to <0,15	4,231	3	0.07 %	0.12 %	0.12 %	0.16 %
0,00 to <0,10	—	—	—	— %	— %	— %
0,10 to <0,15	4,231	3	0.07 %	0.12 %	0.12 %	0.16 %
0,15 to <0,25	2,321	5	0.22 %	0.22 %	0.20 %	0.33 %
0,25 to <0,50	4,368	23	0.53 %	0.34 %	0.33 %	0.46 %

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FIRB	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Weighted average PD(1)	Arithmetic average PD by obligors(1)	Average historical annual default rate
0,50 to <0,75	4,358	20	0.46 %	0.53 %	0.53 %	0.51 %
0,75 to <2,50	8,197	108	1.32	1.19 %	1.19 %	1.18
0,75 to <1,75	8,131	102	1.25	1.15 %	1.18 %	1.14
1,75 to <2,50	66	6	9.09	1.88	2.01	6.88
2,50 to <10,00	9,654	368	3.81 %	4.42 %	4.76 %	2.69 %
2,50 to <5,00	6,747	217	3.22 %	3.44 %	3.42 %	2.04 %
5,00 to <10,00	2,907	151	5.19 %	7.69 %	7.88 %	4.21 %
10,00 to <100,00	2,099	221	10.53 %	24.60 %	24.72 %	9.05
10,00 to <20,00	1,032	122	11.82	14.01 %	14.50 %	9.43
20,00 to <30,00	135	27	20.00	23.70 %	23.75 %	13.23
30,00 to <100,00	932	72	7.73 %	37.12 %	36.17 %	8.03
100,00 (Default)	2,163	—	—	100.00 %	100.00 %	—
(1) A floor of 0.03% PD is applied to exposures in the categories of Institutions, Corporates and Retail, according to Articles 160 and 163 of the CRR.

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TABLE 35.1. EU CR9.1 - BACKTESTING OF PD PER EXPOSURE CLASS (INTERNAL PD SCALE) (AIRB. 12-31-2025)

AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
Central governments or central banks
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	— %	—
0.03 to <0.04	AA	—	—	—	— %	—
0.04 to <0.05	AA-	—	—	—	— %	— %
0.05 to <0.06	A+	—	—	—	— %	—
0.06 to <0.09	A	—	—	—	—	—
0.09 to <0.11	A-	—	—	—	— %	—
0.11 to <0.17	BBB+	—	—	—	— %	—
0.17 to <0.24	BBB	—	—	— %	— %	—
0.29 to <0.39	BBB-	—	—	—	— %	—
0.39 to <0.67	BB+	—	—	—	— %	—
0.67 to <1.16	BB	—	—	—	— %	—
1.16 to <1.94	BB-	—	—	—	— %	—
1.94 to <3.35	B+	—	—	—	—	—
3.35 to <5.81	B	—	—	—	— %	—
5.81 to <11.61	B-	—	—	—	— %	—
11.61 to <100.00	CCC	—	—	— %	— %	—
100.00 (default)	D	—	—	— %	— %	—
Regional governments or local authorities
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	— %	—
0.04 to <0.05	AA-	—	—	—	— %	— %
0.05 to <0.06	A+	—	—	—	— %	— %
0.06 to <0.09	A	—	—	—	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	—	— %	—
1.16 to <1.94	BB-	—	—	—	— %	—
1.94 to <3.35	B+	—	—	—	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	—

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AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
11.61 to <100.00	CCC	—	—	— %	— %	—
100.00 (default)	D	—	—	—	— %	—
Public sector entities
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	— %	—
0.04 to <0.05	AA-	—	—	—	— %	—
0.05 to <0.06	A+	—	—	—	— %	—
0.06 to <0.09	A	—	—	—	— %	—
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Corporates - Specialised Lending
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	— %	— %
0.04 to <0.05	AA-	—	—	—	— %	—
0.05 to <0.06	A+	—	—	—	—	— %
0.06 to <0.09	A	—	—	—	— %	— %
0.09 to <0.11	A-	—	—	—	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	—	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %

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AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Corporates - Purchased receivables
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	—	—
0.04 to <0.05	AA-	—	—	—	—	—
0.05 to <0.06	A+	—	—	—	—	—
0.06 to <0.09	A	—	—	—	—	—
0.09 to <0.11	A-	—	—	—	—	—
0.11 to <0.17	BBB+	—	—	—	—	—
0.17 to <0.24	BBB	—	—	—	—	—
0.29 to <0.39	BBB-	—	—	—	—	—
0.39 to <0.67	BB+	—	—	—	—	—
0.67 to <1.16	BB	—	—	—	—	—
1.16 to <1.94	BB-	—	—	—	—	— %
1.94 to <3.35	B+	—	—	—	—	—
3.35 to <5.81	B	—	—	—	—	—
5.81 to <11.61	B-	—	—	—	—	—
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Corporates - Other
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	— %	— %	— %
0.06 to <0.09	A	—	—	— %	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16< to 1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %

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AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Memo item: Corporates - Large Corporates
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	—	—
0.04 to <0.05	AA-	—	—	—	—	—
0.05 to <0.06	A+	—	—	—	—	—
0.06 to <0.09	A	—	—	—	—	—
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Memo item: Corporates - SME
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	—	—	— %
0.06 to <0.09	A	—	—	— %	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %

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AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Retail  - Secured by residential real estate
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	54,554	96	0.18 %	0.05 %	0.23 %
0.06 to <0.09	A	64,207	92	0.14 %	0.08 %	0.23 %
0.09 to <0.11	A-	17,024	36	0.21 %	0.09 %	0.39 %
0.11 to <0.17	BBB+	28,922	74	0.26 %	0.14 %	0.42 %
0.17 to <0.24	BBB	80,300	236	0.29 %	0.19 %	0.43 %
0.29 to <0.39	BBB-	45,524	249	0.55 %	0.32 %	0.73 %
0.39 to <0.67	BB+	35,243	312	0.89 %	0.51 %	1.33 %
0.67 to <1.16	BB	15,572	191	1.23 %	0.91 %	1.87 %
1.16 to <1.94	BB-	27,688	474	1.71 %	1.47 %	2.66 %
1.94 to <3.35	B+	14,362	433	3.01 %	2.60 %	4.62 %
3.35 to <5.81	B	5,493	307	5.59 %	4.54 %	7.33 %
5.81 to <11.61	B-	5,555	453	8.15 %	7.99 %	12.33 %
11.61 to <100.00	CCC	22,969	2,086	9.08 %	24.87 %	13.03 %
100.00 (default)	D	25,005	—	— %	100.00 %	— %
Retail  - Qualifying revolving
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	— %	— %	— %
0.06 to <0.09	A	—	—	— %	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %

p.159

Pillar 3  |  2025 >  4. Risk

AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Retail  - Purchased receivables
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	—	—
0.04 to <0.05	AA-	—	—	—	—	—
0.05 to <0.06	A+	—	—	—	—	—
0.06 to <0.09	A	—	—	—	—	—
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Retail - Other
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	—	—	— %
0.06 to <0.09	A	—	—	— %	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %

p.160

Pillar 3  |  2025 >  4. Risk

AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Memo item: Retail - Secured by immovable property SME
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	— %	— %	— %
0.06 to <0.09	A	—	—	— %	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	— %	— %	— %
Memo item: Retail - Secured by immovable property non-SME
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	54,554	96	0.18 %	0.05 %	0.23 %
0.06 to <0.09	A	64,207	92	0.14 %	0.08 %	0.23 %
0.09 to <0.11	A-	17,024	36	0.21 %	0.09 %	0.39 %
0.11 to <0.17	BBB+	28,922	74	0.26 %	0.14 %	0.42 %
0.17 to <0.24	BBB	80,300	236	0.29 %	0.19 %	0.43 %
0.29 to <0.39	BBB-	45,524	249	0.55 %	0.32 %	0.73 %
0.39 to <0.67	BB+	35,243	312	0.89 %	0.51 %	1.33 %
0.67 to <1.16	BB	15,572	191	1.23 %	0.91 %	1.87 %
1.16 to <1.94	BB-	27,688	474	1.71 %	1.47 %	2.66 %
1.94 to <3.35	B+	14,362	433	3.01 %	2.60 %	4.62 %

p.161

Pillar 3  |  2025 >  4. Risk

AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
3.35 to <5.81	B	5,493	307	5.59 %	4.54 %	7.33 %
5.81 to <11.61	B-	5,555	453	8.15 %	7.99 %	12.33 %
11.61 to <100.00	CCC	22,969	2,086	9.08 %	24.87 %	13.03 %
100.00 (default)	D	25,005	—	— %	100.00 %	— %
Memo item: Retail - Other SME
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	— %	— %	— %
0.06 to <0.09	A	—	—	— %	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	— %	— %	— %
Memo item: Retail - Other non-SME
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	— %	— %	— %
0.06 to <0.09	A	—	—	— %	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %

p.162

Pillar 3  |  2025 >  4. Risk

AIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	— %	— %	— %

TABLE 35.2. EU CR9.1 - BACKTESTING OF PD PER EXPOSURE CLASS (INTERNAL PD SCALE) (FIRB. 12-31-2025)

FIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
Central governments or central banks
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	— %	—
0.03 to <0.04	AA	—	—	—	— %	—
0.04 to <0.05	AA-	—	—	—	— %	— %
0.05 to <0.06	A+	—	—	—	— %	—
0.06 to <0.09	A	—	—	—	—	—
0.09 to <0.11	A-	—	—	—	— %	—
0.11 to <0.17	BBB+	—	—	—	— %	—
0.17 to <0.24	BBB	—	—	— %	— %	—
0.29 to <0.39	BBB-	—	—	—	— %	—
0.39 to <0.67	BB+	—	—	—	— %	—
0.67 to <1.16	BB	—	—	—	— %	—
1.16 to <1.94	BB-	—	—	—	— %	—
1.94 to <3.35	B+	—	—	—	—	—
3.35 to <5.81	B	—	—	—	— %	—
5.81 to <11.61	B-	—	—	—	— %	—
11.61 to <100.00	CCC	—	—	— %	— %	—
100.00 (default)	D	—	—	— %	— %	—
Regional governments or local authorities
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	— %	—
0.04 to <0.05	AA-	—	—	—	— %	— %
0.05 to <0.06	A+	—	—	—	— %	— %
0.06 to <0.09	A	—	—	—	— %	— %
0.09 to <0.11	A-	—	—	— %	— %	— %

p.163

Pillar 3  |  2025 >  4. Risk

FIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	—	— %	—
1.16 to <1.94	BB-	—	—	—	— %	—
1.94 to <3.35	B+	—	—	—	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	—
11.61 to <100.00	CCC	—	—	— %	— %	—
100.00 (default)	D	—	—	—	— %	—
Public sector entities
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	— %	—
0.04 to <0.05	AA-	—	—	—	— %	—
0.05 to <0.06	A+	—	—	—	— %	—
0.06 to <0.09	A	—	—	—	— %	—
0.09 to <0.11	A-	—	—	— %	— %	— %
0.11 to <0.17	BBB+	—	—	— %	— %	— %
0.17 to <0.24	BBB	—	—	— %	— %	— %
0.29 to <0.39	BBB-	—	—	— %	— %	— %
0.39 to <0.67	BB+	—	—	— %	— %	— %
0.67 to <1.16	BB	—	—	— %	— %	— %
1.16 to <1.94	BB-	—	—	— %	— %	— %
1.94 to <3.35	B+	—	—	— %	— %	— %
3.35 to <5.81	B	—	—	— %	— %	— %
5.81 to <11.61	B-	—	—	— %	— %	— %
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Institutions
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	— %	— %
0.04 to <0.05	AA-	—	—	—	— %	—
0.05 to <0.06	A+	130	—	—	0.05	— %
0.06 to <0.09	A	115	1	0.87	0.09 %	— %
0.09 to <0.11	A-	—	—	—	— %	— %

p.164

Pillar 3  |  2025 >  4. Risk

FIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
0.11 to <0.17	BBB+	925	5	0.54 %	0.13 %	0.38 %
0.17 to <0.24	BBB	412	2	0.49	0.21 %	0.24 %
0.29 to <0.39	BBB-	271	—	— %	0.33 %	0.37 %
0.39 to <0.67	BB+	147	—	— %	0.55 %	0.68 %
0.67 to <1.16	BB	51	—	— %	0.94 %	— %
1.16 to <1.94	BB-	48	—	— %	1.64 %	— %
1.94 to <3.35	B+	34	1	2.94 %	2.76 %	— %
3.35 to <5.81	B	27	—	— %	4.45 %	2.86 %
5.81 to <11.61	B-	13	—	— %	8.28 %	— %
11.61 to <100.00	CCC	48	1	2.08 %	36.77 %	1.67 %
100.00 (default)	D	22	—	—	100.00 %	—
Corporates - Specialised Lending
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	—	—
0.04 to <0.05	AA-	—	—	—	—	—
0.05 to <0.06	A+	—	—	—	—	—
0.06 to <0.09	A	—	—	—	—	—
0.09 to <0.11	A-	—	—	—	—	—
0.11 to <0.17	BBB+	—	—	—	—	—
0.17 to <0.24	BBB	—	—	—	—	—
0.29 to <0.39	BBB-	—	—	—	—	—
0.39 to <0.67	BB+	—	—	—	—	—
0.67 to <1.16	BB	—	—	—	—	—
1.16 to <1.94	BB-	—	—	—	—	— %
1.94 to <3.35	B+	—	—	—	—	—
3.35 to <5.81	B	—	—	—	—	—
5.81 to <11.61	B-	—	—	—	—	—
11.61 to <100.00	CCC	—	—	— %	— %	— %
100.00 (default)	D	—	—	—	— %	—
Corporates - Purchased receivables
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	— %	— %	— %
0.06 to <0.09	A	5	—	— %	0.06 %	— %
0.09 to <0.11	A-	152	—	— %	0.10 %	— %

p.165

Pillar 3  |  2025 >  4. Risk

FIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
0.11 to <0.17	BBB+	328	—	— %	0.15 %	— %
0.17 to <0.24	BBB	149	—	— %	0.20 %	— %
0.29 to <0.39	BBB-	493	—	— %	0.30 %	— %
0.39 to <0.67	BB+	279	—	— %	0.53 %	— %
0.67 to <1.16	BB	230	—	— %	0.91 %	— %
1.16< to 1.94	BB-	189	3	1.59 %	1.53 %	1.30 %
1.94 to <3.35	B+	149	1	0.67 %	2.62 %	— %
3.35 to <5.81	B	269	—	— %	4.50 %	— %
5.81 to <11.61	B-	105	2	1.90 %	8.02 %	— %
11.61 to <100.00	CCC	172	4	2.33 %	29.60 %	1.52 %
100.00 (default)	D	30	—	—	100.00 %	—
Corporates - Other
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	—	—	—
0.04 to <0.05	AA-	—	—	—	—	—
0.05 to <0.06	A+	—	—	—	—	—
0.06 to <0.09	A	72	—	—	0.06	—
0.09 to <0.11	A-	2,679	2	0.07 %	0.10 %	0.19 %
0.11 to <0.17	BBB+	3,743	5	0.13 %	0.14 %	0.17 %
0.17 to <0.24	BBB	2,701	7	0.26 %	0.20 %	0.35 %
0.29 to <0.39	BBB-	7,269	21	0.29 %	0.31 %	0.35 %
0.39 to <0.67	BB+	6,138	31	0.51 %	0.54 %	0.50 %
0.67 to <1.16	BB	5,496	52	0.95 %	0.92 %	0.89 %
1.16 to <1.94	BB-	4,465	69	1.55 %	1.52 %	1.13 %
1.94 to <3.35	B+	4,172	114	2.73 %	2.69 %	1.72 %
3.35 to <5.81	B	4,199	143	3.41 %	4.37 %	2.37 %
5.81 to <11.61	B-	2,915	164	5.63 %	8.34 %	4.33 %
11.61 to <100.00	CCC	2,527	251	9.93 %	24.67 %	8.59 %
100.00 (default)	D	2,505	—	—	100.00 %	—
Memo item: Corporates - Large Corporates
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	—	—	— %
0.06 to <0.09	A	70	—	— %	0.06 %	— %
0.09 to <0.11	A-	266	1	0.38 %	0.10 %	0.37 %

p.166

Pillar 3  |  2025 >  4. Risk

FIRB	External rating equivalent	Number of obligors at the end of previous year	Of which number of obligors which defaulted in the year	Observed average default rate	Arithmetic average PD by obligors(1)	Average historical annual default rate
0.11 to <0.17	BBB+	1,274	3	0.24 %	0.15 %	0.11 %
0.17 to <0.24	BBB	158	1	0.63 %	0.20 %	0.47 %
0.29 to <0.39	BBB-	1,902	1	0.05 %	0.30 %	0.16 %
0.39 to <0.67	BB+	624	1	0.16 %	0.56 %	— %
0.67 to <1.16	BB	411	—	— %	0.97 %	— %
1.16 to <1.94	BB-	276	1	0.36 %	1.66 %	— %
1.94 to <3.35	B+	176	—	— %	2.77 %	0.66 %
3.35 to <5.81	B	301	2	0.66 %	4.72 %	0.83 %
5.81 to <11.61	B-	114	—	— %	8.58 %	1.10 %
11.61 to <100.00	CCC	220	6	2.73 %	29.72 %	3.62 %
100.00 (default)	D	62	—	—	100.00 %	—
Memo item: Corporates - SME
0.00 to <0.02	AAA	—	—	—	—	—
0.02 to <0.03	AA+	—	—	—	—	—
0.03 to <0.04	AA	—	—	— %	— %	— %
0.04 to <0.05	AA-	—	—	— %	— %	— %
0.05 to <0.06	A+	—	—	— %	— %	— %
0.06 to <0.09	A	—	—	— %	— %	— %
0.09 to <0.11	A-	2,253	1	0.04 %	0.10 %	0.15 %
0.11 to <0.17	BBB+	2,007	2	0.10 %	0.14 %	0.19 %
0.17 to <0.24	BBB	2,259	5	0.22 %	0.20 %	0.35 %
0.29 to <0.39	BBB-	4,042	17	0.42 %	0.32 %	0.38 %
0.39 to <0.67	BB+	4,717	26	0.55 %	0.53 %	0.57 %
0.67 to <1.16	BB	4,422	37	0.84 %	0.91 %	0.96 %
1.16 to <1.94	BB-	3,716	65	1.75 %	1.50 %	1.31 %
1.94 to <3.35	B+	3,618	103	2.85 %	2.67 %	1.77 %
3.35 to <5.81	B	3,557	128	3.60 %	4.33 %	2.49 %
5.81 to <11.61	B-	2,538	143	5.63 %	8.28 %	4.43 %
11.61 to <100.00	CCC	2,099	221	10.53 %	24.72 %	9.35 %
100.00 (default)	D	2,163	—	— %	100.00 %	— %

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As of December 31, 2025, the total number of short-term wholesale obligors (residual maturity of less than 1 year) whose

exposures are calculated under IRB approach rises to approximately 28,000 obligors. The largest number of these corresponds to

the regulatory categories of Corporates, in Spain. Additionally, the Group only has one PD model authorized by the Supervisor for

each of the aforementioned categories, therefore, 100% of the RWA are calculated under this PD model.

The comparability of the information and the composition of the time window are conditioned by the following factors:

–Long life cycle between the time the IRB parameters are updated and their final implementation, depending on the

materiality of the change, supervisory prioritization for the inspection and decision phases.

–Different nature, risk profile and economic cycles of the different portfolios, especially relevant in cases where several

geographies are aggregated in the same exposure class (mainly Corporates).

Minimum historical depth of 5 years: The annual historical default rates cover more than 5 years, seeking consistency between

regulatory and economic capital, as long as the supervisory process for the approval of the changes allows it.

Window overlap: Although there is an overlap of quarterly windows in the calibration of the pools, analysis are carried out to

measure and mitigate the possible bias that this overlapping could imply. In the quantification of the long-term PD, however, there

are no overlapping windows.

4.2.7.4.RWA flow statements of credit and counterparty credit risk under the IRB

approach

Article 438 h) CRR

The following table shows the flow statements of credit and counterparty credit risk RWA under internal model (IRB) during the

last quarter of 2025:

TABLE 36. EU CR8 - RWA FLOW STATEMENTS OF CREDIT AND COUNTERPARTY RISK EXPOSURES UNDER THE IRB

APPROACH (MILLION EUROS)

	Credit Risk		Counterparty Credit Risk		Total
	RWA amounts	Capital Requirements	RWA amounts	Capital Requirements	RWA amounts	Capital requirements
RWA as of September 30, 2025	133,369	10,670	5,636	451	139,005	11,120
Asset size	4,019	322	660	53	4,679	374
Asset quality	72	6	(427)	(34)	(354)	(28)
Model updates	—	—	—	—	—	—
Methodology and policy	(32,557)	(2,605)	(15)	(1)	(32,572)	(2,606)
Acquisitions and disposals	—	—	—	—	—	—
Foreign exchange movements	206	17	(4)	—	202	16
Other	—	—	—	—	—	—
RWA as of December 31, 2025	105,111	8,409	5,850	468	110,961	8,877

During the fourth quarter of 2025, the risk-weighted assets under the IRB method decreased significantly, driven by the partial

migration from AIRB to FIRB or the standardized approach in certain portfolios. Additionally, risk transfer securitisations executed

during the quarter enabled a capital release of approximately € 2.9 billion. These factors offset organic growth, primarily within

BBVA, S.A., supported by strong CIB activity in the United States, Asia, and the rest of Europe.

It is worth noting that the impact of foreign exchange fluctuations was immaterial during this period.

The full annual series of RWA flow of credit risk under the IRB approach is available in the editable file “Pillar 3 2025 – Tables &

Annexes”.

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4.2.7.5.Risk weights of specialised lending exposure

Article 438 e) CRR

The solvency regulation stipulates that the classification of specialised lending companies should apply to legal entities with the

following characteristics:

–The exposure is to an entity created specifically to finance and/or operate physical assets.

–The contractual arrangements give the lender a substantial degree of control over the assets and income they generate.

–The primary source of repayment of the obligation is the income generated by the assets being financed, rather than the

independent capacity of the borrower.

Corporate specialized lending exposures subject to the IRB Supervisory Slotting Approach, which is used by BBVA for RWA

calculations, are assigned to a grade, the determination of which takes into account the following factors:

1.Financial Strength that includes: market conditions, financial ratios, stress analysis and financial structure.

2.Political and legal environment that includes: political risks, country risks, force majeure risks, government support, stability

of legal and regulatory environment, local support and legal force of the contracts.

3.Asset and operational characteristics that includes: design and technology risks, permits and license risks, construction risks,

completion guarantees, Contractor and Operator qualifications, O&M agreements and supply risks.

4.Strength of the Sponsor that includes: financial strength, experience and support to the project.

5.Legal & Finance Structure that includes: pledges and assignments, covenants and restrictions, DSRA.

Once assigned to a grade, the exposure is risk-weighted in accordance with the risk weight applicable to that grade and remaining

maturity banding.

The following tables show information on specialised lending exposures by type according to CRR EBA ITS. as of December 31,

2025 and June 30, 2025:

TABLE 37. EU CR10 (1-4) - IRB: SPECIALISED LENDING (MILLION EUROS. 12-31-2025)

Specialised lending: Project Finance
Regulatory categories	Remaining maturity	On-balance sheet amount(1)	Off-balance sheet amount(2)	RW	Exposure amount(3)	RWA	Expected losses
Category 1	Less than 2.5 years	201	56	50%	225	93	—
Category 1	Equal to or more than 2.5 years	1,316	274	70%	1,433	852	6
Category 2	Less than 2.5 years	996	527	70%	1,210	730	5
Category 2	Equal to or more than 2.5 years	4,593	3,108	90%	5,907	4,604	47
Category 3	Less than 2.5 years	356	84	115%	394	340	11
Category 3	Equal to or more than 2.5 years	1,261	638	115%	1,516	1,471	42
Category 4	Less than 2.5 years	26	3	250%	27	50	2
Category 4	Equal to or more than 2.5 years	266	28	250%	283	568	23
Category 5	Less than 2.5 years	1	—		1	—	—
Category 5	Equal to or more than 2.5 years	4	—		4	—	2
Total	Less than 2.5 years	1,578	669		1,856	1,213	18
Total	Equal to or more than 2.5 years	7,441	4,048		9,142	7,496	120
(1) Corresponds to the original exposure.
(2) Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques.
(3) Corresponds to exposure value after CRM and CCF.

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Specialised lending: IPRE & HVCRE
Regulatory categories	Remaining maturity	On-balance sheet amount(1)	Off-balance sheet amount(2)	RW	Exposure amount(3)	RWA	Expected losses
Category 1	Less than 2.5 years	1,373	391	50 %	1,529	765	—
Category 1	Equal to or more than 2.5 years	1,449	1,453	70 %	2,031	1,422	8
Category 2	Less than 2.5 years	—	—	70 %	—	—	—
Category 2	Equal to or more than 2.5 years	56	—	90 %	56	50	—
Category 3	Less than 2.5 years	—	—	115 %	—	—	—
Category 3	Equal to or more than 2.5 years	—	—	115 %	—	—	—
Category 4	Less than 2.5 years	—	—	250 %	—	—	—
Category 4	Equal to or more than 2.5 years	—	—	250 %	—	—	—
Category 5	Less than 2.5 years	16.642	—		16.642	—	8.321
Category 5	Equal to or more than 2.5 years	—	—		—	—	—
Total	Less than 2.5 years	1,389	391		1,546	765	8
Total	Equal to or more than 2.5 years	1,505	1,453		2,086	1,472	9
(1) Corresponds to the original exposure.
(2) Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques.
(3) Corresponds to exposure value after CRM and CCF.

Specialised lending: Object Finance
Regulatory categories	Remaining Maturity	On-balance sheet amount(1)	Off-balance sheet amount(2)	RW	Exposure Amount(3)	RWA	Expected Losses
Category 1	Less than 2.5 years	991	—	50 %	991	497	—
Category 1	Equal to or more than 2.5 years	7,856	—	70 %	7,856	5,499	31
Category 2	Less than 2.5 years	—	—	70 %	—	—	—
Category 2	Equal to or more than 2.5 years	—	—	90 %	—	—	—
Category 3	Less than 2.5 years	—	—	115 %	—	—	—
Category 3	Equal to or more than 2.5 years	—	—	115 %	—	—	—
Category 4	Less than 2.5 years	—	—	250 %	—	—	—
Category 4	Equal to or more than 2.5 years	—	—	250 %	—	—	—
Category 5	Less than 2.5 years	—	—		—	—	—
Category 5	Equal to or more than 2.5 years	—	—		—	—	—
Total	Less than 2.5 years	991	—		991	497	—
Total	Equal to or more than 2.5 years	7,856	—		7,856	5,499	31
(1) Corresponds to the original exposure.
(2) Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques.
(3) Corresponds to exposure value after CRM and CCF.

Specialised lending: Commodities Finance
Regulatory categories	Remaining Maturity	On-balance sheet amount(1)	Off-balance sheet amount(2)	RW	Exposure Amount(3)	RWA	Expected Losses
Category 1	Less than 2.5 years	—	—	50%	—	—	—
Category 1	Equal to or more than 2.5 years	—	—	70%	—	—	—
Category 2	Less than 2.5 years	—	—	70%	—	—	—
Category 2	Equal to or more than 2.5 years	—	—	90%	—	—	—
Category 3	Less than 2.5 years	—	—	115%	—	—	—
Category 3	Equal to or more than 2.5 years	—	—	115%	—	—	—
Category 4	Less than 2.5 years	—	—	250%	—	—	—
Category 4	Equal to or more than 2.5 years	—	—	250%	—	—	—
Category 5	Less than 2.5 years	—	—		—	—	—
Category 5	Equal to or more than 2.5 years	—	—		—	—	—
Total	Less than 2.5 years	—	—		—	—	—
Total	Equal to or more than 2.5 years	—	—		—	—	—
(1) Corresponds to the original exposure.
(2) Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques.
(3) Corresponds to exposure value after CRM and CCF.

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EU CR10 (1-4) (MILLION EUROS. 6-30-2025)

Specialised lending: Project Finance
Regulatory categories	Remaining Maturity	On-balance sheet amount(1)	Off-balance sheet amount(2)	RW	Exposure Amount(3)	RWA	Expected Losses
Category 1	Less than 2.5 years	97	102	50%	145	60	—
Category 1	Equal to or more than 2.5 years	1,376	332	70%	1,517	864	6
Category 2	Less than 2.5 years	834	343	70%	976	537	4
Category 2	Equal to or more than 2.5 years	3,104	2,341	90%	4,105	2,948	33
Category 3	Less than 2.5 years	332	116	115%	384	331	11
Category 3	Equal to or more than 2.5 years	1,548	651	115%	1,825	1,595	51
Category 4	Less than 2.5 years	—	—	250%	—	—	—
Category 4	Equal to or more than 2.5 years	43	3	250%	44	111	4
Category 5	Less than 2.5 years	1	—		1	—	1
Category 5	Equal to or more than 2.5 years	32	—		32	—	16
Total	Less than 2.5 years	1,265	561		1,506	928	15
Total	Equal to or more than 2.5 years	6,104	3,327		7,523	5,519	110
(1) Corresponds to the original exposure.
(2) Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques.
(3) Corresponds to exposure value after CRM and CCF.

Specialised lending: IPRE & HVCRE
Regulatory categories	Remaining Maturity	On-balance sheet amount (1)	Off-balance sheet amount (2)	RW	Exposure Amount (3)	RWA	Expected Losses
Category 1	Less than 2.5 years	1,045	397	50 %	1,204	602	—
Category 1	Equal to or more than 2.5 years	979	1,055	70 %	1,401	981	6
Category 2	Less than 2.5 years	65	—	70 %	65	45	—
Category 2	Equal to or more than 2.5 years	—	—	90 %	—	—	—
Category 3	Less than 2.5 years	—	—	115 %	—	—	—
Category 3	Equal to or more than 2.5 years	—	—	115 %	—	—	—
Category 4	Less than 2.5 years	—	—	250 %	—	—	—
Category 4	Equal to or more than 2.5 years	—	—	250 %	—	—	—
Category 5	Less than 2.5 years	—	—		—	—	—
Category 5	Equal to or more than 2.5 years	—	—		—	—	—
Total	Less than 2.5 years	1,110	397		1,269	647	—
Total	Equal to or more than 2.5 years	980	1,055		1,402	981	6
(1) Corresponds to the original exposure.
(2) Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques.
(3) Corresponds to exposure value after CRM and CCF.

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Specialised lending: Object Finance
Regulatory categories	Remaining Maturity	On-balance sheet amount(1)	Off-balance sheet amount(2)	RW	Exposure Amount(3)	RWA	Expected Losses
Category 1	Less than 2.5 years	1	—	50 %	1	—	—
Category 1	Equal to or more than 2.5 years	9	—	70 %	9	6	—
Category 2	Less than 2.5 years	—	—	70 %	—	—	—
Category 2	Equal to or more than 2.5 years	—	—	90 %	—	—	—
Category 3	Less than 2.5 years	—	—	115 %	—	—	—
Category 3	Equal to or more than 2.5 years	—	—	115 %	—	—	—
Category 4	Less than 2.5 years	—	—	250 %	—	—	—
Category 4	Equal to or more than 2.5 years	—	—	250 %	—	—	—
Category 5	Less than 2.5 years	—	—		—	—	—
Category 5	Equal to or more than 2.5 years	—	—		—	—	—
Total	Less than 2.5 years	1	—		1	—	—
Total	Equal to or more than 2.5 years	9	—		9	6	—
(1) Corresponds to the original exposure.
(2) Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques.
(3) Corresponds to exposure value after CRM and CCF.

Specialised lending: Commodities Finance
Regulatory categories	Remaining Maturity	On-balance sheet amount(1)	Off-balance sheet amount(2)	RW	Exposure Amount(3)	RWA	Expected Losses
Category 1	Less than 2.5 years	—	—	50%	—	—	—
Category 1	Equal to or more than 2.5 years	—	—	70%	—	—	—
Category 2	Less than 2.5 years	—	—	70%	—	—	—
Category 2	Equal to or more than 2.5 years	—	—	90%	—	—	—
Category 3	Less than 2.5 years	—	—	115%	—	—	—
Category 3	Equal to or more than 2.5 years	—	—	115%	—	—	—
Category 4	Less than 2.5 years	—	—	250%	—	—	—
Category 4	Equal to or more than 2.5 years	—	—	250%	—	—	—
Category 5	Less than 2.5 years	—	—		—	—	—
Category 5	Equal to or more than 2.5 years	—	—		—	—	—
Total	Less than 2.5 years	—	—		—	—	—
Total	Equal to or more than 2.5 years	—	—		—	—	—
(1) Corresponds to the original exposure.
(2) Corresponds to the value of off-balance sheet exposure, regardless of credit conversion factors (CCF), or the effect of the Credit Risk Mitigation (CRM) techniques.
(3) Corresponds to exposure value after CRM and CCF.

For risk measurement of the Specialised Lending portfolio, the Group uses the "slotting criteria" approach, which classifies

exposures into different regulatory categories based on the risk assessment performed by the entity and the residual maturity. In

terms of the type of specialised lending, project finance represents 80% of the whole portfolio capital requirements with a total

exposure of €14,639 million and RWA consumption of €10,950 million.

During the period, there was growth, specially in project finance activity.

4.2.8.Information on counterparty credit risk

Counterparty credit risk exposure involves that part of the original exposure corresponding to derivative instruments, repurchase

and reverse repurchase transactions, securities or commodities lending transactions and deferred settlement transactions.

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4.2.8.1.Policies for managing counterparty risk

4.2.8.1.1.Methodology: allocation of internal capital and limits to exposure subject to

counterparty risk

Article 439 a) CRR

EU CCRA a)

The Group has an economic model for calculating internal capital through exposure to counterparty risk in treasury operations.

This model has been implemented in the Risk unit systems in Market areas. It is used to estimate the credit exposure for each of

the counterparties for which the entity operates.

Exposure is generated in a manner consistent with those used for the monitoring and control of credit risk limits. The time horizon

is divided up into intervals, and the market risk factors (interest rates, exchange rates, etc.) underlying the instruments that

determine their valuation are simulated for each interval.

Exposure is obtained based on the 2000 different scenarios generated using the Monte Carlo method for risk factors (subject to

counterparty risk) and applying the corresponding mitigating factors to each counterparty (i.e. applying collateral and/or

compensation arrangements, or netting, as applicable).

The correlations, loss given defaults, internal ratings and associated probabilities of default are consistent with the Group’s

economic model for general credit risk.

The capital for each counterparty is then calculated using the exposure profile and taking into account the analytical formula

adopted by Basel. This figure is modified by an adjustment factor for possible subsequent maturity after one year of the

operations, in a similar vein to the general approach adopted by Basel for the treatment of credit risk.

Counterparty limits are specified within the financial programs authorised for each subsidiary within the line item of treasury

limits. It stipulates both the limit and the maximum maturity for the transaction.

Small businesses Transactions that generate counterparty risk are subject to risk limits that control both bilateral risk and risk with

CCPs. When setting these limits for each business area and segment, and to ensure their correct application, the corresponding

capital consumption and revenue generated by this operation are taken into account.

There is also a risk committee that individually analyzes the most significant transactions to assess (among other aspects) the

relationship between profitability and risk.

The consumption of transactions within the limits is measured in terms of market capitalisation (mark to market) plus the

potential risk with Monte Carlo Simulation methodology (95% confidence level or above if there are mitigating agreements or a

risk of adverse links) and considering possible mitigating factors (such as netting, break clauses and collateral contracts).

Management of consumption by lines in the Markets area is carried out through a corporate platform that enables online

monitoring of the limits and liquid assets established for the different counterparties and customers. This control is completed by

independent units of the business area to guarantee proper segregation of functions.

4.2.8.1.2.Policies for ensuring the effectiveness of collateral and setting the value adjustments

for impairment losses to cover this risk

Article 439 b) CRR

EU CCRA b)

The Group negotiates agreements with its customers to mitigate counterparty risk within the legal frameworks applicable in each

of the countries where it operates. These agreements regulate the exchange of guarantees as a mechanism to reduce exposure

derived from transactions that generate counterparty risk.

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The assets covered by these agreements include cash, as well as financial assets with a high credit quality. In addition, the

agreements with customers include mechanisms that allow the immediate replacement of the collateral if its quality is impaired

(for example, a reduction in the market capitalisation or adverse changes in the asset rating).

Mitigation by compensation or netting transactions and by collateral only reduces the consumption of limits and capital if there is a

positive opinion on their immediate effectiveness in case of the counterparty’s default or insolvency.

An internal tool has been specifically designed to store and process the collateral contracts concluded with counterparties. This

application enables the existence of collateral to be taken into account at the transaction level (useful for controlling and

monitoring the status of specific operations) as well as at the counterparty level. Furthermore, this tool feeds the applications

responsible for estimating counterparty risk by providing all the necessary parameters for considering the impact of mitigation in

the portfolio due to the agreements signed.

In order to guarantee the effectiveness of collateral contracts, the Group carries out daily monitoring of the market values of

operations governed by such contracts and of the deposits made by the counterparties. Once the amount of the collateral to be

delivered or received is obtained, the collateral demand (margin call), or the demand received, is carried out at the intervals

established in the contract, usually daily.

If significant variations arise from the process of reconciliation between the counterparties, after a reconciliation in economic

terms, they are reported by the Collateral unit to the Risk unit for subsequent analysis and monitoring. Within the control process,

the Collateral unit issues a daily report on the guarantees which includes a description by counterparty of the exposure and

deposited collateral, making special reference to those guarantee deficits at or beyond the set warning levels.

As pointed out in section 4.2.5.1., financial assets and liabilities may be the object of compensation, or netting, in other words

presentation for a net amount in the consolidated balance sheet, only when the Group’s entities comply with the provisions laid

down in IAS 32 - Paragraph 42, and thus have the legally obliged right to offset the amounts recognised, and the intention to settle

the net amount or to divest the asset and pay the liability at the same time.

In addition, the Group has assets and liabilities on the balance sheet that are not netted and for which there are master netting

agreements, but for which there is neither the intention nor the right to settle. The most common types of events that trigger the

compensation of reciprocal obligations include the bankruptcy of the credit institution in question, swiftly accumulating

indebtedness, default, and the restructuring or dissolution of the entity.

In the current market context, derivatives are arranged under a variety of framework contracts, with the most general being those

developed by the International Swaps and Derivatives Association (ISDA), and for the Spanish market the Framework Agreement

for Financial Transactions (FAFT). Practically all portfolio derivative operations have been concluded under these master

contracts, including in them the netting clauses referred to in the above point as Master Netting Agreements, considerably

reducing the credit exposure in these instruments. Furthermore, in the contracts concluded with professional counterparties,

annexes are included with collateral agreements called Credit Support Annexes (CSA), thus minimizing exposure to a possible

counterparty insolvency.

At the same time, the Group has a high volume of assets sold under repurchase agreements traded through clearing houses that

use mechanisms to reduce counterparty risk, as well as through various master contracts in bilateral operations, the most

common being the Global Master Repurchase Agreement (GMRA), which is published by the International Capital Market

Association (ICMA). This tends to have clauses added relating to the exchange of collateral within the main body of the master

contract itself.

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4.2.8.1.3.Policies on the risk of adverse effects due to correlations

Article 439 c) CRR

EU CCRA c)

Derivatives contracts may give rise to potential adverse correlation effects between the exposure to the counterparty and its credit

quality (wrong-way-exposure).

The Group has specific policies for handling these type of exposures, which establish:

–How to identify transactions subject to adverse correlation risk.

–A specific transaction-by-transaction admission procedure.

–Measurements appropriate to the risk profile with adverse correlation and sanctioned in the corresponding decision-

making areas.

–Control and monitoring of the transaction.

4.2.8.1.4.Impact of collateral in the event of a downgrade in credit quality

Article 439 d) CRR

EU CCRA e)

In derivatives transactions, as a general policy the Group does not subscribe collateral contracts that involve an increase in the

amount to be deposited in the event of the Group being downgraded.

The general criteria applied to date with banking counterparties is to establish a zero threshold within collateral contracts,

irrespective of the mutual rating; provision will be made as collateral of any difference that arises through market capitalisation

(mark to market).

Since 2018, with the entry into force of the regulatory obligations for exchange of margins for derivatives that are not offset in the

clearing houses, all the collateral annexes have been adapted to the characteristics required by the regulation, among which is that

of establishing a zero threshold. Furthermore, the obligation to exchange initial margins with the main financial counterparties to

overcollateralize exposure was added in 2019.

4.2.8.2.Exposure to counterparty credit risk

The exposure value of derivative instruments will be determined based on one of the methods established in sections 3 to 6 of

chapter 6 of the CRR: standard method for counterparty credit risk, simplified standard method for credit risk counterparty,

original risk method or internal models method.

The exposure value of the securities financing transactions (SFTs) is determined in accordance with the methods provided in the

preceding paragraph or using those provided for in Chapter 4 of the CRR.

In this regard, the BBVA, S.A. Group calculates the exposure value of derivative instruments in accordance with the standardised

method for counterparty credit risk (SA-CCR) which is applicable since June 2021.

The SA-CCR framework calculates the aforementioned exposure by each netting set of the entity. The SA-CCR method defines the

exposure value as the product of a surcharge (α) applied to the sum of the replacement cost (RC) and the potential future

exposure (PFE). Where α is equal to 1.4.

Exposure value = α * (RC + PFE)

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The BBVA Group S.A. calculates the exposure value of the repurchase operations in accordance with the provisions of chapter 4

on credit risk mitigation and in accordance with the financial collateral comprehensive method.

A breakdown of the original exposure, EAD and RWA under counterparty credit risk (including exposures to Central

Counterparties) is below:

TABLE 38. POSITIONS SUBJECT TO COUNTERPARTY CREDIT RISK IN TERMS OF OE, EAD AND RWA (MILLION

EUROS. 12-31-2025)

Exposure Class and risk types	Securities financing transactions			Derivatives and transactions with deferred settlement			Total
	OE	EAD	RWA	OE	EAD	RWA	OE	EAD	RWA
Central governments or central banks	18,223	2,676	714	949	1,159	416	19,172	3,835	1,130
Regional governments or local authorities	—	—	—	132	16	4	132	16	4
Public sector entities	149	5	4	106	75	24	255	80	28
Multilateral development banks	19	—	—	68	5	—	87	5	—
International organisations	—	—	—	—	—	—	—	—	—
Institutions	8,862	467	101	1,535	1,535	263	10,397	2,002	365
Corporates	9,247	384	317	2,423	2,423	1,857	11,669	2,806	2,174
Retail	2	—	—	—	—	—	2	—	—
Secured by mortgages on immovable property	—	—	—	—	—	—	—	—	—
Exposures in default	—	—	—	—	—	—	—	—	—
Subordinated debt exposures	—	—	—	—	—	—	—	—	—
Covered bonds	—	—	—	—	—	—	—	—	—
Claims on institutions and corporates with a short-term credit assessment	—	—	—	—	—	—	—	—	—
Collective investments undertakings	—	—	—	—	—	—	—	—	—
Equity exposures	—	—	—	40	40	101	40	40	101
Other exposures	—	—	—	243	243	243	243	243	243
Total counterparty risk by standardised approach	36,501	3,532	1,136	5,497	5,497	2,908	41,998	9,029	4,044
FIRB approach	21,738	21,738	669	16,903	16,903	5,181	38,641	38,641	5,850
Central governments or central banks	—	—	—	—	—	—	—	—	—
Regional governments or local authorities	—	—	—	—	—	—	—	—	—
Public sector entities	—	—	—	—	—	—	—	—	—
Institutions	21,738	21,738	669	9,193	9,193	2,065	30,931	30,931	2,733
Corporates	—	—	—	7,710	7,710	3,117	7,710	7,710	3,117
AIRB approach	—	—	—	—	—	—	—	—	—
Central governments or central banks	—	—	—	—	—	—	—	—	—
Regional governments or local authorities	—	—	—	—	—	—	—	—	—
Public sector entities	—	—	—	—	—	—	—	—	—
Corporates	—	—	—	—	—	—	—	—	—
Retail	—	—	—	—	—	—	—	—	—
Total counterparty risk by IRB approach	21,738	21,738	669	16,903	16,903	5,181	38,641	38,641	5,850
Total counterparty risk	58,239	25,270	1,805	22,399	22,399	8,089	80,639	47,670	9,894

As of December 2025, positions subject to counterparty credit risk under the advanced method increased compared to June

2025. This movement was mainly driven by greater exposure in the entities segment, as well as by increased activity in

securities financing transactions.

In addition, counterparty credit risk exposure under the standardised approach increased, mainly due to greater activity in the

Central Government and Central Bank segment, linked to derivative instruments and deferred settlement transactions.

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4.2.8.2.1.Counterparty credit risk exposure by approach

Article 439 f), g), k) CRR

Below is an overview of the methods used to calculate the regulatory requirements for counterparty credit risk and the main

parameters of each method (excluding requirements for CVA and exposure cleared through a CCP, which are shown in tables

CVA1 and CCR8, respectively).

TABLE 39. EU CCR1 - ANALYSIS OF CCR EXPOSURE BY APPROACH (MILLION EUROS)

	12-31-2025
	Replacement cost (RC)	Potential future exposure  (PFE)	Expected Effective Positive Exposure (EEPE)	Alpha	Exposure value pre- CRM	Exposure value post- CRM	Exposure value (without CVA)	RWEA
Original Exposure Method (for derivatives)	—	—		1.4	—	—	—	—
Simplified SA-CCR (for derivatives)	—	—		1.4	—	—	—	—
SA-CCR (for derivatives)	3,677	11,559		1.4	20,429	20,429	20,036	7,789
IMM (for derivatives and SFTs)			—	—	—	—	—	—
Of which securities financing transactions netting sets			—		—	—	—	—
Of which derivatives and long settlement transactions netting sets			—		—	—	—	—
Of which from contractual cross-product netting sets			—		—	—	—	—
Financial collateral simple method (for SFTs)					—	—	—	—
Financial collateral comprehensive method (for SFTs)					54,870	26,242	24,877	1,726
VaR for SFTs					—	—	—	—
Total					75,299	46,671	44,913	9,515

	6-30-2025
	Replacement cost (RC)	Potential future exposure  (PFE)	Expected Effective Positive Exposure (EEPE)	Alpha	Exposure value pre- CRM	Exposure value post- CRM	Exposure value (without CVA)	RWEA
Original Exposure Method (for derivatives)	—	—		1.4	—	—	—	—
Simplified SA-CCR (for derivatives)	—	—		1.4	—	—	—	—
SA-CCR (for derivatives)	3,760	8,845		1.4	18,405	18,405	18,300	7,017
IMM (for derivatives and SFTs)			—	—	—	—	—	—
Of which securities financing transactions netting sets			—		—	—	—	—
Of which derivatives and long settlement transactions netting sets			—		—	—	—	—
Of which from contractual cross-product netting sets			—		—	—	—	—
Financial collateral simple method (for SFTs)					—	—	—	—
Financial collateral comprehensive method (for SFTs)					40,798	22,463	20,986	1,935
VaR for SFTs					—	—	—	—
Total					59,204	40,868	39,286	8,952

During the second half of 2025, consumption due to counterparty risk, excluding exposures to central counterparties, increases

under the SA-CCR method for derivative instruments, reflecting a higher volume of this type of transaction. Consumption due to

counterparty risk under the comprehensive approach for securities financing transactions decreased.

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4.2.8.2.2.Counterparty credit risk by standardised approach

Articles 439 l), 444 e) CRR

The following table shows a breakdown of exposure to counterparty credit risk (following credit risk mitigation and CCF

techniques) calculated using the standardised approach, by exposure category and risk weights (excluding exposures to central

counterparties):

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TABLE 40. EU CCR3 - STANDARDISED APPROACH - CCR EXPOSURES BY REGULATORY PORTFOLIO AND RISK (MILLION EUROS. 12-31-2025)

	Risk weight
	0%	2%	4%	10%	20%	50%	70%	75%	100%	150%	Others(1)	Total
Central governments or central banks	2,354	—	—	—	202	830	—	—	—	449	—	3,835
Regional government or local authorities	—	—	—	—	16	—	—	—	—	—	—	16
Public sector entities	19	—	—	—	25	28	—	—	9	—	—	80
Multilateral development banks	5	—	—	—	—	—	—	—	—	—	—	5
International organisations	—	—	—	—	—	—	—	—	—	—	—	—
Institutions	—	1,041	163	—	264	185	—	1	22	43	282	2,002
Corporates	—	—	—	—	448	485	—	65	1,768	3	37	2,806
Retail	—	—	—	—	—	—	—	—	—	—	—	—
Institutions and corporates with a short term credit assessment	—	—	—	—	—	—	—	—	—	—	—	—
Other items	—	—	—	—	—	—	—	—	243	—	40	283
Total	2,378	1,041	163	—	954	1,528	—	67	2,042	495	359	9,029
(1) Includes information on other risk weights, incorporating additional information to that provided for in the EBA Mapping Tool.

EU CCR3 (MILLION EUROS. 6-30-2025)

	Risk weight
	0%	2%	4%	10%	20%	50%	70%	75%	100%	150%	Others(1)	Total
Central governments or central banks	2,097	—	—	—	104	209	—	—	—	467	—	2,878
Regional government or local authorities	—	—	—	—	14	—	—	—	10	—	—	25
Public sector entities	23	—	—	—	25	—	—	—	14	—	—	63
Multilateral development banks	114	—	—	—	—	—	—	—	—	—	—	114
International organisations	2	—	—	—	—	—	—	—	—	—	—	2
Institutions	—	478	126	—	911	483	—	—	52	70	586	2,707
Corporates	—	—	—	—	363	584	—	57	1,634	17	40	2,695
Retail	—	—	—	—	—	—	—	—	—	—	—	—
Institutions and corporates with a short term credit assessment	—	—	—	—	—	—	—	—	—	—	—	—
Other items	—	—	—	—	—	—	—	—	181	1	—	182
Total	2,237	478	126	—	1,418	1,277	—	57	1,892	555	626	8,666
(1) Includes information on other risk weights, incorporating additional information to that provided for in the EBA Mapping Tool.

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For information on counterparty credit risk activity under the standardised approach of credit risk, see comments on Table 38.

4.2.8.2.3.Counterparty credit risk under IRB approach

Articles 439 l), 452 g) CRR

The following table shows the relevant parameters for the calculation of capital requirements to counterparty credit risk under

FIRB models as of December 31, 2025. At this date, no counterparty credit exposure is under AIRB models :

TABLE 41.2. EU CCR4 - IRB APPROACH: CCR EXPOSURES BY PORTFOLIO AND PD SCALE (FIRB. MILLION EUROS.

12-31-2025)

PD scale (1)(5)	EAD post- CRM	Average PD(2)	Number of Obligors	Average LGD(3)	Average Maturity (days)(4)	RWA	RWA Density
Total FIRB approach	38,073	0.76 %	2,623	22.49 %		5,438	14 %
Central governments or central banks	—	— %	—	— %	—	—	— %
0,00 <0,15	—	— %	—	— %	—	—	— %
0,15 <0,25	—	— %	—	— %	—	—	— %
0,25 <0,50	—	—	—	—	—	—	—
0,50 <0,75	—	—	—	—	—	—	—
0,75 <2,50	—	—	—	—	—	—	—
2,50 <10,00	—	—	—	—	—	—	—
10,00 <100,00	—	—	—	—	—	—	—
100,00 (Default)	—	—	—	—	—	—	—
Regional governments or local authorities	—	— %	—	— %	—	—	— %
0,00 <0,15	—	— %	—	— %	—	—	— %
0,15 <0,25	—	— %	—	— %	—	—	— %
0,25 <0,50	—	—	—	—	—	—	—
0,50 <0,75	—	—	—	—	—	—	—
0,75 <2,50	—	—	—	—	—	—	—
2,50 <10,00	—	—	—	—	—	—	—
10,00 <100,00	—	—	—	—	—	—	—
100,00 (Default)	—	—	—	—	—	—	—
Public sector entities	—	— %	—	— %	—	—	— %
0,00 <0,15	—	— %	—	— %	—	—	— %
0,15 <0,25	—	— %	—	— %	—	—	— %
0,25 <0,50	—	—	—	—	—	—	—
0,50 <0,75	—	—	—	—	—	—	—
0,75 <2,50	—	—	—	—	—	—	—
2,50 <10,00	—	—	—	—	—	—	—
10,00 <100,00	—	—	—	—	—	—	—
100,00 (Default)	—	—	—	—	—	—	—
Institutions	30,931	0.82 %	1,085	18.45 %	1	2,733	9 %
0,00 <0,15	26,074	0.07 %	709	18.77 %	1	1,741	7 %
0,15 <0,25	1,597	0.17 %	124	33.97 %	4	527	33 %
0,25 <0,50	110	—	45	45.00 %	2	48	44 %
0,50 <0,75	769	0.56 %	53	9.04 %	—	92	12 %
0,75 <2,50	1,874	0.97 %	66	7.04 %	—	207	11 %
2,50 <10,00	1	3.91 %	5	45.00 %	1	1	120 %
10,00 <100,00	506	41.58 %	83	3.81 %	—	117	23 %
100,00 (Default)	—	—	—	—	—	—	—
Corporates - Puchased receivables	—	— %	—	— %	—	—	— %
0,00 <0,15	—	— %	—	— %	—	—	— %
0,15 <0,25	—	— %	—	— %	—	—	— %
0,25 <0,50	—	—	—	—	—	—	—
0,50 <0,75	—	—	—	—	—	—	—
0,75 <2,50	—	—	—	—	—	—	—
2,50 <10,00	—	—	—	—	—	—	—
10,00 <100,00	—	—	—	—	—	—	—
100,00 (Default)	—	—	—	—	—	—	—
Corporates - Other	7,143	0.49 %	1,538	40.00 %	2	2,705	38 %

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PD scale (1)(5)	EAD post- CRM	Average PD(2)	Number of Obligors	Average LGD(3)	Average Maturity (days)(4)	RWA	RWA Density
0,00 <0,15	2,765	0.11 %	234	40.00 %	2	639	23 %
0,15 <0,25	2,798	0.19 %	387	40.00 %	2	964	34 %
0,25 <0,50	955	—	237	40.00 %	2	473	50 %
0,50 <0,75	216	0.60 %	188	40.00 %	3	157	73 %
0,75 <2,50	315	1.23 %	259	40.00 %	3	311	99 %
2,50 <10,00	60	5.36 %	187	40.00 %	3	91	152 %
10,00 <100,00	33	41.81 %	37	40.00 %	4	71	218 %
100,00 (Default)	1	100.00 %	9	40.00 %	1	—	—
Total FIRB Approach	38,073	0.76 %	2,623	22.49 %		5,438	14 %
(*) Exposures of less than 500,000 euros which are rounded down to zero are shown with a dash.
(1) PD intervals established by the CRR3 EBA ITS.
(2) Corresponds to obligor grade PD weighted by EAD.
(3) Corresponds to obligor grade LGD weighted by EAD.
(4) Corresponds to the maturity of the obligor in years weighted by EAD. In accordance with Regulation (EU) 680/2014, it is reported only for those categories where average maturities are relevant for the calculation of RWA. Residual maturities of less than one year are rounded to 1.
(5) The Group has chosen to use the supervisory slotting criteria method fo specialised lending exposures, in line with the provisions of article 153.5 of the CRR, and therefore, following the CRR3 EBA ITS, specialised lending exposures are not included in this table.

The table corresponding to June 30, 2025 is available in the editable file “Pillar 3 2025 - Tables & Annexes”.

As of December 31, 2025, exposures to central counterparties included in EU CCR8 table are excluded from this table. For more

information on counterparty trading activity under the standardized approach to credit risk, see comments on Table 38.

4.2.8.2.4.Composition of collateral for counterparty risk exposure

Article 439 e) CRR

A table with a breakdown of collaterals contributed or received by the Group to strengthen or reduce exposure to counterparty

credit risk related to derivatives transactions and securities financing transactions as of December 31, 2025 is presented below:

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TABLE 42. EU CCR5 - COMPOSITION OF COLLATERAL FOR EXPOSURE TO COUNTERPARTY CREDIT RISK (MILLION

EUROS. 12-31-2025)

	Collateral used in derivative transactions				Collateral used in SFTs
	Fair Value of Collateral received		Fair Value of posted Collateral( 1)		Fair Value of Collateral received		Fair Value of posted Collateral
	Segregated(2)	Unsegregated(3 )	Segregated(2)	Unsegregated(3 )	Segregated(2)	Unsegregated(3 )	Segregated(2)	Unsegregated(3 )
Cash- domestic currency	—	2,515	—	8,691	—	48,568	—	30,209
Cash- other currencies	—	1,520	40	2,736	—	30,569	—	25,457
Domestic sovereign debt	89	973	947	405	—	54	—	7,243
Other sovereign debt	963	3,663	1,497	193	—	7,825	144	13,130
Government agency debt	—	—	—	—	—	18	—	1,375
Corporate bonds	318	489	273	199	—	2,073	—	19,781
Equity securities	—	—	—	—	—	—	—	—
Other collateral	—	—	—	—	—	—	—	2,758
Total	1,371	9,160	2,758	12,224	—	89,107	144	99,954
(1) In accordance with Articles 279 and 298 of Regulation (EU) 2015/13 regarding the treatment of collateral for the purpose of calculating counterparty risk, the amount of collateral provided as collateral for the netting of derivative liability arrangements has been taken into account in the EAD calculation.
(2) Refers to collateral that is held in a bankruptcy-remote manner.
(3) Refers to collateral that is not held in a bankruptcy-remote manner.

EU CCR5 (MILLION EUROS. 6-30-2025)

	Collateral used in derivative transactions				Collateral used in SFTs
	Fair Value of Collateral received		Fair Value of posted Collateral(1 )		Fair Value of Collateral received		Fair Value of posted Collateral
	Segregated(2)	Unsegregated(3 )	Segregated(2)	Unsegregated(3 )	Segregated(2)	Unsegregated(3 )	Segregated(2)	Unsegregated(3 )
Cash- domestic currency	—	2,415	—	4,079	—	49,441	—	24,306
Cash- other currencies	9	1,517	159	2,185	—	19,912	—	21,499
Domestic sovereign debt	23	2,721	1,362	114	—	285	590	7,519
Other sovereign debt	300	3,332	549	79	—	6,431	130	15,174
Government agency debt	—	—	—	—	—	11	—	8
Corporate bonds	90	136	249	84	—	1,557	—	13,213
Equity securities	—	—	—	—	—	—	—	—
Other collateral	—	—	—	—	—	—	—	3,512
Total	422	10,123	2,319	6,541	—	77,637	721	85,230
(1) In accordance with Articles 279 and 298 of Regulation (EU) 2015/13 regarding the treatment of collateral for the purpose of calculating counterparty risk, the amount of collateral provided as collateral for the netting of derivative liability arrangements has been taken into account in the EAD calculation.
(2) Refers to collateral that is held in a bankruptcy-remote manner.
(3) Refers to collateral that is not held in a bankruptcy-remote manner.

As of December 31, 2025, collateral received and delivered in securities financing transactions (SFTs) increased due to higher

trading activity during the half-year. Meanwhile, there was an increase in the fair value of collateral in derivative transactions

delivered.

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4.2.8.2.5.Credit derivatives transactions

Article 439 j) CRR

The table below shows the amounts of credit derivative transactions, broken down into purchased and sold derivatives:

TABLE 43. EU CCR6 - CREDIT DERIVATIVES EXPOSURES (MILLION EUROS)

	12-31-2025		6-30-2025
	Credit derivative hedges		Credit derivative hedges
	Protection Bought	Protection Sold	Protection Bought	Protection Sold
Notionals
Single-name credit default swaps	6,493	5,765	6,155	5,529
Index credit default swaps	24,272	26,172	19,959	21,619
Total return swaps	100	3,625	—	1,715
Credit options	—	—	1,500	1,000
Other credit derivatives	—	—	—	—
Notionals Total	30,865	35,562	27,614	29,863
Fair Values
Positive fair value (asset)	25	765	23	534
Negative fair value (liability)	(698)	(58)	(528)	(24)

The main change compared to June 30, 2025, was due to new transactions in indexed CDSs.

Additionally, as of December 31, 2025, the Group did not have any credit options used in intermediation activities as hedges.

4.2.8.3.Exposure to central counterparty clearing houses

Article 439 i) CRR

The following table presents a complete overview of the exposure to central counterparty clearing houses by type of exposure

(arising from transactions, margins, or contributions to the default fund) and their corresponding capital requirements:

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TABLE 44. EU CCR8 -  EXPOSURES TO CCPS (MILLION EUROS)

	12-31-2025		6-30-2025
	EAD post CRM	RWA	EAD post CRM	RWA
Exposures to QCCPs (total)		148		168
Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which	1,153	26	751	44
(i) OTC Derivatives	714	18	549	40
(ii) Exchange-traded derivatives	118	2	172	3
(iii) Securities financing transactions (SFTs)	321	6	30	1
(iv) Netting sets where cross-product netting has been approved	—	—	—	—
Segregated initial margin	1,651		1,653
Non-segregated initial margin	32	1	35	1
Pre-funded default fund contributions	351	121	430	124
Unfunded default fund contributions	793	—	742	—
Exposures to non-QCCPs (total)		428		343
Exposures for trades at non-QCCPs (excluding initial margin and default to contributions); of which	1,604	353	1,624	293
(i) OTC Derivatives	10	2	20	3
(ii) Exchange-traded derivatives	1,522	279	1,578	264
(iii) Securities financing transactions (SFTs)	72	72	27	27
(iv) Netting sets where cross-product netting has been approved	—	—	—	—
Segregated initial margin	—		—
Non-segregated initial margin	277	71	176	48
Pre-funded default fund contributions	—	4	—	1
Unfunded default fund contributions	—	—	—	—

As of December 31, 2025, exposures to central counterparties have grown compared to June 30, 2025, driven mainly by the

increase in OTC derivatives volumes and securities financing transactions with qualified entities. Although this increase in

exposure is observed, the associated RWA volume remains stable. On the other hand, in the area of non-qualified entities, there

has been an upturn in exposure to exchange-traded derivatives, a factor that explains the increase in capital requirements for the

period in this segment.

4.2.8.4.CVA charge requirements

Article 445a (1) a) CRR

EU CVAA a)

The CVA surcharge in Capital refers to the additional capital requirements to cover unexpected losses due to credit valuation

adjustments.

Procedures for calculating the valuation adjustments and reserves

The fair value of liabilities should reflect the entity's default risk, which includes, among other components, its own credit risk.

Taking this into account, the Group makes valuation adjustments for credit risk in the estimates of the fair value of its assets and

liabilities.

These adjustments are calculated by estimating Exposure At Default, Probability of Default and Loss Given Default, which are

based on the recovery levels for all derivative products on any instrument, deposits and repos at the legal entity level (all

counterparties under a same master agreement), in which BBVA has exposure.

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Credit Valuation Adjustment (hereinafter “CVA”) and Debit Valuation Adjustments (hereinafter “DVA”) are included in the

valuation of derivatives, both assets and liabilities, to reflect the impact on the fair value of the counterparty credit risk and its own,

respectively. The Group incorporates in its valuation, for all exposures classified in any of the categories valued at fair value, both

the counterparty credit risk and its own. In the trading portfolio, and in the specific case of derivatives, credit risk is recognized

through such adjustments.

As a general rule, the calculation of CVA is the sum of the expected positive exposure in time t, the probability of default between

t-1 and t, and the Loss Given Default of the counterparty. Consequently, the DVA is calculated as the sum of the expected negative

exposure in time t, the probability of default of BBVA between t-1 and t, and the Loss Given Default of BBVA. Both calculations are

performed throughout the entire period of potential exposure.

The calculation of the expected positive and negative exposure is done through a Montecarlo simulation of the market variables

involved in all trades’ valuation under the same legal netting set.

The information needed to calculate the probability of default and the loss given default of a counterparty comes from the credit

markets. The counterparty’s Credit Default Swaps are used if liquid quotes are available. If a market price is not available, BBVA

has implemented a mapping process based on the sector, rating and geography of the counterparty to assign probabilities of

default and loss given default calibrated directly to market.

An additional adjustment for Own Credit Adjustment (hereinafter "OCA") is applied to the instruments accounted for by applying

the Fair Value Option permitted by IFRS 9.

Capital requirements for CVA risk are subject to ongoing supervision by local capital teams and are integrated into corporate tools

and established reporting circuits, both locally and at the consolidated level.

These metrics are also included in the periodic information submitted to the monthly capital committees, where they are analyzed

and reviewed to ensure methodological consistency and the reliability of the information reported.

Methodologies for calculating capital requirements for CVA

There are three methods of calculating capital requirements:

–Standardised approach (Art. 383 CRR). It is based on the sum of delta and vega risk, calculated using sensitivities to

factors such as interest rates, spreads and volatility. Requires supervisory approval, a dedicated management unit,

regulatory models per counterparty and the ability to calculate these sensitivities on a monthly basis. It allows for the

inclusion of eligible hedges if they are correctly modelled. This approach seeks to standardise and simplify the calculation

of CVA risk, improving comparability and transparency. As of December 31, 2025, no subsidiary of the Group has the

supervisory authorisation for using this method.

–Basic approach (Art 384 CRR). which allows CVA capital requirements to be calculated without the need for internal

models and sensitivities. It provides a simpler and more conservative alternative to the standardised approach and does

not require prior supervisory approval.

–Simplified approach (Art 385 CRR), which allows institutions that meet certain requirements established in the CRR to

calculate the capital requirements for CVA as 8% of the RWA for counterparty risk. Although less complex than the

standard approach, it requires greater granularity than the basic method and can recognize hedges under certain

conditions. As of December 31, 2025, no subsidiary of the Group meets the requirements for using this method.

The variations in terms of RWA during the last quarter of 2025 are presented below:

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Pillar 3  |  2025 >  4. Risk

TABLE 45. RWEA FLOW STATEMENTS OF CREDIT VALUATION ADJUSTMENT RISK (MILLION EUROS)

	Risk weighted exposure amount	Own funds requirements
RWA as of September 30, 2025	2,403	192
Asset size	133	11
Foreign exchange movements	(7)	(1)
Other	—	—
RWA as of December 31, 2025	2,530	202

As of December 31, 2025, risk weighted assets for CVA increased by €133 million, mainly due to the increase in the EAD of the

derivatives portfolio, partially offset by a €7 million reduction due to the exchange rate effect.

The full annual series of RWA flow of credit valuation adjustments under the standardised approach is available in the editable file

“Pillar 3 2025 – Tables & Annexes”.

The basic method, which is used by the Group to calculate the CVA capital requirement, is described in detail below.

4.2.8.4.1.Basic approach

Article 445a (3) a) CRR

The basic CVA approach, regulated by article 384 of CRR3, allows for the calculation of the capital requirement for credit valuation

adjustment (CVA) risk in a simplified manner. This approach is designed for institutions that do not have supervisory approval for

the use of the standardised approach. It aims to provide a simple and prudent alternative, particularly suitable for institutions with

less complex derivatives portfolios.

The basic approach has two methodologies:

1.Full Basic Approach (FBA). When one or more eligible hedging measures are included in the calculation.

2.Reduced Basic Approach (RBA). No eligible hedges are included in the calculation of the minimum requirements.

The latter is used in the Group for the calculation of CVA requirements. The total of CVA's risk-based own funds requirements

under the reduced basic approach and their components are presented below:

TABLE 46. EU CVA1 - CREDIT VALUATION ADJUSTMENT RISK UNDER THE REDUCED BASIC APPROACH (R-BA)

(MILLION EUROS. 12-31-2025)

	Components of own funds requirements	Own funds requirements
Aggregation of systematic components of CVA risk	472
Aggregation of idiosyncratic components of CVA risk	99
Total		202

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Pillar 3  |  2025 >  4. Risk

4.2.9.Information on securitisation

4.2.9.1.General characteristics of securitisation

4.2.9.1.1.Purposes of securitisation

Article 449 a), b) CRR

EU SECA a), b)

The Group’s current securitisation policy considers a recurrent issuance program with a deliberate diversification of securitised

assets that adjusts their volume to the Bank’s capital requirements and to market conditions.

This program is complemented by all the other finance and capital instruments, thereby diversifying the need to resort to

wholesale markets.

The definition of the strategy and the execution of the operations, as with all other wholesale finance and capital management, is

supervised by the Assets & Liabilities Committee, with the pertinent internal authorisations obtained directly from the Board of

Directors or from the Executive Committee.

The main objective of securitisation is to serve as an instrument for the efficient management of the balance sheet, mainly as a

source of liquidity at an efficient cost, obtaining liquid assets through eligible collateral, as a complement to other financial

instruments. In addition, there are other secondary objectives associated with the use of securitisation instruments, such as the

freeing up of regulatory capital by transferring risk, and the freeing of potential excess over the expected loss, as long as the

volume of the first-loss tranche and risk transfer allow it.

In accordance with the STS (Simple, Transparent and Standardized) securitisation framework, the Group does not take into

account the STS classification when selecting the portfolios to be securitised.

Main risks exposed in securitisation operations.

1.Default risk

It is the risk that the debtor does not pay the assumed contractual obligations by the due date and in the correct manner (for

example, potential non-payment of instalments).

In the particular case of securitisation, the entities provide information to investors on the situation of the securitised loan

portfolio. In this respect, it is worth noting that transactions transferred to the Securitisation Fund do not include defaults, or at

most, if there is one, in no case do they exceed 30 days of non-payment, demonstrating the high quality of securitised

transactions. The rating agencies take this element closely into account when analysing the credit risk of transactions.

BBVA monitors the changes in these indicators with the aim of establishing specific action plans in the different products, in order

to correct any deviations that are leading to a deterioration in credit quality.

In order to monitor these indicators, monthly, and in some cases, daily information is available. It includes flows of additions,

recoveries, irregular investments and non-performing loans. The information is obtained through different applications and

reports prepared in the Risk area.

BBVA’s policy of recovery for impaired loans consists of defining an operating system that allows a speedy and efficient correction

of the irregular situation. It is based on a highly personalised management, with a key role being played by the Recovery Manager

and his close and ongoing relationship with the debtor.

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Pillar 3  |  2025 >  4. Risk

The main guarantee is always mortgage on the asset subject of the transaction, or on the main residence. In addition, there are

frequent personal guarantees issued by the holders of the loan or the guarantors, which reinforce the repayment of the debt and

quality of the risk. The rights to collection before insurance companies are also subrogated in favour of the Bank in cases where

there is damage to the mortgaged building due to fire or other duly stipulated causes.

2.Early repayment risk

This derives from the potential total or partial prepayment by the debtor of the amounts corresponding to the (fully or partially)

securitised loans, which could imply that the maturity of the securitisation bonds calculated at the time of the issue is shorter than

the maturity of the loans transferred to the Fund.

This risk is mainly due to the variations of market interest rates, but despite its importance it is not the only determining factor; to

this have to be added other more personal elements, such as inheritance, divorce, change of residence, etc.

In the specific case of the Group’s securitisations, this risk is very limited, as the maturity date of the securitisation Bonds is set

according to the maturity of the last loan of the securitised portfolio.

3.Liquidity risk

At times it is noted that a possible limited liquidity of the markets in which the Bonds are traded could constitute a risk derived

from the securitisation processes.

Although an entity may not undertake contracts in the secondary market of Bonds issued by the Securitisation Fund, and thus

provide liquidity to the funds, the securitisation process itself consists of converting illiquid assets that form part of the Bank’s

balance sheet into liquid assets in the form of securitisation Bonds, which give the possibility of trading and transferring them in a

regulated market. This would not be the case if they were not subject to the securitisation process.

In addition, understanding liquidity risk as the possible time mismatch between the maturities of the collections generated by the

loans and the payments the Bonds originate, BBVA has not so far made any securitisation issues in which there is a divergence

between collections and payments. The entities that have programs for debt security issues, in which this risk is typically present,

mitigate it with the use of liquidity lines that are included in the structure of the Fund.

4.2.9.1.2.Functions performed by the securitisation process and degree of involvement

Article 449 a) CRR

EU SECA a)

The Group’s involvement degree in its securitisation funds is not usually restricted to the mere role of assignor and administrator

of the securitised portfolio.

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Pillar 3  |  2025 >  4. Risk

As seen in the above image, the Group has usually taken additional roles such as:

–Payment Agent.

–Provider of treasury account.

–Provider of the subordinated loan and of the financing of initial costs, being the one that finances the first-loss tranche,

and the latter financing the fund’s fixed expenditure.

–Administrative agent of the securitised portfolio.

The Group has not assumed the role of sponsor of securitisation originated by third-party institutions.

The Group’s balance sheet maintains the first-loss tranches of all securitisation that has been carried out.

It is worth noting that the Group has maintained a consistent line on generating securitisation operations since the credit crunch,

which began in July 2007.

In addition, the Group has performed various Synthetic Securitisation operations to date, introducing this operation as an

additional source of regulatory capital release.

4.2.9.1.3.Methods used for the calculation of risk-weighted exposure in securitisation

transactions

Article 449 c) CRR

EU SECA c)

When securitisation positions meet the criteria for significant and effective risk transfer as defined by Articles 244 and 245 of

Regulation 2017/2401, under the securitisation framework set in Regulation 2017/2402, the Group calculates the capital

requirements of these securitisations by applying the following methods, which apply to both originated securitisations and

investment positions in securitisation funds originated by third parties:

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Pillar 3  |  2025 >  4. Risk

–IRBA method (Article 259): When according to the securitisation features, all information on the underlying loans of the

securitised portfolio is accessible, and at least for 95% of the loans the risk weights are calculated under IRB approach.

–SA method (Article 261): When information is available on the underlying loans of the securitised portfolio, but the

threshold of 95% of the loans under the IRB approach is not reached.

–ERBA method (Article 263): When information on the underlying securitisation loans is not accessible, and it is

necessary to use external rating data.

4.2.9.1.4.Transfer of risk in securitisation activities and criteria for recognition of gains on sales

Article 449 g) CRR

EU SECA g)

The Group considers that the risks and benefits of the securitisations are substantially retained if the subordinated bonds are held

and/or if subordination funding has been granted to those securitisation funds, which means that the credit loss risk of the

securitised assets will be assumed. Consequently, the Group is not derecognizing those transferred loan portfolios.

In addition, the Group recognizes the gains on sales of securitised assets when they are derecognised from the balance sheet,

which implies to comply with the  substantial transfer of risks and benefits requirements described above.

The result will be recognised in the income statement  and calculated as the difference between the carrying amount and the sum

of the amount received, including any new asset received minus liabilities assumed.

When the amount of the transferred financial asset matches the total amount of the original financial asset, the new financial

assets, financial liabilities and service-delivery liabilities, which, if any, arise as a result of the transfer, shall be recorded at fair

value.

4.2.9.2.Securitisation exposure in the banking and trading book

Article 449 b), j) CRR

EU SECA b)

The Group has carried out twelve securitisations in 2025, two of them in cash or traditional format and ten in synthetic

securitisation format, all of them involving risk transfer.

The first securitisation was closed in January, consisting of a portfolio of commercial loans amounting to €150 million (RPP

01-2025); the second, in February, amounted to €3.25 billion of a Corporate loan portfolio (BBVA Vela Corporates 2025-1); the

third, in March, amounted to  €1.431 billion on a SME loan portfolio (BBVA Vela SME 2025-1). In March, there was also an increase

of €4 billion in the Verano IV transaction, which had been closed in October 2024 on a portfolio of Large Corporate loans.

In May, the fourth transaction was executed in a Cash format, for an amount of €2.35 billion (BBVA Consumer 2025-1 FT). In June,

three transactions were closed: the fifth, amounting to €2.498 billion (BBVA Vela Consumer 2025-1), backed by a Consumer loan

portfolio; the sixth, a synthetic securitisation on a Project Finance loan portfolio (Galea I) for €1,000 million; and the seventh,

amounting to €39 million, backed by a portfolio of commercial factoring (RPP 06-2025).

During the last quarter of the year, the remaining 5 transactions were carried out: in September, the eighth transaction, in Cash

format (BBVA Consumer Auto 2025-1 FT), a securitisation of an Auto loan portfolio of €1 billion; also in September, the ninth

transaction of €2.792 billion (BBVA Vela Hipotecario 2025-1), a securitisation of mortgage loans. In October, the tenth transaction

consisted of a synthetic securitisation of a Large Corporates loan portfolio amounting to €4 billion (Saona I). In November, the

eleventh transaction was a €2.196 billion securitisation of a portfolio of Empresas and Corporate loans, and finally, in December,

the twelfth transaction involved a portfolio of receivables of €70 million (RPP 12-2025).

Table EU SEC1 below shows the exposure to securitisations of the banking book, broken down by type of underlying asset,

indicating whether it is traditional or synthetic securitisations, and identifying the functions (origination, sponsorship and

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Pillar 3  |  2025 >  4. Risk

investment). In the "Bank acts as originator" block, the figures presented in the total columns are the total securitised amounts,

obtained as the sum of the amount corresponding to the first loss tranche, and those with risk transfer:

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Pillar 3  |  2025 >  4. Risk

TABLE 47. EU SEC1 - SECURITISATION EXPOSURES IN THE BANKING BOOK (MILLION EUROS. 12-31-2025)

	Bank acts as originator						Subtotal	Bank acts as sponsor			Subtotal	Bank acts as investor			Subtotal
	Traditional				Synthetic			Traditional		Synthetic		Traditional		Synthetic
	STS		Non STS			Of which: SRT		STS	Non STS			STS	Non STS
		Of which: SRT		Of which: SRT
Total	2,105	2,105	1	—	23,254	23,254	25,360	—	—	—	—	371	3,596	—	3,967
Retail (total)- of which	2,105	2,105	—	—	6,798	6,798	8,903	—	—	—	—	10	3	—	12
Residential mortgage	—	—	—	—	3,575	3,575	3,575	—	—	—	—	—	3	—	3
Credit card	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Other retail exposures	2,105	2,105	—	—	3,223	3,223	5,329	—	—	—	—	10	—	—	10
Re-Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Wholesale (total)- of which	—	—	1	—	16,456	16,456	16,457	—	—	—	—	361	3,593	—	3,954
Loans to corporates	—	—	1	—	16,350	16,350	16,351	—	—	—	—	266	1,692	—	1,958
Commercial mortgage	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Lease and receivables	—	—	—	—	106	106	106	—	—	—	—	95	1,901	—	1,996
Other wholesale	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Re-Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—

EU SEC1 (MILLION EUROS. 6-30-2025)

	Bank acts as originator						Subtotal	Bank acts as sponsor			Subtotal	Bank acts as investor			Subtotal
	Traditional				Synthetic			Traditional		Synthetic		Traditional		Synthetic
	STS		Non STS			Of which: SRT		STS	Non STS			STS	Non STS
		Of which: SRT		Of which: SRT
Total	1,904	1,904	—	—	17,670	17,670	19,574	—	—	—	—	196	3,161	—	3,357
Retail (total)- of which	1,904	1,904	—	—	5,060	5,060	6,964	—	—	—	—	14	4	—	18
Residential mortgage	—	—	—	—	1,119	1,119	1,119	—	—	—	—	—	4	—	4
Credit card	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Other retail exposures	1,904	1,904	—	—	3,941	3,941	5,845	—	—	—	—	14	—	—	14
Re-Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Wholesale (total)- of which	—	—	—	—	12,610	12,610	12,610	—	—	—	—	182	3,157	—	3,339
Loans to corporates	—	—	—	—	12,501	12,501	12,501	—	—	—	—	87	1,428	—	1,515
Commercial mortgage	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Lease and receivables	—	—	—	—	109	109	109	—	—	—	—	95	1,729	—	1,824
Other wholesale	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Re-Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—

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Pillar 3  |  2025 >  4. Risk

The EU SEC2 table below shows the amounts in terms of net positions of the securitisation positions in the trading book, broken down by type of underlying asset of the securitisation,

indicating whether it is traditional or synthetic securitisations, and identifying the functions (origination, sponsorship and investment):

TABLE 48. EU SEC2 - SECURITISATION EXPOSURES IN THE TRADING PORTFOLIO (MILLION EUROS. 12-31-2025)

Bank acts as originator

Bank acts as sponsor

Bank acts as investor

Traditional

Synthetic

Subtotal

Traditional

Synthetic

Subtotal

Traditional

Synthetic

Subtotal

STS

Non-STS

STS

Non-STS

STS

Non-STS

Total

—

—

—

—

—

—

—

—

—

—

—

—

Retail (total) - of which

—

—

—

—

—

—

—

—

—

—

—

—

Residential mortgage

—

—

—

—

—

—

—

—

—

—

—

—

Credit card

—

—

—

—

—

—

—

—

—

—

—

—

Other retail exposures

—

—

—

—

—

—

—

—

—

—

—

—

Re-Securitisation

—

—

—

—

—

—

—

—

—

—

—

—

Wholesale (total)- of which

—

—

—

—

—

—

—

—

—

—

—

—

Loans to corporates

—

—

—

—

—

—

—

—

—

—

—

—

Commercial mortgage

—

—

—

—

—

—

—

—

—

—

—

—

Lease and receivables

—

—

—

—

—

—

—

—

—

—

—

—

Other wholesale

—

—

—

—

—

—

—

—

—

—

—

—

Re-Securitisation

—

—

—

—

—

—

—

—

—

—

—

—

(*) It includes securitisation positions in the trading portfolio.

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Pillar 3  |  2025 >  4. Risk

EU SEC2 (MILLION EUROS. 6-30-2025)

Bank acts as originator

Bank acts as sponsor

Bank acts as investor

Traditional

Synthetic

Subtotal

Traditional

Synthetic

Subtotal

Traditional

Synthetic

Subtotal

STS

Non-STS

STS

Non-STS

STS

Non-STS

Total

—

—

—

—

—

—

—

—

—

—

—

—

Retail (total) - of which

—

—

—

—

—

—

—

—

—

—

—

—

Residential mortgage

—

—

—

—

—

—

—

—

—

—

—

—

Credit card

—

—

—

—

—

—

—

—

—

—

—

—

Other retail exposures

—

—

—

—

—

—

—

—

—

—

—

—

Re-Securitisation

—

—

—

—

—

—

—

—

—

—

—

—

Wholesale (total)- of which

—

—

—

—

—

—

—

—

—

—

—

—

Loans to corporates

—

—

—

—

—

—

—

—

—

—

—

—

Commercial mortgage

—

—

—

—

—

—

—

—

—

—

—

—

Lease and receivables

—

—

—

—

—

—

—

—

—

—

—

—

Other wholesale

—

—

—

—

—

—

—

—

—

—

—

—

Re-Securitisation

—

—

—

—

—

—

—

—

—

—

—

—

(*) It includes securitisation positions in the trading portfolio.

The securitisation positions in the trading book have been stable along 2025.

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Pillar 3  |  2025 >  4. Risk

4.2.9.3.Securitisation – Group acting as originator

4.2.9.3.1.Rating agencies used

Article 449 h) CRR

EU SECA h)

The external credit assessment institutions (ECAI) involved in the rating of those securitisations originated by the Group which

fulfill the criteria of risk transfer and falling within the securitisation solvency framework are, generally, Fitch, Moody’s, S&P, and

DBRS. The types of securitisation exposure for which each agency is used are, with no differentiation between the different

agencies, all the asset types that tend to be used as residential mortgage loans to Corporates and SMEs, consumer finance and

autos and leasing.

In all the securitisation funds, the agencies have assessed the risk of the entire issuance structure:

–Awarding ratings to all bond tranches.

–Establishing the volume of the credit enhancement.

–Establishing the necessary triggers (early termination of the restitution period, pro-rata depreciation of AAA classes, pro-

rata amortization of series subordinated to AAA and amortization of the reserve fund, amongst others).

For each issue, in addition to the initial rating, the agencies carry out regular quarterly monitoring.

4.2.9.3.2.Positions in securitisation originated by the Group

Article 449 k).i) CRR

The table below shows the EAD and RWA of securitisation positions originated by the Group in the banking book, broken down by

type of securitised exposure, tranches and risk weight ranges and their corresponding capital requirements as of December 31,

2025 and as of June 30, 2025.

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Pillar 3  |  2025 >  4. Risk

TABLE 49. EU SEC3 - SECURITISATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED REGULATORY CAPITAL REQUIREMENTS – BANK ACTING AS ORIGINATOR OR

AS SPONSOR (MILLION EUROS. 12-31-2025)

	Exposure values (by RW bands)					Exposure values (by regulatory approach)				RWA (by regulatory approach)				Capital requirement after cap
	≤20% RW	>20% to 50% RW	>50% to 100% RW	>100% to <1250% RW	1250% RW / deductions (1)	SEC-IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)	SEC-IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)	SEC-IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)
Total Exposures	19,627	5,636	—	—	97	19,869	994	4,400	97	2,708	126	1,259	—	217	10	101	—
Traditional Securitisation	2,105	—	—	—	1	—	994	1,112	1	—	126	111	—	—	10	9	—
Of which Securitisation	2,105	—	—	—	1	—	994	1,112	1	—	126	111	—	—	10	9	—
Of which retail underlying	2,105	—	—	—	—	—	994	1,112	—	—	126	111	—	—	10	9	—
Of which STS	2,105	—	—	—	—	—	994	1,112	—	—	126	111	—	—	10	9	—
Of which wholesale	—	—	—	—	1	—	—	—	1	—	—	—	—	—	—	—	—
Of which STS	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which re- Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Synthetic Securitisation	17,522	5,636	—	—	97	19,869	—	3,289	97	2,708	—	1,148	—	217	—	92	—
Of which Securitisation	17,522	5,636	—	—	97	19,869	—	3,289	97	2,708	—	1,148	—	217	—	92	—
Of which retail underlying	1,925	4,811	—	—	62	3,554	—	3,182	62	979	—	1,132	—	78	—	91	—
Of which wholesale	15,596	825	—	—	35	16,315	—	106	35	1,728	—	16	—	138	—	1	—
Of which re- Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
(1) Securitisations with a risk weight of 1,250% are deducted from own funds, as explained in section m) of chapter 3.1.3 of this report.

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Pillar 3  |  2025 >  4. Risk

EU SEC3 (MILLION EUROS. 6-30-2025)

	Exposure values (by RW bands)					Exposure values (by regulatory approach)				RWA (by regulatory approach)				Capital requirement after cap
	≤20% RW	>20% to 50% RW	>50% to 100% RW	>100% to <1250% RW	RW / deductions (1)	SEC-IRBA	SEC-ERBA & SEC-IAA	SEC-SA	RW / deductions (1)	SEC-IRBA	SEC-ERBA & SEC-IAA	SEC-SA	RW / deductions (1)	SEC-IRBA	SEC-ERBA & SEC-IAA	SEC-SA	RW / deductions (1)
Total Exposures	19,482	—	—	—	92	19,482	—	—	92	2,148	—	—	—	172	—	—	—
Traditional Securitisation	1,902	—	—	—	1	1,902	—	—	1	229	—	—	—	18	—	—	—
Of which Securitisation	1,902	—	—	—	1	1,902	—	—	1	229	—	—	—	18	—	—	—
Of which retail underlying	1,902	—	—	—	1	1,902	—	—	1	229	—	—	—	18	—	—	—
Of which STS	1,902	—	—	—	1	1,902	—	—	1	229	—	—	—	18	—	—	—
Of which wholesale	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which STS	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which re- Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Synthetic Securitisation	17,580	—	—	—	90	17,580	—	—	90	1,919	—	—	—	154	—	—	—
Of which Securitisation	17,580	—	—	—	90	17,580	—	—	90	1,919	—	—	—	154	—	—	—
Of which retail underlying	4,996	—	—	—	64	4,996	—	—	64	555	—	—	—	44	—	—	—
Of which wholesale	12,584	—	—	—	26	12,584	—	—	26	1,364	—	—	—	109	—	—	—
Of which re- Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
(1) Securitisations with a risk weight of 1,250% are deducted from own funds, as explained in section m) of chapter 3.1.3 of this report.

In the case of securitisations where the Group acts as originator, the variation of the requirements in 2025 is explained by the securitisations mentioned above which complied with the risk

transfer requirements set in the applicable regulatory provision. The net effect on the Group's RWA by changing the capital consumption of the underlying assets under the credit risk

framework  to the capital consumption under the securitisation framework is a reduction of approximately €9.8 billion, at the time of the origination.

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4.2.9.3.3.Breakdown of securitised positions by type of asset

Article 449 l) CRR

The table below shows the outstanding amount, non-performing exposures and impairment losses recognised in the period by

underlying assets of originated securitisation operations which meet the risk transfer criteria, broken down by asset type as of

December 31, 2025 and as of June 30, 2025.

TABLE 50. EU SEC5 - EXPOSURES SECURITISED BY THE INSTITUTION - EXPOSURES IN DEFAULT AND SPECIFIC

CREDIT RISK ADJUSTMENTS (MILLION EUROS)

	12-31-2025			30-6-2025
	Nominal amount	Of which exposures in default	Total amount of specific credit risk adjustments made during the period(1)	Nominal amount	Of which exposures in default	Total amount of specific credit risk adjustments made during the period(1)
Total	30,958	186	(281)	23,592	91	—
Retail exposure	12,625	174	(253)	9,916	82	—
Residential mortgage	3,911	5	(8)	1,258	4	—
Credit card	—	—	—	—	—	—
Other retail exposures	8,714	169	(245)	8,657	78	—
Re-securitisation	—	—	—	—	—	—
Wholesale exposure	18,332	13	(28)	13,676	9	—
Loans to corporates	18,120	12	(27)	13,310	9	—
Commercial mortgage	—	—	—	—	—	—
Lease and receivables	212	—	—	366	—	—
Other wholesale	—	—	—	—	—	—
Re-securitisation	—	—	—	—	—	—
(1) Negative amounts indicate an increase in credit risk adjustments during the period.

The balance of defaulted exposures of securitisations with risk transfer has not increased significantly during 2025.

The following table shows the outstanding balance corresponding to the underlying assets of securitisation originated by the

Group, which do not meet the risk transfer criteria, and which, therefore, are not included in the securitisation framework, but

rather for which the capital calculation of the exposure is carried out as if it had not been securitised:

TABLE 51. OUTSTANDING BALANCE CORRESPONDING TO THE UNDERLYING ASSETS OF THE GROUP'S

ORIGINATED SECURITISATIONS, IN WHICH RISK TRANSFER CRITERIA ARE NOT FULFILLED (MILLION EUROS)

	Outstanding amount
Type of asset	2025
Commercial and residential mortgages	—
Credit cards	—
Financial leasing	—
Lending to corporates and SMEs	13
Consumer finance	—
Receivables	—
Securitisation balances	—
Mortgage-covered bonds	—
Others	—
Total	13

In 2025 the balance has been reduced as a result of the amortisation of the underlying loans.

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4.2.9.4.Securitisation - Group acting as investor

Article 449 k).ii) CRR

The amounts in terms of EAD and RWA of the securitisation positions of the banking book where the Group acts as investor are

shown below, broken down by type of underlying asset, tranches and risk weight bands that correspond to the securitisations and

their corresponding capital requirements at December 31, 2025 and June 30, 2025.

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TABLE 52. EU SEC4 - SECURITISATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED CAPITAL REQUIREMENTS – BANK ACTING AS INVESTOR (MILLION EUROS.

12-31-2025)

	Exposure values (by RW bands)					Exposure values (by regulatory approach)				RWA (by regulatory approach)				Capital requirement after cap
	≤20% RW	>20% to 50% RW	>50% to 100% RW	>100% to <1250% RW	1250% RW / deductions (1)	SEC- IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)	SEC- IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)	SEC- IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)
Total Exposures	2,499	770	696	—	1	—	1,281	2,684	1	—	229	799	—	—	18	64	—
Traditional Securitisation	2,499	770	696	—	1	—	1,281	2,684	1	—	229	799	—	—	18	64	—
Of which Securitisation	2,499	770	696	—	1	—	1,281	2,684	1	—	229	799	—	—	18	64	—
Of which retail underlying	11	—	—	—	1	—	11	—	1	—	1	—	—	—	—	—	—
Of which STS	10	—	—	—	—	—	10	—	—	—	1	—	—	—	—	—	—
Of which wholesale	2,488	770	696	—	—	—	1,270	2,684	—	—	227	799	—	—	18	64	—
Of which STS	361	—	—	—	—	—	266	95	—	—	27	10	—	—	2	1	—
Of which re- Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Synthetic Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which retail underlying	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which wholesale	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which re- Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
(1) Securitisations with a risk weight of 1,250% are deducted from own funds, as explained in section m) of chapter 3.1.3 of this report.

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EU SEC4 (MILLION EUROS. 6-30-2025)

	Exposure values (by RW bands)					Exposure values (by regulatory approach)				RWA (by regulatory approach)				Capital requirement after cap
	≤20% RW	>20% to 50% RW	>50% to 100% RW	>100% to <1250% RW	1250% RW / deductions (1)	SEC- IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)	SEC- IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)	SEC- IRBA	SEC-ERBA & SEC-IAA	SEC-SA	1250% RW / deductions (1)
Total Exposures	2,409	307	640	—	2	—	806	2,550	2	—	152	827	—	—	12	66	—
Traditional Securitisation	2,409	307	640	—	2	—	806	2,550	2	—	152	827	—	—	12	66	—
Of which Securitisation	2,409	307	640	—	2	—	806	2,550	2	—	152	827	—	—	12	66	—
Of which retail underlying	10	7	—	—	2	—	16	—	2	—	3	—	—	—	—	—	—
Of which STS	10	5	—	—	—	—	14	—	—	—	2	—	—	—	—	—	—
Of which wholesale	2,399	300	640	—	—	—	790	2,550	—	—	149	827	—	—	12	66	—
Of which STS	182	—	—	—	—	—	87	95	—	—	9	10	—	—	1	1	—
Of which re- Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Synthetic Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which retail underlying	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which wholesale	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Of which re- Securitisation	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
(1) Securitisations with a risk weight of 1,250% are deducted from own funds, as explained in section m) of chapter 3.1.3 of this report.

During the second half of 2025 there was no relevant variations in securitisation exposures, when the Group acts as an investor.

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4.3.Market Risk

4.3.1. Scope and nature of the market risk measurement and reporting

systems

Article 435 (1) a), b), c), d) CRR

EU MRA a), b), c)

Market risk is the possibility that there may be losses in the value of positions held due to movements in the market variables that

affect the valuation of financial products and assets.

The scope of market risk in the Group's trading portfolios is mainly defined by the portfolios originated by Global Markets valued at

fair value and maintained for the purpose of trading and generates short term results. The market risk in the banking book is

clearly delimited and separated in the structural risk of interest and credit spread, exchange rate and equity, which are broken

down in section 4.4.

The main market risks can be classified into the following groups:

–Interest rate risk: This arises as a result of exposure to movements in the different interest rate curves involved in trading.

Although the typical products that generate sensitivity to the movements in interest rates are money-market products

(deposits, interest rate futures, call money swaps, etc.) and traditional interest rate derivatives (swaps and interest rate

options such as caps, floors, swaptions, etc.), practically all the financial products are exposed to interest rate

movements due to the effect that such movements have on the valuation of the financial discount.

–Equity risk: This arises as a result of movements in share prices. This risk is generated in spot positions in shares or any

derivative products whose underlying asset is a share or an equity index. Dividend risk is a sub-risk of equity risk, arising

as an input for any equity option. Its variation may affect the valuation of positions and it is therefore a factor that

generates risk on the books.

–Exchange rate risk: This is caused by movements in the exchange rates of the different currencies in which a position is

held. As in the case of equity risk, this risk is generated in spot currency positions, and in any derivative product whose

underlying asset is an exchange rate. In addition, the quanto effect (operations where the underlying asset and the

instrument itself are denominated in different currencies) means that in certain transactions in which the underlying asset

is not a currency, an exchange rate risk is generated that has to be measured and monitored.

–Credit spread risk: Credit spread is an indicator of an issuer's credit quality. Spread risk occurs due to variations in the

levels of spread of both corporate and government issues, and affects positions in bonds and credit derivatives.

–Volatility risk: This occurs as a result of changes in the levels of implied price volatility of the different market instruments

on which derivatives are traded. This risk, unlike the others, is exclusively a component of trading in derivatives and is

defined as a first-order convexity risk that is generated in all possible underlying assets in which there are products with

options that require a volatility input for their valuation.

–Other less relevant risks for the Group include inflation risk, correlation risk and market liquidity risk.

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The metrics developed to control and monitor market risk in the BBVA Group are aligned with market practices and are

implemented consistently across all the local market risk units.

Measurement procedures are established in terms of the possible impact of negative market conditions on the trading portfolio of

the Group's Global Markets units, both under ordinary circumstances and in situations of heightened risk factors.

A management scheme is designed to encourage the creation of geographically, individually and sectorally diversified market

portfolios, avoiding individual concentrations and concentrations of correlated risk factors, in order to achieve a distribution of

capital that preserves the level of income and limits market risk losses even in stress situations. In addition, the market risk

admission process is subject to robust policies and appropriate decision-making tools, as well as continuous monitoring of the

evolution of activity and variations in market variables in order to adjust possible deviations in a timely manner.

The current management structure includes the monitoring of market-risk limits, consisting of a scheme of limits based on

specific metrics according to market activities, (VaR (Value at Risk), economic capital, as well as stop-loss limits for each of the

Group’s business units).

In addition, in Chapter 4.3.4.2 more information about the risk measurement models used in the Group, focused on internal

models approved by the supervisor for BBVA, S.A. and BBVA Mexico to calculate regulatory capital requirements on trading

portfolios is detailed. For the other geographic areas (mainly South America and Garanti BBVA), the calculation of own funds

requirements for trading portfolios is carried out using the standardised approach.

Analysis of the Group’s RWA structure shows that almost 5% corresponds to Market Risk (including structural exchange risk).

4.3.1.1.Characteristics of the risk management system

Article 435 (1) b), c) CRR

EU MRA a), b)

The Group has a risk management system in place which is appropriate for the volume of risk managed, complying with the

functions set out in the Corporate Policy on Market Risk in Market Activities.

Market risk management must be based on processes and tools that integrate management models, criteria and strategies, and

allow decision-making to be automated.

Likewise, the information processes necessary for the measurement, generation or maintenance of tools, engines, reporting, etc.,

must comply with the requirements of the regulations relating to the data, with special attention to the identification of the

information activities established therein and compliance with the deliverables of each activity.

The risk units must have:

–A suitable organisation (means, resources and experience) in line with the nature and complexity of the business.

–Segregation of functions and independence in decision-making.

–Performance under integrity and good governance principles, driving the best practices in the industry and complying

with the rules, both internal (policies, procedures) and external (regulation, supervision, guidelines).

–The existence of channels for communication with the relevant corporate bodies at local level according to their corporate

governance system, as well as with the Corporate Area.

–All market risk existing in the business units that carry out trading activity must be adequately identified, measured and

assessed, and procedures must be in place for its control and mitigation. On this point according to the Corporate Policy

on Market Risk in Market Activities each business unit has established structured limits, early alerts and operational

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references, having a communication circuit that establishes the responsibilities of information at different levels and

actions by the risk areas and business managers. 

–The Global Market Risk Unit (GMRU), as the unit responsible for managing market risk at Group level, must promote the

use of objective and uniform metrics for measuring the different types of risks.

The BBVA Group's risk governance model is characterised by the special involvement of its corporate bodies, both in establishing

the risk strategy and in the continuous monitoring and supervision of its implementation. The corporate bodies approve both the

risk strategy and the general policies for the different types of risk, and the Risk area is responsible, in the management area, for

implementing and developing them in all matters relating to financial risks, reporting to the corporate bodies.

The Risk Appetite statement contained in the Group's Risk Appetite Framework sets out the general principles of the Group's Risk

Strategy. It also includes a statement on market risk, which establishes that the BBVA Group's market activity is mainly focused on

obtaining recurring income from stable activity with customers and taking advantage of market opportunities arising from the

management of books arising from customer transactions. Market risk management is aimed at achieving an adequate return on

capital, maintaining a risk profile appropriate to the type of business conducted in each geographical area.

4.3.2.Differences in the trading book under accounting and prudential

regulation

EU MRB EU a)

According to the solvency regulations, trading book shall be made up of all the positions on financial instruments and commodities

that the credit institution holds for the purpose of trading or that act as hedging for other elements in this portfolio.

With respect to this portfolio, the rule also refers to the need to establish clearly defined policies and procedures.

For this purpose, regulatory trading book defined by the Group includes the positions managed by the Group’s Trading units, for

which market risk limits are set and then monitored daily. Moreover, they comply with the other requirements defined in the

solvency regulations.

In accounting, Financial assets are recorded under the heading “Financial assets held for trading” if the objective of the business

model is to generate gains by buying and selling these financial instruments or to generate short-term results.

4.3.3.Standardised approach

Article 445 CRR

Market risk-weighted assets under the standardised approach (including structural exchange rate risk) account for 48% of total

market risk-weighted assets.

The amounts in terms of RWA and market risk capital requirements calculated by standardised approach as of December 31, 2025

and as of June 30, 2025 are below.

TABLE 53. EU MR1 - MARKET RISK UNDER THE STANDARDISED APPROACH (MILLION EUROS)

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	12-31-2025	6-30-2025
	RWA	RWA
Outright Products	7,767	6,464
Interest Rate Risk	1,442	1,574
Equity Risk	42	43
Foreign Exchange Risk	6,281	4,845
Commodity Risk	1	3
Options	—	—
Simplified approach	—	—
Delta-plus method	—	—
Scenario approach	—	—
Securitisation	1,043	1,131
Total	8,809	7,596

During the second semester of 2025, standard market risk capital requirements are mainly affected by currency fluctuations, with

this impact being partially offset by lower interest rate risk consumption and, to a lesser extent, by the decrease in positions

subject to correlation risk in the trading book (included in the row “Securitisation”).

4.3.4. Internal models

4.3.4.1.Scope of application

Article 455 b) CRR

For the purposes of calculating own funds requirements as approved by the supervisor, the scope of application of the internal

market risk model extends to BBVA, S.A. and BBVA Mexico trading activity.

As explained in the following section, most of the items on the Group’s consolidated balance sheet that are subject to market risk

are positions whose principal metric used to measure their market risk is VaR.

4.3.4.2.Characteristics of the models used

Article 455 a).i), a.ii), b), c), f) CRR

EU MRB EU a), (A), (B), (C)

Measurement procedures are established in terms of the possible impact of negative market conditions on the trading portfolio of

the Group's Global Markets units, both under ordinary circumstances and in situations of heightened risk factors.

The standard metric used to measure market risk is Value at Risk (hereinafter “VaR”), which indicates the maximum loss that may

occur in the portfolios at a given confidence level (99%) and time horizon (one day).

This statistic value is widely used in the market and has the advantage of summing up in a single metric the risks inherent to

trading activity, taking into account how they are related and providing a prediction of the loss that the trading book could sustain

as a result of fluctuations in equity prices, interest rates, foreign exchange rates and credit spreads. Additionally, for certain

positions, other risks need to be considered, such as a credit spread, base, volatility or correlation risk

With respect to the risk measurement models used by the BBVA Group, the Supervisor has authorized the use of the internal

market risk model to determine bank capital requirements deriving from risk positions on the BBVA, S.A. and BBVA Mexico trading

book, which jointly accounted for around  73% of the Group’s trading-book market risk as of December 31, 2025 .

BBVA uses a single model to calculate the regulatory requirements by risk, taking into account the correlation between the assets

and thus recognizing the diversification effect of the portfolios. The model used estimates the VaR in accordance with the

“historical simulation” methodology, which involves estimating the profit and loss that would have been incurred in the current

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portfolio if the changing market conditions that occurred over a given period of time were repeated. Based on this information, it

infers the maximum foreseeable loss in the current portfolio with a given level of confidence.

Absolute and relative returns are used in simulating the potential variation of the risk factors, depending on the type of risk factor.

Relative returns are used in the case of equity; while absolute returns are used in the case of foreign currency, spreads and interest

rates.

The model has the advantage of accurately reflecting the historical distribution of the market variables and of not requiring any

specific distribution assumption. The historical period used in this model is two years.

The VaR figures are estimated based on the VaR without smoothing methodology, which awards equal weight to the daily

information for the previous two years. This is currently the official methodology for measuring market risks for the purpose of

monitoring compliance with risk limits. The VaR stress metric is obtained in an analogous way (99% percentile, with 1-day loss),

with a fixed window of 1 year within the established stress period, subject to revision and being specific to each geographical area

to represent its stress period.

At the same time, and following the guidelines established by the Spanish and European authorities, BBVA incorporates metrics in

addition to VaR with the aim of meeting the Bank of Spain's regulatory requirements with respect to the calculation of bank capital

for the trading book. Specifically, the measures incorporated in the Group since December 2011 (stipulated by Basel 2.5) are:

–VaR: In regulatory terms, the VaR charge incorporates the stressed VaR charge, and the sum of the two (VaR and

stressed VaR) is calculated. This quantifies the losses associated with the movements of the risk factors inherent to

market operations (including interest rate risk, exchange rate risk, equity risk and credit risk, among others). Both VaR

and stressed VaR are rescaled by a regulatory multiplier (between three and four) and by the square root of ten to

calculate the capital charge.

–Specific Risk - Incremental Risk Capital (“IRC”): Quantification of the risks of default and changes of the credit ratings of

the bond and derivative positions and debt funds with daily look-through or significant benchmark (correlation > 90%) in

the trading portfolio. The IRC charge is exclusively applied in entities in respect of which the internal market risk model is

used (i.e. BBVA, S.A. and BBVA Mexico). The IRC charge is determined based on the associated losses (calculated at

99.9% confidence level over a one-year horizon under the hypothesis of constant risk) due to a rating change and/or

default of the issuer with respect to an asset. In addition, the price risk is included in sovereign positions for the specified

items.

–Specific Risk: Securitization, correlation portfolios and Investment funds without look-through. Capital charges for

securitizations and correlation portfolios are assessed based on the potential losses associated with the occurrence of a

credit event in the underlying exposures. They are calculated by the standard model. The scope of the correlations

portfolios refers to the First To Default (FTD)-type market operation and/or tranches of market CDOs (Collateralized

Debt Obligations) and only for positions with an active market and hedging capacity. Capital charge for Funds include

losses associated with volatility and credit risk of the underling positions of the fund. All charges are calculated by the

standard model.

The capital charge is determined based on the associated losses (at 99.9% over a time horizon of 1 year under the assumption of

constant risk) resulting from the rating migration and/or default of the asset’s issuer. Also included is the price risk in sovereign

positions for the indicated items.

Regarding the method of aggregating the capitals of the different geographies, the direct sum of the capital charges is applied

without applying diversification among them.

The calculation methodology is based on the Monte Carlo simulation of the impact of defaults and rating transitions on the

portfolio subject to incremental risk capital. The model defining the transition and default process of a counterparty is based on

the changes in a counterparty’s credit quality. Under a one-factor Merton model, which underlies the Basel or Creditmetrics

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model, this credit quality will correspond to the value of the issuer’s assets, depending on a systemic factor that is common to all

the issuers, and an idiosyncratic factor specific to each.

All that is needed to simulate the rating and default transition process for the issuers is to simulate the systemic factor and the

idiosyncratic component. Once the underlying variable is available, the final rating can be obtained. The individual credit quality

simulation of the issuers allows losses due to systemic risk and idiosyncratic risk to be obtained.

Transition matrices

The transition matrix used for calculation is estimated based on the external information about the rating transitions provided by

the rating agencies. Specifically, the information provided by the Standard & Poor’s agency is used.

The appropriateness of using information on external transitions is justified by:

–The internal ratings for the Sovereign, Emerging Sovereign Country, Financial Institution and Corporate segments (which

constitute the core positions subject to incremental risk capital) are aligned with the external ratings. By way of example,

the internal rating system for financial institutions is based on an algorithm that uses external ratings.

–The rating agencies provide sufficient historical information to cover a complete economic cycle (rating transition

information is available dating back to the 1981 financial year) and obtain a long-term transition matrix in the same way

that long-term probabilities of default are required for the calculation of the regulatory capital for credit risk in the banking

book.

This depth level of historical information is not available for the internal rating systems.

Although external data are used for determining the transitions between ratings, to establish the default, the probabilities used are

assigned by the BBVA master scale, which ensures consistency with the probabilities used for the calculations of capital in the

banking book.

The transition matrix is recalibrated every year, based on information on transitions provided by Standard & Poor’s. A procedure

has been defined to readjust the transitions in accordance with the probability of default assigned by the master scale.

Liquidity horizons

The calculation of incremental risk capital used by BBVA explicitly includes the use of positions with a hypothesis of a constant

level of risk and quarterly liquidity horizons of less than one year. The average liquidity horizon is in the range of 3-6 months.

The establishment of liquidity horizons follows the guidelines/criteria established by Basel in its guidelines for computing capital

for incremental risk.

First, a criterion has been used of capacity for managing positions through liquid instruments that allow their inherent risk to be

hedged. The main instrument for hedging the price risk for rating transitions and defaults is the Credit Default Swap (CDS). The

existence of this hedging instrument serves as a justification for considering a short term liquidity horizon.

However, in addition to considering the existence of a liquid CDS, a distinction has to be made according to the issuer’s rating (this

factor is also mentioned in the aforementioned guidelines). Specifically, between investment grade issuers or those with a rating of

BBB- or above, and issuers below this limit.

According to these criteria, the issuers are mapped to standard liquidity horizons of 3, 6 or 12 months.

Correlation

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The calculation methodology is based on a multi-factor model, in which there is one factor common to all the counterparties. The

coefficient of the model is determined by the correlation curves established by Basel for corporates, financial institutions and

sovereigns based on the probability of default.

The use of the Basel correlation curve ensures consistency with the calculation of regulatory capital under the IRB approach for

the positions in the banking book.

Validity tests are performed regularly on the risk measurement models used by the Group. They estimate the maximum loss that

could have been incurred in the assessed positions with a certain level of probability (backtesting), as well as measurements of the

impact of extreme market events on risk positions (stress testing).

Backtesting is performed at the trading floor level as an additional control measure in order to carry out a more specific monitoring

of the validity of the measurement models.

The current structure for market risk management includes monitoring market risk limits, which consists of a system of limits

based on metrics of market activities (Value at Risk (VaR), economic capital, as well as stop-loss limits for each of the Group’s

business units). The global limits are approved by the Executive Committee on an annual basis, once they have been analysed by

the Global Risk Management Committee (GRMC). This limits structure is developed by identifying specific risks by type, trading

activity and trading floor. The market risk unit also maintains consistency between limits. The control structure in place is

supplemented by limits on loss and a system of alert signals to anticipate the effects of adverse situations in terms of risk and/or

result.

The review of the quality of the inputs used by the evaluation processes is based on checking the data against other sources of

information accepted as standard. These checks detect errors in the historical series such as repetitions, data outside the range,

missing data, etc. As well as these periodic checks of the historical data loaded, the daily data that feed these series are subject to

a data quality process to guarantee their integrity.

The choice of proxies is based on the correlation detected between the performance of the factor to be entered and the proxy

factor. For equity, a Ridge regression model is used, and for the rest of the risk factors, the Simple Linear Regression model is

used, selecting the proxy with the best coefficient of determination (R2) for the entire period for which returns are available for

both series. Next, the factor returns are reconstructed on the necessary dates, using the beta parameter estimated in the simple

linear regression

4.3.4.2.1.Valuation methodology and description of the independent price verification process

Articles 436 e), 455 c) CRR

EU MRB EU b)

The process for determining the fair value established in the Group seeks to ensure that financial assets and liabilities are properly

recorded following the IFRS 13 principles, which defines fair value as the price that would be received to sell an asset or paid to

transfer a liability in an orderly transaction between market participants in the principal market or most advantageous market, at

the measurement date.

The fair value is reached without making any deduction in transaction costs that might be incurred due to sale or disposal by other

means.

BBVA has established, at a geographic level, a structure of Risk Operational Admission and Product Governance Committees

responsible for validating and approving new products or types of financial assets and liabilities before being contracted. Local

management responsible for valuation, which are independent from the business are members of these committees.

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These areas are required to ensure, prior to the approval stage, the existence of not only technical and human resources, but also

adequate informational sources to measure the fair value of these financial assets and liabilities, in accordance with the rules

established by the valuation global area and using models that have been validated and approved by the responsible areas

complying with the governance of BBVA Group's official models.

Fair value hierarchy

All financial instruments, both assets and liabilities are initially recognized at fair value, which at that point is equivalent to the

transaction price, unless there is evidence to the contrary in the market. Subsequently, depending on the type of financial

instrument, it may continue to be recognized at amortised cost or fair value through adjustments in the income statement or

equity.

When possible, the fair value is determined as the market price of a financial instrument. However, for many of the financial assets

and liabilities of the Group, especially in the case of derivatives, there is no market price available, so its fair value is estimated on

the basis of the price established in recent transactions involving similar instruments or, in the absence thereof, by using

mathematical measurement models that are sufficiently tried and trusted by the international financial community. The estimates

of the fair value derived from the use of such models take into consideration the specific features of the asset or liability to be

measured and, in particular, the various types of risk associated with such asset or liability. However, the limitations inherent in the

measurement models and possible inaccuracies in the assumptions and parameters required by these models may mean that the

estimated fair value of an asset or liability does not exactly match the price for which the asset or liability could be exchanged or

settled on the date of its measurement.

Additionally, for financial assets and liabilities that show significant uncertainty in inputs or model parameters used for valuation,

criteria are established to measure said uncertainty and activity limits are set based on these. Finally, these measurements are

compared, as much as possible, against other sources such as the measurements obtained by the business teams and/or those

obtained by other market participants.

The process for determining the fair value requires the classification of the financial assets and liabilities according to the

measurement processes used as set forth below:

–Level 1: valuation using directly the quotation of the instrument, observable and readily and regularly available from

independent price sources and referenced to active markets that the entity can access at the measurement date. The

instruments classified within this level are fixed-income securities, equity instruments and certain derivatives.

–Level 2: valuation of financial instruments with commonly accepted techniques that use inputs obtained from observable

data in markets.

–Level 3: valuation of financial instruments with valuation techniques that use significant unobservable inputs in the

market. As of December 31, 2025, the affected instruments at fair value accounted for approximately 0.70% of financial

assets and 0.47% of the Group’s financial liabilities. Model selection and validation is undertaken by control areas outside

the business areas.

Full revaluation is used for most financial products at BBVA Group.

In addition, the Group calculates Prudent Valuation Adjustments (PVA) for all instruments valued at fair value. PVA is an additional

or conservative adjustment to the fair value that allows a more prudent assessment to be obtained by considering sources of risks

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that exist in the calculation of the fair value (uncertainty inputs, risk model, etc). A detailed breakdown of the method for

calculating PVAs for the Group is below:

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TABLE 54. EU PV1 - PRUDENT VALUATION ADJUSTMENTS (MILLION EUROS. 12-31-2025)

	Risk category					Category level AVA - Valuation uncertainty		Total category level post- diversification
Category level AVA	Equity	Interest Rates	Foreign exchange	Credit	Commodities	Unearned credit spreads AVA	Investment and funding costs AVA
Market price uncertainty	47	116	6	8	—	8	10	98	75	23
Close-out cost	49	72	11	13	—	9	—	77	61	16
Concentrated positions	57	56	—	—	—	—	—	113	44	69
Early termination	—	—	—	—	—	—	—	—	—	—
Model risk	10	7	—	1	—	8	2	14	14	—
Operational risk	10	5	1	1	—	—	—	17	13	4
Future administrative costs	—	14	—	—	—	—	—	14	14	—
Total Additional Valuation Adjustments (AVAs)								333	221	111

EU PV1 (MILLION EUROS. 12-31-2024)

	Risk category					Category level AVA - Valuation uncertainty		Total category level post- diversification
Category level AVA	Equity	Interest Rates	Foreign exchange	Credit	Commodities	Unearned credit spreads AVA	Investment and funding costs AVA
Market price uncertainty	39	109	9	3	—	11	13	92	75	17
Close-out cost	51	71	22	7	—	12	1	82	66	15
Concentrated positions	49	82	—	—	—	—	—	131	60	71
Early termination	—	—	—	—	—	—	—	—	—	—
Model risk	23	10	—	1	—	7	7	24	24	—
Operational risk	5	9	2	2	—	—	—	17	13	3
Future administrative costs	—	9	—	—	—	—	—	9	9	—
Total Additional Valuation Adjustments (AVAs)								355	248	107

Total AVAs as at end of 2025 remain stable with respect to 2024.

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4.3.4.2.2.Market risk in  2025

Articles 438 h), 455 d), e) CRR

The Group’s market risk related to its trading portfolio remained in 2025 at low levels compared to other risks managed by BBVA,

particularly credit risk. This is due to the nature of the business. In 2025, the average VaR was €33 million, above the figure of

2024, with a maximum level in the year reached on April 28, 2025 of €44 million. The evolution in the BBVA Group’s market risk

during  2025, measured as VaR with a 99% confidence level and a 1-day horizon (shown in Millions of Euros) is as follows:

As of December 31, 2025 and 2024 the VaR was €29 million and €34 million, respectively, with the following breakdown:

TABLE 55. TRADING BOOK. VAR WITHOUT SMOOTHING BY RISK FACTORS (MILLION EUROS)

VaR by risk factors	Interest-rate and spread risk	Exchange - rate risk	Equity risk	Vega / correlation risk	Diversification effect(1)	Total
December 2025
Average VaR for the period	39	8	1	5	(20)	33
Maximum VaR for the period	45	12	1	4	(19)	44
Minimum VaR for the period	33	6	1	5	(21)	24
VaR at the end of the period	34	9	1	5	(20)	29
December 2024
Average VaR for the period	41	7	2	6	(20)	37
Maximum VaR for the period	55	10	2	7	(23)	50
Minimum VaR for the period	33	7	2	6	(19)	28
VaR at the end of the period	37	5	2	4	(14)	34
(1) The diversification effect is the difference between the sum of the average individual risk factors and the total VaR figure that includes the implied correlation between all the variables and scenarios used in the measurement.

By type of market risk assumed by the Group's trading portfolio, the main risk factor for the Group continued to be that linked to

interest rates, with a weight of 69% of the total as of December 31, 2025 (this figure includes the spread risk). The relative weight

of this risk decreased by 8 percentage points compared with the close of 2024. Exchange rate risk accounted for 17% of the total

risk, which implies an increase of 6 percentage points compared with the close of 2024, while equity risk accounted for 3%,

maintaining its weight compared with the close of 2024. The volatility and correlation risk accounted for 11%, which implies an

increase of 3 percentage points compared with the close of 2024.

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According to article 455, letter d) and e) of the CRR (corresponding to the breakdown of information on internal models of Market

Risk), the elements that make up the Own Funds requirements to which a reference is made in articles 364 and 365 of the CRR,

are presented below.

TABLE 56. EU MR2-A - MARKET RISK UNDER THE IMA (MILLION EUROS)

	12-31-2025		6-30-2025
	RWA	Capital Requirements	RWA	Capital Requirements
VaR	2,231	178	2,621	210
Previous day's VaR		66		67
Average of the daily VaR on each of the preceding sixty business days (VaRavg) x multiplication factor		178		210
SVaR	4,775	382	4,398	352
Latest SVaR		152		128
Average of the SVaR during the preceding sixty business days (sVaRavg) x multiplication factor (mc)		382		352
Incremental risk charge - IRC	2,550	204	2,922	234
Most recent IRC value		186		234
Average of the IRC number over the preceding 12 weeks		204		202
Comprehensive Risk Measure- CRM	—	—	—	—
Most recent risk number for the correlation trading portfolio over the preceding 12 weeks		—		—
Average of the risk number for the correlation trading portfolio over the preceding 12 weeks		—		—
8% of the own funds requirement in SA on most recent risk number for the correlation trading portfolio		—		—
Others		—		—
Total	9,556	764	9,941	795

For more information about RWA and capital requirements under IMA, see Table 58.

The maximum, minimum and average values in the second half of the year of the metrics used in the IMA method, as well as the

period-end data, are presented below:

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TABLE 57. EU MR3 - IMA VALUES FOR TRADING PORTFOLIOS (MILLION EUROS)

	Second half 2025	First half 2025
IMA values for trading portfolios
VaR (10 day 99%)
Maximum value	92	88
Average value	68	68
Minimum value	37	41
Period end	66	67
SVar (10 day 99%)
Maximum value	172	185
Average value	122	125
Minimum value	68	72
Period end	152	128
IRC (99.9%)
Maximum value	263	276
Average value	178	189
Minimum value	123	90
Period end	186	234
CRM (99.9%)
Maximum value	—	—
Average value	—	—
Minimum value	—	—
Period end	—	—

For more information about RWA and capital requirements under IMA, see Table 58.

The main changes in the market RWA, calculated using the method based on internal models are below:

TABLE 58. EU MR2-B - RWA FLOW STATEMENTS OF MARKET RISK EXPOSURES UNDER THE IMA (MILLION EUROS)

	VaR	SVaR	IRC	CRM	Other	Total RWA	Total Capital Requirements
RWA September, 2025	2,378	5,432	2,571	—	—	10,381	831
Regulatory adjustments	(1,582)	(3,612)	—	—	—	(5,194)	(415)
RWA as of last day of September 2025	796	1,821	2,571	—	—	5,188	415
Level risk variation	(129)	(603)	5	—	—	(726)	(58)
Model updates	—	—	—	—	—	—	—
Methodology and policy	—	—	—	—	—	—	—
Acquisitions and disposals	—	—	—	—	—	—	—
Foreign Exchange movements	(19)	(54)	(26)	—	—	(99)	(8)
Other	—	—	—	—	—	—	—
RWA as of last day of December 2025	830	1,904	2,328	—	—	5,062	405
Regulatory adjustments	1,401	2,871	222	—	—	4,494	359
RWA December, 2025	2,231	4,775	2,550	—	—	9,556	764

In the fourth quarter of 2025, capital requirements for market risk under the internal model were mainly affected by the reduction

in capital requirements at BBVA, S.A., SVaR capital requirements decreased mainly at BBVA, S.A. and, to a lesser extent, at BBVA

Mexico. The IRC remained stable, as the increase in Mexico offset the decline in Spain.

Capital requirements at BBVA, S.A. fell as of December 31, 2025, mainly due to the decline in capital requirements for SVaR as a

result of lower overall exposure to the main interest rate and credit spread factors, with VaR falling to a lesser extent for the same

reason. IRC capital requirements decreased due to bond hedging, as well as a lower nominal value in the corporate issuer portfolio.

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Capital requirements at BBVA Mexico remained stable at September 2025 levels, with IRC growing due to an increase in the

corporate bond position. This increase was offset by a decrease in SVaR and an increase in currency exposure. VaR remained

stable.

The full annual series of RWA flow of market risk under the IMA is available in the editable file “Pillar 3 2025 – Tables & Annexes”.

4.3.4.2.3Stress testing

Article 455 a).iii) CRR

All the tasks associated with stress, methodologies, scenarios of market variables or reports are undertaken in coordination with

the Group’s Risk Areas.

A number of stress tests are carried out on the BBVA Group's trading portfolios. First, global and local historical scenarios are used

that replicate the behavior of an extreme past event, such as the collapse of Lehman Brothers or the Tequilazo crisis. These stress

tests are complemented with simulated scenarios, where the aim is to generate scenarios that have a significant impact on the

different portfolios, but without being anchored to any specific historical scenario.

Finally, for some portfolios or positions, fixed stress tests are also carried out that have a significant impact on the market

variables affecting these positions.

Historical scenarios

The historical benchmark stress scenario for the BBVA Group is Lehman Brothers, whose sudden collapse in September 2008 led

to a significant impact on the behavior of financial markets at a global level. The following are the most relevant effects of this

historical scenario:

–Credit shock: reflected mainly in the increase of credit spreads and downgrades in credit ratings.

–Increased volatility in most of the financial markets giving rise to a great deal of variation in the prices of different assets

(currency, equity, debt).

–Liquidity shock in the financial systems, reflected by a major movement in interbank curves, particularly in the shortest

sections of the euro and dollar curves.

TABLE 59. TRADING BOOK. IMPACT ON EARNINGS IN LEHMAN SCENARIO (MILLION EUROS)

	12-31-2025	12-31-2024
GM Europe, NY & Asia	(19)	(18)
GM Mexico	(57)	(110)
GM Turkey	(1)	(4)
GM Argentina	(7)	(1)
GM Colombia	(2)	(2)
GM Peru	(7)	(6)
GM Chile	—	—
*GM: Global Markets

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Simulated scenarios

Unlike the historical scenarios, which are fixed and therefore not suited to the composition of the risk portfolio at all times, the

scenario used for the exercises of economic stress is based on resampling methodology. This methodology is based on the use of

dynamic scenarios that are recalculated periodically depending on the main risks affecting the trading portfolios. On a data window

wide enough to collect different periods of stress (data are taken from January 1, 2008 until the date of the assessment), a

simulation is performed by resampling of historic observations, generating a distribution of losses and gains that serve to analyze

extreme market events within the selected historical window.

The advantage of this methodology is that the period of stress is not predetermined, but depends on the portfolio maintained at

each time, and making a large number of simulations (10,000 simulations) allows a greater richness of information for the analysis

of expected shortfall than what is available in the scenarios included in the calculation of VaR.

The main features of this approach are:

a) the generated simulations respect the correlation structure of the data

b) there is flexibility in the inclusion of new risk factors

c) it allows the introduction of a lot of variability in the simulations (desirable for considering extreme events).

The impact of the stress tests by simulated scenarios (Stress VaR 95% at 20 days, Expected Shortfall 97,5 % at 20 days and

Stress VaR 99% at 1 day) is shown below.

TABLE 60. TRADING BOOK. STRESS RESAMPLING (MILLION EUROS. 12-31-2025)

	Europe	Mexico	Peru	Venezuela	Argentina	Colombia	Turkey
Expected impact	(129)	(66)	(17)	—	(39)	(4)	(17)
	Stress VaR	Expected Shortfall	Stress Period	Stress VaR 1D
	95 20 D	97.5 20 D		99% Resampling
Total
GM Europe, NY and Asia	(89)	(129)	2010/09/28 - 2012/09/07	(31)
GM Mexico	(50)	(66)	2008/01/02 - 2009/12/29	(13)
*GM: Global Markets

4.3.4.2.4.Backtesting

Artículo 455 a).iv), g) CRR

The internal market risk model is validated on a regular basis by backtesting in both, BBVA, S.A. and Global Markets Mexico (in

BBVA Mexico). The aim of backtesting is to validate the quality and precision of the internal market risk model used by BBVA

Group to estimate the maximum daily loss of a portfolio, at a 99% level of confidence and a 250-day time horizon, by comparing

the results of those entities and the risk measurements generated by the internal market risk model. These tests showed that the

internal market risk model of both, BBVA, S.A. and Global Markets Mexico is adequate and precise.

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Introduction

The ex-post or Backtesting validation is based on the comparison of the periodic results of the portfolio with the market risk

measures from the established measurement system. The validity of a VaR model is particularly dependent on whether the

empirical reality of the results does not enter into open contradiction with what is expected in the model. If the observed results

were sufficiently adjusted to what was predicted by the model, it would be rated as good, and if the discrepancy were notable,

revisions would be required in order to correct possible errors or modifications and to improve quality.

In order to determine whether the results have been sufficiently adjusted to the risk measurements, it is necessary to establish

objective criteria, which are specified in a series of validation tests carried out with a given methodology. In establishing the most

appropriate methodology, the criteria recommended by Basel have been largely followed as they are considered appropriate.

Validation test

In the comparison between results and risk measurements, a key element that is of interest is the confidence that the losses do

not exceed the VaR risk measurements made more than a number of times according to the level of confidence adopted in the

model. The validation test presented below, which focuses on contrasting this aspect, emphasizes that the risk measurement

model is underestimating the risk that is actually being borne.

For the establishment of a hypothesis comparison test, we start from the observed results and try to infer whether there is enough

evidence to reject the model (the null hypothesis that the trust of the model is established is not met).

In cases where the model functions properly, the VaR measurement indicates that the variation of the value of a portfolio in a given

time horizon will not exceed the value obtained in a percentage of times determined by the level of confidence. In other words, the

probability of having a loss that is higher than the VaR measurement, what is called an exception, will be 1%, and the probability

that the exception will not occur will be 99%.

GREEN Zone: model acceptance zone		It is characterised as being an area in which there is a high probability of accepting a suitable model and a low probability of accepting an unsuitable model. This is defined by the set for which the accumulated probability of less than 95%, with the null hypothesis proving correct. It covers a number between zero and four exceptions.
YELLOW zone: ambiguous zone		Possible results for both a suitable and inadequate model. It begins when the accumulated probability is greater than equal to 95% (it must be less than 99.99%), with the null hypothesis proving correct. It covers a number of between five and nine exceptions.
RED zone: model rejection zone		High probability that the model is unsuitable and unlikely to reject if suitable. It is defined by the fact that the level of significance is less than 0.1% or, which is the same, the accumulated probability is greater than or equal to 99.99%, with the null hypothesis proving correct. It corresponds to a number of exceptions equal to or greater than ten.

To carry out this test it is advisable to have, at least, a one-year historical series of both results and risk estimates on a daily basis.

The criterion used is perfectly adapted to the priority of supervisory, which is to avoid situations where excess risk for which the

entity is not prepared jeopardizes its survival. However, the use of risk measurements as a tool for managing positions entails a

concern that the risk measurements are adjusted to the real risk on both sides: not only is there concern that the risk is being

underestimated, but also that It may be overestimating.

At the end of December 31, 2025, the model is in the green zone of acceptance of the model, both in BBVA SA and BBVA Mexico.

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Backtesting results

Regulatory backtesting is made up of two types: Hypothetical Backtesting and Actual Backtesting:

–Hypothetical Backtesting is defined as the contrast of the Hypothetical P&L on the estimated VaR, the day before the

performance of said result. Actual Backtesting is defined as the contrast with the Actual P&L on the same estimated VaR,

the day before the performance of said result.

–Actual Backtesting was implemented and entered into force on January 1, 2013, as a result of the transposition in the

national legal order through the Bank of Spain Circular 4/2011 of November 30, of the CRD III that introduces Basel 2.5 in

the European Union. The results that are used for the construction of both types of Backtesting are based on the actual

results of the management tools.

According to Article 369 of the CRR, the P&L used in Backtesting should have a sufficient level of granularity in order to be shown

at the “top-of-house” level, differentiating between Hypothetical and Actual P&L. In addition to the above, the historical

Backtesting series will include a minimum of one year.

Actual P&L

The Actual P&L contains the complete management results, including the intraday operation and the daily and non-daily valuation

adjustments, discounting the results of the franchises and commissions of each day and each desk.

The valuation functions and the parameters of the valuation models used in the calculation of the Actual P&L are the same as

those used in the calculation of the Economic P&L.

Hypothetical P&L

The Hypothetical P&L contains the management results without the P&L of the daily activity, it is said, excluding intraday

operations, premiums, and commissions. It is calculated using the end-of-day or “frozen” portfolio, applying official prices and

valuation models The data is provided by the management systems and broken down by desk, in adherence with the Volcker Rule

on desk distribution.

The valuation functions and the parameters assigned to the valuation models used in the calculation of the Hypothetical P&L are

the same as those used in the calculation of the Actual P&L.

The P&L figures used in both Backtesting types exclude Credit Valuation Adjustments (CVA), Debt Valuation Adjustments (DVA)

and Additional Valuation Adjustments (AVA). As well as any change in value resulting from migrations from rating to default,

except those reflected in prices by the market itself, since the changes in value due to migration from rating to default are included

in the Counterparty Credit Risk metrics.

Perimeter of the backtesting and internal model exceptions

The calculation scope of VaR and P&L (Hypothetical and Actual) is limited to the totality of the Trading Book portfolios of the

Global Markets Internal Model of BBVA, S.A. and BBVA Mexico.

All the positions belonging to the Banking Book, the portfolios under the Standardised Approach and the trading activity with

Hedge Funds (this activity was excluded from the Internal Model in its original approval) are thus excluded from this scope of

application.

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It is considered that there is an exception at the Top of House level, when the two following circumstances concur in the same

internal model and date:

–The Hypothetical P&L and/or the Actual P&L are negative.

–With an amount equal to or greater than the maximum between VaR without smoothing and VaR with smoothing

calculated based on the previous day

For the purposes of calculating the number of exceptions of the Regulatory Backtesting, exceptions will only be taken into account

within a mobile window of 250 consecutive Business Days at the Top of House level in each respective internal model.

At the end of December 31, 2025, there was not any exception nor in BBVA SA neither in BBVA Mexico Backtesting.

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4.4.Structural risk

The structural risks are defined, in general terms, as the possibility of suffering losses in the banking book due to adverse

movements in market risk factors.

In the Group, the following types of structural risks are defined, according to their nature: interest rate risk, credit spread risk,

exchange rate risk, equity risk, and actuarial risk.

The scope of structural risks in the Group excludes market risks in the trading book that are clearly delimited and separated and

are part of the Market Risks category.

The Assets and Liabilities Committee (ALCO) is the main responsible body for the management of structural risks regarding

liquidity/ funding, interest rate, credit spread, currency, equity and solvency. Every month, with the participation of the CEO and

representatives from the areas of Finance, Risks and Business Areas, this committee monitors the structural risks and is

presented with proposals with regard to action plans related with its management for its approval. These management proposals

are made by the Finance area with a forward-looking focus, maintaining the alignment with the Risk Appetite Framework, trying to

guarantee the recurrence of results and financial stability, as well as to preserve the solvency of the entity. All balance sheet

management units have a local ALCO, which is permanently attended by members of the Corporate Center, and there is a

corporate ALCO where management strategies are monitored and presented in the Group's subsidiaries.

The GRM area acts as an independent unit, ensuring adequate separation between the management and risk control functions,

and is responsible for ensuring that the structural risks in the Group are managed according to the strategy approved by the Board

of Directors.

Consequently, GRM deals with the identification, measurement, monitoring and control of those risks and their reporting to the

corresponding corporate bodies. Through the GRMC, it performs the function of control and risk assessment and is responsible for

developing the strategies, policies, procedures and infrastructure necessary to identify, evaluate, measure and manage the

significant risks that the BBVA Group faces. To this end, GRM, through the corporate unit of Structural Risks, proposes a scheme

of limits that defines the risk appetite set for each of the relevant structural risk types, both at Group level and by management

units, which will be reviewed annually, reporting the situation periodically to the Group's corporate bodies as well as to the GRMC.

Additionally, both the management system and the control and measurement system for structural risks are necessarily adjusted

to the Group's internal control model, complying with the evaluation and certification processes that comprise it. In this sense, the

tasks and controls necessary for its scope of action have been identified and documented, supporting a regulatory framework

which includes specific processes and measures for structural risks, from a broad geographical perspective.

Within the three lines of defense scheme in which BBVA's internal control model is based according to the most advanced

standards in terms of internal control, the first line of defense is maintained by the Finance area, which is responsible for managing

the structural risk.

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As a second line of defense, GRM is in charge of identifying risks, and establishing policies and control models, periodically

evaluating their effectiveness.

In the second line of defense, there are also the Internal Risk Control units, which independently review the Structural Risk control,

and Internal Financial Control, which carries out a review of the design and effectiveness of the operational controls over structural

risk management.

The third line of defense is represented by the Internal Audit area, an independent unit within BBVA Group, which is responsible for

reviewing specific controls and processes.

4.4.1. Structural interest rate risk

4.4.1.1.Scope and nature of interest rate risk and credit spread risk

Articles  435 (1) a), 448 (1) e), f) CRR

EU IRRBBA a), b)

The structural interest-rate risk in the Banking Book (“IRRBB”) is defined as the potential change on the earnings, through the

impact on an entity’s net interest income and on the valuation of instruments accounted at fair value, as well as on the economic

value of the equity due to variations in market interest rates.

Furthermore, the credit spread risk in the banking book (CSRBB)  arises from the potential impacts on the earnings and/or on the

value of equity of the banking book produced by a variation in the level of market credit spreads  that are not explained by default

or migration risk or by movements in market interest rates.

Structural interest rate and credit spread risk managing is carried out  from a double perspective, of the economic value of equity

and  of the earnings, in a broad sense, including the net interest income management and the banking book instruments

accounted at fair value with an impact on P&L and/or on equity monitoring.

Besides, the banking book instruments accounted for its market value (fair value) are subject to a specific monitoring, due to their

impact on risk and on the capital, through OCI (Other Comprehensive Income) or profit and loss (P&L).

Likewise, within the evaluation of risk sources, climate change risks (ESG) is considered through the incorporation of their

potential effect on structural interest rate risk factors. This risk materializes on IRRBB through the potential impact on the

valuation of fixed income portfolios (reflected in their credit spread) due to their exposure to transition risk.

Structural interest rate risk perimeter is limited to the structural balance sheet (banking book), and includes all those entities

whose structural balance sheet contributes to the banking book of the Group, as well as their banking subsidiaries. All trading

activities (trading book), developed by the Global Markets unit, are excluded from the scope, as they are included in the market

risk monitoring and control process.

For its part, credit spread risk in the banking book monitoring is limited to those banking book instruments sensitive to market

credit spread changes that can impact on net interest income or on equity.

Under the value approach, within the scope of CSRBB, in any case they will be included those banking book instruments whose

change in their fair value has an impact on equity, via profi t and loss account or other comprehensive income (OCI), as well as

other assets not accounted for at fair value that are characterized by having observable market prices and could affect equity in

exceptional situations where it would be necessary to generate liquidity through their sale or use as collateral .

From an earnings perspective, credit spread risk comes from the potential impacts on the NII caused by changes in the

contractual spreads of the new volumes of the banking book, along with the impacts on fair value accounted portfolios.

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The exposure of a financial entity to adverse interest rates and credit spreads movements is a risk inherent to the development of

the banking business, which is also, in turn, an opportunity to create economic value. Therefore, interest rate and credit spread

risk in the banking book must be effectively managed so that it is limited in accordance with the entity’s equity and in line with the

expected economic result.

In BBVA, the purpose of structural interest rate risk management is to maintain the recurrent generation of earnings  in the event

of market interest rate fluctuations, through the contribution to the net interest income and the control of the potential impacts on

the mark-to-market of the fair value accounted portfolios, as well as to limit the capital consumption due to structural interest rate

risk. Likewise, the spread risk management in the banking book is aimed at limiting the equity impact of market credit spread

movements on the valuation of the structural balance sheet, mainly associated with fixed-income instruments which are used in

balance sheet risk management. The objective is to keep this risk at levels consistent with the equity of the Group, while controlling

the effect on earnings through net interest income and the mark-to-market of instruments accounted for at fair value.

In order to manage the structural interest rate risk so that it remains within the approved limits, Global ALM (Balance-sheet

management) uses fixed-rate bond portfolios with a conservative risk profile, as they are mainly invested in the country's

sovereign bonds, which can be classified for accounting under the HTC&S or HTC modality. Additionally, financial derivatives are

also used, which have, except for duly justified and approved exceptions, hedge accounting treatment of both Fair Value Hedge

and Cash Flow Hedge. Derivative instruments (like swaps, forward agreements or interest rate options) may be used, complying

with the accounting requirements regarding their treatment as hedges with the aim of minimizing the P&L impacts. Before being

implemented, these tools have to be previously analysed and approved in the assets and liabilities committees (both at the local

level and at the holding level) and are subsequently followed up in the next committees.

Structural interest rate and credit spread risk are embedded in the economic capital adequacy process, in order to assure that it is

adequately considered during the general allocation of capital of the entity.

The management of these risks is decentralized, and is carried out in each Group’s entity with a robust supervision and

coordination from the corporate center, keeping the exposure to interest rates and credit spreads movements aligned with the

strategy and the target risk profile of the Group, and in compliance with the regulatory requirements according to the EBA

guidelines and the different local and supranational supervisory authorities. Besides, in order to preserve the capital position of the

Group, the corporate unit of GRM-SSRR monitors the banking book exposure to interest rates at a consolidated level.

4.4.1.2.Nature of IRRBB and CSRBB

Articles 435 (1) a), 448 (1) e).i), iii), v), f) CRR

EU OVA f), EU IRRBBA b), c), d)

Structural interest rate risk may arise from different sources, which are part of the four types of risk faced by the entities:

–Repricing Risk: arises due to different maturity (fixed-rate products) or repricing (variable rate products) periods of

assets, liabilities and off-balance sheet positions.

–Curve risk: arises from a change on the slope and/or curvature of the yield curve as a result of different fluctuations in

each time slot.

–Basis risk: arises from imperfect correlation between changes on the reference interest rates for different instruments

with similar repricing and maturity characteristics.

–Option risk: arises from the (implicit or explicit) options associated with certain balance sheet transactions that may

change their future flows and generate mismatches in their maturities.

To monitor and control IRRBB and CSRBB, a comprehensive set of metrics is assessed on a regular basis, from a dual perspective

of economic value (EVE) and earnings, where impacts on net interest income (NII) and on the value of instruments accounted at

fair value are considered, including sensitivity and probabilistic measures.

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Among others, EVE and NII sensitivity measures to parallel interest rate shifts are calculated, broken down by currency and yield

curve. In addition, the aggregate cross-currency sensitivity is calculated in order to obtain a figure of the total sensitivity of the

entity to parallel shifts in multiple interest rate curves (currencies), considering the volatility of the currencies and their correlation

among each other.

Scenarios of parallel and sudden rate shifts of different magnitudes are evaluated. The general shift reference is +/-100 bps, as

well as the specific shock size calibrated for each currency according to its volatility with a 99% confidence level, which is used to

obtain the aggregate sensitivity. Negative rates scenarios are allowed until plausible levels according to the observed volatility.

Likewise, MtM sensitivity to parallel interest rates shocks is monitored in isolation for the structural balance sheet assets

accounted at fair value, including fixed-income portfolios and derivatives. Furthermore, credit spread sensitivities are also

estimated by comparing the MtM of the baseline scenario with the MtM recalculated after applying a consistent shock to the credit

spreads of the discount rates curve of each security (market spread).

These metrics are complemented by the sensitivity on earnings, which adds the impact of a parallel and instantaneous interest

rate shock, on the net interest income and on the future market value of the instruments of the Banking Book accounted at fair

value, at the end of the projection horizon, generally 12 months.

The probabilistic measures are the main monitoring metrics, and they are included in the Risk Appetite by type of risk metrics.

These measures complete the sensitivity analysis metrics as they consider additional effects like changes on the slope and shape

of the curve or the basis among interest rate yield curves (“risk free”), as well as ramp shocks (gradual) of interest rates and credit

spread shocks. The simulation methodology is based on an analysis of the major IRs components, on the basis of which different

scenarios are generated for each currency with a specific probability of occurrence, calculating then the impact in terms of value

and earnings for each scenario.

The IRRBB and CSRBB probabilistic metrics are composed by the Economic Capital (EC), and the Earnings at risk (EaR), and they

estimate, respectively, the maximum negative impact for a given horizon and confidence level, on the Economic Value and the

projected Earnings, driven by movements in the market interest rate and credit spreads levels.

The periodicity of the calculation of the main risk measures is monthly, except for the contribution of the fair value instruments

which is monitored on a weekly basis.

These measures are complemented with the periodical calculation of other scenarios that complete the analysis of the entity risk,

such as, changes of the slope/curvature, gradual shifts (ramps), individual shifts by tenor, individual shocks by curve (basis), or

changes in model assumptions.

In addition to the analysis under normal conditions, stress tests are regularly run to assess the level of exposure to interest rate

risk under stress scenarios of market variables. The stress scenarios are simulated based on historical information, and consider

directional movements, changes in the slope, curvature and basis of the yield curves according to market stress conditions. These

scenarios are evaluated from the two risk perspectives, economic value and net interest income.

The stress exercise is completed with a reverse stress test whose objective is to identify those scenarios capable of producing a

certain impact within a set range of values.

Likewise, the stress scenarios of the market variables are complemented with stress tests to the main assumptions of the model.

Finally, the analysis of IRRBB scenarios under the ICAAP (Internal Capacity Adequacy Assessment Process) and GRM Stress

Program processes are carried out, which assess, on a regular basis, global stress situations under a comprehensive view for the

set of financial risks.

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4.4.1.3.Key assumptions of the model

Article 448 (1) c), g) CRR

EU IRRBBA g), (1), (2)

In order to measure structural interest rate risk, the setting of assumptions on the evolution and behaviour of certain balance

sheet items is particularly relevant, especially those related to products without an explicit or contractual maturity which

characteristics are not established in their contractual terms and must be therefore estimated

The assumptions that characterize these balance sheet items must be understandable for the areas and bodies involved in risk

management and control and remain duly updated, justified and documented. The modelling of these assumptions must be

conceptually reasonable and consistent with the evidence based on historical experience, reviewed at least once a year and, if any,

the behaviour of the customers induced by the business areas.  In order to provide the required dynamism to enhance their

accuracy and reflect specific market or management circumstances, risk models and metrics may incorporate parameters or

adjustments based on expert judgment, subject to the internal governance established in this regard. These assumptions are

regularly subject to a sensitivity analysis to assess and understand the impact of the modelling on the risk metrics.

In view of the heterogeneity of the financial markets, customers and products in the multiple jurisdictions, each one of the entities

of the Group is responsible for determining the local behaviour assumptions to be applied to the balance sheet items, always under

the guidelines and the applicability of the corporate models existing in the Group.

To calculate IRRBB measures, internal models are used to set the behavioural assumptions. The key modelling assumptions

applied are:

Non-maturity Deposits (NMDs)

The NMDs internal model distinguishes between volatile, semi stable and stable deposits.

The volatile portion of NMDs is stripped out using the moving average of the historical series, which is shifted down according to

the volatility of the error of the regression. The volatile part of deposits is assumed that matures at short term (<1 Month).

The semi-stable amount corresponds to the part of the trend balance that is not yet consolidated, either because it is a recently

formed balance, or because it has a behavior linked to external factors (non-transactional amounts excess, competition,

investment alternatives, etc). Thus, it is considered that it is exposed to a greater probability of exit and that it may be influenced

by the management measures applied, so that it is assigned a gradual run-off in the medium term and normally linked to the

movement of market factors.

Meanwhile, the stable amount of deposits is run off to long term following a decay distribution estimated according to the

conditional probabilities of maturity during the life of the product. Besides, based on the observed data and applying a

conservatism criterion, a maximum life around 20 years is assumed, preventing the maturing cash flows to extend beyond that

time.

The following table shows the average maturities obtained by the NMDs internal model:

TABLE 61. AVERAGE MATURITIES FOR NMDS (YEARS. 12-31-2025)

	Core deposits	Full amount of deposits
Retail transactional	6.00	3.55
Retail non-transactional	5.68	3.29
Wholesale	4.55	1.43

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Furthermore, the model also estimates the evolution of the mix of customer deposits, considering the potential migration between

different types of deposits (demand / time deposits) under different interest rates scenarios. The potential asymmetry between

the behaviour of balance stability in interest rate increase and decrease scenarios is considered in the analysis.

Finally, for those deposits with administered rates, the model estimates the translation dynamic of interest rates shocks to these

accounts’ remuneration, based on the analysis of its relationship with the evolution of market interest rates. For retail accounts a

general floor is set at 0% assuming that in negative interest rate environments retail customer rate will never be negative.

Revolving Credit cards

They mature gradually according to the monthly expected average repayment rate.

Expectations about the exercise of interest rate options (explicit and implicit), both purchased or sold, under different interest rate

scenarios.

Loans subject to prepayment risk

The balance is segmented into several categories based on the characteristics of the loan and/or the client (that is, loan rate,

original face amount, original maturity, scoring. etc.)

The “prepayment” behaviour, understood as all extraordinary payments over those established in the regular payment schedule

and that therefore changes the contractual payment scheme, is then analysed in order to be modelled. The model captures total

and partial prepayments, if relevant.

The potential link with the interest rates evolution is also examined, and incorporated in the model when the incentive of the client

to pre-cancel determines the prepayment speed. In this case, the model adjusts the prepayment rates applied in each interest rate

scenario.

Customer deposits with early redemption optionality

An early cancellation assumption is established for those deposits with a redemption option before maturity. The cancellation rate

is based on the economic incentive of the client, and linked to the level of market interest rates, if applicable.

Treatment of Non performing exposures (NPEs)

The amount of NPEs, net of provisions, is considered interest rate sensitive, while the provisioned amount is considered non-

earning, consistently with the treatment of the allowances in the liability side. A maturity ladder is assigned to the expected

recovery flows of the NPEs based on the future cash flows distribution which is estimated according to the internal Loss Given

Default recovery model.

The governance of structural interest rate risk models is subject to internal model risk regulation, under the scope of GRM-

Analytics. In this way, they must be properly inventoried and catalogued and comply with the requirements for their development,

updating and management of the changes included in the internal procedures. Likewise, they are subject to the corresponding

internal validations and monitoring requirements established based on their relevance, as well as back-testing procedures against

experience to confirm the validity of the assumptions applied.

14 Structural portfolio managed by the Asset and Liability Committee, designed to mitigate the sensitivity of the balance sheet to interest rate movements.

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4.4.1.4.Evolution of IRRBB and CSRBB

Article 448 (1) e).iv) CRR

EU IRRBBA f)

The year 2025 has been influenced by the geopolitical context, notably the increase in the United States tariffs, as well as

developments and expectations regarding inflation and central bank actions.

In the United States, there have been declines across the entire interest rate curve due to the deceleration signs and greater

prospects for interest rate cuts by the Fed. In contrast, Europe has seen a rebound in yields, particularly at the long end of the

curve, mainly due to the change of course in Germany's fiscal policy. The peripheral curves are still supported with spreads against

German bonds narrowing over the year. In Mexico, the sovereign curve has fallen in line with United States rates. In Turkey, yield

curves were more volatile as a result of both the political situation and inflation trends and expectations. However, it is worth

noting the favorable performance of credit default swaps (CDS) and sovereign bonds denominated in hard currency since March.

Lastly, in South America, the curves show mixed performance, with upturns in some regions, such as Colombia, and downturns in

others, such as Peru. Overall, ALCO14 portfolios have performed positively in 2025.

Regarding benchmark interest rates in the main areas where the Group operates:

–The ECB has cut interest rates by a total of 100 basis points throughout the year until its meeting in July 2025, due to the

convergence of inflation towards the target, maintaining the rates without changes in its last meeting in December 2025.

Thus, the benchmark interest rate in the euro area stood at 2.15% at the end of December 2025, the rate on the deposit

facility at 2.00% and the rate on the marginal lending facility at 2.40%.

–In Mexico, the monetary policy rate stood at 7.0% at the end of December 2025, 300 basis points below the end of 2024.

–The Central Bank of the Republic of Turkey (CBRT) has continued its monetary easing process, supported by improved

inflation setting the monetary policy rate at 38.0% at the end of December 2025, which represents a decrease of 950

basis points since the end of December of the previous year.

–In Argentina, the central bank abandoned the official interest rate as a monetary anchor and began to regulate the

monetary base using other tools such as setting reserve requirements or intervening in the foreign exchange market for

its management.

–In Colombia, the reference rate stood at 9.25% at the end of December 2025, 25 basis points below the end of 2024.

–In Peru the official monetary policy rate closed at 4.25% as of December 2025, 75 basis points below the previous year's

closing level.

The BBVA Group, at an aggregate level, continues to maintain a limited risk profile, in accordance with the established objective in

the environment of a change of cycle to lower interest rates, with a positive sensitivity to interest rate increases in net interest

income. Effective management of the balance sheet structural risk enabled the Group to mitigate the negative impact of the low

interest rates in previous exercises, as well as to take advantage of the change in trend of interest rates and benefit from the

significant increases in 2022 and 2023, as well as mitigate the impact of the decreases during 2024 and 2025, which is reflected in

the strength and recurrence of the net interest income. By area, the main features are::

–Spain has a balance sheet characterized by a lending portfolio with a high proportion of variable-rate loans (mortgages

and corporate lending) and liabilities composed mainly by customer demand deposits. The ALCO portfolio acts as a

management lever and hedge for the balance sheet, mitigating its sensitivity to interest rate fluctuations. The exposure of

the net interest income to movements in interest rates remains limited.

–Mexico continues to show a balance between fixed and variable interest rates balances, which results in a limited

sensitivity to interest rates fluctuations. Among the assets that are most sensitive to interest rate changes, the

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commercial portfolio stood out, while consumer and mortgage portfolios are mostly at a fixed rate. With regard to

customer funds, the high proportion of non-interest-bearing deposits, which are insensitive to interest rate movements,

should be highlighted. The ALCO portfolio is invested primarily in fixed-rate sovereign bonds with limited durations.

–In Turkey, the sensitivity of net interest income to rates remains limited in both local and foreign currencies, thanks to the

bank's management, with a low repricing gap between loans and deposits.

–In South America, the sensitivity of net interest income continues to be limited, since most of the countries in the area

have a fixed/variable composition stable between assets and liabilities. In addition, in balance sheets with several

currencies, the interest rate risk is managed for each of the currencies, showing a very low level of exposure.

The table below shows the profile of average structural interest rate risk and credit spread risk of fixed income portfolio in the

banking book classified as HtC&S in terms of sensitivities of the main currencies for the BBVA Group in 2025:

TABLE 62. SENSITIVITY TO INTEREST-RATE AND CREDIT SPREAD ANALYSIS (12-31-2025)

	Interest rate				Credit spread
	Impact on net interest income (1)		Impact on economic value (2)		Impact on economic value (2)
	100 basis-point increase	100 basis-point decrease	100 basis-point increase	100 basis-point decrease	100 basis-point increase
EUR	[0,5% , 1,5%]	[-1,5% , -0,5%]	[-2,5% , -1,5%]	[1,5% , 2,5%]	[-1,5% , -0,5%]
MXN	[0,5% , 1,5%]	[-1,5% , -0,5%]	[-1,5% , -0,5%]	[0,5% , 1,5%]	[-0,5% , 0,5%]
USD	[0,5% , 1,5%]	[-1,5% , -0,5%]	[0,5% , 1,5%]	[-1,5% , -0,5%]	[-0,5% , 0,5%]
TRY	[-0,5% , 0,5%]	[-0,5% , 0,5%]	[-0,5% , 0,5%]	[-0,5% , 0,5%]	[-0,5% , 0,5%]
Other	[-0,5% , 0,5%]	[-0,5% , 0,5%]	[-0,5% , 0,5%]	[-0,5% , 0,5%]	[-0,5% , 0,5%]
BBVA Group	[1,5% , 2,5%]	[-2,5% , -1,5%]	[-4,5% , -3,5%]	[2,5% , 3,5%]	[-1,5% , -0,5%]
(1) Percentage of 12 months net interest income for the BBVA Group. (2) Percentage of CET1 (Fully Loaded) for BBVA Group.

The key modelling and parametric assumptions used for internal calculations are the same as those used for the prescribed for the

SOT regulatory IRRBB metrics (as explained in the following section), except for the following settings:

–Multiple risk free discount curves are used in order to capture basis risk, instead of one single curve as for the SOT

calculations.

–Floors applied to negative rates in the internal risk scenarios are different from the one prescribed for EBA SOT scenarios.

–Cross-currency aggregation methods, based on historical correlation among currencies, are used.

–For the internal metrics, in the Net Interest Income (NII) projections it is applied a dynamic balance sheet growth

assumption, based on the updated financial planning.

4.4.1.5.IRRBB SOT regulatory metrics

Article 448 (1) a), b), d) CRR

EU IRRBBA h)

In the context of the SREP, CRD IV provides for a review and evaluation of the IRRBB. The main instrument of this assessment is

the Supervisory Outlier Test (SOT), which assesses the impact on Economic Value of Equity (EVE) and Net Interest Margin risks

(NII) of the banking book under different interest rate variation scenarios. This exercise allows comparability between entities.

As described above, the structural interest rate risk in the banking book (IRRBB) is part of the entity’s risk management

framework and is included in the internal capital self-assessment process as part of Pillar 2.

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The table below shows the changes in the economic value of equity (EVE) and in net interest income (NII) shown as amounts in

millions of euros:

TABLE 63. EU IRRBB1 -  INTEREST RATE RISK IN THE BANKING BOOK

	∆ EVE	∆ EVE	∆ NII	∆ NII
Currency	12-31-2025	6-30-2025	12-31-2025	6-30-2025
Parallel up	(6,013)	(5,231)	304	123
Parallel down	2,254	1,813	(1,190)	(976)
Steepener	(800)	(53)
Flattener	(531)	(1,232)
Short rates up	(2,397)	(2,688)
Short rates down	949	1,275

The SOT regulatory metrics have been calculated as described in the guidelines.

IRRBB measures cover the principal exposures in currency EUR, USD, MXN, TRY and COP, up to a cumulative percentage of the

banking book above 90%.

Reported changes of the economic value of equity (EVE) are calculated as follows:

–Changes in EVE under the six supervisory interest rate shock scenarios

–The supervisory maturity-dependent post-shock interest rate floor (-1.5%) has been applied for each currency

–Changes in EVE are expressed in amounts, valued in millions of euros (at the exchange rate of each date).

–Aggregate EVE change for each interest rate shock scenario has been calculated by adding together any negative and

positive changes to EVE occurring in each currency. Positive changes have been weighted by a factor of 50%.

–Run-off balance sheet assumption: existing positions mature and are not replaced

–Own equity has been excluded from the computation of the exposure level

–Commercial margins are included in the interest cash flows

–Cash flows have been discounted using one only risk-free rate yield curve

Reported changes of the net interest income (NII) are calculated as follows:

–Changes in projected NII over a forward-looking rolling 12-month period under the two parallel supervisory interest rate

shock scenario out of the six supervisory shock scenarios for EVE

–The supervisory maturity-dependent post-shock interest rate floor (-1.5%) has been applied for each currency

–Instantaneous shocks are applied

–Changes in NII  are expressed in amounts, valued in millions of euros (at the exchange rate of each date).

–Aggregate NII change for each interest rate shock scenario has been calculated by adding together any negative and

positive changes to NII occurring in each currency. Positive changes have been weighted by a factor of 50%.

–Constant balance sheet assumption

–New exposures are repriced considering the margin of new productions at the reporting date.

–Commercial margins are included in the interest cash flows

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–Fees and commissions attributable for interest rate changes are not included

SOT metrics significance and evolution

SOT IRRBB metrics at Group level remain in a moderate risk level, maintaining the negative exposure to parallel down scenario for

the NII approach, while in the case of the EVE, the worst scenario among the 6 prescriptive scenarios corresponds to the parallel

up scenario.

NII risk remained contained during the semester, in line with the continuation of strategies aimed at protecting net interest income.

These actions, based on proactive management focused on locking in asset profitability and taking advantage of the positive slope

of the yield curve, have made it possible to preserve margin generation in an environment characterized by the exhaustion of the

interest rate cutting cycle, thereby supporting the extension of these strategies over time.

Conversely, these same measures may lead to an increase in value risk on the balance sheet, as they extend asset duration. This

effect is primarily observed in the balance sheets of BBVA México and BBVA, S.A., which account for the largest value impacts in

the SOT exercise, as a result of the application of larger shocks in the Mexican peso and the greater exposure assumed by BBVA,

S.A.

Additionally, initiatives aimed at optimizing capital ratios at year-end generate further pressure on the indicators in relative terms

with respect to Tier 1.

4.4.2.Structural exchange rate risk

Article 435 a) CRR

Structural exchange rate risk is defined as the possibility of impacts on solvency, equity value and results driven by fluctuations in

the exchange rates due to exposures in foreign currencies.

Structural exchange rate risk is inherent to the business of international banking groups, such as BBVA, that develop their

activities in different geographical areas and currencies. At a consolidated level, structural exchange rate risk arises from the

consolidation of holdings in subsidiaries with functional currencies other than the euro. Its management is centralized in order to

optimize the joint management of permanent foreign currency exposures, taking diversification into account.

The purpose of structural exchange rate risk management is protecting solvency by limiting volatility of the consolidated CET1

ratio and income to consolidate denominated in a currency other the euro in the Group, as well as to limit the capital requirements

under exchange rate fluctuations to which the Group is exposed due to its international diversification. The ALM Global corporate

unit, through the ALCO, is responsible for the management of this risk all through an active hedging policy, deliberately taken for

each objective, and fully aligned with the management strategy.

At the corporate level, the risk monitoring metrics included in the limits framework are aligned with the Risk Appetite Framework,

and are targeted to control the effects on the solvency through the economic capital metric and the fluctuations in the Common

Equity Tier I fully loaded (CET1 fully loaded) consolidated ratio, as well as the maximum deviation in the Group's attributable profit.

The probabilistic metrics make it possible to estimate the joint impact of exposure to different currencies taking into account the

different variability in exchange rates and their correlations. These metrics are supplemented with additional assessment

indicators.

The suitability of these risk assessment metrics is reviewed on a regular basis through backtesting exercises. The final element of

structural exchange rate risk control is the stress and scenario analysis aimed to assess the vulnerabilities of foreign currency

structural exposure not contemplated by the risk metrics and to serve as an additional tool when making management decisions.

The scenarios are based both on historical situations simulated by the risk model and on the risk scenarios provided by BBVA

Research.

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The purpose of the exchange rate risk management of BBVA's long term investments, which arises mainly from its foreign

franchises, is to preserve the capital ratios of the Group and to maintain the stability of the profits. During 2025, the US dollar

depreciated significantly against the euro (-11.6%). This depreciation was concentrated in the first half of the year, when the

aggressiveness of US tariff policy generated a climate of distrust towards the dollar. Among emerging market currencies, the

Mexican peso stood out with an appreciation (+2.0% against the euro), supported by the perception of Mexico as a relative winner

of the trade war. The Turkish lira was heavily penalised in 2025 (-27.2%), reflecting high inflation, which is nevertheless gradually

declining. Regarding the performance of South American currencies, the Peruvian sol weakened against the euro (-1.2%), the

Colombian peso showed a notable appreciation (+3.8%), while the Chilean peso depreciated by -2.9%. Finally, the Argentine peso

experienced a very significant depreciation (-37.4%), in an environment still marked by macroeconomic adjustments and high

financial volatility, despite progress in the economic stabilisation process.

BBVA maintains active management policies for its main investments in emerging countries with the objective of achieving, on

average, a hedging level of between 40% and 50% of the aggregate attributable profit in non-euro currencies that the Group

expects to generate over the next twelve months; and between 50% and 70% of the aggregate excess capital in non-euro

currencies within CET1. With respect to this solvency ratio, the sensitivities estimated as of year-end 2025 to 10% currency

depreciations are as follows: Mexican peso (-14 basis points); Turkish lira (-3 basis points); and US dollar (+12 basis points).

The evolution of the structural exchange risk requirements in 2025 is in section 4.3.3. of this Report.

For the years 2025 and 2024, the estimated sensitivities (in absolute terms) of the result attributable to the parent company are

shown below, taking into account the coverage, against depreciations and appreciations of 1% of the average rate in the main

currencies. To the extent that hedging positions are periodically modulated, the sensitivity estimate attempts to reflect an average

(or effective) sensitivity in the year:

TABLE 64. SENSITIVITY TO 1% CHANGE (MILLION EUROS)

Currency	2025	2024
Mexican peso	11.4	27.8
Turkish lira	4.3	3.3
Peruvian sol	1.7	1.4
Chilean peso	0.4	0.2
Colombian peso	0.7	0.4
Argentine peso	1.3	1.8
U.S. dollar	3.3	0.3

4.4.3.Structural equity risk

Article 435 a) CRR

Equity risk in the banking book refers to the possibility of suffering losses in the value of positions in shares and other equity

instruments held in the banking book with long or medium term investment horizons due to fluctuations in the value of equity

indexes or shares.

BBVA Group's exposure to structural equity risk arises largely from minority shareholdings held on industrial and financial

companies, and in new business (innovation). This exposure is modulated in some portfolios with positions held on derivative

instruments on the same underlying assets, in order to adjust the portfolio sensitivity to potential changes in equity prices.

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The structural equity risk management is aimed at increasing the income-generating capacity of those shares held by the Group,

limiting the capital requirements for equity risk and narrowing the impact on the solvency level through a proactive management of

the portfolio using hedges. The function of managing the main structural equity portfolios is a responsibility of the specialized units

of the corporate areas of Global ALM, Strategy & M&A and Client Solutions (Banking for Growth Companies). Their activity is

subject to the corporate structural equity risk management policy, complying with the defined management principles and Risk

Appetite Framework.

The structural equity risk metrics, designed by GRM according to the corporate model, contribute to the effective monitoring of

the risk by estimating the sensitivity and the capital necessary to cover the possible unexpected losses due to changes in the value

of the shareholdings in the Group's investment portfolio, with a level of confidence that corresponds to the objective rating of the

entity, taking into account the liquidity of the positions and the statistical behavior of the assets to be considered

In order to analyze the risk profile in depth, stress tests and scenario analysis of sensitivity to different simulated scenarios are

carried out. They are based on both past crisis situations and forecasts made by BBVA Research. These analyses are carried out

regularly to assess the vulnerabilities of structural equity exposure not contemplated by the risk metrics and to serve as an

additional tool when making management decisions.

Backtesting is carried out on a regular basis on the risk measurement model used.

For the third consecutive year, global equity markets posted significant gains in 2025, with double-digit increases in both Europe

and the United States. Following an optimistic start to the year, supported by a presumed pro-market orientation of the U.S.

administration, equity markets experienced a sharp setback in April after the United States announced substantial import tariffs

during the so-called “Liberation Day.” Nevertheless, the potential import tariff escalation subsequently subsided, paving the way

for a strong equity rally that continued uninterrupted through year-end. In the United States, the communications and technology

sectors led the advances, while in Europe the banking sector delivered a strong performance, topping European markets for the

second year in a row. From a geographical perspective, the Spanish stock market was among the strongest performers in Europe,

also driven by the financial sector, enabling it to surpass its historical peak for the first time since 2007.

Structural equity risk, measured in terms of economic capital, has not experienced any material changes over the past year. The

aggregate sensitivity of the BBVA Group’s consolidated equity to a 1% fall in the price of shares of the companies making up the

equity portfolio amounted to €-27 million as of December 31, 2025, the same as at December 2024. This estimation takes into

account the exposure in shares valued at market prices, or if not applicable, at fair value (excluding the positions in the Treasury

Area portfolios) and the net delta-equivalent positions in derivatives on the same underlyings.

4.4.3.1.Classification of equity exposure not included in the trading book

The Group distinguishes between equity exposures in investments in associates, capital instruments classified as financial assets

at fair value through other comprehensive income and non-trading financial assets mandatory at fair value through profit or loss.

The investments in associates are the investments in entities over which the Group has a significant influence. It is presumed that

there is significant influence when 20% or more of the voting rights of the subsidiary are held, directly or indirectly, unless it can be

clearly demonstrated that such influence does not exist. There are certain exceptions to this criterion that do not constitute

significant amounts for the Group. These investments in associates are valued using the equity method.

The remaining capital instruments not held for trading are classified as:

The financial assets recorded in the heading “Non-trading financial assets mandatorily at fair value through profit or loss" either

have contractual cash flows that do not met the conditions of the SPPI test, or are not covered by a business model whose

objective is either (i) to hold financial assets to collect contractual cash flows or (ii) achieved by collecting contractual cash flows

and selling financial assets.

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Financial assets are classified in “Financial assets designated at fair value through profit or loss” only if such classification

eliminates or significantly reduces a measurement or recognition inconsistency that would otherwise arise from recognizing or

measuring such financial assets on different bases.

Assets recognized under this heading in the consolidated balance sheets are measured at their fair value. This category of

valuation implies the recognition of the information in the income statement as if it were an instrument valued at amortized cost,

while the instrument is valued at fair value in the balance sheet, At the time of initial recognition of specific investments in equity

instruments, the BBVA Group may make the irrevocable decision to present subsequent changes in fair value in other

comprehensive income.

4.4.3.2.Risk-weighted assets of investments in associates and capital instruments

A breakdown of the RWA to investments in associates and capital instruments by accounting portfolio and applicable method as of

December 31, 2025 is shown below:

TABLE 65. BREAKDOWN OF RWA, EQUITY INVESTMENTS AND CAPITAL INSTRUMENTS BY ACCOUNTING

PORTFOLIO (MILLION EUROS)

	12-31-2025
Investments in associates	9,266
Instruments classified as non-current assets and disposal groups classified as held for sale	1
Instruments classified as financial assets held for trading	—
Financial assets at fair value through other comprehensive income	1,868
Non-trading financial assets mandatorily at fair value through profit or loss	2,868
Off balance	—
Derivatives	101

The evolution and main changes in the own funds consumption for positions subject to equity credit risk in 2025 are shown below:

TABLE 66. VARIATION IN RWA FOR EQUITY RISK (MILLION EUROS)

RWA as of December 31, 2024	15,914
Asset size(1)	(157)
Acquisitions and disposals	(16)
Foreign exchange movements	(760)
Other	(876)
RWA as of December 31, 2025	14,105
(1) Asset size includes changes due to the revaluation of investments and the organic profit generation of Group's insurance companies.

The portfolio mainly includes the Group’s insurance companies, which for regulatory purposes are considered as investments in

associates. It also includes stakes in real estate investment companies and equity holdings in other sectors, with a significant stake

in Telefónica, Crea Madrid Nuevo Norte and Metrovacesa.

During 2025, the risk-weighted assets for equity risk declined, driven by both foreign exchange effects and regulatory impacts

(under the 'Other' heading).

Specifically, exposures in Collective Investment Undertakings (CIUs) were reclassified into their respective categories under the

standardized approach, while those with a 1,250% risk weight were deducted from CET1.

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4.5.Liquidity Risk

Liquidity and funding risk is defined as the incapacity of a bank in meeting its payment commitments due to lack of funds or that,

to face those commitments, should have to make use of funding under burdensome terms.

4.5.1.Liquidity and Funding strategy and planning

Articles 435 (1) a), e), 451a (1), (4) CRR

EU OVA c), EU LIQA a), h)

Liquidity and Funding Risk Management main target is to maintain a solid balance sheet structure which allows a sustainable

business model.

Liquidity and Funding Risk Management aims, in the short term, to prevent an entity from having difficulties in meeting its

payment commitments in due time and form or that, to meet them, it has to resort to obtaining funds in burdensome conditions

that deteriorate the image or reputation of the entity.

In the medium term, its objective is to ensure the suitability of the Group's financial structure and its evolution, within the

framework of the economic situation, the markets and regulatory changes.

The Group’s liquidity and funding strategy is based on the following pillars:

–The principle of the funding self-sufficiency of its subsidiaries, meaning that each of the LMU must cover its funding needs

independently on the markets where it operates. This avoids possible contagion due to a crisis affecting one or more of

the Group’s LMU.

–Stable customer deposits as the main source of funding in all the LMU, in accordance with the Group’s business model.

–Diversification of the sources of wholesale funding, in terms of maturity, market, instruments, counterparties and

currencies, with recurring access to the markets.

–Compliance with regulatory requirements, ensuring the availability of ample liquidity buffers, of high quality, as well as

sufficient instruments as required by regulations with the capacity to absorb losses.

–Compliance with the internal Liquidity Risk and Funding metrics, while adhering to the Risk Appetite level established for

each LMU at any time.

This management of structural and liquidity funding is based on the principle of financial self-sufficiency of the entities that

comprise it. This approach helps prevent and limit liquidity risk by reducing the Group’s vulnerability during periods of high risk.

This decentralized management prevents possible contagion from a crisis affecting only one or a few Group entities, which must

act independently to meet their liquidity requirements in the markets where they operate.

Within this strategy, the BBVA Group is organized into eight LMU composed of the parent company and the bank subsidiaries in

each geographical area, plus the branches that depend on them.

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In addition, the policy for managing liquidity and funding risk is also based on the model’s robustness and on the planning and

integration of risk management into the budgeting process of each LMU, according to the liquidity and funding risk appetite that it

decides to assume in its business.

Liquidity and funding planning is part of the strategic processes for the Group’s budgetary and business planning. This objective is

to allow a recurrent growth of the banking business with suitable maturities and costs within the established risk tolerance levels

by using a wide range of instruments which allow the diversification of the funding sources and the maintenance of a high volume

of available liquid assets.

A statement of the level of appropriateness of the liquidity risk management mechanisms for 2025 is included as part of the

Internal Liquidity Adequacy Assessment Process (ILAAP) approved by the Board of Directors in February 2026:

“As a result of the self-assessment exercise carried out, the Board of Directors concludes that the liquidity and funding

management model is robust, with a medium-low liquidity and funding risk profile, supported by the current Risk Appetite

Framework and liquidity and funding planning.

In addition, this liquidity and funding management model considers the necessary liquid resources and the capacity to activate and

generate additional measures to preserve this profile over the planning horizon, as well as to deal with unexpected stress

situations.

The assessment concludes that BBVA Group entities maintain a robust financing structure and effective governance that allows

liquidity and financing planning and management to be adapted to adverse scenarios.

All the processes described are subject to the BBVA Group's internal control model, based on an organisational structure of three

lines of defence and using robust corporate methodologies and tools. The risks identified in these processes are sufficiently

mitigated by controls that have been tested during this financial year and have functioned correctly.”

4.5.2.Governance and monitoring and mitigation measures

Articles 435 (1) b), c), d), 451a (1), (4) CRR

EU OVA b), d), e), f), g), EU LIQA b), c), d), e), f), g), EU LIQB d)

The responsibility for liquidity and funding management in the development of normal business activity lies with the Finance area

as a first line of defense in managing the risks inherent to this activity, in accordance with the principles established by the EBA and

in line with the most demanding standards, policies, procedures and controls in the framework established by the governing

bodies. Finance, through the Balance-Sheet Management area, plans and executes the funding of the structural long-term gap of

each LMU and proposes to the ALCO the actions to be taken on this matter, in accordance with the policies established by the Risk

Committee in line with the metrics of the Risk Appetite Framework approved by the Board of Directors.

Finance is also responsible for preparing the regulatory reporting of liquidity, coordinating with the responsible areas in each LMU

the necessary processes to cover the requirements at corporate and regulatory level, ensuring the integrity of the information

provided.

GRM is responsible for ensuring that the liquidity and financing risk in the Group is managed in accordance with the framework

established by governing bodies. It also deals with the identification, measurement, monitoring and control of such risks and their

communication to the relevant corporate bodies. In order to carry out this task properly, the Risk function in the Group has been

configured as a single, global function, independent of the management areas.

Additionally, the Group has, in its second line of defense, an Internal Risk Control unit, which performs an independent review of

the control of Liquidity and Funding Risk, and a Financial Internal Control Unit that reviews the design and effectiveness of the

controls operations on liquidity management and reporting.

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As the third line of defense of the Group's internal control model, Internal Audit is in charge of reviewing specific controls and

processes in accordance with a work plan that is drawn up annually.

The Group’s fundamental objectives regarding the liquidity and funding risk are determined through the Liquidity Coverage Ratio

(LCR) and through the Loan-to-Stable Customer Deposits (LtSCD) ratio.

The LCR ratio is a regulatory metric that aims to guarantee the resilience of entities in a scenario of liquidity tension within a time

horizon of 30 days. Within its Risk Appetite Framework and system of limits and alerts, BBVA has established a required LCR

compliance level for the entire Group and for each individual LMU. The internal levels required are aimed at efficiently meeting the

regulatory requirement, at a level above 100% as a mitigation measure.

The LtSCD ratio measures the relationship between net lending and stable customer funds. The aim is to preserve a stable funding

structure in the medium term for each of the LMU which make up the BBVA Group, taking into account that maintaining an

adequate volume of stable customer funds is key to achieving a sound liquidity profile. In geographical areas with dual-currency

balances, the indicator is also controlled by currency to manage the mismatches that might occur.

Stable customer funds are considered to be the financing obtained and managed from the LMU among their target customers.

Those funds are characterized by their low sensitivity to market changes and by their less volatile behavior at aggregated level per

operation due to the loyalty of the customer to the entity. The stable resources are calculated by applying to each identified

customer segment a haircut determined by the analysis of the stability if the balances by which different aspects are evaluated

(concentration, stability, level of loyalty). The main source of stable resources arises from wholesale funding and retail customer

funds.

In order to establish the target (maximum) levels of LtSCD in each LMU and provide an optimal funding structure reference in

terms of risk appetite, the corporate Structural Risks unit of GRM identifies and assesses the economic and financial variables that

condition the funding structures in the different geographical areas.

Additionally, liquidity and funding risk management aims to achieve a proper diversification of the funding structure, avoiding

excessive dependence on short-term funding by establishing a maximum level for the short-term funds raised, including both

wholesale financing and the least stable proportion of customer funds In relation to long-term financing, the maturity profile does

not present significant concentrations, which makes it possible to adapt the schedule of the planned issuance plan to the best

financial conditions in the markets. Lastly, concentration risk is monitored at LMU level, with the aim of ensuring a correct

diversification of both the counterparty and type of instrument.

One of the fundamental metrics within the general management framework of the liquidity and funding risk is the maintenance of a

liquidity buffer consisting of high quality assets free of charges which can be sold or offered as collateral to obtain funding, either

under normal market conditions or in stress situations.

The Finance area is responsible for the collateral management and determining the liquidity buffer within the BBVA Group.

According to the principle of auto-sufficiency of the Group's subsidiaries, each LMU is responsible for maintaining a buffer of liquid

assets which complies with the regulatory requirements applicable under each jurisdiction. In addition, the liquidity buffer of each

LMU must be aligned with the liquidity and funding risk tolerance as well as the management limits set and approved for each

case.

In this context, the short-term resistance of the liquidity risk profile is promoted, to ensure that each LMU has sufficient collateral

to deal with the risk of the closing of wholesale markets. Basic capacity is the internal metric for the management and control of

short-term liquidity risk, which is defined as the relationship between the explicit assets available and the maturities of wholesale

liabilities and volatile resources, at different time periods up to one year, with special relevance at 30 and 90 days, with the

objective of preserving the survival period above 3 months with the available buffer, without considering the balance inflows.

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As a fundamental element of the liquidity and financing risk monitoring scheme, stress tests are carried out. They enable to

anticipate deviations from the liquidity targets and the limits set in the appetite, and to establish tolerance ranges in the different

management areas. They also play a major role in the design of the Liquidity Contingency Plan and the definition of specific

measures to be adopted to rectify the risk profile if necessary.

For each scenario, it is checked whether BBVA has a sufficient stock of liquid assets to guarantee its capacity to meet the liquidity

commitments/outflows in the different periods analyzed. The analysis considers four scenarios: one central and three crisis-

related (systemic crisis; unexpected internal crisis with a considerable rating downgrade and/or affecting the ability to issue in

wholesale markets and the perception of business risk by the banking intermediaries and the entity’s clients; and a mixed scenario,

as a combination of the two aforementioned scenarios). Each scenario considers the following factors: existing market liquidity,

customer behavior and sources of funding, the impact of rating downgrades, market values of liquid assets and collateral, and the

interaction between liquidity requirements and the development of BBVA's credit quality.

The stress tests conducted on a regular basis by GRM reveal that BBVA maintains a sufficient buffer of liquid assets to deal with

the estimated liquidity outflows in a scenario resulting from the combination of a systemic crisis and an unexpected internal crisis,

including in the scenario of a significant downgrade of the Bank’s rating by up to three notches.

Together with the results of the stress tests and the risk metrics, the early warning indicators play an important role within the

corporate model and the Liquidity Contingency Plan.

Finance is the area responsible for the elaboration, monitoring, execution and update of the liquidity and funding plan and of the

market access strategy to guarantee and improve the stability and diversification of the wholesale funding sources.

In order to implement and establish management in an anticipated manner, limits are set on an annual basis for the main

management metrics that form part of the budgeting process for the liquidity and funding plan. This framework of limits

contributes to the planning of the joint future performance of:

–The loan book, considering the types of assets and their degree of liquidity, as well as their validity as collateral in

collateralized funding.

–Stable customer funds, based on the application of a methodology for establishing which segments and customer

balances are considered to be stable or volatile funds based on the principle of sustainability and recurrence of these

funds.

–Projection of the credit gap, in order to require a degree of self-funding that is defined in terms of the difference between

the loan-book and stable customer funds.

–Incorporating the planning of securities portfolios into the banking book, which include both fixed-interest and equity

securities, and are classified as financial assets at fair value through other comprehensive income and at amortised cost,

and additionally on trading portfolios.

–The structural gap projection, as a result of assessing the funding needs generated both from the credit gap and by the

securities portfolio in the banking book, together with the rest of on-balance-sheet wholesale funding needs, excluding

trading portfolios. This gap therefore needs to be funded with customer funds that are not considered stable or on

wholesale markets.

As a result of these funding needs, the BBVA Group plans the target wholesale funding structure according to the tolerance set in

each LMU target.

Thus, once the structural gap has been identified and after resorting to wholesale markets, the amount and composition of

wholesale structural funding is established in subsequent years, in order to maintain a diversified funding mix and guarantee that

there is not a high reliance on short-term funding (short-term wholesale funding plus volatile customer funds).

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In practice, the execution of the principles of planning and self-funding at the different LMU results in the Group’s main source of

funding being customer deposits, which consist mainly of demand deposits, savings deposits and time deposits.

As sources of funding, customer deposits are complemented by access to the interbank market and the domestic and

international capital markets in order to address additional liquidity requirements, implementing domestic and international

programs for the issuance of commercial paper and medium and long-term debt.

The process of analysis and assessment of the liquidity and funding situation and of the inherent risks is a process carried out on

an ongoing basis in the BBVA Group, with the participation of all the Group areas involved in liquidity and funding risk

management. This process is carried out at both local and corporate level. It is incorporated into the decision- making process for

liquidity and funding management, with integration between the risk appetite strategy and establishment and the planning

process, the funding plan and the limits scheme.

4.5.3.Liquidity and funding performance

Article 451a (1), (4) CRR

EU LIQA a), EU LIQB d)

The BBVA Group maintains a dynamic funding structure with a predominantly retail nature, where customer resources represent

the main source of funding.

During 2025 liquidity conditions have remained sound in all countries where the Group operates.

The performance of the indicators show that the funding structure remained steady during 2025 and 2024, in the sense that all

LMU held self-funding levels with stable customer resources above the requirements.

TABLE 67. LTSCD BY LMU

	2025	2024
Group (average)	105 %	102 %
BBVA, S.A.	105 %	101 %
BBVA Mexico	115 %	115 %
Garanti BBVA	92 %	90 %
Other LMU	103 %	99 %

With respect to LCR, the Group has maintained a liquidity buffer at both a consolidated and individual level in 2025. As a result, the

ratio has remained comfortably above 100%, with the consolidated ratio as of December 31, 2025 standing at 143%.

Although this requirement is only established at a Group level, for banks in the Eurozone, the minimum level required comfortably

exceeded in all subsidiaries.

It should be noted that the calculation of the Consolidated LCR does not allow the transfer of liquidity between, or with,

subsidiaries located outside the Eurozone, so no excess liquidity may be transferred from these entities for the purpose of

calculating the consolidated ratio.

If the impact of these highly liquid assets was considered, the LCR would be 169%, or 26 basis points above the Group LCR and 69

basis points above the requirement.

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TABLE 68. LCR MAIN LMU

	2025	2024
Group	143%	134%
BBVA, S.A.	162 %	156 %
BBVA Mexico	161 %	146 %
Garanti BBVA	159 %	141 %

One of the key elements in BBVA's Group liquidity and funding management is the targeted maintenance of large high quality

liquidity buffers in all business areas where the group operates.

Each entity maintains a liquidity buffer at the individual level for BBVA, S.A. and for each of its subsidiaries, such as BBVA Mexico,

Garanti BBVA and the Latin American subsidiaries.

In this respect, the Group has maintained for the last 12 months an average volume of high quality liquid assets (HQLA) amounting

to €134,046 million, of which 98% correspond to maximum quality assets (LCR level 1).

The Net Stable Funding Ratio (NSFR), defined as the result between the amount of stable funding available and the amount of

stable funding required, requiring banks to maintain a stable financing profile in relation to the composition of their assets and off-

balance sheet activities. This ratio should be at least 100% at all times. The NSFR ratio of the BBVA Group, stood at 126% as of

December 31, 2025.

The NSFR of BBVA Group and its main LMU as of December 31, 2025 and 2024, was the following:

TABLE 69. NSFR MAIN LMU

	2025	2024
Group	126 %	127%
BBVA, S.A.	117 %	119 %
BBVA Mexico	132 %	131 %
Garanti BBVA	144 %	149 %

Below is a matrix of residual maturities by contractual periods based on supervisory prudential reporting as of December 31, 2025:

TABLE 70. INFLOWS - CONTRACTUAL MATURITIES (MILLION EUROS. 12-31-2025)

	Demand	Up to 1 month	1 to 3 months	3 to 6 months	6 to 9 months	9 to 12 months	1 to 2 years	2 to 3 years	3 to 5 years	Over 5 years	Total
ASSETS
Cash, cash balances at central banks and other demand deposits	14,413	43,789	—	—	—	—	—	—	—	—	58,202
Deposits in credit entities	—	5,953	868	1,056	962	1,430	670	1,186	112	66	12,303
Deposits in other financial institutions	—	4,505	1,626	1,315	846	726	2,941	2,654	2,059	2,060	18,732
Reverse repo, securities borrowing and margin lending	2,061	51,418	9,957	4,566	1,707	2,320	7,223	1,933	669	113	81,967
Loans and advances	—	40,574	40,625	30,638	19,096	22,144	49,496	41,730	58,930	114,633	417,866
Securities' portfolio settlement	—	4,598	3,947	9,016	4,451	8,405	18,718	8,361	29,414	47,407	134,317

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TABLE 71. OUTFLOWS - CONTRACTUAL MATURITIES (MILLION EUROS. 12-31-2025)

	Demand	Up to 1 month	1 to 3 months	3 to 6 months	6 to 9 months	9 to 12 months	1 to 2 years	2 to 3 years	3 to 5 years	Over 5 years	Total
LIABILITIES
Wholesale funding	—	5,139	4,481	7,210	4,872	7,653	13,261	4,252	9,584	32,528	88,980
Deposits from financial institutions	3,151	4,504	1,394	775	622	765	936	321	601	550	13,619
Deposits from other financial institutions and international agencies	8,003	12,649	4,606	1,684	823	1,065	1,798	302	361	550	31,841
Customer deposits	345,742	67,090	25,358	13,345	5,668	6,638	2,056	1,176	1,062	465	468,600
Security pledge funding	1,299	89,726	14,794	5,108	1,407	2,047	3,656	507	288	564	119,396
Derivatives, net	—	58	103	167	465	(87)	145	104	(79)	(807)	69

With regard to the financing structure, the loan portfolio is mostly financed by retail deposits. The “demand” maturity bucket

mainly contains the retail customer sight accounts whose behavior historically showed a high level of stability and little

concentration. According to a behavior analysis which is done every year in every entity, this type of account is considered to be

stable and for liquidity risk purposes receives a better treatment.

The most relevant aspects related to the main geographical areas are the following:

–BBVA, S.A. maintained a strong position with a large high-quality liquidity buffer, maintaining at all times the regulatory

liquidity metrics well above the set minimums. During 2025, commercial activity showed dynamism in attracting

customer deposits, mainly from wholesale clients, supported equally by retail clients and the new digital bank in Germany.

Regarding lending activity, there was a significant boost from wholesale business units. Growth in both areas has resulted

in a narrowing of the credit gap.

–BBVA Mexico showed a solid liquidity situation, with a credit gap that improved over the year, mainly due to strong

deposit growth in local currency. In addition, the liquidity situation was reinforced by wholesale debt issuances carried out

in both Mexican pesos and U.S. dollars.

–In Turkey, Garanti BBVA maintained an adequate liquidity situation in 2025. The lending gap decreased significantly in

foreign currencies due to a strong rise in deposits. On the other hand, there was an increase in the credit gap in Turkish

lira due to the strong growth in lending, which exceeded that of deposits. Wholesale issuances in foreign currency

supported liquidity.

–In South America, the liquidity situation has also remained adequate throughout the region in 2025. In BBVA Argentina, at

a constant exchange rate, the credit gap improved in Argentine pesos due to the impulse in time deposits despite strong

loan growth. In the U.S. dollar balance sheet, at a constant exchange rate, the growth of loans exceeded fund gathering,

thus widening the credit gap in this currency. In BBVA Colombia, the liquidity situation was comfortable, even though the

credit gap widened in 2025, with a sustained growth of loans that slightly exceeded the volume of fund gathering. At

BBVA Peru, the liquidity situation remained solid, with a credit gap that  widened during the year due to the dynamism of

lending activity, especially in U.S. dollars.

The main wholesale financing transactions carried out by the BBVA Group during 2025 are listed below:

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Issuer		Type of issuance	Date of issuance	Nominal (millions)	Curren cy	Coupon	Early redemption	Maturity date
BBVA, S.A.		AT1	Jan-25	1,000	USD	7.750%	Jan-32	Perpetual
		Tier 2	Feb-25	1,000	EUR	4.000%	Feb-32	Feb-37
		Senior non-preferred	Jul-25	1,000	EUR	3.125%	_	Jul-30
		Senior non-preferred	Aug-25	1,000	EUR	3.750%	_	Aug-35
		AT1	Nov-25	1,000	EUR	5.625%	Nov-32	Perpetual

In relation to liability management, on May 10, 2025, BBVA, S.A. redeemed early and in full an issue of senior preferred bonds

made in May 2023 for €1 billion; in January 2025, it redeemed early and in full a €1 billion Tier 2 issue made in January 2020 and

maturing in 2030; and in March 2025, it redeemed in full a Contingent Convertible Preferred Securities (AT1) issue for USD 1000

billion issued in 2019. On September 14, 2025, BBVA, S.A. redeemed early and in full an issue of simple non-preferred bonds made

in September 2022 for USD 1 billion (see Note 22.4).

After the closing date of the 2025 financial year, on January 7, 2026, BBVA, S.A. issued €2 billion in senior non-preferred debt,

structured in two tranches: the first, for €750 million, with a coupon fixed set at three-month Euribor plus 55 basis points, and the

second, for €1.25 billion, with a fixed coupon of 3.75%. On January 15, 2026, BBVA, S.A. carried out the early redemption of a

green AT1 issue made on July 15, 2020, for a combined nominal amount of €1 billion, a decision that was communicated to the

market on December 17, 2025 .

BBVA Mexico issued in February 2025 USD 1 billion of Tier 2 subordinated debt with a coupon of 7.625%. In addition, a senior debt

issue was carried out in March 2025 for 15 billion Mexican pesos (approximately €692 million), and another in September 2025 in

two tranches: the first for 14,434 million Mexican pesos (approximately €666 million) and the second for USD 158 million.

Throughout 2025, Garanti BBVA issued a total of USD 3,847 million of short-term senior MTN in order to roll over maturities and

generate liquidity. In June 2025, it renewed 100% of a sustainable syndicated loan in two tranches for a total amount of USD 440

million. In July 2025, Garanti BBVA completed the issuance of subordinated bonds for a total amount of USD 500 million. In

October 2025, another subordinated bond issue was made for USD 700 million. In November 2025, Garanti BBVA issued Turkey's

first biodiversity bond, worth USD 20.22 million. Finally, in December 2025, Garanti BBVA formalized a sustainability focused

syndicated loan for a total amount of USD 428 million.

In 2025, through successive placements of debt securities, BBVA Argentina issued a total of 244 billion Argentine pesos and USD

192 million. The euro equivalent of these issues was €306 million.

In April 2025, BBVA Colombia issued a subordinated biodiversity bond, subscribed by the International Finance Corporation (IFC),

for an amount of USD 45 million.

In Peru, BBVA issued USD 200 million in the form of a gender social bond aimed at women entrepreneurs, executed in two

tranches during the first and the third quarters of 2025, in partnership with IDB Invest, FMO (Dutch Entrepreneurial Development

Bank) and COFIDE (Corporación Financiera de Desarrollo, S.A.).

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4.5.4.Liquidity and funding prospects

Article 435 (1) a), 451a (1) CRR

EU LIQA a)

The Group faces 2026 with a comfortable liquidity situation in all the territories it operates in. The funding structure based on

stable customer deposits and oriented toward the long term, as well as the proven capacity to access capital markets, allows to

comfortably face the moderate volume of maturities expected for the coming quarters.

The following table is a breakdown of wholesale funding maturities of the most significant units of the Group according to their

nature:

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TABLE 72. MATURITY OF WHOLESALE ISSUANCES BY NATURE AND GEOGRAPHICAL AREA (MILLION EUROS)

Type of issuance	2026	2027	2028	After 2028	Total
Eurozone
Senior debt	1,991	2,250	225	5,459	9,926
Non preferred senior debt	1,172	1,888	1,140	3,851	8,051
Mortgage-covered bonds	1,000	1,693	—	850	3,543
Public-covered bonds	—	—	—	—	—
Preferred shares (1)	1,000	851	1,000	3,452	6,303
Subordinated debt(1)	344	1,327	1,219	4,384	7,273
Structured financing (2)	4,673	1,575	1,285	5,838	13,371
Total	10,180	9,584	4,869	23,834	48,467
BBVA Mexico
Senior debt	1,380	1,687	829	2,549	6,446
Subordinated debt(1)	—	—	851	3,106	3,957
Total	1,380	1,687	1,680	5,655	10,403
Garanti BBVA
Senior debt	2,410	826	47	—	3,283
Mortgage-covered bonds	—	—	—	—	—
Subordinated debt(1)	—	525	—	2,087	2,612
Securitisations	11	11	11	—	33
Syndicated loans	325	361	64	—	750
Other long term financial instruments	238	6	—	1,405	1,649
Total	2,984	1,729	122	3,492	8,327
South America
Senior debt	382	142	184	468	1,176
Subordinated debt(1)	35	—	54	450	539
Total	417	142	238	918	1,715
Total	14,961	13,142	6,909	33,899	68,912
(1) Regulatory capital instruments are classified in this table by terms according to their contractual maturity or nearest amortisation option.
(2) Includes Global Markets MTN programme amounts not eligible as MREL, classified according to their earliest repayment option.

Going into 2026, one of the main objectives of the Group's funding strategy is maintaining the strength of the financing structure

based on the growth of stable customer resources; diversifying the different sources of financing and ensuring the availability of

sufficient levels of liquid assets; and optimizing the generation of collateral, for compliance with regulatory ratios, and other

internal metrics to monitor liquidity and funding risk, including stress scenarios.

4.5.5.LCR disclosure

Article 451a (1), (2) a), b), c) CRR

EU LIQB a), b), c), d), e), f)

A breakdown of the LCR disclosure as of December 31, 2025 is shown below, according to Article 435 of Regulation (EU) No

575/2013. These figures are calculated as simple averages of end-of-month observations from the twelve months preceding each

quarter. No transfer of liquidity is assumed between subsidiaries, and therefore no excess liquidity is transferred from the entities

abroad to the consolidated figures displayed in the following table:

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TABLE 73. EU LIQ1 - LIQUIDITY COVERAGE RATIO DISCLOSURE (ROUNDED MILLION EUROS)

	Total unweighted value (average)					Total weighted value (average)
	December	September	June	March	December	December	September	June	March	December
End of the quarter	12-31-2025	9-30-2025	6-30-2025	3-31-2025	12-31-2024	12-31-2025	9-30-2025	6-30-2025	3-31-2025	12-31-2024
Number of data points used in the calculation of averages	12	12	12	12	12	12	12	12	12	12
High-quality liquid assets										—
Total high-quality liquid assets (HQLA)						112,732	107,751	104,579	105,596	106,927
Cash-outflows										—
Retail deposits and deposits from small business customers, of which:	268,362	263,451	259,513	258,326	256,593	19,323	18,871	18,400	18,148	17,862
Stable deposits	165,914	162,951	162,266	162,917	162,716	8,296	8,148	8,113	8,146	8,136
Less stable deposits	92,561	90,726	87,481	85,315	83,491	11,028	10,723	10,287	10,002	9,726
Unsecured wholesale funding	161,642	156,866	151,303	148,276	144,344	66,787	63,905	60,697	58,944	57,095
Operational deposits (all counterparties) and deposits in networks of cooperative banks	71,118	71,310	71,467	70,660	68,738	16,407	16,453	16,486	16,261	15,782
Non-operational deposits (all counterparties)	87,141	82,788	77,278	74,959	72,926	46,996	44,684	41,653	40,027	38,633
Unsecured debt	3,383	2,768	2,558	2,657	2,680	3,383	2,768	2,558	2,657	2,680
Secured wholesale funding						4,827	4,531	4,756	4,649	4,935
Additional requirements	109,098	105,126	101,521	98,963	95,576	17,198	16,475	16,130	16,242	16,345
Outflows related to derivative exposures and other collateral requirements(1)	3,684	3,642	3,697	4,124	4,582	3,684	3,642	3,697	4,124	4,582
Outflows related to loss of funding on debt products	—	—	—	—	—	—	—	—	—	—
Credit and liquidity facilities	105,415	101,484	97,824	94,839	90,994	13,515	12,832	12,433	12,118	11,763
Other contractual funding obligations	16,536	16,494	16,777	17,923	18,413	3,545	3,310	3,263	3,695	3,625
Other contingent funding obligations	159,271	152,083	146,329	142,652	136,973	5,622	5,403	5,327	5,295	5,167
Total cash outflows						117,302	112,494	108,573	106,972	105,027
Cash - inflows
Secured lending (e.g. reverse repos)	52,710	43,767	40,807	38,719	37,624	2,717	2,483	2,621	2,573	2,470
Inflows from fully performing exposures	47,321	45,632	43,749	42,060	40,865	31,422	30,071	28,773	27,712	26,752
Other cash inflows	2,748	2,757	2,450	2,564	2,599	2,748	2,757	2,450	2,564	2,599
(Difference between total weighted inflows  and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)
(Excess inflows from a related specialised credit institutions)
Total cash inflows	102,779	92,156	87,006	83,343	81,088	36,887	35,311	33,844	32,849	31,821
Fully exempt inflows
Inflows subject to 90% cap
Inflows subject to 75% cap	102,779	92,156	87,006	83,343	81,088	36,887	35,311	33,844	32,849	31,821
Total adjusted value
Liquidity buffer						112,732	107,751	104,579	105,596	106,927
Total net cash outflows						80,415	77,183	74,729	74,123	73,206
Liquidity coverage ratio (%)						140 %	139 %	140 %	143 %	146 %
Liquidity buffer (including excess liquidity of subsidiaries)						134,046	128,691	125,581	127,181	130,613
Total net cash outflows						80,415	77,183	74,729	74,123	73,206
Liquidity coverage ratio (%)						167 %	167 %	168 %	172 %	178 %
(1) Includes the amount of the collateral that the entity would have to provide in case of a credit downgrade, according to CRR Article 439(d).

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Since liquidity transferability between subsidiaries is not assumed, BBVA Group's consolidated ratio is primarily determined by

BBVA, S.A.'s ratio and the volume of outflows from entities abroad. The evolution of the consolidated ratio is closely linked to the

performance of BBVA, S.A.'s LCR. Throughout the series shown in the table, the LCR has remained at high levels, reflecting the

Group’s strong and ample liquidity position..

As regards the numerator of the ratio, one of the key elements in the BBVA Group's management of liquidity and funding is the

maintenance of large high-quality liquidity buffers in all geographic areas. In the last 12 months, the Group maintained an average

volume of high quality liquid assets (HQLA) of €12.7 billion (€134.0 billion considering the excess liquidity of all the banks abroad),

of which 98% corresponded to top quality assets (level 1).

As regards the composition of the denominator of the LCR, the main source of funding for all the Group's banks is retail deposits,

liabilities of a stable nature which therefore produce fewer potential outflows in the LCR ratio. The Group also has sources of

wholesale funding that are adequately diversified in terms of maturity, instrument, market, currency and counterparty, oriented

toward the long term, which are considered less stable for the purposes of the LCR, generating greater potential outflows.

Regarding the sustainability of wholesale funding as a source of funding, this depends on the degree of diversification. In particular,

in order to ensure adequate diversification by counterparties, specific concentration thresholds are set and must be met at all

times by each LMU. As of December 31, 2025, except for the positions against central clearing houses and the secured funding

operations with several Central Banks, the Group has no counterparties that maintain balances greater than 1.2% of the Group's

total liabilities and the weight of the first 10 counterparties per balance represents 5.6%.

The establishment of an independent control framework for the Euro, USA, Mexico and Turkey LMUs, allows compliance with the

Liquidity and Finance corporate requirements on the four main currencies in which the BBVA Group operates: Euro, Dollar,

Mexican Peso and Turkish Lira.

With the exception of the dollar, significant currencies at the Group level are fully managed by entities resident in the jurisdictions

of each of them, with their funding needs covered in the local markets in which they operate.

For those LMUs operating in dollarised economies (Argentina, Peru, Mexico and Turkey) there are specific regulatory

requirements that limit the level of risk of each subsidiary. In addition, the LCR in US dollars in all of them exceeds 100%.

Finally, the Group's exposure to derivatives is limited (see section on counterparty risk exposure). In addition, the LCR of the

different LMU’s includes liquidity outflows arising from the need to post additional collateral, the most relevant cases being the

deterioration of the entity's credit quality, the excess collateral to be returned to the counterparty, and the impact of an adverse

market scenario. For the quantification of additional collateral in case of adverse market scenarios, a Historical Look Back

Approach is used in accordance with the EBA RTS (Article 423(3) of the CRR).

4.5.6.Net Stable Funding Ratio

Article 451a (1), (3) a), b), c) CRR

Within its risk appetite framework, BBVA has included the NSFR indicator within the limits scheme for both the Group as a whole

and for each individual LMU, aimed at keeping this metric at a comfortable level above 100%.

A table including the main components of NSFR is shown below:

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TABLE 74. EU LIQ2 - NET STABLE FUNDING RATIO (NSFR) (ROUNDED MILLION EUROS. 12-31-2025)

	Unweighted value by residual maturity				Weighted value
	No Maturity	< 6 months	6 months to <1 year	>= 1 year
Available stable funding (ASF) Items
Capital items and instruments	59,958	—	—	14,175	74,134
Own funds	59,958	—	—	12,431	72,390
Other capital instruments		—	—	1,744	1,744
Retail deposits		278,321	4,975	1,368	265,318
Stable deposits		177,365	2,300	579	171,261
Less stable deposits		100,956	2,675	789	94,057
Wholesale funding:		313,485	25,493	52,101	155,537
Operational deposits		76,744	—	—	38,372
Other wholesale funding		236,741	25,493	52,101	117,165
Interdependent liabilities		—	—	—	—
Other liabilities:	345	24,278	2	11,705	11,706
NSFR derivative liabilities	345
All other liabilities and capital instruments not included in the above categories		24,278	2	11,705	11,706
Total available stable funding (ASF)					506,694
Required stable funding (RSF) Items
Total high-quality liquid assets (HQLA)					8,183
Assets encumbered for a residual maturity of one year or more in a cover pool		86	88	2,493	2,267
Deposits held at other financial institutions for operational purposes		118	—	—	59
Performing loans and securities:		178,817	48,644	311,412	329,509
Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut		38,652	1,520	5,693	8,196
Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions		21,110	3,792	12,700	16,660
Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:		93,161	34,064	189,597	219,916
With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		5,971	2,313	27,153	21,987
Performing residential mortgages, of which:		3,165	3,196	87,605	65,010
With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		2,340	2,376	64,007	44,091
Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products		22,728	6,073	15,818	19,727
Interdependent assets		—	—	—	—
Other assets:	—	18,642	2,941	47,276	50,050
Physical traded commodities				709	603
Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs		—	—	4,526	3,847
NSFR derivative assets		—	—	—	—
NSFR derivative liabilities before deduction of variation margin posted		10,260	—	—	513
All other assets not included in the above categories		8,381	2,941	42,041	45,088
Off-balance sheet items		46,632	4,007	156,243	10,895
Total RSF					400,962
Net Stable Funding Ratio (%)					126 %

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EU LIQ2 (ROUNDED MILLION EUROS. 9-30-2025)

	Unweighted value by residual maturity				Weighted value
	No Maturity	< 6 months	6 months to <1 year	>= 1 year
Available stable funding (ASF) Items
Capital items and instruments	62,674	—	—	13,295	75,969
Own funds	62,674	—	—	11,614	74,288
Other capital instruments		—	—	1,681	1,681
Retail deposits		263,191	4,943	1,557	251,114
Stable deposits		162,606	2,126	702	157,197
Less stable deposits		100,585	2,817	855	93,917
Wholesale funding:		289,671	19,563	49,772	143,128
Operational deposits		71,532	—	—	35,766
Other wholesale funding		218,139	19,563	49,772	107,362
Interdependent liabilities		—	—	—	—
Other liabilities:	—	24,403	1	11,513	11,514
NSFR derivative liabilities	—
All other liabilities and capital instruments not included in the above categories		24,403	1	11,513	11,514
Total available stable funding (ASF)					481,724
Required stable funding (RSF) Items
Total high-quality liquid assets (HQLA)					5,767
Assets encumbered for a residual maturity of one year or more in a cover pool		126	121	3,474	3,162
Deposits held at other financial institutions for operational purposes		187	—	—	93
Performing loans and securities:		164,294	44,570	296,879	311,762
Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut		31,088	1,597	4,651	6,765
Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions		23,462	3,019	11,552	15,325
Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:		88,894	31,763	183,437	210,907
With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		5,798	2,611	29,695	23,694
Performing residential mortgages, of which:		2,976	3,095	82,589	61,233
With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		2,205	2,290	60,917	41,994
Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products		17,874	5,097	14,651	17,531
Interdependent assets		—	—	—	—
Other assets:	—	18,599	2,121	42,895	46,289
Physical traded commodities				592	503
Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs		—	—	4,284	3,642
NSFR derivative assets		1,220	—	—	1,220
NSFR derivative liabilities before deduction of variation margin posted		10,064	—	—	503
All other assets not included in the above categories		7,315	2,121	38,019	40,422
Off-balance sheet items		42,088	4,814	143,165	10,037
Total RSF					377,110
Net Stable Funding Ratio (%)					128 %

The table shows a balanced funding structure that maintains a significant volume of retail deposits as the main source of funding

for investment activity. This type of funds is characterised by a more favourable treatment for NSFR purposes, given its low

sensitivity to market fluctuations and its low volatility in aggregate balances per transaction, as a result of customer linkage. This

results in a level of NSFR that comfortably exceeds the regulatory requirement of 100%, with a stable evolution over time.

15 An asset is considered encumbered if it is subject to any form of agreement with the objective of ensuring, collateralizing or improving the credit quality of a

transaction, and it cannot be freely removed. In any case, the consideration of a committed asset is not based on an explicit legal definition, such as the transfer of a

title, but on an economic criterion, so any asset that is subject to any restriction to be used or to replace another asset, is considered pledged.

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4.5.7.Encumbered assets in funding operations

Article 443 CRR

EU AE4

In relation to the management of encumbered liquid assets15, all LMUs maintain adequate positions not only to cover the minimum

survival periods in a stress situation, but also uncollateralised wholesale liabilities, which are ultimately the most affected by the

ratio of encumbered assets.

All of the Group's LMUs have implemented procedures and controls to ensure that the risk associated with the management of

guarantees and asset assessment are properly identified, controlled and managed in compliance with the Corporate Liquidity and

Financing Risk Policy, highlighting: i) monitoring and control scheme for encumbered assets risk indicators, ii) periodic evaluation

of stress scenarios as a result of the risk levels achieved, and iii) a contingency plan with action measures based on the degree of

criticality and immediacy of the situation.

The impact on the business model of the level of the asset pledging, as well as the importance in the Group's funding model is low

because the funding is based on stable customer deposits, the dependence on short term funding is reduced, and a robust funding

structure is maintained, with a moderate level of encumbered assets.

The ratio of encumbered assets to total assets for the main LMUs as of December 31, 2025 and December 31, 2024 is:

TABLE 75. ENCUMBERED ASSETS OVER TOTAL ASSETS RATIO

	2025	2024
BBVA Group	13 %	14 %
BBVA, S.A.	16 %	15 %
BBVA Mexico	11 %	16 %
Garanti BBVA	4 %	5 %

The Group mainly has the following sources of encumbrance:

Assets sold under repurchase agreement

Collateralized financing transactions through repurchase agreements are among the short-term sources of funding. These

transactions play an important role in the Group's encumbered assets, with debt securities being the main asset used.

Assets pledged with Central Banks

The role of central banks as ultimate liquidity providers is one of the key contingent funding resources in the event of stress in the

financial markets. In this regard, and in accordance with the principles established for collateral management, the Group's strategy

is to maintain extensive credit facilities with the respective central banks by pledging assets as collateral in those geographical

areas where these instruments exist as part of monetary policy.

Additionally, a relevant element has been, in the case of the ECB, the non-standard monetary policy measures related to the

“Targeted Longer-Term Refinancing Operations” (TLTRO) to provide long-term financing with the aim of easing credit conditions

for the private sector and stimulating financing for the real economy. As of December 31, 2025, BBVA, S.A. has no balance drawn

down in any TLTRO operation.

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Management of collateral agreements

The use of collateral is one of the most effective techniques to mitigate credit risk exposure arising from derivatives, repo

transactions or securities lending. The assets currently used as collateral are: cash and debt securities.

Securitisation

The issuance of securitisation represents one of the main potential sources of risk of assets pledged on the balance sheet.

Depending on the type of assets backing the securitisation, the following classes are issued: residential mortgage-backed

securities (RMBS), consumer loans and loans to SMEs. The impact of this pledging source is very low for the Group.

Covered bonds

The issuance of covered bonds is one of the main sources of secured funding with a high degree of protection for bondholders. The

issuances are backed by on-balance sheet assets that can be pooled and have a joint guarantee by the entity that will back the

issuance in the event that the underlying assets are unable to meet payments. The products through which this type of funding is

implemented are mortgage covered bonds, public covered bonds and internationalisation covered bonds.

Mortgage covered bonds are issued with first-rank mortgage loan collateral constituted in favour of the bank. These represent the

majority of the Group's covered bond issuances. Public covered bonds are backed by loans and credits granted by the issuer to the

State, to central and regional governments, local authorities and autonomous bodies dependent on them, as well as other

analogous entities of the European Economic Area. Finally, internationalization bonds are issued to guarantee credits and loans

linked to the funding of contracts for the export of goods and services or for the internationalization of companies.

Regarding the specific overcollateralization applied to these issuances:

Royal Decree-Law 24/2021 transposing Directive (EU) 2019/2162 on covered bonds with effect from July 8, 2022 establishes that

mortgage, public and internationalization covered bonds must have the minimum level of legal over-collateralization foreseen in

the first paragraph of Article 129.3a of Regulation (EU) No. 575/2013 of June 26, 2013 (CRR), which is established at 5% over the

nominal value.

This regulation establishes that the cover pool must include at all times an additional liquidity buffer consisting of high quality

liquid assets available to cover the maximum accumulated net liquidity outflow in the 180 days following the covered bond

program. As of December 31, 2025, this liquidity buffer is formed by level 1 debt securities.

Within the Group there are units responsible for the execution, monitoring and control of this type of issuances, as well as the

calculation of the additional capacity issuances, with the aim of ensuring that the entity is not over-issued and that it complies with

the established limits of the Asset Encumbrance Ratio.

The following table shows assets pledge as collateral (loans) underlying the issuance of covered bonds, as well as the total issued

and excess capacity to issue as of December 31, 2025:

TABLE 76. COVERED BONDS (MILLION EUROS. 12-31-2025)

Retained
Retained used	13,890
Retained not used	2,150
Placed on market	3,543
Total covered bonds issued	19,583
Eligible collateral to consider	71,252
Maximum to issue	67,859
Capacity to issue	48,276

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The carrying amount, both encumbered and unencumbered, of the pool of assets underlying the retained securitisation and

covered bonds, as well as the carrying amount of the related issued liabilities as of December 31, 2025, is shown in the following

table:

TABLE 77. COVERED BONDS AND SECURITISATIONS ISSUED AND RETAINED (MILLION EUROS. 12-31-2025)

	Carrying amount of underlying assets		Carrying amount of liabilities issued retained
	Unencumbered	Encumbered	Unencumbered	Encumbered
Covered bonds and securitisation issued and retained	32,982	7,025	32,498	6,707
Covered bonds issued and retained	10,178	6,668	9,693	6,350
Securitisation issued and retained	22,804	357	22,804	357

The assets on the balance sheet and the collaterals received that, as of December 31, 2025, are encumbered (provided as

collateral or guarantee with respect to certain liabilities), as well as the collateral that is unencumbered, are shown below. It should

be noted that the value used for the purpose of this disclosure is the carrying amount and fair value, for both the assets on the

balance sheet and the encumbered and unencumbered guarantees received. The balances are calculated as annual medians using

as a sample the four quarters of the last year. Information as of December 31, 2024 is also shown:

TABLE 78. EU AE1 - ENCUMBERED AND UNENCUMBERED ASSETS (MILLION EUROS. 12-31-2025)

	Carrying value of encumbered assets		Fair value of encumbered assets		Carrying value of unencumbered assets		Fair value of unencumbered assets
		of which notionally eligible EHQLA and HQLA		of which notionally eligible EHQLA and HQLA		of which EHQLA and HQLA		of which EHQLA and HQLA
Institution's assets	66,145	40,292			698,616	109,226
Equity instruments	1,494	1,147	1,494	1,147	9,343	3,842	9,343	3,842
Debt securities	41,604	39,132	42,342	39,733	84,592	56,874	84,920	55,375
Of which: covered bonds	390	390	391	391	3,017	3,001	3,032	3,015
Of which: securitisations	5	—	5	—	58	—	59	—
Of which: issued by general governments	36,190	36,190	36,670	36,670	74,872	53,193	75,397	51,526
Of which: issued by financial corporations	2,525	869	2,629	877	6,897	3,456	6,806	3,479
Of which: issued by non- financial corporations	2,939	2,076	2,958	2,090	1,693	409	1,676	412
Other assets	22,240	—			604,898	48,907

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EU AE1 (MILLION EUROS. 12-31-2024)

	Carrying value of encumbered assets		Fair value of encumbered assets		Carrying value of unencumbered assets		Fair value of unencumbered assets
		of which notionally eligible EHQLA and HQLA		of which notionally eligible EHQLA and HQLA		of which EHQLA and HQLA		of which EHQLA and HQLA
Institution's assets	72,642	44,853			671,687	99,686
Equity instruments	766	544	766	544	9,242	5,063	9,242	5,063
Debt securities	46,835	44,309	47,942	45,206	76,799	46,644	75,935	45,321
Of which: covered bonds	143	140	143	143	1,974	1,951	1,962	1,939
Of which: securitisations	—	—	—	—	64	—	64	—
Of which: issued by general governments	40,581	40,581	41,541	41,484	67,694	44,006	66,880	42,676
Of which: issued by financial corporations	2,544	700	2,613	692	5,984	2,281	5,911	2,271
Of which: issued by non- financial corporations	3,738	2,801	3,708	2,786	1,626	316	1,676	311
Other assets	23,577	—			584,266	47,336

The encumbered assets included in the "Other Assets" row of the EU AE1 table correspond to demand loans and loan advances

mainly backing own covered bonds and securitisations, collateral deliveries for derivatives transactions and the issuance of

mortgage bonds and securitisation bonds.

12% of unencumbered assets are considered unavailable for encumbrance in the business as usual of the BBVA Group's business,

corresponding mainly to property, plant and equipment, deferred tax assets and derivatives.

The fair value of collateral received , as well as the own securities issued as of December 31, 2025 and December 31, 2024 is below:

TABLE 79. EU AE2 - COLLATERAL RECEIVED (MILLION EUROS. 12-31-2025)

	Fair value of encumbered collateral received or own debt securities issued		Fair value of collateral received or own debt securities issued available for encumbrance
		of which notionally eligible EHQLA and HQLA		of which EHQLA and HQLA
Collateral received	40,585	34,354	18,039	9,909
Loans on demand	—	—	—	—
Equity instruments	229	130	783	304
Debt securities	40,335	34,228	17,288	9,649
Of which: covered bonds	8,955	8,840	406	354
Of which: securitisations	708	—	343	—
Of which: issued by general governments	25,337	23,636	13,097	9,234
Of which: issued by financial corporations	12,263	9,092	3,537	572
Of which: issued by non- financial corporations	2,735	1,495	723	73
Loans and advances other than loans on demand	—	—	—	—
Other collateral received	—	—	—	—
Own debt securities issued other than own mortgage-covered bonds or ABSs	—	—	62	—
Own mortgage-covered bonds and ABSs issued and not yet pledged			33,150	—
Total assets, collateral received and own debt securities issued	106,760	75,322

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EU AE2 (MILLION EUROS. 12-31-2024)

	Fair value of encumbered collateral received or own debt securities issued		Fair value of collateral received or own debt securities issued available for encumbrance
		of which notionally eligible EHQLA and HQLA		of which EHQLA and HQLA
Collateral received	56,301	47,972	15,054	8,588
Loans on demand	—	—	—	—
Equity instruments	708	446	317	88
Debt securities	55,593	47,526	14,846	8,501
Of which: covered bonds	9,850	9,811	704	551
Of which: securitisations	646	—	238	—
Of which: issued by general governments	37,239	33,367	10,829	7,271
Of which: issued by financial corporations	14,419	10,400	2,976	1,194
Of which: issued by non- financial corporations	3,727	1,798	551	45
Loans and advances other than loans on demand	—	—	—	—
Other collateral received	—	—	—	—
Own debt securities issued other than own mortgage- covered bonds or ABSs	—	—	72	—
Own mortgage-covered bonds and ABSs issued and not yet pledged			38,512	—
Total assets, collateral received and own debt securities issued	128,210	93,154

The off-balance sheet collateral received mostly reflects reverse repurchase agreements of debt securities, mostly sovereign.

The sources of encumbrance with the associated collateral as of December 31, 2025 and December 31, 2024 are below:

TABLE 80. EU AE3 - SOURCES OF ENCUMBRANCE (MILLION EUROS)

	Matching liabilities, contingent liabilities or securities lent	Assets, collateral received and own securities issued other than mortgage-covered bonds, public-covered bonds and ABSs encumbered
Carrying amount of selected financial liabilities 2025	105,491	104,764
Carrying amount of selected financial liabilities 2024	126,150	125,103

There are assets without associated liabilities that correspond mainly to security lending operations, and in a lesser extent to

guarantees granted as collateral to be able to operate in certain markets.

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Pillar 3  |  2025 >  4. Risk

4.6.Operational Risk

BBVA defines operational risk (“OR”) as any risk that could result in losses caused by human error; inadequate or flawed internal

processes; undue conduct with respect to customers, markets or the institution; weaknesses in the anti-money laundering and

financing of terrorist programs; failures, interruptions or flaws in systems or communications; theft, loss or wrong use of

information, as well as deterioration of its quality, internal or external fraud, including in any case those derived from cyberattacks;

theft or harm to assets or persons; legal risks; risks derived from staff management and labor health; and defective service

provided by suppliers; as well as damages from extreme climate events, pandemics and other natural disasters.

4.6.1.Operational risk management

Operational risk management aims to guarantee the quality, security, and availability of the service provided; ensure that the

Group's activities are carried out in an honest and transparent manner and in compliance with applicable regulations; and

minimize legal or regulatory penalties and the economic and reputational losses arising from such penalties, as well as their impact

on the recurring generation of results. To this end, it identifies the root causes of operational risk in order to prevent its occurrence

and mitigate its possible consequences by establishing control and monitoring frameworks and developing mitigation plans.

Operational risk management is integrated into the global risk management structure of the BBVA Group.

4.6.1.1.Operational risk management principles

Articles 435 (1) a), 446 (1) CRR

EU ORA a)

The BBVA Group is committed to preferably applying advanced operational risk management models, regardless of the capital

calculation regulatory model applicable at the time. Operational risk management at the BBVA Group shall:

–Be aligned with the Risk Appetite Framework ratified by the BBVA Board of Directors, aiming to safeguard the solvency of

the entity.

–Address BBVA's management needs in terms of compliance with legislation, regulations and industry standards, as well

as the decisions or positioning of BBVA's corporate bodies.

–Anticipate the potential operational risk to which the Group may be exposed as a result of the creation or modification of

products, activities, processes or systems, as well as decisions regarding the outsourcing or hiring of services, and

establish mechanisms to assess and mitigate risk to a reasonable extent prior to implementation, as well as review the

same on a regular basis.

–Regularly assess the significant operational risk to which the Group is exposed, in order to adopt appropriate mitigation

measures in each case, once the identified risk and the cost of mitigation (cost/benefit analysis) have been considered.

–Promote the implementation of mechanisms that support careful monitoring of all sources of operational risk and the

effectiveness of mitigation and control environments, fostering proactive risk management.

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–Identify the relevant operational events already suffered, looking for their root causes and establishing measures to

prevent the same, provided that the cost/benefit analysis so recommends.

–Evaluate key public events that have generated operational risk losses at other companies and support, where

appropriate, the implementation of measures as required to prevent them from occurring at the Group.

–Stablish mechanisms to measure and monitor economic capital requirements, including stress scenarios to complement

operational events already suffered.

–Have an effective system of governance in place, where the functions and responsibilities of the corporate areas and

bodies involved in operational risk management are clearly defined.

–Operational risk management must be performed in coordination with management of other risk, taking into

consideration credit or market events that may have an operational origin.

4.6.1.2.Operational risk management model

Article 435 (1) a), c), d), 446 (1) a) CRR

EU ORA a), c), d), e)

The operational risk management cycle at BBVA is equivalent to the one implemented for the rest of risks. Its elements are:

Operational risk management parameters

Operational risk forms part of the risk appetite framework of the Group and includes at least three types of metrics and limits:

–Economic capital: calculated with the operational losses database of the Group, considering the corresponding intra-

geographical diversification effects and the additional estimation of potential and emerging risks through the inclusion of

stress scenarios. The economic capital is regularly calculated for the main banks of the Group, using simulation

capabilities to forecast the impact of changes on the risk profile or potential new events. This figure represents the

amount of own funds that, according to internal methodologies, the Group believes it needs to cover unexpected losses

over a one-year time horizon.

–ORI metrics (Operational Risk Indicator) is calculated as the ratio between direct operational losses incurred and gross

margin generated. Throughout 2025, the SIRO 2.0 tool has been implemented, which maintains the main components of

the operational risk loss database to be used in internal and regulatory reports and in the calculation of economic capital,

broken down by geography, entity, and/or business area.

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Pillar 3  |  2025 >  4. Risk

–Indicators on sources of risk: The operational risk appetite is complemented by a series of indicators designed to

objectively measure the Group's exposure to different sources of operational risk, its evolution, and the effectiveness of

its control model, thus enabling proactive risk management before it materializes. The indicators are reviewed and

adjusted periodically in order to capture the main risks prevailing at any given time.

Operational risk admission

The main purposes of the operational risk admission phase are the following:

–To anticipate potential operational risk to which the Group may be exposed due to the release of new, or modification of

businesses, products, activities, processes or systems or in relations with third parties (e.g. in the outsourcing of bank

processes to third parties).

–To ensure that implementation and the roll out of initiatives is only performed once appropriate mitigation measures have

been taken in each case, including external assurance of risks where deemed appropriate.

The framework for the admission of Operational and Reputational Risk takes shape in different Operational Risk Admission and

Product Governance Committees, both at a corporate and Business Area level, that follow a delegation structure based on the risk

level of proposed initiatives.

The admission process covers any initiative (new business, product, outsourcing, contracting third-party services, process

transformation, new systems, etc.), is proportionate to the level of risk involved in the initiatives, and includes monitoring them

after their admission.

Operational risk monitoring

The Group promotes continuous monitoring by the Areas of the proper functioning and effectiveness of their control environment,

taking into account, among other elements, the evolution of the management indicators defined for the Area, the events and

losses experienced (by the Group or by the Industry), scenarios, and the results of the activities of the second line of defense,

internal audit, supervisors, or external auditors.

The objective in this phase is to ensure that the Group's operational risk profile remains within authorized limits.

The main components of this phase of the operational risk management life cycle are described below:

Risk and Control Self-Assessment (RCSA)

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Proper operational risk management requires the establishment of methodologies and procedures to identify, assess, prioritize,

and monitor this type of risk in order to implement the appropriate mitigation and control measures in each case.

The purpose of the Group's operational risk self-assessment is to generate and maintain an up-to-date map of the relevant

operational risks in each area and to assess the adequacy of the environment for monitoring and mitigating these risks, in order to

identify risks that exceed the established tolerance level and promote their mitigation.

Monitoring of management parameters

The monitoring of management parameters allows the Group to identify sources of risk that behave abnormally, exceeding the

established appetite levels, as well as relevant sources of risk not previously identified or underestimated; in these situations, the

Group activates mechanisms to identify the root causes of these situations and to reinforce the mitigation environment, thus

contributing to the Group's RCSA process.

The RCSA, together with the operational risk admission process and the management derived from the monitoring of forward-

looking parameters, make up the main structure of the Group's operational risk proactive management processes.

Operational loss collection

In addition, and in line with the best practices and recommendations provided by the Bank for International Settlements

(hereinafter, BIS), BBVA has procedures to collect the operational losses occurred both in the different entities of the Group and in

other financial groups, with the appropriate level of detail to carry out an effective analysis that provides useful information for

management purposes, preparation of regulatory or internal reports, calculation of economic capital and to contrast the

consistency of the Group's operational risks map.

The monitoring activities result in a risk assessment of the Group and its main geographical areas, which allows the Group to focus

its management and mitigation efforts.

Operational risk mitigation

The Group promotes proactive and continuous risk mitigation through the establishment and improvement of the mitigation and

control environment, taking into account proportionality criteria.

For risks that exceed the defined tolerance threshold, it will be necessary to either establish additional mitigation measures or

accept the control weakness in accordance with the procedure defined for this purpose.

The Group considers the option of transferring risks to third parties as a tool for managing operational risks when internal

mitigation levels do not reach the desired target risk levels. The use of risk transfer mechanisms should not lead to a relaxation of

internal mitigation measures, which must be maintained on a complementary basis.

Reporting

Proper decision-making requires systematic, timely, and high-quality reporting on the Group's risk situation and on the Model itself

to the areas responsible for its management and supervision. To this end, each of the roles involved in risk management has

specific reporting obligations in accordance with the Group's risk governance model.

4.6.1.3.Operational risk governance

Article 435 (1) b), 446 (1) (a) CRR

EU ORA b)

BBVA Group's operational risk governance model is based on two components:

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Pillar 3  |  2025 >  4. Risk

–Three-line defense control model, in line with industry best practices, and which guarantees compliance with the most

advanced operational risk internal control standards.

–Scheme of Corporate Assurance Committees and Internal Control and Operational Risk Committees in the different

business and support areas.

Three lines of defense control model

1.- First line of defense: composed of the Business and Support Areas in charge of managing operational risks in their products,

activities, processes and systems, including those present in activities that depend on third parties.

The Areas integrate operational risk management into their day-to-day activities, identifying and evaluating operational risks,

carrying out controls and implementing mitigation plans for those risks with a residual level higher than acceptable.

2.- Second line of defense: composed of:

i.the Non-Financial Risk Units, holding an locals.

ii.the Specialized Control Units, in the areas of compliance, risk, finance, processes, technological security, physical

security, information and data security, legal, people, and third parties.

Risk Control Specialists work across their geographical areas, performing their duties in those areas where operational risks in

their field of expertise may arise.

The Non-Financial Risk Units and the Specialist Units report to the Regulation and Internal Control area in order to ensure a

coordinated action of the second line of defense and to preserve their independence with respect to the first line of defense.

3.- Third line of defense: performed by BBVA Internal Audit, which:

–Performs an independent review of the control model, verifying compliance with and effectiveness of established general

policies.

–Provides independent information on the control environment to the Corporate Assurance Committees.

Corporate Assurance Committee Scheme

Corporate Assurance establishes a structure of committees, both at local and corporate level, to provide senior management with

a comprehensive and homogeneous vision of the main non-financial risks and significant situations of the control environment.

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Pillar 3  |  2025 >  4. Risk

(1) CA: Corporate Assurance

Each geographical area has a Corporate Assurance Committee chaired by the Country Manager and whose main functions are:

–Facilitate agile and anticipatory decision-making for the mitigation or assumption of the main risks.

–Monitoring the changes in the non-financial risks and their alignment with the defined strategies and policies and the risk

appetite.

–Analyzing and assessing controls and measures established to mitigate the impact of the risks identified, should they

materialize.

–Making decisions about the proposals for risk taking that are conveyed by the working groups or that arise in the

Committee itself.

–Promoting transparency by promoting the proactive participation of the three lines of defense in discharging their

responsibilities and the rest of the organization in this area.

At the holding level there is a Global Corporate Assurance Committee, chaired by the Group's Chief Executive Officer. Its main

functions are similar to those already described but applicable to the most important issues that are escalated from the

geographies and the holding company areas.

The business and support areas have an Internal Control and Operational Risk Committee, whose purpose is to ensure the due

implementation of the operational risk management model within its scope of action and drive active management of such risk,

taking mitigation decisions when control weaknesses are identified and monitoring the same.

Additionally, the Non-Financial Risk unit periodically reports the status of the management of non-financial risks in the Group to

the Board's Risk and Compliance Committee.

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Pillar 3  |  2025 >  4. Risk

4.6.2.Methods used for calculating capital

Article 446 (1) b), c), d) CRR

Under CRR3, aligned with the finalized Basel III framework, the regulatory treatment of operational risk under Pillar 1 has been

consolidated into a single, fully standardized approach. This replaces the previous range of methodologies (including the

Advanced Measurement Approach) thereby enhancing cross-bank comparability and simplicity.

The resulting framework is the Standardised Measurement Approach (SMA), in which the capital requirement is primarily

determined by a Business Indicator (BI). The BI is a financial-statement-based measure intended to proxy the scale and income

profile of the institution. This is then translated into a Business Indicator Component (BIC) through prescribed coefficients. In

accordance with the regulation, the own funds requirements under the SMA are equivalent to the BIC.

Components of the Business Indicator

The BI is calculated as the sum of three distinct components, as defined under CRR3 and its accompanying technical standards:

•Interest, Leases and Dividends Component (ILDC): Encompasses interest income and expenses, including those

attributable to leasing activities (subject to a cap of 2.25% of interest-bearing assets), plus dividend income.

•Services Component (SC): Captures fee and commission income and expenses, as well as other operating income and

expenses.

•Financial Component (FC): Reflects net gains and losses linked to financial operations, covering relevant elements from

both the trading and banking books in line with the applicable accounting or regulatory scope.

The BI is determined based on a three-year average of its underlying components. This average serves as the basis for calculating

the BIC.

Calculation of the BIC

The BIC is calculated by applying progressive marginal coefficients to the BI. Consequently, the effective capital charge increases

in proportion to the scale of the BI, as detailed below:

•Bucket 1: For a BI up to €1 billion, a coefficient of 12% is applied.

•Bucket 2: For the portion of the BI between €1 billion and €30 billion, a coefficient of 15% is applied.

•Bucket 3: For the portion of the BI exceeding €30 billion, a coefficient of 18% is applied.

Annex X shows the values for each component and subcomponent over the last three financial years, adjustments for mergers,

acquisitions or divestments, and the three-year average used to calculate the BIC.

The following table presents the amount of the BI, incorporating the impact of M&A and exclusions due to divested activities.

TABLE 81. BUSINESS INDICATOR (EU OR2) (MILLION EUROS. 12-31-2025)

Business Indicator (BI)	21,558
BI gross of excluded divested activities	21,558
Reduction in BI due to excluded divested activities	—
Impact in BI of mergers/acquisitions	—

During the year, there have been no merges or acquisitions that affect the calculation of the Business Indicator, with no reduction

due to excluded activities.

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Pillar 3  |  2025 >  4. Risk

Transitional Arrangements

By way of a transitional arrangement, CRR3 allows EU parent institutions (which are previously authorized to apply the Alternative

Standardised Approach (ASA) for retail and commercial banking business lines) to continue doing so latest until December 31,

2027. This is subject to having informed the consolidating supervisor and remains restricted to the scope of the existing

permission as per the CRR version applicable on July 8, 2024.

In accordance with these transitional provisions, the BBVA continues to apply the ASA for the operational risk own funds

requirements attributable to the retail and commercial business lines of its subsidiaries in Mexico and Peru.

Under this approach, the own funds requirements is determined by applying a fixed coefficient of 12% for the retail banking

business line and 15% for the commercial banking business line to a proxy of the relevant indicator. This proxy is calculated as

3.5% of the three-year average of the total amount of loans and advances, as prescribed in the version of the CRR applicable prior

to the implementation of the CRR3 framework.

The own funds requirements for the retail and commercial business lines in Mexico and Peru are determined independently under

the ASA framework; consequently, their respective BI components are deducted from the BBVA's consolidated BI used for the

SMA capital charge.

Total Own Funds Requirements

The BBVA's total own funds requirements for operational risk are therefore calculated as the aggregate of the requirements

derived from the Standardised Measurement Approach and those under the Alternative Standardised Approach for the entities

within the scope of the transitional arrangement.

The following table EU OR3 shows the total amount of capital requirements for operational risk and the corresponding risk-

weighted exposures. It also shows the BIC resulting from the BI, as well as, where applicable, the additional requirements

associated with the ASA applicable to certain subsidiaries until the end of 2027.

TABLE 82. EU OR3 - OPERATIONAL RISK OWN FUNDS REQUIREMENTS AND RISK EXPOSURE AMOUNTS (MILLION

EUROS. 12-31-2025)

Business Indicator Component (BIC)	3,204
Alternative Standardised Approach (ASA) Own Funds Requirements (OROF) under Article 314(4)	519
Not applicable
Minimum Required Operational Risk Own Funds Requirements (OROF)	3,723
Operational Risk Exposure Amounts (REA)	46,538

This information provides an understanding of the magnitude of the regulatory capital required, its evolution and its contribution to

the total solvency ratio.

In 2025, capital requirements for operational risk in the BBVA Group have mainly increased by the change in methodology

envisaged in CRR3.

4.6.3.Group’s operational risk profile

Article 446 (2) CRR

BBVA’s profile of operational risk losses by risk type (Group and countries) in 2025 is as follows:

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Pillar 3  |  2025 >  4. Risk

Table EU OR1 below provides quantitative information on operational losses incurred over the last 10 years. For each financial year,

it shows the total number of events and the amount of net losses after recoveries, distinguishing between the thresholds of

€20,000 and €100,000 established by the regulator.

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Pillar 3  |  2025 >  4. Risk

TABLE 83. EU OR1 - OPERATIONAL RISK LOSSES (MILLION EUROS. 12-31-2025)

	Current year	Year-1	Year-2	Year-3	Year-4	Year-5	Year-6	Year-7	Year-8	Year-9	Ten-year average
Using €20,000 threshold
Total amount of operational risk losses net of recoveries (no exclusions)	297	301	294	235	170	451	237	266	527	846	362
Total number of operational risk losses	2	2	2	2	2	3	3	3	3	2	2
Total amount of excluded operational risk losses	—	—	—	—	—	—	—	—	—	—	—
Total number of excluded operational risk events	—	—	—	—	—	—	—	—	—	—	—
Total amount of operational risk losses net of recoveries and net of excluded losses	297	301	294	235	170	451	237	266	527	846	362
Using €100,000 threshold
Total amount of operational risk losses net of recoveries (no exclusions)	264	275	267	210	145	424	196	218	460	793	325
Total number of operational risk losses	1	1	1	1	1	1	1	1	1	—	1
Total amount of excluded operational risk losses	—	—	—	—	—	—	—	—	—	—	—
Total number of excluded operational risk events	—	—	—	—	—	—	—	—	—	—	—
Total amount of operational risk losses net of recoveries and net of excluded losses	264	275	267	210	145	424	196	218	460	793	325
Details of operational risk capital calculation
Not aplicable
Not aplicable
Not aplicable

As of December 31, 2025, no event has been excluded in accordance with Article 320 of the CRR (those considered exceptional and currently irrelevant to the entity's risk profile).

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Pillar 3  |  2025 >  4. Risk

4.7.Risks on crypto-assets

4.7.1. Regulatory framework for Crypto assets

As indicated in section 2.2.2, CRR3 was published in the OJEU in June 2024. Although its date of application was scheduled for

January 1, 2025, certain articles came into force on July 9, 2024. Among them, article 451 ter, which requires the disclosure of

information on crypto-asset exposures and related activities. Within the framework of this requirement, BBVA includes the present

section as part of the Pillar 3 report.

The Group uses the definition of a crypto-asset as set out in Regulation (EU) 2023/1114 on markets in crypto-asset (hereinafter,

MiCA). According to this Regulation, a crypto-asset is a digital representation of a value or of a right that is able to be transferred

and stored electronically using distributed ledger technology or similar technology.

BBVA adheres to various regulatory frameworks for its crypto-assets offering, including MiCA in the European Union, which sets

standards for the issuance and the provision of crypto-assets services as well as a framework for crypto-asset service providers.

Also for the European Union, under the aforementioned CRR3, a transitional prudential framework for credit institutions' exposure

to crypto-assets is in place, effective from July 9, 2024, until Basel standards are formally transposed in Europe. The final drafts of

the RTS for this transitional prudential treatment were sent to the European Commission on August 5, 2025,  while the final ITS on

reporting and disclosure had been adopted earlier, at the end of 2024. BBVA applies the Swiss regulatory standards under FINMA

supervision for its custody and trading services in Switzerland, while in Turkey, compliance is aligned with Capital Market Law No.

7518, which mandates licensing for crypto-asset service providers. This Law defines crypto-assets and establishes that Virtual

Assets Service Providers (VASPs) must request a license from the Capital Markets Board (CMB).

4.7.2.Management of crypto-assets

As of December 31, 2025, BBVA Switzerland offers services that enable custody and administration, execution of orders and

transfers of crypto-assets on behalf of its customers. This subsidiary doesn’t hold any position as fees are managed and paid by its

order execution provider.

In Turkey, Garanti BBVA Kripto Varlık Alım Satım Platformu A.Ş (Garanti BBVA Kripto) operates a trading platform and provides

custody and administration and transfers of crypto-assets on behalf of its customers. To enable these services, these subsidiaries

need to handle a proprietary crypto-asset position for the following activities:

–Settlement of net traded volumes between the subsidiary liquidity providers and custody accounts to mitigate

counterparty risk and maintain segregation of our customer crypto-assets.

–Pay network fees for the aforementioned settlements and customers’ outgoing transfers, as well as to advance customer

withdrawals for unsettled funds.

Similarly, in Spain, BBVA Spain provides crypto-asset order execution services, transfer services for crypto-assets on behalf of

clients, as well as crypto-asset custody and administration services on behalf of its clients. These activities also require BBVA to

have its own position of crypto-assets in order to pay network fees for settlement transactions between liquidity providers and

BBVA's crypto-asset custody infrastructure, and for transfer services for crypto-assets on behalf of clients.

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Pillar 3  |  2025 >  4. Risk

The following table represents the amount of exposure to crypto-assets derived from these services and activities:

TABLE 84. EU CAE1 - EXPOSURES TO CRYPTO-ASSETS (MILLION EUROS. 12-31-2025)

	Exposure value	Risk weighted exposures amounts (RWEA)	Own funds requirements
Tokenised traditional assets	1	11	1
Asset referencered tokens	—	—	—
Exposures to other crypto assets	—	—	—
Total	1	11	1
Memorandum item
Exposures to other crypto assets expressed as a  percentage of the institution's T1 capital	—

In addition, BBVA offers traditional banking services to crypto asset companies and invests in companies and funds specific to the

sector.

In line with International Financial Reporting Standards (IFRS), BBVA classifies crypto-asset activities based on their nature.

Proprietary positions for blockchain network fee payments and client advances are categorized as inventories, valued at the lower

of cost or net realizable value. Custody activities for clients are recorded off-balance sheet, consistent with other securities

custody operations, with the risk borne by clients.

The governance of crypto-asset services, like any other business of the bank, is subject to BBVA Group's corporate governance

model. This model is structured through a set of policies and procedures that encompass general policies on customer conduct,

non-financial risk management, and third-party service management, among others.

Additionally, this framework is complemented by specific committees that supervise and monitor each of the Group's businesses,

including trading and custody of crypto assets, and ensure compliance with operational risk management frameworks and internal

controls, as described in the section on operational risk management model. Crypto-asset activities remain subject to the defined

risk appetite parameters and are included within BBVA's risk measurement and monitoring mechanisms.

The incorporation of crypto-asset services into BBVA's offerings complements and enhances its traditional business activities. By

diversifying its client base, particularly among individuals and businesses with a focus on digital innovation, the bank strengthens

customer retention while attracting new segments. This diversification is accompanied by additional fee-based revenue from

activities such as custody or trading. The integration of these services, however, adds operational complexity, requiring the

development of specialized infrastructure and robust risk management frameworks to ensure alignment with existing operations.

Additionally, BBVA’s position as a forward-looking and innovative financial institution is reinforced by its crypto-asset capabilities,

enhancing its competitiveness in a rapidly evolving market environment.

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Pillar 3  |  2025 >  5. Information on remuneration

5.Information on remuneration

5.1.Information on the decision-making process used to establish remuneration policy for the Identified Staff	269
5.2.Description of the different types of employees included in the Identified Staff	274
5.3.Key features of the remuneration system	276
5.4.Information on the connection between the remuneration of the Identified Staff and the results of the Group's performance	285
5.5.Description of the criteria used to take present and future risk into consideration in the remuneration processes	287
5.6.Main parameters and the motivation of any component of possible variable compensation plans and other non-pecuniary advantages	289
5.7.Ratios between fixed and variable remuneration of the Identified Staff	289
5.8.Quantitative information on remuneration of the Identified Staff	291

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Pillar 3  |  2025 >  5. Information on remuneration

In accordance with the provisions of article 85 of Act 10/2014 of June 26, on the regulation, supervision and solvency of credit

institutions ("Act 10/2014") and article 93 of Royal Decree 84/2015 of February 13, implementing said Act ("Royal Decree

84/2015"), and pursuant to the provisions of the Bank of Spain Circular 2/2016 of February 2, to credit institutions on supervision

and solvency, completing the adaptation of the Spanish legal system to Directive 2013/36/EU and Regulation (EU) nº.575/2013

(the "Bank of Spain Circular 2/2016"), credit institutions shall provide the public with and update periodically, and at least once a

year, inter alia, information concerning their remuneration policies and practices established in section eight of Regulation

575/2013/EU, in relation to those categories of staff whose professional activities have a significant impact on the risk profile of

the institution and/or its consolidated group (the "Identified Staff" or "Risk Takers").

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5.1.Information on the decision-making process used to establish

the remuneration policy for the Identified Staff

Article 450 (1) a) CRR

EU REMA a)

In accordance with the provisions contained in the Bylaws of BBVA ("BBVA", the "Institution" or the "Bank"), the BBVA Board of

Directors Regulations grant the Board the powers, among others, to approve the remuneration policy for directors, for submission

to the General Shareholders' Meeting, that of senior management, the rest of the Identified Staff and the Group as a whole, as well

as the determination of the remuneration of non-executive directors, and, in the case of executive directors, the approval of the

contracts that the Bank must enter into with them and the determination of their individual remuneration corresponding for the

performance of their executive functions.

Among the Committees constituted to support the Board in carrying out its functions, the Remuneration Committee is the body

which assists it in remuneration matters related to its directors, senior management and the rest of the Identified Staff, ensuring

observance of the remuneration policies established.

Thus, in accordance Article 5 of the Remuneration Committee Regulations, and without prejudice to any other functions assigned

to it by law, the Bylaws, the Board of Directors’ Regulations, or assigned to it by decision of the Board of Directors, the

Remuneration Committee primary responsibility shall be to assist the Board of Directors in matters relating to remuneration that

fall within its remit, by preparing the decisions to be taken by the Board of Directors in this area. For this purpose, it shall have the

following functions:

1.Propose the directors' remuneration policy to the Board of Directors, for submission to the General Shareholders’ Meeting,

likewise submitting the corresponding report, in the terms established by applicable regulations at any given time.

2.Propose the remuneration of non-executive directors, in accordance with the provisions of the directors' remuneration policy,

submitting the corresponding proposals to the Board.

3.Propose to the Board of Directors the contracts to be entered into by the Company with the executive directors, in

accordance with the directors' remuneration policy.

4.Propose the objectives and criteria for measuring the variable remuneration of the executive directors and assess their

degree of achievement thereof, submitting the corresponding proposals to the Board.

5.Analyse, where appropriate in accordance with the approved remuneration policies, the need to make ex ante or ex post

adjustments to variable remuneration, including the application of reduction or recovery clauses for variable remuneration,

submitting the corresponding proposals to the Board of Directors, prior report of the relevant committees in each case.

6.Propose on an annual basis to the Board of Directors the annual report on the remuneration of the Bank's directors, which will

be submitted to the Annual General Shareholders’ Meeting as set out in applicable legislation.

7.Propose to the Board of Directors the remuneration policies for senior managers, the Identified Staff and the Group as a

whole; and, oversee its implementation, including the supervision of the process for the identification of the aforementioned

Staff.

8.Proposed to the Board of Directors the basic contractual conditions for senior managers, including their remuneration and

severance payments in the event of termination and directly oversee their remuneration within the framework of the

remuneration policy applicable at any given time to Senior Management..

9.Propose to the Board of Directors the criteria for the determination of the variable remuneration of the heads of the

Regulation & Internal Control area and the Internal Audit area and propose such remuneration, submitting the corresponding

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proposals to the Board of Directors, based on their performance evaluation, submitted to it in turn by the Risk and

Compliance Committee and the Audit Committee, respectively.

10.Ensure compliance with the remuneration policies established by the Institution and review them periodically, proposing

modifications, where appropriate, to ensure, among other things, that they are adequate to attract and retain the best

professionals, so that they contribute to the creation of long-term value and adequate control and management of risks, and

that they attend to the principle of pay equality; in particular, ensure that the remuneration policies established by the

Institution are subject to internal, central and independent review at least once a year.

11.Verify information on the remuneration of directors and senior managers contained in the various corporate documents,

including the annual report on the remuneration of directors.

12.Report, in advance of any decisions that, as the case may be, must be adopted by the Board of Directors or, where applicable,

the Executive Committee, on all matters within its remit as provided by law, the Bylaws, or any of the Company’s governing

body regulations.

13.Oversee the selection of external advisers, whose advice or support is required for the performance of their functions in

matters of remuneration, ensuring that any potential conflicts of interest do not impair the independence of the advice

provided.

At the end of 2025 financial year, the Remuneration Committee was composed of five members; all of them had the status of non-

executive directors, with the majority being independent, including the Chair. The names, positions and status of the members of

the Remuneration Committee are detailed in the following table (1):

Name and surname(s)	Position	Status
Ms. Ana Revenga Shanklin	Chair	Independent
Ms. Lourdes Máiz Carro	Member	Independent
Ms. Ana Peralta Moreno	Member	Independent
Mr. Carlos Salazar Lomelín	Member	External
Mr. Jan Verplancke	Member	Independent

The directors who have been members of the Remuneration Committee during 2025 have received a total amount of 278

thousand euros for their membership. The Annual Report on BBVA Directors' Remuneration referred to said financial year includes

the individual remuneration of each director, broken down by remuneration items.

The Remuneration Committee performs its functions with full autonomy of operation, meeting as often as necessary to carry out

its duties, headed by its Chair. In 2025 financial year it met on a total of 5 occasions.

In order to adequately perform its functions, the Committee uses advice provided by the Bank's internal services, and may also

make use of any external advice it needs to establish criteria on matters within its remit. Thus, during 2025 the Committee has

relied on information provided by the leading global consulting firm on compensation of directors and senior managers, WTW, and

has received legal advice from the law firm J&A Garrigues S.L.P.

In addition, the Board's Risks and Compliance Committee also participates in the process of establishing remuneration policies,

ensuring that they are compatible with adequate and efficient risk management and do not offer incentives to take risks that

exceed the level tolerated by the Group.

BBVA has the following remuneration policies, designed within the framework of the regulations applicable to credit institutions,

and considering best practices and recommendations at the local and international level in remuneration matters (hereinafter, the

“Remuneration Policies”):

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–The BBVA Group General Remuneration Policy (the “BBVA Group General Remuneration Policy” or the “Policy”),

which applies, as a general rule, to all employees of BBVA and of the companies comprising its Group (the “Group

Entities”). This Policy includes the specific rules applicable to the Identified Staff, including members of BBVA’s Senior

Management (excluding executive directors, whose remuneration is governed by the BBVA Directors’ Remuneration

Policy), as well as the process for their identification.

The BBVA Group General Remuneration Policy applicable during the 2025 financial year was approved by the Board of

Directors, at the proposal of the Compensation Committee, on March 29, 2023.

The BBVA Group General Remuneration Policy is coordinated at the corporate level by BBVA’s Global Talent & Culture

area, and the Group’s control functions actively and regularly cooperate in its design and in overseeing its

implementation, in accordance with the powers conferred upon them under applicable regulations.

–The BBVA Directors’ Remuneration Policy (the “BBVA Directors’ Remuneration Policy”), which applies to all members

of the Board of Directors and which, in accordance with the provisions of BBVA’s Bylaws, distinguishes between the

remuneration system applicable to non-executive directors and that applicable to executive directors.

The BBVA Directors' Remuneration Policy applicable during the 2025 financial year was approved by the BBVA General

Shareholders' Meeting held on March 17, 2023 for the 2023, 2024, 2025 and 2026 financial years and is available on the

Bank's corporate website (www.bbva.com).

As stated in this policy, the remuneration system for executive directors generally corresponds to that applicable to the

rest of the members of the Identified Staff, incorporating certain specific characteristics derived from their status as

directors. The remuneration system for non-executive directors is based on the criteria of responsibility, dedication and

incompatibilities inherent to the position they hold, and consists exclusively of fixed elements, with no variable

remuneration.

In accordance with the provisions of Article 529 novodecies of the Spanish Companies Act, upon completion of the final

financial year for which it was applicable, the Board of Directors, at the proposal of the Remuneration Committee, has

resolved to submit for consideration at BBVA’s 2026 Annual General Shareholders’ Meeting a new BBVA Directors’

Remuneration Policy for financial years 2026, 2027, 2028, and 2029.

The Board of Directors, as the highest body responsible for the representation, management, administration, and oversight of

BBVA, periodically reviews the remuneration policies and oversees its implementation, based on the information and report

received by the Talent & Culture area and the Internal Audit area, guaranteeing that the Policy is applied properly and in a manner

consistent with BBVA's Corporate Governance System.

For this purpose, the Bank is supported by the Remuneration Committee, which serves as a central element in the remuneration

decision-making process remuneration matters and which, as stated, is responsible for submitting proposals to the Board of

Directors both the BBVA Group General Remuneration Policy and the BBVA Directors' Remuneration Policy, for its subsequent

submission to the General Shareholders' Meeting in the latter case.

In application of Remuneration Policies, approved by the Bank's corporate bodies, during the 2025 financial year the

Remuneration Committee analysed the remuneration proposals needed for their development and implementation.

At the beginning of the financial year, the Remuneration Committee determined the Attributable Profit and Capital Ratio

thresholds that should be reached, as ex ante adjustments, for the generation of the 2025 financial year Annual Variable

Remuneration of the executive directors and the rest of the Identified Staff, as well as for the initial award of the Long-Term

Incentive that forms part of such remuneration, submitting the corresponding proposals to the Board for approval.

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Likewise, the Remuneration Committee determined the annual indicators used for the calculation of the Short-Term Incentive that

forms part of the Annual Variable Remuneration for the 2025 financial year of the executive directors and their corresponding

weightings, as well as the objectives and scales of achievement associated with said indicators, submitting the corresponding

proposals to the Board for their approval.

Likewise, the Remuneration Committee determined the long-term indicators that will be used to calculate the Long-Term Incentive

that forms part of the Annual Variable Remuneration for the 2025 financial year of the executive directors and the other members

of the Identified Staff, as well as their corresponding weightings, submitting the corresponding proposals to the Board for

approval.

Likewise, the Remuneration Committee determined, for its proposal to the Board, the objectives and scales of achievement

associated with long-term indicators approved by the Board for the calculation of the Long-Term Incentive that forms part of the

Annual Variable Remuneration for the financial year 2024 of the executive directors and the other members of the Identified Staff,

as well as the thresholds and the scales of Capital Ratio and Liquidity Coverage Ratio indicators, for the application of possible ex

post adjustments for risk (reduction) of the deferred portion of the Annual Variable Remuneration for the financial year 2023 and

2024 of the executive directors and the other members of the Identified Staff to be paid in 2026, with the prior analysis for the

latter issue of the Risk and Compliance Committee.

Moreover, in 2025, the Remuneration Committee submitted to the Board for its submission in turn to the General Shareholders'

Meeting held in 2025 the proposed resolution regarding the increase of the maximum level of variable remuneration up to 200% of

the fixed component of the total remuneration of a certain number of members of the Identified Staff, also proposing to the Board

the report accompanying this resolution, which was made available to the Bank's shareholders.

Likewise, in accordance with the proposal submitted by the Remuneration Committee, the Board approved the Annual Report on

the Remuneration of BBVA Directors for financial year 2024, developed in accordance with Circular 4/2013 of the National

Securities Market Commission (CNMV), which was submitted to an advisory vote at the General Shareholders' Meeting held in

2025, pursuant to article 541 of the Corporate Enterprises Act, and which was made available to the Bank's shareholders through

the corporate website (www.bbva.com).

The Annual Report on the Remuneration of Directors of BBVA  for financial year 2024  includes an overall summary of the

application of the Directors’ Remuneration Policy during financial year 2024, as well as details of the individual remuneration

accrued under all concepts by each of the directors during that year, and information on the Directors’ Remuneration Policy

applicable for financial year 2025.

Moreover, within the framework of the function attributed to the Remuneration Committee for the oversight and periodic review of

the established Remuneration Policies, the Committee reviewed their application in 2024, in accordance with applicable law and

recommendations. For this purpose, the review covered the BBVA Group General Remuneration Policy, which includes the special

provisions for the Identified Staff, as well as the procedure for their identification, and the BBVA Directors' Remuneration Policy

applicable in that financial year, based on an internal, central and independent review carried out by the Bank's Internal Audit area.

The result of all this was submitted to the Board of Directors.

Furthermore, the Remuneration Committee received from the global Talent and Culture area the information regarding the

application of the procedure for the identification of the Identified Staff for the 2025 financial year, both for BBVA individually and

for the BBVA Group at a consolidated level, in accordance with the qualitative and quantitative criteria established in the applicable

regulations and the internal criteria established by the Bank. In particular, it was informed of the number of persons included in the

Identified Staff and that no exclusions would be requested in 2025, the foregoing being duly reported to the Board of Directors.

Lastly, the Remuneration Committee carried out its review and analysis of the BBVA Directors’ Remuneration Policy with a view to

submitting the corresponding proposal, together with its specific report thereon, to the Board of Directors, for subsequent

submission to the General Shareholders’ Meeting for financial year 2026, in accordance with the provisions of Article 529

novodecies of the Spanish Companies Act.

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All of the issues discussed above, along with other matters within its remit, are detailed in the Remuneration Committee Activity

Report for 2025 financial year, published on the Bank's corporate website on the occasion of the calling of the 2026 General

Shareholders' Meeting (www.bbva.com).

16 As regards non-executive directors, they are identified as Risk Takers under article 32.1 of Act 10/2014, although as specified in section 5.3 of this document, they

have a specific system of remuneration, different from that applicable to executive directors, and do not receive variable remuneration.

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5.2.Description of the different types of employees included in the

Identified Staff

EU REMA a)

In accordance with BBVA Group's General Remuneration Policy, the selection of the persons who make up the Identified Staff

within BBVA and/or its Group is part of an annual process based on the qualitative and quantitative criteria established under

Article 32.1 of Act 10/2014 and (EU) Delegated Regulation 2021/923/EU of the Commission of March 25, 2021, supplementing

CRD IV (the "Delegated Regulation 2021/923/EU"). This process also includes internal criteria established by BBVA

complementary to those indicated in said Regulation, in compliance with Rule 38 of Bank of Spain Circular 2/2016 (hereinafter, the

"Identification Process").

The qualitative criteria established in the Identification Process are defined based on the level of responsibility of the position (for

example, members of the BBVA Board of Directors, members of BBVA Senior Management, staff responsible for control functions

and other key functions or significant business units within the Group), as well as on the basis of the staff's capacity or

responsibility to assume or manage risk.

The quantitative criteria establish that employees have a significant impact on the risk profile based on the total remuneration

awarded, unless BBVA determines that, in fact, the activity of such staff has no significant impact on the risk profile. The

application of these criteria takes into account the total remuneration awarded in the previous financial year, or the remuneration

established by the applicable rules at all times.

The Identification Process is updated during the year and takes all BBVA and BBVA Group personnel into consideration,

respectively, allowing the inclusion of personnel in the Identified Staff who meet or are likely to meet the qualitative criteria

established under applicable law for at least three months out of a given financial year.

The Group Entities actively participate in the Identification Process carried out by BBVA, providing all the information necessary in

order to adequately identify the personnel having a significant impact on the Group's risk profile.

In accordance with the Identification Process previously indicated, at the year-end 2025 a total of 376 Risk Takers, of which:

–198 were identified both at BBVA Group level and at individual level in BBVA,

–168 are only identified at BBVA Group level, and

–10 are only identified at individual level in BBVA.

These include:

–Members of the BBVA Board of Directors16.

–Members of BBVA Senior Management.

–Risk Takers by function: comprised by those members that carry out the functions that correspond to the qualitative

criteria established under Article 32.1 of Act 10/2014 and Delegated Regulation 2021/923/EU, as well as those Risk

Takers identified according to internal Bank criteria based on the Rule 38 of Bank of Spain Circular 2/2016.

–Risk Takers by remuneration: composed of those employees who meet the quantitative criteria of Article 32.1 of Act

10/2014 and Delegated Regulation EU 2021/923/EU.

The total number of Risk Takers identified in the 2025 financial year, which, as indicated above, was 376 persons, has increased

respect to the total number of members identified in 2024, which was 337 persons. This increase is primarily due to organizational

changes implemented in certain areas of the Bank, which resulted in the identification of new positions.

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In any case, BBVA adapts the composition of the Identified Staff, including the categories of professionals deemed necessary at

any time, in accordance with the requirements established for that purpose under the terms of applicable regulations.

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5.3.Key features of the remuneration system

Article 450 (1) c), f) CRR

EU REMA b), e), f), g)

The BBVA Group General Remuneration Policy is geared toward the recurring generation of value for the Group, the alignment of

the interests of its employees and shareholders, prudent risk management and the development of the strategy defined by the

Group.

This policy is one of the elements devised by the Board of Directors, as part of the Bank's Corporate Governance System, to

promote proper management and oversight of the Institution and its Group, and is based on the following principles:

–long-term value creation;

–results attained through sound and responsible risk-taking;

–attracting and retaining the best professionals;

–rewarding the level of responsibility and professional career;

–ensuring internal equity and external competitiveness and equal pay for men and women;

–encouraging responsible conduct and fair treatment of customers, as well as avoiding conflicts of interest; and

–ensuring transparency of the remuneration model.

Based on the general principles above, BBVA has defined the Group's General Remuneration Policy, taking into account both

compliance with the legal requirements applicable to credit institutions and to the different sectors in which the Group operates,

and alignment with best market practices, including arrangements devised to reduce exposure to excessive risks and align

remuneration with the Group's strategy, objectives, values and long-term interests.

Thus, according to these principles, the Policy:

–contributes to the business strategy of BBVA and its Group, and to the achievement of its objectives, values and interests,

as well as value creation and long-term sustainability;

–is compatible with and promotes sound and effective risk management and does not provide incentives to assume risks

that exceed the level tolerated by the Institution or the BBVA Group, in a manner that is consistent with the BBVA Group's

risk strategy and culture;

–is clear, comprehensible and transparent, with a simple wording that enables the understanding of the different

components making up remuneration and the conditions for the accrual, award, vesting and payment thereof. To that

end, it distinguishes clearly between the criteria for determining fixed remuneration and variable remuneration and is

transparent as regards the setting of objectives and parameters for their calculation;

–It includes a competitive remuneration system, with the aim of attracting and retaining the best professionals and

adequately rewarding the duties performed;

–is gender neutral, as it reflects equal compensation for the same duties or duties of equal value and does not establish any

difference or discrimination on the basis of gender;

–includes measures to avoid conflicts of interest, promoting the independence of judgement of persons involved in

decision-making and in the oversight and control of management and the establishment of remuneration systems,

incorporating predetermined calculation rules that avoid discretion in their application; and

–pursues that remuneration is not based solely or primarily on quantitative criteria, taking into account appropriate

qualitative criteria, which reflect compliance with applicable regulations.

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In accordance with the above, the remuneration system generally applicable to all BBVA Group staff comprises the following:

a)A fixed remuneration, which takes into account the level of responsibility, the functions carried out and the professional

career of each employee, under the principles of internal equity and the market value of the function, constituting a significant

portion of the total pay. The award and amount of fixed remuneration are based on predetermined objective and non-

discretionary criteria.

b)A variable remuneration, consisting of payments or allowances in cash or in kind, in addition to fixed remuneration, which

depend on variable parameters and which includes both the annual variable remuneration associated to the corporate model

and, if applicable, other variable incentive schemes and any other variable component that BBVA or the Group's entities, at

any given time, may grant to their personnel or to certain groups of employees.

In no case will variable remuneration limit the ability of the Group to strengthen its capital base in accordance with regulatory

requirements and it shall consider current and future risks as well as the costs of the necessary capital and liquidity, reflecting

a performance that is sustainable and adapted to risk.

Guaranteed variable remuneration will only be awarded on an exceptional basis, in accordance with the terms established

under applicable regulations, and only, where applicable, for newly hired staff, limited to the first year of employment.

Within this remuneration model for general application, the BBVA Group General Remuneration Policy includes certain special

provisions, applicable, on the one hand, to staff exercising control functions and, on the other hand, to staff exercising functions

related to the sale of products and the provision of services to clients. Thus:

i.Staff who perform control functions are independent from the units they supervise, have the necessary authority and are

remunerated according to the achievement of targets associated with their duties, regardless of the results of the areas they

supervise, thereby avoiding potential conflicts of interest.

In order to strengthen the independence and objectivity of these functions, and to reflect the nature of their responsibilities,

the fixed element of their remuneration has a greater weight than the variable element.

Likewise, in the weighting established for the calculation of the annual variable remuneration of employees exercising control

functions, the area and individual components will have a greater weight than that established for the Group component.

The remuneration of the members of BBVA's Senior Management in independent control functions is directly supervised by

the Remuneration Committee, as is the case with the rest of the members of BBVA's Senior Management, as the Board of

Directors is the body responsible for establishing the basic conditions of their contracts.

Moreover, the Board of Directors, on the proposal of the BBVA Remuneration Committee following prior analysis by the Audit

Committee and the Risk and Compliance Committee, respectively, is responsible for setting the targets and performance

evaluation of the global heads of the Internal Audit and Regulation & Internal Control functions or for the analogous functions

that may be established at any given time.

ii.The design and implementation of the remuneration of the Group staff involved in the provision of services to clients, watches

for the protection of their interests and the quality of the services provided, so that:

–responsible business conduct and fair treatment of clients is fostered;

–no incentives should be established that could induce staff to put their own interests or those of BBVA Group first, in

possible opposition to the interests of their clients;

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–remuneration is not primordially or exclusively linked to the sale of a product, or a category or specific type of product,

such as products that are more lucrative for the institution or employee, when there are others more in line with client

needs; and that this objective is not set as that with the greatest weight in the remuneration package; and

–an appropriate balance is maintained between the fixed and variable elements of the remuneration.

Moreover, BBVA and the Group Entities directly subject to the customer protection regulations must comply with the specific

remuneration requirements established at any time, as well as with any other regulations applicable to this group.

Pursuant to the legal requirements established by Act 10/2014 and its regulatory implementation, the BBVA Group General

Remuneration Policy defines specific rules applicable to the Identified Staff, in accordance with the regulations and

recommendations applicable to remuneration schemes for these employees.

The remuneration system of the Identified Staff focused specifically on aligning their remuneration with the risks, and also the

long-term objectives and interests of BBVA and its Group, whose fundamental characteristics are the following:

–Balance between the fixed and variable components of the total remuneration, in line with that established in the

applicable regulations, with the fixed remuneration constituting a sufficiently high part of the total remuneration and

allowing a fully flexible policy regarding the payment of variable components, which may cause them to be reduced, even

in their entirety, where appropriate.

The theoretical relative proportion between the main fixed and variable components of remuneration has been

established taking into account the type of functions carried out by each beneficiary (business, support or control) and,

consequently, their impact on the risk profile, adapted in each case to the reality of the different Group Entities or

functions.

–The variable element of remuneration for a financial year (understood as the sum of all variable remuneration) shall be

limited to a maximum amount of 100% of the fixed element (understood as the sum of all  fixed remuneration) of the total

remuneration, unless the BBVA General Shareholders' Meeting resolves to increase this percentage to a maximum of

200%. As explained in detail in section 5.7 of this report, the BBVA General Shareholders' Meeting held on March 21,

2025, authorized the increase in the maximum limit to 200% for a maximum of 309 Risk Takers.

–Within the framework of the BBVA Group's corporate variable remuneration model, the members of the Identified Staff

have an annual variable remuneration (the “Annual Variable Remuneration” or the “AVR”) that is aligned with the Group's

results and the achievement of its strategy, considering the risk incurred, and is comprised of a short-term incentive (the

“Short-Term Incentive” or the “STI”) and a long-term incentive (the “Long-Term Incentive” or the “LTI”).

In order to ensure alignment and linkage to results and long-term sustainability, the Annual Variable Remuneration

corresponding to each financial year will not be accrued or will be reduced in its accrual if certain profit and capital ratio

levels, which are approved by the Board of Directors upon proposal of the Remuneration Committee, are not reached.

The Short-Term Incentive, in line with the corporate variable remuneration model applicable to the rest of the Group's

employees, is awarded annually, reflects performance measured through the achievement of objectives aligned with the

risk incurred and is calculated on the basis of:

i.Group, area and individual metrics or indicators measured on an annual basis, which take into account the

strategic priorities defined by the Group, as well as current and future risks (the "Annual Indicators");

Each function within the organization is assigned a weighting that determines the extent to which the Annual

Variable Remuneration is linked to the performance of the Group, the area or the individual. The weighting of

each of these components ("Group, area and individual") depends on how closely the function is linked to the

overall strategy of the Group and the area.

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ii.the corresponding achievement scales to be established, according to the weighting attributed to each Annual

Indicator and based on the objectives established for each one of them; and

iii.a Target Short-Term Incentive, which represents the amount of the Short-Term Incentive if 100% of the pre-

established objectives are achieved (the "Target STI").

Once the financial year is closed, the result of each Annual Indicator will be compared with its target and, depending on its degree

of achievement and applying the corresponding scales and according to the weighting assigned to each indicator, the amount of

the Short-Term Incentive will be calculated, which may be between 0 and 150% of the Target STI.

The Annual Indicators are aligned with the most relevant management metrics and with the strategic priorities defined by the

Group. Therefore, the Annual Indicators for the calculation of the 2025 STI of the Identified Staff are as follows:

TABLE 85. ANNUAL INDICATORS 2025 STI

	Weight
RORC	35 %
Attributable Profit	15 %
Fee and commission income	10 %
Net Promoted Score (NPS)	15 %
Target customers	15 %
Channeling of sustainable business	10 %

The Long-Term Incentive reflects the performance over a multi-year horizon and the determination of its final amount is

conditioned to the fulfillment of a series of long-term objectives that make it possible to evaluate the results and the fulfillment of

the Group's long-term strategy.

The Long-Term Incentive of the members of the Identified Staff will only be awarded in the event that the Group reaches the profit

and capital ratio thresholds approved by the Board of Directors for the accrual of the Annual Variable Remuneration. Once the year

has ended and the level reached with respect to these profit and capital ratio thresholds has been verified, the initial award of the

Long-Term Incentive will take place at its maximum theoretical amount.

The final Long-Term Incentive amount will be calculated by taking as a reference the Target Long-Term Incentive determined for

each member of the Identified Staff (the "Target LTI"), which represents the amount of the Long-Term Incentive in the event that

100% of the pre-established objectives are achieved, and based on:

i.financial and non-financial metrics or indicators with multi-year objectives established at the time of their the initial award,

that take into account the strategy defined by the Group and the creation of long-term value (the "Long-Term Indicators");

ii.the corresponding achievement scales, according to the weighting attributed to each Long-Term Indicator.

The final amount of this incentive may be between 0 and 150% of the Target LTI.

The approved Long-Term Indicators for the calculation of the Identified Staff's 2025 LTI are as follows:

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TABLE 86. LONG-TERM INDICATORS 2025 (TARGETS FOR 2028) - LTI

	Weight
Tangible Book Value (TBV) per share	40%
Relative Total Shareholder Return (TSR)	40%
Decarbonisation of the portfolio	15%
Percentage of women in management positions	5%

The sum of the STI and LTI amounts awarded constitutes the Annual Variable Remuneration or AVR for the year for each member

of the Identified Staff.

The Annual Variable Remuneration of the members of the identified staff will be subject to the following consolidation and

payment rules:

–Once the Annual Variable Remuneration has been awarded, in the financial year following the one to which it corresponds,

a percentage of the Identified Staff's Annual Variable Remuneration (not exceeding 40% for executive directors,

members of BBVA's Senior Management and those members of the Identified Staff with particularly high variable

remuneration amounts, and no more than 60% for the rest of the Identified Staff) will be vested and paid, if the conditions

are met, normally in the first quarter of the financial year following the year to which the Annual Variable Remuneration

corresponds (the "Upfront Portion" of the Annual Variable Remuneration). The Upfront Portion will be comprised

exclusively of a percentage of the Short-Term Incentive.

–The remaining portion - and at least 60% for executive directors, members of BBVA's Senior Management and those

members of the Identified Staff with particularly high variable remuneration amounts, and at least 40% for the rest of the

Identified Staff - will be deferred for a period of 4 years (the "Deferred Portion" of the Annual Variable Remuneration or the

"Deferred Annual Variable Remuneration"). Notwithstanding the foregoing, for executive directors and members of

BBVA's senior management the deferral period will be 5 years. In both cases, the Deferred Portion will be paid, if the

conditions are met, after the expiration of each of the deferral years and will not be paid more promptly than on a pro rata

basis.

Within such deferral period, the portion of the Annual Variable Remuneration corresponding to the Long-Term Incentive

will only begin to be paid after the expiration of the target measurement period of the Long-Term Indicators, the result of

which is conditional on the determination of its final amount. Thus, this incentive will be part of the Deferred Annual

Variable Remuneration of each member of the Identified Staff.

In accordance with the provisions of the BBVA Group General Remuneration Policy, exceptions to the deferral rules may

be applied in the cases stipulated in applicable regulations.

–Both the Upfront Portion and the Deferred Portion of the Annual Variable Remuneration of each member of the Identified

Staff will be paid 50% in cash and 50% in BBVA shares or in instruments linked to BBVA shares. For executive directors

and members of BBVA's Senior Management, the Deferred Portion of their Annual Variable Remuneration paid in BBVA

shares and/or in instruments linked to BBVA shares will be higher.

In accordance with the foregoing, a portion of the Deferred Annual Variable Remuneration in shares may be delivered in

the form of options on BBVA shares.

In accordance with the provisions of the BBVA Group General Remuneration Policy, exceptions relating to the payment in

shares or instruments linked to shares may be applied in the cases stipulated in applicable regulations.

–The shares or instruments received as Annual Variable Remuneration will be unavailable at least for one year from the

date of delivery. The foregoing shall not apply to the shares to be disposed of, as the case may be, to meet the tax

obligations arising from the delivery of the shares.

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–To ensure that the Annual Variable Remuneration relates to the performance of the Group's risks, the Deferred Portion

will be subject to possible ex post risk adjustments, such that it will not vest or may be reduced, if certain capital and

liquidity thresholds are not met.

This ensures that payment is only made if it is sustainable based on the Bank's ability to pay, based on its capital and

liquidity position at any given time.

–Furthermore, up to 100% of the Annual Variable Remuneration of each member of the Identified Staff corresponding to

each financial year, both in cash and in shares or instruments, shall be subject to clauses of reduction of the variable

remuneration (malus) and recovery of the variable remuneration already satisfied (clawback), both linked to a deficient

financial performance of the Bank as a whole or of a specific division or area or of the exposures generated by a member

of the Identified Staff, when such deficient financial performance is derived from any of the following circumstances:

a)Misconduct, fraud or serious infringement  of the Code of Conduct and other applicable internal regulations by an

Identified Staff member.

b)Regulatory sanctions or judicial convictions due to events that could be attributable to a specific unit or to personnel

responsible for such events.

c)Significant failure of risk management committed by the Bank or by a business or risk control unit, to which the wilful

misconduct or gross negligence of an Identified Staff member was a contributing factor.

d)Restatement of the Bank’s annual financial statements, except where such restatement is due to a change in

applicable accounting legislation.

For this purpose the Bank shall compare the performance assessment carried out for the Identified Staff member with

the ex post behaviour of some of the criteria that contributed to achieve the targets.

Both the malus and clawback clauses shall apply to both the cash portion and the share or instrument portion of the

Annual Variable Remuneration corresponding to the year in which the event giving rise to the application of the clause

occurred, and shall be in force during the period of deferral and unavailability of the shares or instruments applicable to

such Annual Variable Remuneration.

However, in the event that the above circumstances result in a dismissal or termination due to a serious and culpable

breach of duties of the member of the Identified Staff, the reduction mechanisms may be applied to the whole of the

Deferred Annual Variable Remuneration of previous years pending payment at the date on which the decision of

dismissal or termination is adopted, depending on the damage caused.

Moreover, if the above circumstances, regardless of the financial impact caused, create a relevant reputational damage

to the Bank, the malus and clawback arrangements may also apply to the Annual Variable Remuneration, including the

amounts deferred from previous financial years, whose payment corresponds to or has taken place in the financial year

in which the damage is revealed.

In any case, the Annual Variable Remuneration will only vest or be paid if it is sustainable according to the Group's

situation as a whole, and justified based on the results of the Bank, the business unit and the Identified Staff member

concerned.

In addition to the foregoing, the malus and clawback mechanisms shall apply to the variable remuneration received by

members of BBVA's Senior Management when the Bank is required to restate the accounting to correct an error that

would have resulted in the award and/or payment of variable remuneration that was erroneously calculated, if the

clawback of such remuneration is required under the policy adopted by the Bank in compliance with the standard

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approved by the New York Stock Exchange pursuant to Section 10D of the Securities Exchange Act of 1934 (the “Dodd-

Frank Recoupment Policy”).

In this case, the reduction and recovery mechanisms will apply to any erroneously calculated variable remuneration

received by the members of BBVA's Senior Management to whom the Dodd-Frank Recoupment Policy applies during

any of the three financial years immediately prior to the date on which the Bank is required to make the aforementioned

accounting restatement.

–The cash amounts of the Deferred Portion of the Annual Variable Remuneration finally vested shall be subject to

restatement, applying the consumer price index (CPI) measured as a year-on-year change in prices or any other criteria

established by the Board of Directors for the same purpose.

–Identified Staff members may not use personal hedging strategies or insurance related to Annual Variable Remuneration

and liability that undermine the effects of alignment with prudent risk management.

–In the event of termination of the contractual relationship of a member of the Identified Staff prior to the award of the

Annual Variable Remuneration, such member shall be entitled to receive, if the conditions for such termination are met,

the proportional part of such remuneration (comprising both the Short-Term Incentive and the Long-Term Incentive),

calculated pro rata to the time of rendering services in such year and being subject, in any case, to the same rules of

accrual, award, vesting and payment that would be applicable if the member of the Identified Staff had remained in active

service, in accordance with the rules described above. The above will not be applicable to cases where the termination of

the contractual relationship is due to a voluntary resignation or lawful dismissal, in which cases the employee shall not be

eligible for Annual Variable Remuneration.

In any case, the payments, both in cash and in shares or instruments, to be made to the members of the Identified Staff

corresponding to the deferred amounts of the Annual Variable Remuneration for financial years prior to that in which the

termination of their contractual relationship takes place, shall continue to be subject to the vesting and payment rules

(including deferral periods and potential ex post adjustments) provided in the remuneration policies applicable in the

financial year to which they correspond, in such a way that the termination of the contractual relationship shall not

constitute a condition for the prepayment of such remuneration.

–In the event that the members of the Identified Staff were entitled to receive any other remuneration item, other than the

Annual Variable Remuneration, which would be considered as variable remuneration, such variable remuneration shall be

subject to the rules of accrual, award, vesting and payment that are applicable in accordance with the configuration of the

remuneration item itself and with its nature and, in any case, the requirements of the applicable regulations at any time

shall be complied with.

–In particular, the retention bonuses to which members of the Identified Staff may contractually have the right, will be

considered variable remuneration and subject to the conditions established for them under the applicable regulations.

Thus, they will comply with the requirements regarding payment in shares or instruments, deferral and withholding rules,

ex post adjustments for risk and application of malus and clawback clauses established for Annual Variable Remuneration

in the Policy and, in the same way as Annual Variable Remuneration, they will count as variable remuneration for the

purposes of calculating the ratio between fixed and variable remuneration. In any case, the retention bonuses must be

duly justified and will be awarded once the retention periods have expired.

–In addition, BBVA's Directors' Remuneration Policy includes additional restrictions on the transferability of shares derived

from the settlement of the Annual Variable Remuneration of executive directors. Specifically, it establishes that once the

BBVA shares or instruments linked to BBVA shares have been received, they may not be transferred until a period of at

least three years has elapsed, except in the case in which the director in question maintains, at the time of the transfer, a

net economic exposure to the variation in the price of the shares for a market value equivalent to an amount of at least

twice his Annual Fixed Remuneration through the ownership of shares, options or other financial instruments. The

foregoing shall not apply to shares that the director needs to dispose of in order to meet the costs related to their

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acquisition or, subject to the favorable opinion of the Remuneration Committee, to meet extraordinary situations that

may arise.

–Moreover, in accordance with the provisions of BBVA Group General Remuneration Policy and in line with applicable

regulations, payments to members of the Identified Staff due to early termination of a contract will be based on the

results obtained over time. In no case shall bad results or inappropriate conduct be rewarded, and payments may not be

awarded in cases where there have been clear and serious infringements that justify the immediate termination of the

contract or the dismissal of the Identified Staff member. With regard to BBVA directors, the Bank has no commitments to

make severance payments.

As regards the pension policy, this shall remain compatible at all times with the Group's long-term business strategy, objectives,

values and interests. To this end, BBVA has a pension system which is arranged on the basis of geographic areas and coverage

offered to different groups of employees. These groups have been formed according to parameters that, among others, include,

origin (meaning the Entity of the Group in which the employees initiated the employment relationship); date of entry; and the level

or category of responsibility within the organization.

In general, BBVA's pension schemes to cover the retirement contingency are defined-contribution. Contributions to the Group's

employee pension schemes are made within the framework of relevant labour law and individual or group agreements applicable

to each Group Entity, sector or geographic area.

The scope of the system (cover for retirement, death and disability) for each group is defined in consideration of the three factors

mentioned above.

The basis for the calculation of the benefits described (commitments for retirement, death and disability) are established using

fixed annual amounts; there are no temporary fluctuations derived from variable components or Individual results.

However, in accordance with Bank of Spain Circular 2/2016, 15% of the annual contributions covering the retirement contingency

of the members of Senior Management of BBVA shall be considered "discretionary pension benefits" and therefore shall depend

on variable components and be subject to the conditions established for these instruments in the aforementioned Circular.

To comply with the above, the annual amount of the "discretionary pension benefits" will be determined by reference to the result

of the Annual Variable Remuneration awarded in each financial year and the following rules will apply:

–They shall form part of the total amount of variable remuneration for the purposes of the maximum limit between fixed

and variable remuneration;

–They shall be paid in full in BBVA shares;

–They shall be subject to a five-year withholding period from the date on which the beneficiary ceases to render services to

the Bank for any reason; and

–During the aforementioned five-year withholding period, the Bank may apply, if the corresponding conditions are met, the

malus and clawback arrangements applicable to Annual Variable Remuneration.

More detailed information on the implementation of the pension obligations for executive directors and other members of senior

management in the 2025 financial year can be found in Note 54 of the Annual Report of the BBVA Group's Consolidated Financial

Statements for the 2025 financial year, available on the Bank's corporate website (www.bbva.com).

The detailed description of the remuneration system applicable to BBVA directors in 2025 is included in the BBVA Directors'

Remuneration Policy, approved by BBVA´s General Shareholders ' Meeting held on March 17, 2023 for the financial years 2023,

2024, 2025 and 2026, and its implementation during the year is included in the BBVA Annual Report on Directors' Remuneration

for the 2025 financial year, both documents being available on the Bank's corporate website (www.bbva.com).

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As set out in those documents, in the case of the non-executive directors, they do not receive variable remuneration; they receive a

fixed annual amount in cash by virtue of their membership of the Board and, where applicable, of the various committees, as well

as for the performance of any other functions or responsibilities that may be attributed to them in the framework of the Bank's

Corporate Governance System. The amount of annual fixed allowance for each of the above positions or functions is set by the

Board of Directors, at the proposal of the Remuneration Committee, depending on the nature of the assigned functions and the

dedication and responsibility required from each role.

In addition, the BBVA non-executive directors have a fixed remuneration system with deferred delivery of BBVA shares, which has

been approved by BBVA General Shareholders' Meeting. This remuneration system comprises the annual allocation to non-

executive directors of a number of theoretical shares of the Bank, which are to be effectively delivered on the date of their removal

as directors for any reason except for a serious breach of their duties.

The annual number of theoretical shares allocated to each non-executive director shall be equivalent to 20% of their annual fixed

allowance in cash received by each in the previous financial year, according to the average closing prices of the BBVA share during

the 60 trading sessions prior to the General Shareholders' Meetings approving the corresponding financial statements for each

financial year.

The shares delivered by BBVA to directors and employees as part of variable remuneration or other remuneration systems form

part of its treasury stock, so their delivery does not entail any dilution for shareholders.

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5.4.Information on the connection between the remuneration of the

Identified Staff and the Group's performance

Article 450 (1) b) CRR

EU REMA b), e), i)

As explained in the preceding sections, the BBVA Group's General Remuneration Policy provides for members of the Identified

Staff to receive an Annual Variable Remuneration, comprising a Short-Term Incentive and a Long-Term Incentive, the accrual of

which is subject to ex ante adjustments and the amount of which is calculated on the basis of the fulfillment of certain objectives

established for both the Annual and Long-Term Indicators, which serve, respectively, to calculate both incentives in accordance

with the scales of achievement and weightings associated with each one of them. In this way, the amount of Annual Variable

Remuneration received by the members of the Identified Staff is directly linked to the results of the BBVA Group and varies

according to them.

In 2025, the amount of the Short-Term Incentive of the members of the Identified Staff, with the exception of the executive

directors, has taken into account, in addition to the degree of achievement of the strategic objectives set at the Group level,  the

degree of achievement of the strategic objectives at the area level and those of each individual. Accordingly, the Group, area and

individual Annual Indicators used to calculate the Short-Term Incentive have a respective associated weighting, which, in each

case, is established according to the degree to which the function is linked to the objectives of the Group, area and the individual,

respectively.

The level of achievement of the Group's financial and non-financial Annual Indicators for incentive purposes is detailed below:

TABLE 87. ANNUAL INDICATORS (BBVA GROUP) - LEVEL OF ACHIEVEMENT

	2025				2024
Annual indicator	Weight (1)	Goal	Result (2)	Level of attainment	Weight (1)	Goal	Result (2)	Level of attainment
RORC	35%	19.36%	21.13%	123%	20%	19.34%	20.98%	142%
Net attributable profit	15%	9,46 mill. €	10,511 mill. €	122%	20%	8,957 mill. €	10,054 mill. €	150%
Enterprise fee income	10%	2,350 mill. €	2,577 mill. €	110%	n/a	n/a	n/a	n/a
Net Promoted Score (NPS) (3)	15%	100	91	91%	15%	100	102	102%
Target customers (3)	15%	100	112	112%	15%	100	97	97%
Sustainable business channeling	10%	114,740 mill. €	133,778 mill. €	122%	10%	76,349 mill. €	92,737 mill.€	136%
(1) Weights set for the annual variable remuneration associated with the corporate model for the 2024 and 2025 financial years for BBVA Group staff, including executive directors.
(2) Results for incentive purposes.
(3) For the NPS and Target customers indicators, targets are at country level. The Group's achievement for these indicators is calculated as the average weighted by the net margin of the achievements obtained by the countries.

In 2025 the BBVA Group reached a RORC of 21.13% (compared to 20.98% the previous year), driven by the higher Net

Attributable Profit in 2025. Likewise, the BBVA Group has accrued a  Net Attributable  Profit of €10,511 million, which compares

very positively with the figure of €10,054 million of last year  (+4.5%). This has been specially driven by the good performance of

the recurrent income (interest margin  and fees) of the banking business. This same figure has been taken for incentive purposes.

Similarly, the new indicator of Enterprises Fee Income, which measures fee income generated by the Corporate & Investment

Banking (CIB) and Enterprises and Institutional Banking (BEI) areas, with the aim of boosting business activity with enterprises,

fostering its growth and greater product diversification, has achieved a result of €2,577 million, which is above the established

target.

Likewise, in 2025, the Bank has channeled sustainable business for a total of €133,778 million in the environmental —which

includes climate and natural capital—and social areas, which also places the result of the Channeling of sustainable business

indicator above the established target.

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Meanwhile, the result of the Net Promoter Score (NPS) indicator closed the year slightly below the established target in the

different segments, notwithstanding the particularly good performance of Turkey and Colombia and, additionally, of the SME

segment in Mexico, Peru and Uruguay.

Finally, the Target Customers  indicator’s performance was particularly positive in the business segments  and in countries such as

Spain, Turkey and Peru, resulting in achievement above the established target.

The outstanding performance of the Group in 2025 is even more substantial when considering that the targets set for this year

were not only very challenging  but also well above the projections of the analysts’ consensus when they were approved.

Thus, the Annual Variable Remuneration of the members of the Identified Staff is linked, among others, to the financial and non-

financial results of the Group all within the framework and in accordance with the rules of the remuneration system indicated in

section 5.3 of this report.

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5.5.Description of the criteria used to take into consideration

present and future risks in the remuneration processes

Article 450 (1) e) CRR

EU REMA c)

BBVA Group promotes the development of a risk culture at all levels in the organization through its Corporate Governance System.

Thus, BBVA's Corporate Bodies have provided the Group with a set of general policies and management and control basic

guidelines, that allow for integrated and consistent management and supervision across the Group, highlighting among these

guidelines the Risk Appetite Framework and the general policies on risk management by risk type.

The Remuneration Policies forms part of the elements designed by the Board of Directors, as part of the Corporate Governance

System, to promote adequate risk management and supervision in the BBVA Group. Among the principles inspiring it, is the

achievement of the results based on a prudent and responsible risk assumption.

Thus, in line with what has been set out in section 5.3 of this report, the remuneration policy applicable to executive directors, the

rest of members of BBVA Senior Management and the rest of the Identified Staff of BBVA and/or its Group features a number of

specific elements which make their remuneration take into account current and future risks for the Bank, promoting their prudent

and effective management, and not offering incentives to assume risks that exceed the level tolerated by the Institution or the

Group, consistently with the risk strategy and culture of the BBVA Group.

In particular, the Bank's Remuneration Policies establish:

–Balance between the fixed and variable components of total remuneration;

–Ex ante adjustments, compliance with which is verified prior to the accrual and award of the Annual Variable

Remuneration;

–Both Annual and Long-Term financial and non-financial indicators to evaluate the results, which take account both current

and future risks, and the strategic priorities defined by the Group;

–Consideration, in the measurement of performance, of financial and non-financial measures that value both the individual

management aspects and the objectives of the area and the Group;

–Greater weight assigned to the objectives related to specific functions in the measurement of the performance of the

members with control functions, and greater weight of the fixed remuneration over their total remuneration, in both

cases, to reinforce the independence and objectivity of these functions;

–Establishment of at least 50% of the Annual Variable Remuneration in BBVA shares or instruments linked to BBVA

shares;

–Deferral rules designed so that a substantial portion of the Annual Variable Remuneration (at least 60% in the case of

executive directors, other members of BBVA's Senior Management and members of the Identified Staff with particularly

high variable remuneration; and at least 40% in all other cases) is deferred over time, thus taking into account the

economic cycle and business risks.

–Inclusion of possible ex post adjustments for risk linked to the results of capital and liquidity indicators, so that if the

thresholds established for each of them are not met, the Deferred Portion of the Annual Variable Remuneration to be paid

each year may be reduced, even in full, thus guaranteeing that the payment is only made if it is sustainable in terms of the

Bank's payment capacity, based on its capital and liquidity situation at any given time.

–Mandatory retention periods for the shares or instruments derived from the Annual Variable Remuneration, so that the

beneficiaries cannot freely dispose of them, at least, until one year has passed from the date of delivery, except for those

shares that must be disposed of to meet the payment of tax obligations derived from their delivery.

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–Prohibition of carrying out personal hedging strategies or insurance related to the remuneration and liability;

–Limitation of the variable component of the remuneration for the year to 100% of the fixed component of the total

remuneration, unless the General Shareholders' Meeting of BBVA authorizes the application of a maximum ratio of 200%

for certain members of the Identified Staff, as explained in detail in section 5.7 of this report.

–Submission of the total Annual Variable Remuneration to malus and clawback clauses during the entire period of deferral

and unavailability, under the terms indicated in Section 5.3.

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5.6.Main parameters and the motivation of any component of

possible variable compensation plans and other non-cash advantages

Article 450 (1) f) CRR

EU REMA g)

The main parameters and motivation behind the components of the variable remuneration plans of the Identified Staff have been

set out in the previous sections of this report.

5.7.Ratios between fixed and variable remuneration of the Identified

Staff

Article 450 (1) d) CRR

EU REMA d)

As indicated in section 5.3 above, in the total remuneration of the Identified Staff, the fixed and variable components are duly

balanced in line with the provisions of the applicable regulations, with the fixed remuneration constituting a sufficiently high part of

the total remuneration and allowing a fully flexible policy with regard to the payment of the variable components, which may lead

to their reduction, if necessary, to their entire amount.

The theoretical relative proportion between the main fixed and variable components of the Identified Staff's remuneration is

established taking into account the type of functions performed by each beneficiary (business, support or control) and,

consequently, their impact on the risk profile, adapting in each case to the reality existing in the different Group Entities or

functions in which the members of the Identified Staff carry out their activity.

To this end, the Bank has defined target ratios or paymix between the main components of fixed and variable remuneration, which

take into account both the function performed by each member of the Identified Staff as well as their impact on the risk profile.

Regardless of the foregoing, the variable element of the Identified Staff's remuneration corresponding to a financial year

(understood as the sum of all remuneration of a variable nature) shall be limited to a maximum amount of 100% of the fixed

element (understood as the sum of all fixed remuneration) of the total remuneration, unless the General Shareholders' Meeting of

BBVA resolves to raise such percentage up to a maximum of 200%, all in accordance with the procedure and requirements

established in the applicable regulations.

In this regard, the General Shareholders’Meeting held on March 21, 2025 resolved to increase the maximum level of the variable

component of remuneration up to a maximum of 200% of the fixed component of total remuneration for certain members of the

Identified Staff, in the terms indicated in the report issued for this purpose by the Board of Directors dated February 11, 2025.

Thus, the BBVA’s Board of Directors submitted the following proposed resolution to the General Meeting:

"For the purposes of the provisions of Article 34.1 g) of Act 10/2014 of June 26 on the regulation, supervision and solvency of

credit institutions, to approve a maximum level of variable remuneration of up to 200% of the fixed component of total

remuneration for a group of employees whose professional activities have significant impact on the risk profile of Banco Bilbao

Vizcaya Argentaria, S.A. (the “Bank”) or its Group, enabling subsidiaries of to likewise apply said maximum level to their

professionals, pursuant to the Report issued in this regard by the Board of Directors of the Bank, on February 11, 2025, and

which has been made available to shareholders as of the date on which the General Meeting was convened.”

This resolution was approved by the BBVA General Shareholders' Meeting for a maximum of 309 Risk Takers, with a favourable

vote of 98.76% of the capital present or represented at said General Shareholders' Meeting.

The proposal submitted to the General Shareholders' Meeting included the detailed recommendation of the Board, explaining the

reasons and scope of the resolution proposed to the General Meeting, and included the number of persons affected, their

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positions, as well as the expected effect on maintaining a solid capital basis, taking into account the considerations established by

the competent authority as regards dividend distribution policies.

As reflected in the Board’s Report, the persons for whom approval of the higher level of remuneration for 2025 financial year was

requested performed one of the following functions:

–Members of the BBVA Board of Directors.

–Members of BBVA Senior Management.

–Members of the Identified Staff who perform their functions in the business areas of Spain, Mexico, Turkey, countries of

South America, and Corporate and Investment Banking (CIB).

–Identified Staff members who perform their functions in corporate support areas, working globally for the Group as a

whole, without being attached to a business area.

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5.8. Quantitative information on remuneration of the Identified Staff

Article 450 (1) g), h), i), k) (2) CRR

EU REMA i), j)

After year-end 2025, the Annual Variable Remuneration corresponding to the members of the Identified Staff for said financial

year was calculated in accordance with the results obtained (described in Section 5.4 above).

In accordance with the vesting and payment system of the Annual Variable Remuneration for 2025 financial year applicable to

members of the Identified Staff:

–The Upfront Portion is vested and paid, as a general rule, in the first quarter of 2026 financial year, in a percentage not

exceeding 40% in the case of the executive directors, members of Senior Management of BBVA and those members of

the Identified Staff with particularly high variable remuneration amounts, and no more than 60% for the remaining

members of the Identified Staff. The Upfront Portion will be comprised exclusively of a percentage of the Short-Term

Incentive.

–The Deferred Portion, at least 60% for executive directors, members of BBVA's Senior Management and those members

of the Identified Staff with particularly high variable remuneration amounts, and at least 40% for the rest of the Identified

Staff, will be paid, if conditions are met, once each of the deferral years has elapsed and no more promptly than on a pro

rata basis. The deferral period will be 5 years for executive directors and members of the Senior Management and 4 years

for the rest of the Identified Staff.

Within such deferral period, the portion of the Annual Variable Remuneration corresponding to the Long-Term Incentive

will only begin to be paid after the expiration of the target measurement period of the Long-Term Indicators, the result of

which is conditional on the determination of its final amount. Thus, this incentive will be part of the Deferred Annual

Variable Remuneration of each member of the Identified Staff.

–Both the Upfront Portion and the Deferred Portion of the Annual Variable Remuneration of each member of the Identified

Staff will be paid 50% in cash and 50% in BBVA shares and/or in instruments linked to BBVA shares. For executive

directors and members of BBVA's Senior Management, the Deferred Portion will be paid 40% in cash and 60% in BBVA

shares and/or in instruments linked to BBVA shares.

In accordance with the foregoing, a portion of the Deferred Annual Variable Remuneration in shares  for 2025 financial

year will be paid in the form of options on BBVA shares.

In accordance with the BBVA Group General Remuneration Policy and in application of the provisions of article 34.2 b) of Law

10/2014 (transposing article 94. 3 b) of Directive 2013/36/EU into Spanish law), to a total of 20 members of the Identified Staff,

whose annual variable remuneration for financial year 2025 has not exceeded 50,000 euros and has not represented more than

one third of their total annual remuneration, has benefited from the exception provided in this regulation. Thus, the requirements

of deferral and payment in shares and/or share-linked instruments provided for in sections m) and l) of article 34.1 of Law

10/2014) will not apply to the Annual Variable Remuneration for the 2025 financial year of this group of employees.

Notwithstanding the foregoing, the Long-Term Incentive for 2025 shall not be consolidated or paid until the amount thereof is

determined in view of the result of the Long-Term Indicators approved for its calculation (at year-end 2028).

The total aggregate remuneration received by these employees in 2025 is 3,147 thousand of euros, of which 2,539 thousand of

euros is fixed remuneration and 608 thousand of euros is variable remuneration.

All of the above gives rise to the amounts presented in the following table, broken down by types of employees:

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TABLE 88. EU REM1 - REMUNERATION AWARDED FOR THE FINANCIAL YEAR (THOUSAND EUROS)

		MB Supervisory function (1)	MB Management function (1)	Other senior management (1)	Other identified staff (1)
Fixed remuneration	Number of identified staff	13	2	16	345
	Total fixed remuneration(2)	5,113	6,657	21,684	153,170
	Of which: cash-based	4,193	6,397	21,044	148,829
	(Not applicable in the EU)
	Of which: shares or equivalent ownership interests	—	—	—	—
	Of which: share-linked instruments or equivalent non-cash instruments	—	—	—	—
	Of which: other instruments(3)	817	—	—	—
	(Not applicable in the EU)
	Of which: other forms	103	260	640	4,341
	(Not applicable in the EU)
Variable remuneration	Number of identified staff	—	2	16	338
	Total variable remuneration(4)	—	8,039	13,087	88,402
	Of which: cash-based	—	3,472	5,388	48,939
	Of which: deferred	—	2,037	3,128	19,173
	Of which: shares or equivalent ownership interests(5)	—	4,132	6,414	35,772
	Of which: deferred	—	2,697	4,153	16,324
	Of which: share-linked instruments or equivalent non-cash instruments	—	359	538	3,655
	Of which: deferred	—	359	538	2,748
	Of which: other instruments	—	—	—	—
	Of which: deferred	—	—	—	—
	Of which: other forms(6)	—	76	747	36
	Of which: deferred	—	76	747	36
Total remuneration (2 + 10)		5,113	14,696	34,771	241,572
(*) The data included in the template represents the best information available as of the date of publication of the report.
(1) Includes the remunerations of the directors who have been directors during the year, of the members of Senior Management who had such status on December 31, 2025, and of the rest of the Identified Staff who had such status during the year. The information on the remuneration and other benefits to the Board of Directors and members of the Bank's Senior Management is detailed in Note 54 of the report of the Consolidated Annual Accounts of the BBVA Group corresponding to the financial year 2025.
(2) Fixed remuneration for fiscal year 2025, both in cash and in kind. In the case of executive directors and Senior Management, the contributions made by the Bank in 2025 in relation to the pension commitments assumed in matters of social welfare are included in Note 54 of the report of the Consolidated Annual Accounts of the BBVA Group corresponding to the financial year 2025.
(3) In the case of non-executive directors, they have a fixed remuneration system with deferred delivery of BBVA shares after dismissal, as long as it is not due to serious breach of duties, approved by the General Meeting. The number of theoretical shares assigned to each non-executive director in 2025 is equivalent to 20% of the annual fixed cash allocation received in 2023 by each of them, according to the average of the closing prices of the BBVA share during the 60 trading sessions prior to the General Meeting of March 21, 2025, which was 11,44575 euros per share.
(4) Total variable remuneration corresponding to the year 2025, which includes both the Annual Variable Remuneration and, for the purposes of this report, other payments considered variable in accordance with the applicable regulations. For the initial determination of the 2025 Annual Variable Remuneration, and for the purposes of applying the deferral rules, the Short- Term Incentive generated and the Long-Term Incentive in the maximum level of achievement scenario (150% of the Target Long-Term Incentive) have been considered. However, the final amount of the 2025 Annual Variable Remuneration will depend on the result of the long-term indicators which, at the end of 2028, may be within an achievement range of between 0% and 150%. In addition, the 2025 Deferred Annual Variable Remuneration is subject to ex post risk adjustments, related to the Risk Appetite Framework, which may imply the reduction, up to its entirety, of the deferred part whose consolidation and payment corresponds in each year, in the event that certain capital and liquidity thresholds are not reached.
(5) The total variable remuneration in shares of the Identified Group awarded with respect to fiscal year 2025 represents 0.04% of BBVA's share capital.
(6) In accordance with the provisions of the Guidelines on the remuneration comparison exercise, gender pay gap and higher ratios authorized under Directive 2013/36/EU (EBA/ GL/2022/06), adopted as its own by the Bank of Spain on December 21, 2022, the “Discretionary pension benefits” are included (15% of the agreed annual contribution to cover the retirement contingency) corresponding to the 2025 financial year of the President and the members of Senior Management.

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TABLE 89. EU REM2 - SPECIAL PAYMENTS  TO STAFF WHOSE PROFESSIONAL ACTIVITIES HAVE A MATERIAL

IMPACT ON INSTITUTIONS’ RISK PROFILE (IDENTIFIED STAFF) (THOUSAND EUROS)

	MB Supervisory function	MB Management function	Other Senior Management	Other Identified Staff
Guaranteed variable remuneration awards
Guaranteed variable remuneration awards - Number of identified staff	—	—	—	2
Guaranteed variable remuneration awards - Total amount	—	—	—	223
Of which: guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap	—	—	—	164
Severance payments awarded in previous periods, that have been paid out during the financial year
Severance payments awarded in previous periods, that have been paid out during the financial year - Number of identified staff	—	—	—	19
Severance payments awarded in previous periods, that have been paid out during the financial year - Total amount	—	—	—	652
Severance payments awarded during the financial year
Severance payments awarded during the financial year - Number of identified staff	—	—	1	13
Severance payments awarded during the financial year - Total amount(1)	—	—	1,908	6,965
Of which: paid during the financial year	—	—	1,908	6,254
Of which: deferred	—	—	—	711
Of which: severance payments paid during the financial year, that are not taken into account in the bonus cap	—	—	1,908	5,766
Of which: highest payment that has been awarded to a single person	—	—	1,908	1,647
(*) The data included in the template represents the best information available as of the date of publication of the report.
(1) The amount of the statutory severance payment in accordance with labor regulations is included, as well as, where applicable, the additional amount to said legal severance payment.
Additionally, non-competition agreements have been signed with some beneficiaries for a total amount of 6,868 thousand euros, which will be paid periodically from the moment of departure of the member of the Identified Staff, during the non-competition period.

In addition, in accordance with Rule 40.1 of Circular 2/2016 of the Bank of Spain, it is stated that of the 14 cases of payments for

early termination of contract, 6 of them have exceeded two annuities of the fixed remuneration.

Payments were also made in 2025 for amounts deferred from previous years whose payment corresponded in said financial year.

The following table shows the amounts of deferred remuneration from previous years awarded in 2025, distinguishing between the

amounts of such remuneration that have been paid in the year and the amounts that, as of December 31, 2025 remain deferred.

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TABLE 90. EU REM3 - DEFERRED REMUNERATION (THOUSAND EUROS)

Deferred and retained remuneration(1)	Total amount of  deferred remuneration awarded for previous performance periods	Of which due to vest in the financial year(2)	Of which vesting in subsequent financial years	Amount of performance adjustment made in the financial year to deferred remuneration  that was due to vest in the financial year	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years	Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e.changes of value of deferred remuneration due to the changes of prices of instruments)	Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year	Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods
MB Supervisory function (3)	63	63	—	—	—	60	123	98
Cash-based	25	25	—	—	—	—	25	—
Shares or equivalent ownership interests	38	38	—	—	—	60	98	98
Share-linked instruments or equivalent non-cash instruments	—	—	—	—	—	—	—	—
Other instruments	—	—	—	—	—	—	—	—
Other forms(4)	—	—	—	—	—	—	—	—
MB Management function(5)	18,329	3,545	14,784	—	—	2,464	6,009	4,591
Cash-based	7,141	1,418	5,723	—	—	—	1,418	—
Shares or equivalent ownership interests	9,928	2,127	7,801	—	—	2,464	4,591	4,591
Share-linked instruments or equivalent non-cash instruments	784	—	784	—	—	—	—	—
Other instruments	—	—	—	—	—	—	—	—
Other forms(4)	476	—	476	—	—	—	—	—
Other senior management(5)	25,196	4,100	21,096	—	—	2,752	6,852	5,209
Cash-based	9,028	1,643	7,385	—	—	—	1,643	—
Shares or equivalent ownership interests	12,513	2,457	10,056	—	—	2,752	5,209	5,209
Share-linked instruments or equivalent non-cash instruments	1,040	—	1,040	—	—	—	—	—
Other instruments	—	—	—	—	—	—	—	—
Other forms(4)	2,615	—	2,615	—	—	—	—	—
Other identified staff	93,352	18,642	74,710	—	—	9,985	28,627	19,553
Cash-based	45,384	9,074	36,310	—	—	—	9,074	—
Shares or equivalent ownership interests	41,872	9,278	32,594	—	—	9,673	18,951	18,951
Share-linked instruments or equivalent non-cash instruments	5,599	290	5,309	—	—	312	602	602
Other instruments	—	—	—	—	—	—	—	—
Other forms(4)	497	—	497	—	—	—	—	—
Total amount	136,940	26,350	110,590	—	—	15,261	41,611	29,451
(*) The data included in the template represents the best information available as of the date of publication of the report.
(1) The deferred remuneration awarded with respect to previous results periods already reported at the time of its awarding is included, in compliance with the provisions of the Guidelines on the remuneration comparison exercise, gender pay gap and higher ratios authorized under Directive 2013/36/EU (EBA/GL/2022/06), adopted as its own by the Bank of Spain on December 21, 2022.
(2) Additionally, the update has been paid in accordance with the interannual CPI of the cash part of the deferred remuneration awarded with respect to previous periods of results that has been consolidated in fiscal year 2025. These amounts are the following: 5 thousand euros for a non-executive director, 132 thousand euros for executive directors, 144 thousand euros for the rest of the members of Senior Management and 663 thousand euros for the rest of the Identified Staff.
(3) The deferred variable remuneration generated in 2019 by a non-executive director in her previous capacity as a BBVA director is included.
(4) In accordance with the provisions of the Guidelines on the exercise of remuneration comparison, gender pay gap and higher ratios authorized under Directive 2013/36/EU (EBA/GL/2022/06), adopted as its own by the Bank of Spain on December 21, 2022, the “Discretionary pension benefits” are included (15% of the agreed annual contribution to cover the contingency of retirement) corresponding to the 5 years prior to 2025 of the Chair and members of Senior Management.
(5) The corresponding remunerations of the executive directors and other members of Senior Management who had such status on December 31, 2025 are included. The information on the remuneration and other benefits to the Board of Directors and members of the Bank's Senior Management is detailed in Note 54 of the report to the BBVA Group's Consolidated Annual Accounts for the year 2025.

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The number of employees receiving remuneration of €1 million or more is as follows:

TABLE 91. EU REM4 - REMUNERATION OF €1 MILLION OR MORE PER YEAR

EUR	Identified staff that are high earners as set out in Article 450(i) CRR
1,000,000 to below 1,500,000	51
1,500,000 to below 2,000,000	16
2,000,000 to below 2,500,000	6
2,500,000 to below 3,000,000	5
3,000,000 to below 3,500,000	2
3,500,000 to below 4,000,000	1
4,000,000 to below 4,500,000	—
4,500,000 to below 5,000,000	1
5,000,000 to below 6,000,000	—
6,000,000 to below 7,000,000	1
7,000,000 to below 8,000,000	1
8,000,000 to below 9,000,000	—
(*) The data included in the template represents the best information available as of the date of publication of the report.
(**) Includes the sum of the fixed remuneration for the year 2025 and the total variable remuneration corresponding to 2025. Total variable remuneration corresponding to the year 2025, which includes both the Annual Variable Remuneration and, for the purposes of this report, other payments considered variable in accordance with the applicable regulations. For the initial determination of the 2025 Annual Variable Remuneration, and for the purposes of applying the deferral rules, the Short-Term Incentive generated and the Long-Term Incentive in the maximum level of achievement scenario (150% of the Target Long-Term Incentive) have been considered. However, the final amount of the 2025 Annual Variable Remuneration will depend on the result of the long-term indicators which, at the end of 2028, may be within an achievement range of between 0% and 150%. In addition, the 2025 Deferred Annual Variable Remuneration is subject to ex post risk adjustments, related to the Risk Appetite Framework, which may imply the reduction, up to its entirety, of the deferred part whose consolidation and payment corresponds in each year, in the event that certain capital and liquidity thresholds are not reached.

The table below gives the total remuneration of the Identified Staff for the year 2025, broken down by area of activity:

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TABLE 92. EU REM5 - INFORMATION ON REMUNERATION OF STAFF WHOSE PROFESSIONAL ACTIVITIES HAVE A MATERIAL IMPACT ON INSTITUTIONS’ RISK PROFILE

(IDENTIFIED STAFF) (THOUSAND EUROS)

	Management body remuneration			Business areas						Total
	MB Supervisory function	MB Management function	Total MB	Investment banking(1)	Retail banking(2)	Asset management(3)	Corporate functions(4)	Independent internal control functions(5)	All other(6)
Total number of identified staff										376
Of which: members of the MB(7)	13	2	15
Of which: other senior management(7)				1	5	—	7	3	—
Of which: other identified staff(7)				56	76	17	103	93	—
Total remuneration of identified staff(8)	5,113	14,696	19,809	57,756	75,761	15,871	78,826	48,133	—
Of which: variable remuneration	—	8,039	8,039	24,893	28,371	8,523	25,472	14,233	—
Of which: fixed remuneration	5,113	6,657	11,770	32,863	47,390	7,348	53,354	33,900	—
(*) The data included in the template represents the best information available as of the date of publication of the report.
(1) Includes trading activities and other Investment Banking activities.
(2) Includes Retail, Business, Corporate and Insurance Banking activities.
(3) Includes Asset Management and Private Banking activities.
(4) Includes the support areas for the BBVA Group and the business support areas (Finance, Legal, Human Resources, etc.).
(5) Includes Risk Management, Internal Audit and Regulatory Compliance activities.
(6) Rest of activities not included in the previous categories.
(7) The information corresponding to the directors who have been directors during the year, the members of Senior Management who had such status on December 31, 2025, and the rest of the Identified Staff who have had such status during the year is included. The information on the remuneration and other benefits to the Board of Directors and members of Senior Management is detailed in Note 54 of the report of the Consolidated Annual Accounts of the BBVA Group corresponding to the financial year 2025.
(8) Includes the sum of the fixed remuneration corresponding to the 2025 financial year and the total variable remuneration corresponding to 2025, which includes both the Annual Variable Remuneration and, for the purposes of this report, other payments considered variable in accordance with the applicable regulations. For the initial determination of the 2025 Annual Variable Remuneration, and for the purposes of applying the deferral rules, the Short-Term Incentive generated and the Long-Term Incentive in the maximum level of achievement scenario (150% of the Target Long-Term Incentive) have been considered. However, the final amount of the 2025 Annual Variable Remuneration will depend on the result of the long-term indicators which, at the end of 2028, may be within an achievement range of between 0% and 150%. In addition, the 2025 Deferred Annual Variable Remuneration is subject to ex post risk adjustments, related to the Risk Appetite Framework, which may imply the reduction, up to its entirety, of the deferred part whose consolidation and payment corresponds in each year, in the event that certain capital and liquidity thresholds are not reached.

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6.Information on the Corporate

Governance System

6.1.Members of the Board of Directors of BBVA	299
6.2.Selection, suitability and diversity policy	305
6.3.Committees of the Board of Directors	307
6.4.Information flow on risk	309

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BBVA has a corporate governance system that is constantly evolving to adapt to the Bank’s strategy and to its particular

circumstances and needs, in line with the corporate culture and values that define BBVA’s identity.

This system is geared toward promoting BBVA’s objectives and long-term interests and has taken shape on the basis of the

following pillars:

1.An appropriate composition of the corporate bodies

2.A clear distribution of functions and interaction among them and senior management

3.A sound decision-making process and a robust informational model

4.A comprehensive monitoring, oversight and control system

5.A parent-subsidiary relationship model that allows for a coherent and  well-integrated internal governance at Group level.

The information regarding Entity’s corporate governance, contained in this Report, is complemented by the 2025 Annual

Corporate Governance Report which forms part of the Management Report by reference, and which has been submitted by the

Board to the Annual General Shareholders’ Meeting on 2026, as well as the BBVA Board of Directors selection, suitability and

diversity policy; which are all of them available on the BBVA corporate website (www.bbva.com), in the “Shareholders and

Investors” – “Corporate Governance and Remuneration Policy” section.

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6.1.Members of the Board of Directors of BBVA

Article 435 (2) a), b) CRR

EU OVB a), b)

Below is the composition of BBVA’s Board of Directors for the year ended December 31, 2025, along with information on their

professional profiles:

–Carlos Torres Vila has been Chair of the BBVA Board of Directors since December 2018 and he is also Chair of the

Executive Committee and the Technology and Cybersecurity Committee of the Board of Directors. He is also non-

executive director at the following entities of the BBVA Group: Grupo Financiero BBVA México, S.A. de C.V. and BBVA

México, S.A., Institución de Banca Múltiple, Grupo Financiero BBVA México. Previously, he was Chief Executive Officer of

BBVA from May 2015 to December 2018. He joined the BBVA Group in 2008 and has held various high-ranking roles since

then, which include Head of Digital Banking from March 2014 to May 2015 and Head of Strategy and Corporate

Development from January 2009 to March 2014. In addition, he previously held positions of responsibility in other

companies, such as Chief Financial Officer and Head of Corporate Strategy and member of the Executive Committee of

Endesa, as well as  elected partner at McKinsey & Company. He holds a degree in Electrical Engineering (BSc) and in

Business Administration from the Massachusetts Institute of Technology (MIT) and a degree in Law from the National

Distance Education University (UNED). He also completed a master’s degree in Management (MS) at the MIT Sloan

School of Management.

Count of positions in accordance with banking regulations* 1 executive position** (executive director of BBVA and non-executive director at BBVA Group entities**)

–Onur Genç has been Chief Executive Officer of BBVA since December 2018. Furthermore, he is non-executive director at

the following entities of the BBVA Group: Grupo Financiero BBVA México, S.A. de C.V. and BBVA México, S.A., Institución

de Banca Múltiple, Grupo Financiero BBVA México. He was President and CEO of BBVA USA and Country Manager of

BBVA in the United States between January 2017 and December 2018, Deputy CEO of Garanti BBVA between 2015 and

2017 and Executive Vice President of retail and private banking at Garanti BBVA between 2012 and 2015. He has also held

positions of responsibility in different McKinsey & Company offices, having previously been a Senior Partner and Manager

of its Turkish office. He holds a degree in Electrical Engineering (BSc) from the University of Bogaziçi in Turkey and a

master’s degree in Business Administration (MSIA/MBA) from Carnegie Mellon University in the USA.

Count of positions in accordance with banking regulations* 1 executive position** (executive director of BBVA and non-executive director at BBVA Group entities**)

–José Miguel Andrés Torrecillas has been independent director of BBVA since March 2015 and Deputy Chair of the Board

of Directors since April 2019. Additionally, he is Chair of the Audit Committee and the Appointments and Corporate

Governance Committee of the Board of Directors of BBVA. He has been an independent director at Obrascón Huarte Laín,

S.A. since 2025. His professional career is linked to Ernst & Young,  where he has held different positions of responsibility,

including partner (1987), Managing Partner of the Banking Group (1989-2004), General Managing Partner of Audit and

Advisory Services (2001-2004) and Chair of Ernst & Young Spain (2004-2014). He has been a member of various

organisations such as the ROAC (Official Registry of Auditors), the REA (Registry of Economic Auditors), the Governing

Board of the Spanish Institute of Financial Analysts, Empresa y Sociedad Foundation, Spanish Institute of Chartered

Accountants, Advisory Board of the Institute of Internal Auditors, and of the Institute of Chartered Accountants in England

& Wales (the ICAEW). He has also been a member of the Board of Directors of Zardoya Otis, S.A. from 2015 to 2022.He

holds a degree in Economic and Business Sciences from Complutense University of Madrid and completed post-graduate

studies in Management Programmes from IESE, Harvard and IMD.

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Count of positions in accordance with banking regulations* 2 non-executive positions (BBVA and Obrascón Huarte Laín, S.A.)

–Jaime Caruana Lacorte was appointed independent director of BBVA in March 2018. He was General Manager of the Bank

for International Settlements (BIS) between 2009 and 2017; between 2006 and 2009 he was Head of the Monetary and

Capital Markets Department and Financial Counsellor to the Managing Director of the International Monetary Fund (IMF);

between 2003 and 2006 he was Chair of the Basel Committee on Banking Supervision; and between 2000 and 2006 he

was Governor of the Bank of Spain and member of the Governing Council of the European Central Bank. He is a member

of the Group of 30 (G-30). He holds a degree in Telecommunications Engineering from the Escuela Técnica Superior de

Ingenieros de Telecomunicación (ETSIT) of the Universidad Politécnica de Madrid and he is a Commercial Technician and

State Economist.

Count of positions in accordance with banking regulations* 1 non-executive position (BBVA)

–Enrique Casanueva Nárdiz was appointed independent director of BBVA in March 2024. He has held various senior

positions at international financial institutions, most notably at J.P. Morgan, where he served as Chair and CEO of Spain

and Portugal and member of the EMEA Management Committee from 2006 to 2015; Head of Southern Europe, Nordic

Countries, Central and Eastern Europe, Ireland and Israel, and member of the EMEA Executive Committee from 2015 to

2017; as well as Senior Advisor and member of EMEA Advisory Council from 2019 to 2024. Previously, he was Managing

Director of Investment Banking Spain and Portugal at Banco Santander Investment between 1995 and 2000, and

executive director of the Investment Banking area of Goldman Sachs between 1991 and 1995.  He holds a degree in

Industrial Engineering from the Universidad Politécnica de Madrid and a Master’s degree in Business Administration

(MBA), specializing in finance and strategy, from the Massachusetts Institute of Technology (MIT).

Count of positions in accordance with banking regulations* 1 non-executive position (BBVA)

–Sonia Dulá was appointed independent director of BBVA in March 2023. She is a director of Huntsman Corporation,

Acciona, S.A. and Corporación Acciona Energías Renovables, S.A., as well as a life member of the Council on Foreign

Relations. She has sat on the boards of directors of different entities such as Bestinver, Grupo Prisa, Millicom,

Hemisphere Media, Council of the Americas, Women’s World Banking and The Adrienne Arsht Center for the Performing

Arts. She has also sat on the international advisory board of Banco Itaú (Brazil) and has been a member of the Young

Presidents Organization (YPO) and the Global Diversity and Inclusion Council of Bank of America. She has held positions

of responsibility at Bank of America Merrill Lynch, such as Head of Corporate and Investment Banking for Latin America

(2007–2010), Head of Wealth Management for Latin America (2010–2013) and Vice Chair Latin America (2013–2018).

She also spent part of her career at Goldman Sachs Group, as executive director and Vice President of Investment

Banking and Capital Markets between 1986 and 1995. She holds a BA in Economics from Harvard University (United

States) and an MBA in  Finance from Stanford Graduate School of Business (United States).

Count of positions in accordance with banking regulations* 3 non-executive positions (BBVA, Huntsman Corporation and companies of Acciona Group)

–Raúl Galamba de Oliveira has been independent director of BBVA since March 2020 and Lead Director since April 2022.

Moreover, he is Chair of the Risk and Compliance Committee of the Board of Directors of BBVA. He is independent Chair

of the Board of Directors of CTT – Correios de Portugal, S.A. and non-executive director at José de Mello Capital. His

career path has been mainly linked to the firm McKinsey & Company, where he was appointed partner in 1995 and Head

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of the global financial services practice in 2000. In this firm he has held other senior positions, including Managing Partner

of Spain and Portugal (2005-2011), Managing Partner of the Global Risk practice (2013-2016), member of the Global

Shareholders’ Council (2005-2011), member of the Global Partner Election and Evaluation Committees (2001-2017),

member of the Remuneration Committee (2005-2013) and Chair of the Global Learning Board (2006-2011). He is a

graduate in Mechanical Engineering from the Instituto Superior Técnico (IST) in Portugal, holds a master’s degree (MS) in

Mechanical Engineering-Systems from IST and an MBA from the Nova School of Business Economics in Portugal.

Count of positions in accordance with banking regulations* 3 non-executive positions (BBVA, CTT- Correios de Portugal, S.A. José de Mello Capital)

–Belén Garijo López has been director of BBVA since March 2012, as other external director since March 2024. She has

been Chair of the Executive Board and CEO of the Merck Group since 2021, Chair of the European side of the EU-Japan

Business Round Table, member of the Executive Committee of the German Chemical Industry Association, member of

the European Round Table for Industry, member of The Business Council and member of the European Innovation

Council (EIC). She has been a member of the Board of Directors of L’Oréal from 2014 to 2024, and she has held various

positions of responsibility at Abbot Laboratories (1989-1996), Rhône-Poulenc (1996-1999), Aventis Pharma (1999-2004),

Sanofi Aventis (2004-2011), and Merck (since 2011). She is graduated in Medicine from the University of Alcalá de

Henares in Madrid and a specialist in Clinical Pharmacology at Hospital de La Paz – Autonomous University of Madrid.

She also holds a master’s degree in Business and Management from the Ashridge Management School (UK).

Count of positions in accordance

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Filing: 6-K - BANCO BILBAO VIZCAYA ARGENTARIA, S.A. (BBVA,BBVXF)
Accession Number: 0001628280-26-020062