Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 667

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 667
---
 on these, sensitivity is calculated as the difference resulting from:

| – | Baseline scenario: market interest rate movements based on implied interest rates. |

A-421

As confidentially submitted to the Securities and Exchange Commission on August 11, 2025. This Amendment No. 4 has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential.

| – | Stressed scenario: a shift in interest rates in relation to the baseline scenario, with the extent of this shift                                                                                        
 varying depending on the scenario to be calculated. A minimum post-disruption interest rate is applied, starting at -150 basis points for current maturities and increasing by 3 basis point intervals, 
 eventually reaching 0% after 50 years or more.                                                                                                                                                          |

In addition, in the annual planning exercises, measurements are carried out that include assumptions regarding the evolution of the balance sheet based on the forward-looking scenarios of the Group’s Financial Plan, referring to scenarios of interest rates, volumes and margins. Furthermore, in accordance with the Group’s corporate principles, all BSMUs regularly carry out stress tests, which allow them to forecast high-impact situations with a low probability of occurrence that could place BSMUs in a position of extreme exposure in relation to interest rate risk, and they also consider mitigating actions for such situations. The stress test is complemented with reverse stress tests which aim to identify the scenarios capable of producing a particular impact within a pre-establishedrange of values. The following table gives details of the Group’s interest rate gap based on estimated maturities as at 31 December 2023 and 2022:

| Thousand euro                      |     |         |             |   |     |        |            |   |     |         |            |     |              |            |     |              |            |   |     |              |            |   |     |              |            |   |     |             |             |   |     |       |             |
|                                    |     |         |             |   |     |        |            |   |     |         |            |     |         2023 |            |     |              |            |   |     |              |            |   |     |              |            |   |     |             |             |   |     |       |             |
| Time to maturity                   |     | Up to 1 
 month   |             |   |     | 1 to 3 
 months |            |   |