Company: BBVXF
Filing Date: 2025-10-30
Form Type: 6-K
Source: 0001628280-25-047437
Chunk: 82

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-10-30
Form: 6-K
Chunk 82
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 9. Hedge ineffectiveness, defined as the difference between the change in value of the hedging instrument and the hedged item in each period attributable to the hedged risk, is recorded in the consolidated income statement (or in other comprehensive income if it is a hedge of equity instruments recorded at fair value through other comprehensive income) (see Note 32).

Under IAS 39, hedge effectiveness is assessed both retrospectively and prospectively, ensuring that it remains within a range of 80% to 125%. However, IFRS 9 eliminates the strict 80%-125% effectiveness range requirement, allowing qualitative prospective assessments if there is an economic relationship between the hedged item and the hedging instrument, and credit risk does not exert a dominant effect on changes in the value of either the hedged item or the hedging instrument. The BBVA Group has chosen to continue applying the 80%-125% range as a measure for assessing hedge effectiveness, and may rebalance the hedge without discontinuing hedges if this range is not maintained, as explained below.

Changes that occur after the hedge is designated in the valuation of financial instruments designated as hedged items and financial instruments designated as accounting hedging instruments are recorded as follows:

– In fair value hedges, differences in the fair value of the derivative and the hedged instrument attributable to the hedged risk are recognized directly under the heading “Gains (losses) from hedge accounting, net” in the consolidated income statement (or in other comprehensive income in the case of a hedge of equity instruments recorded at fair value through other comprehensive income); with an offsetting entry made in the consolidated balance sheet items in which the hedging element (“Derivatives – Hedge accounting”) or the hedged item is recorded, as applicable (see Note 29).

– In fair value hedges of interest rate risk on a portfolio of financial instruments (“macro hedges”), gains or losses arising from the measurement of the hedging instrument are recognized directly in the consolidated income statement with an offsetting entry made under the heading “Derivatives – Hedge accounting” and gains or losses arising from the change in the fair value of the hedged item (attributable to the hedged risk) are also recorded in the consolidated income statement (in both cases, under the heading “Gains (losses) from hedge accounting, net”), with an offsetting entry made in the heading “Fair value changes of the hedged items in portfolio hedges of interest rate risk” of the asset or liability in