Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 440

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 440
---
ually established maturity (due to early repayment of loans, early termination of term deposits or recovery time and balance of non-performingexposures). B) Credit spread risk To identify credit spread risk, the Group has taken into account both the market credit spread component, which represents the credit risk premium required by market participants for a specific credit quality, and the market liquidity spread component, which represents the premium of the market’s appetite for investments and the presence of buyers and sellers willing to trade. Furthermore, in general the generic idiosyncratic component has been isolated, using segmentation criteria by sector, geography and currency. The Institution used current regulations when determining CSRBB-sensitive instruments. The instruments included by the Group in the CSRBB perimeter are those directly or indirectly indexed to market prices of liquid instruments. In the quantitative credit spread risk estimations, a series of credit spread scenarios are designed which allow the different sources of risk to be identified. These scenarios include, for each significant currency, narrowing and widening shifts in credit spreads (stress scenarios). Based on these, the sensitivity is calculated as the difference resulting from the stressed scenario and the baseline scenario. The main calculations performed by the Group on a monthly basis are the following:

| – | Net Interest Income (NII) sensitivity: dynamic metric that measures the impact of changes in credit spreads over a one-year time horizon. It is obtained by comparing net interest income in the baseline scenario, which is the one obtained from credit spreads on the analysis date and from market-implied interest rates, against the 
 one obtained in a stress scenario, always considering the result obtained in the least favourable scenario. This metric supplements the economic value of equity sensitivity.                                                                                                                                                              |

| – | Economic Value of Equity (EVE) sensitivity: static metric that measures the impact of changes in credit spreads. It 
 is obtained by comparing the economic value of the balance sheet in the baseline                                    |

A-199

| scenario against the one obtained in a stress scenario, always considering the result obtained in the least favourable scenario. This is done by calculating the present value of items included in                 
 the perimeter as an updated risk-free interest rate curve on the reference date, to which credit spreads of future payments of principal and interest have been added. This metric supplements the NII sensitivity. |

As for the measurement systems and tools used, the Institution employs the data uploaded and the tool already in place to measure IRRBB, to which credit spread curves are added, the impact of which is measured at the position level. During 2024