Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 465

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 465
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 credit spread risk are aligned with best market practice, consistently implemented in all BSMUs, based on the results obtained from the exercise carried out to identify subrisks and assess their materiality, and monitored on an ongoing basis by each of the local Asset and Liability Committees. The diversification effect between currencies and BSMUs is taken into account when disclosing overall figures. A) Interest rate risk The Group identifies five subrisks when managing interest rate risk:

| – | Repricing risk arises from differences in the timing of rate changes of interest rate-sensitive instruments, covering 
 changes to the term structure of interest rates occurring consistently across the yield curve (parallel shifts).      |

| – | Curve risk arises from differences in the timing of rate changes of interest rate-sensitive instruments, covering 
 changes to the term structure of interest rates occurring differentially by period (non-parallel shifts).         |

| – | Basis risk includes the risk arising from the impact of relative changes in interest rates on instruments that have 
 similar tenors but are re-priced using different interest rate indices.                                             |

| – | Automatic option risk comprises the risk arising from automatic options (e.g. lending floors and caps), both embedded                                                                                                                                 
 and explicit, in which the Balance Sheet Management Unit (BSMU) or its customer can alter the level and timing of their cash flows and in which the holder will almost certainly exercise the option when it is in their financial interest to do so. |

| – | Behavioural option risk arises from flexibility embedded implicitly within the terms of certain financial contracts, 
 which allow changes in interest rates to effect a change in the behaviour of the customer.                           |

The main calculations performed by the Group on a monthly basis are the following:

| – | Interest rate gap: static metric showing the breakdown of maturities and repricing of sensitive balance sheet items.                                                              
 This metric compares the values of assets that are due to be repriced or that mature in a given period and the liabilities that mature or are to be repriced in that same period. |

| – | Duration analysis: a static metric based on the allocation of all flows of principal and interest of pools of                                                                                                                                             
 interest rate-sensitive instruments into time buckets. The duration of each pool is calculated from the change of its net present value due to a 1 basis point parallel shift of the yield curve. This gives the duration of both assets and liabilities. |

| – | Net Interest Income (NII) sensitivity: dynamic metric that measures the impact of changes in interest rates over                                                                                                                                        
 different