Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 308

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 308
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         | 0.24 |     |         |       2.21 |     |         |    — |     |         | 0.82 |     |         |       2.04 |     |         |    — |
| Equity                           |     |         |    — |     |         |          — |     |         |    — |     |         |    — |     |         |          — |     |         |    — |
| Credit spread                    |     |         | 0.42 |     |         |       0.61 |     |         | 0.24 |     |         | 0.30 |     |         |       0.79 |     |         | 0.10 |
| Aggregate VaR                    |     |         | 1.72 |     |         |       4.30 |     |         | 1.17 |     |         | 2.87 |     |         |       7.51 |     |         | 1.10 |

The VaR figures for trading activity declined during the first half of 2025, mainly due to the reduced exposure to foreign exchange risk and interest rate risk, given the uncertainty in the markets during this period. 4.3.3 Structural interest rate risk In Banco Sabadell, as part of the continuous improvement process, structural interest rate risk monitoring and management activities are implemented and regularly updated, aligning the Institution with best market practice and current regulations. In particular, throughout the first half of 2025, management actions have continued to be implemented and monitored to keep metrics within their target risk thresholds; this applies to both net interest income and economic value of equity. In addition, work has continued on the review and continuous improvement of systems and behavioural models in accordance with the guidelines established by the European Banking Authority (EBA). In terms of the evolution of interest rates, the first half of 2025 was characterised by the drop in benchmark rates, both short-term rates (up to two years) and medium- and long-term rates (between 25 and 50 basis points, depending on the currency), with the exception of the euro, where rates remained stable or else rebounded slightly in the medium-long term portion of the curve. The 12-monthEuribor stood at 2.07% as at 30 June 2025 (2.46% as at 31 December 2024). The marginal deposit facility rate