Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 606

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 606
---
 The Group identifies five interest rate sub-risks:

| – | Repricing risk is the risk arising from mismatches at the time the repricing of interest rate-sensitive instruments                      
 occurs, including those changes in the time structure of interest rates that occur consistently along the yield curve (parallel shifts). |

| – | Curve risk is the risk arising from mismatches at the time the repricing of interest rate-sensitive instruments                                         
 occurs, including those changes in the time structure of interest rates that occur differently depending on the time to maturity (non-parallel shifts). |

| – | Basis risk includes the risk arising from the impact of relative changes in interest rates on instruments with 
 similar maturities but whose repricing is determined using different interest rate indices.                    |

| – | Automatic optionality risk comprises the risk arising from automatic options (for example, 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 optionality risk arises from the flexibility embedded within the terms of certain financial contracts, 
 which allow variations in interest rates to produce a change in customer behaviour.                                |

The Group’s management of this risk pursues two fundamental objectives:

| – | To stabilise and protect the net interest margin, preventing interest rate movements from causing excessive 
 variations in the budgeted margin.                                                                          |

| – | To minimise the volatility of the economic value of equity, this perspective being complementary to that of the 
 margin.                                                                                                         |

Interest rate risk is managed through a Group-wide approach on the basis of the RAS, approved by the Board of Directors. A decentralised model is followed based on Balance Sheet Management Units (BSMUs). In coordination with the Group’s corporate functions, each BSMU has the autonomy and capability to carry out risk management and control duties. The Group’s current interest rate risk management strategy is based on the following principles in particular, in line with the business model and the defined strategic objectives: A-420

| – | Each BSMU has appropriate tools and robust processes and systems in place to adequately identify, measure, manage,                                                                                                                                
 control and report on IRRBB, following the main criteria defined by the Group’s internal methodology. The Group uses these to obtain information about all of the identified sources of IRRBB, assess their