Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 334

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 334
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 these metrics forms part of the liquidity risk oversight process in the set of LMUs.

In terms
of the LCR, since 1 January 2018, the regulatory required minimum LCR has been 100%, a level amply surpassed by all of the Group’s LMUs. At the Group level, throughout the year, the LCR has consistently been well above 100%. As at
31 December 2024, the LCR stood at 200% for the TSB LMU, 248% for Banco Sabadell Spain and 210% at the Group level.

In terms of the NSFR, the
regulatory minimum requirement, effective from June 2021, is 100%, a level amply surpassed by all LMUs of the Institution given their funding structure, in which customer deposits are predominant and where the majority of market funding is in the
medium/long term. As at 31 December 2024, the NSFR stood at 153% for the TSB LMU, 137% for Banco Sabadell Spain and 142% at the Group level.

As at 31 December 2024, Banco Sabadell had outstanding issues of mortgage covered bonds amounting to 15,776 million euros
(15,876 million euros as at 31 December 2023), which are secured by eligible mortgage loans and credit in the amount of 24,567 million euros (24,677 million euros at 31 December 2023). As at 31 December 2024, the
mortgage covered bonds therefore had an overcollateralisation ratio of 156% (161% as at 31 December 2023), with all their collateral denominated in euros. More information can be found on the Group’s corporate website
(www.grupbancsabadell.com), in section “Shareholders and Investors - Fixed income investors”.

4.4.3.2. Market risk

Market risk is defined as the risk of financial instrument positions losing some or all of their market value due to changes in risk factors affecting
their market price or quotations, their volatility, or the correlations between them.

Positions that generate market risk are usually held in
connection with trading activity, which consists of the hedging transactions arranged by the Bank to provide services to its customers as well as discretionary proprietary positions.

Market risk can also arise from the mere maintenance of overall (also known as structural) balance sheet positions that in net terms are left open.
This risk is addressed in