Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 29

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 29
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 consult their own professional advisors for
an understanding of the differences between IFRS-EU and IFRS-IASB, and the way these differences could impact the financial information included in this offer to exchange/prospectus.

The description of the main difference between IFRS-EU and IFRS-IASB as they relate to Banco Sabadell
included below should not be taken as an exhaustive description of all differences between IFRS-EU and IFRS-IASB.

Macro hedging accounting

Based on BBVA’s reading of Banco Sabadell’s consolidated financial statements as of and for the year ended December 31, 2024,
the main difference between IFRS-EU and IFRS-IASB as they relate to Banco Sabadell relates to the accounting of macro hedging related to certain portfolios. Macro hedging refers to the practice of managing
risk at the portfolio level rather than at the level of individual transactions or pairs of transactions, as is typical in traditional hedging approaches. Companies applying macro hedging accounting have to demonstrate the effectiveness of the
hedges and follow a detailed process for documenting and testing their effectiveness.

This difference between IFRS-EU and IFRS-IASB emerged during the EU’s endorsement process of IAS 39 “Financial Instruments: Recognition and Measurement”, whereby the EU made specific carve-outs to account for the prepayment
risk associated with these portfolios and treat such risk as interest rate risk. This carve-out is not contemplated under IFRS-IASB, where the approach to macro hedges is focused on traditional risks, such as
interest rate risk, exchange rate risk or market price risk, with prepayment risk not falling under the definition and criteria set forth under IAS 39 “Financial Instruments: Recognition and Measurement”.

Based on BBVA’s reading of Banco Sabadell’s consolidated financial statements as of and for the year ended December 31, 2024,
BBVA believes that Banco Sabadell is applying hedge accounting to the prepayment risk associated with a portfolio of core deposits and to a mortgage portfolio. The use of this carve-out is not expressly
disclosed in the explanatory notes of such financial statements as it is compliant with IFRS-EU.

According to Note 12 to Banco Sabadell’s consolidated financial statements as of and for the year ended December 31, 2024, the value
adjustments on hedged items through macro hedges as of December 31, 2024 amounted