Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 689

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 689
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 of equity (present value of assets, liabilities and off-balancesheet positions) arising from adverse interest rate fluctuations affecting interest rate-sensitive instruments in non-tradingactivities (also known as Interest Rate Risk in the Banking Book, or IRRBB). 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 (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 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. A-558

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:

| – | Each BSMU has appropriate tools and robust processes and systems in place