Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 819

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 819
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   |     | Impact on 
   stage 3 |     |   |     | Total impact |     |   |
| Unemployment rate deviation (**) |     |               | + 100 bp |     |                | 2.9 | % |     |           | 12.7 | % |     |           | 3.9 | % |     |              | 7.3 | % |
|                                  |     | - 100 bp      |          |     |           -2.5 |   % |   |     |      -7.3 |    % |   |     |      -2.7 |   % |   |     |         -4.5 |   % |   |
| House price growth deviation     |     |               | - 100 bp |     |                | 0.2 | % |     |           |  0.1 | % |     |           | 0.3 | % |     |              | 0.2 | % |
|                                  |     | + 100 bp      |          |     |           -0.2 |   % |   |     |      -0.1 |    % |   |     |      -0.3 |   % |   |     |         -0.2 |   % |   |

(*) Changes to macroeconomic variables are applied in absolute terms. (**) In the scenario of a change to the UK employment rate, a standard deviation of +/- 100 bps represents the relative standard deviation of the macroeconomic variable 3 times higher than in Spain. Note 12 – Derivatives - hedge accounting Hedging management The main hedges arranged by the Group are described below: Interest rate risk hedge Based on the balance sheet position and the market situation and outlooks, interest rate risk mitigation strategies are proposed and agreed upon to adapt this position to the one desired by the Group. With this aim in mind, Banco Sabadell Group establishes interest rate hedging strategies for positions that are not included in the trading book and, to that end, derivative instruments are used, whether fair value or cash flow hedging instruments, and a distinction is made between them depending on the items hedged:

| – | Macro-hedges: hedges intended to mitigate the risk of balance sheet components. |

| – | Micro-hedges: hedges intended to mitigate the risk of a particular asset or liability. |

A-691

When a transaction is designated as a hedging