Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 343

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 343
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 as hedges for accounting purposes, are arranged in financial markets to be used as risk hedging instruments. Two separate types of macro-hedges are used:

| – | Cash flow macro-hedges of interest rate risk, the purpose of which is to reduce net interest income volatility due to 
 changes in interest rates over a one-year time horizon.                                                               |

| – | Fair value macro-hedges of interest rate risk, the purpose of which is to maintain the economic value of the hedged 
 items, consisting of fixed-rate assets and liabilities.                                                             |

For each type of macro-hedge, there is a framework document that includes the hedging strategy, defining it in terms of management and accounting and establishing its governance arrangements. In Banco Sabadell, as part of the continuous improvement process, structural interest rate risk management and monitoring activities are implemented and regularly updated, aligning the Institution with best market practice and current regulations. In particular, throughout 2024 work has continued on the review and continuous improvement of the systems and behavioural models in accordance with the guidelines established by the EBA. Among other things, some of the improvements worth noting are the update of the key behavioural modelling assumptions for demand deposits, taking sufficiently large time series data to A-109

capture periods of both rising and falling interest rate stress, obtaining different results based on the different interest rate scenarios modelled, and their recurrent monitoring to ensure the appropriateness of those assumptions. In 2024, the Bank’s loan book has continued to trend towards a higher proportion of fixed-rate transactions (mainly mortgages and business loans), while on the liabilities side, balances of interest-bearing demand deposits and term deposits have increased whilst the balance of non-interest-bearingdemand deposits has decreased, all while keeping costs at low levels relative to the trend of interest rates over the year. In addition, other balance sheet variations in 2024 included the increase of the fixed-income portfolio on the asset side, which acts as a balance sheet management and coverage lever, and the implementation of management actions to defend net interest income against a backdrop of interest rate cuts. With regard to interest rates, in 2024 benchmark interest rates decreased in all currencies, affecting the euro in particular, with the 12-monthEuribor standing at 2.46% as at 2024 year-end,1.05% lower than as at 2023 year-end.The deposit facility rate of the European Central Bank (ECB) ended the year at 3% (decrease of 100 basis points over the