Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 129

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 129
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 the Group’s business units).

In addition, in Chapter 4.3.4.2 more information about the risk measurement models used in the Group, focused on internal models approved by the supervisor for BBVA S.A. and BBVA Mexico to calculate regulatory capital requirements on trading portfolios is detailed. For the other geographic areas (mainly South America and Garanti BBVA), the calculation of own funds requirements for trading portfolios is carried out using the standardised approach.

Analysis of the Group’s RWA structure shows that almost 4% corresponds to Market Risk (including structural exchange risk).

4.3.1.1. Characteristics of the risk management system

Article 435 (1) b), c) CRR

EU MRA a), b)

The Group has a risk management system in place which is appropriate for the volume of risk managed, complying with the functions set out in the Corporate Policy on Market Risk in Market Activities.

Market risk management must be based on processes and tools that integrate management models, criteria and strategies, and allow decision-making to be automated.

Likewise, the information processes necessary for the measurement, generation or maintenance of tools, engines, reporting, etc., must comply with the requirements of the regulations relating to the data, with special attention to the identification of the information activities established therein and compliance with the deliverables of each activity.

The risk units must have:

• A suitable organisation (means, resources and experience) in line with the nature and complexity of the business.

• Segregation of functions and independence in decision-making.

• Performance under integrity and good governance principles, driving the best practices in the industry and complying with the rules, both internal (policies, procedures) and external (regulation, supervision, guidelines).

• The existence of channels for communication with the relevant corporate bodies at local level according to their corporate governance system, as well as with the Corporate Area.

• All market risk existing in the business units that carry out trading activity must be adequately identified, measured and assessed, and procedures must be in place for its control and mitigation. On this point according to the Corporate Policy on Market Risk in Market Activities each business unit has established structured limits, sublimits and early alerts having a communication circuit that establishes the responsibilities of information at different levels and actions by the risk areas and business managers.

• The Global Market Risk Unit (GMRU), as the unit responsible for managing market risk at Group level, must promote the use of objective and uniform metrics for measuring the different types of risks.

The BBVA Group