Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 821

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 821
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 hedging derivative. Hedge effectiveness is also assessed on a forward-looking basis, verifying that future changes in the fair value of the hedged balance sheet items are offset by future changes in the fair value of the derivative.

| – | Cash flows: hedging against the exposure to changes in cash flows arising from a particular risk associated with a                                                                                                
 previously recognised asset or liability, or a forecast transaction that is highly likely to materialise and which could affect the results for the year. They are used to reduce net interest income volatility. |

The main types of balance sheet items hedged are:

| • |     | Floating rate mortgage loans indexed to the mortgage Euribor. |

| • |     | Floating rate liabilities indexed to the 3-month Euribor. |

Banco Sabadell generally uses macro-hedging for balance sheet items, both assets and liabilities, while TSB also uses micro-hedging for floating-rate issues of its own-namesecurities, for which they arrange derivative contracts, typically for a nominal amount identical to the item hedged and with the same financial features. If the hedge relates to assets, the Group enters into a floating-to-fixedinterest rate swap, whereas if the macro-hedge relates to liabilities, it enters into a fixed-for-floatingswap. These derivatives can be traded in cash or as forwards. The hedged risk is the interest rate risk associated with the effect that a potential change in the benchmark interest rate could have on the future interest accrued on hedged balance sheet items. The credit spread and risk premium which, together with the benchmark index, make up the contractual interest rate applicable to the hedged balance sheet items is expressly excluded from the hedge. A-692

In order to assess the effectiveness of the hedge from the beginning, a backtesting
exercise is carried out which compares the accumulated variance in the fair value of the hedged item against the accumulated variance in the fair value of the hedging derivative. Hedge effectiveness is also assessed on a forward-looking basis,
verifying that the expected cash flows on the hedged items are still highly likely to materialise.

Possible causes of partial or total
ineffectiveness include changes in the sufficiency of the portfolio of hedged balance sheet items or differences in their contractual characteristics in relation to hedging derivatives.

Every month, the Group calculates the interest rate risk metrics and establishes hedging strategies in accordance with the established risk appetite
framework. Hedges are therefore managed, establishing hedges or discontinuing them, as required, on the basis of