Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 463

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 463
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     |         | 2.52 |     |         | 1.81 |
| Equity                           |     |         |    — |     |         |    — |     |         |    — |     |         |    — |     |         |    — |     |         |    — |
| Credit spread                    |     |         | 0.30 |     |         | 0.79 |     |         | 0.10 |     |         | 0.27 |     |         | 0.72 |     |         | 0.09 |
| Aggregate VaR                    |     |         | 2.87 |     |         | 7.51 |     |         | 1.10 |     |         | 4.51 |     |         | 5.94 |     |         | 3.25 |

In 2024, the overall VaR figures for trading activity decreased, mainly in exchange rates due to a lower exposure to this risk factor. 4.4.3.3. Structural interest rate risk and credit spread risk Structural interest rate risk is defined as the current or future risk to both the income statement (revenues and expenses) and the economic value (present value of assets, liabilities and off-balancesheet positions) arising from adverse movements in interest rates that affect interest rate-sensitive instruments in non-tradingactivities (also known as Interest Rate Risk in the Banking Book, or IRRBB). Credit Spread Risk in the Banking Book (CSRBB) refers to potential losses in the economic value of an institution’s equity and earnings driven changes in the market price for credit risk, for liquidity and for potentially other characteristics of credit-risky instruments, which are not captured by another existing prudential framework such as IRRBB or by expected credit/(jump-to-)default risk. In other words, it captures how the credit spread fluctuates within a certain credit rating/PD range. The Group’s management of these risks pursues two fundamental objectives:

| – | Stabilise and defend net interest income, preventing interest rate fluctuations and movements in credit spreads from 
 causing excessive changes to the budgeted NII.                                                                       |

| – | Minimise the volatility of the economic value of equity, this perspective being complementary to that of NII. |

Interest rate risk and credit spread risk are managed through a Group-wide approach on the basis of the RAS, approved by the Board of Directors. A decentralised model is followed based