Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 613

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 613
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         | 1.08 |     |         | 2.21 |     |         | 0.61 |
| Foreign exchange risk (trading) |     |         | 2.26 |     |         | 2.52 |     |         | 1.81 |     |         | 1.30 |     |         | 2.42 |     |         | 0.90 |
| Equity                          |     |         |    — |     |         |    — |     |         |    — |     |         | 0.13 |     |         | 1.24 |     |         |    — |
| Credit spread                   |     |         | 0.27 |     |         | 0.72 |     |         | 0.09 |     |         | 0.25 |     |         | 0.57 |     |         | 0.11 |
| Aggregate VaR                   |     |         | 4.51 |     |         | 5.94 |     |         | 3.25 |     |         | 2.75 |     |         | 4.81 |     |         | 2.10 |

In 2023, the overall VaR figures for trading activity increased, particularly where trading involves interest and exchange rates. This is due to greater exposure to interest rate risk, mainly short-term rates, and foreign exchange risk. Structural interest rate risk Structural interest rate risk is inherent in banking activity and is defined as the current or future risk to both the income statement (income and expenses) and the economic value of equity (present value of assets, liabilities and off-balancesheet positions) arising from adverse interest rate fluctuations affecting interest rate-sensitive instruments in non-tradingactivities (also known as Interest Rate Risk in the Banking Book, or IRRBB). The Group identifies five interest rate sub-risks:

| – | Repricing risk is the risk arising from mismatches at the time the repricing of interest rate-sensitive instruments                      
 occurs, including those changes in the time structure of interest rates that occur consistently along the yield curve (parallel shifts). |

| – | Curve risk is the risk arising from mismatches at the time the repricing of interest rate-sensitive instruments                                         
 occurs, including those changes in the time structure of interest rates that occur differently depending on the time to maturity (non-parallel shifts). |

| – | Basis risk includes the risk arising from the impact of