Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 608

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 608
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 curve. This gives the 
 duration of both assets and liabilities.                                                                                                                                                                                                          |

| – | Net interest margin sensitivity: dynamic metric that measures the impact of interest rate fluctuations over different                                                                                                                                
 time horizons. It is obtained by comparing the net interest margin over given time horizon in the baseline scenario, which would be the one obtained from implied market rates, against the one obtained in a scenario of instant disruption, always 
 considering the result obtained in the least favourable scenario. This metric supplements the economic value of equity sensitivity.                                                                                                                  |

| – | Economic value of equity sensitivity: static metric that measures the impact of interest rate fluctuations. It is                                                                                                                                         
 obtained by comparing the economic value of the balance sheet in the baseline scenario against the one obtained in a scenario of instant disruption, always considering the result obtained in the least favourable scenario. This is done by calculating 
 the present value of interest rate-sensitive items as an update in the risk-free yield curve, on the reference date, of future payments of principal and interest without taking into account mark-ups, in line                                           
 with the Group’s IRRBB management strategy. This metric supplements the net interest margin sensitivity.                                                                                                                                                  |

| – | Sensitivity that combines the two above metrics: the effect of changes in value of instruments recognised directly 
 through profit or loss or through equity is added to the net interest margin sensitivity.                          |

In the quantitative interest rate risk estimations made by each BSMU, a series of interest rate scenarios are designed which allow the different sources of risk mentioned above to be identified. These scenarios include, for each significant currency, parallel shifts and non-parallelshifts of the interest rate curve. Based on these, sensitivity is calculated as the difference resulting from:

| – | Baseline scenario: market interest rate movements based on implied interest rates. |

A-421

| – | Stressed scenario: a shift in interest rates in relation to the baseline scenario, with the extent of this shift                                                                                        
 varying depending on the scenario to be calculated. A minimum post-disruption interest rate is applied, starting at -150 basis points for current maturities and increasing by 3 basis point intervals, 
 eventually reaching 0% after 50 years or more.                                                                                                                                                          |

In addition, in the annual planning exercises, measurements are carried out that include assumptions regarding the evolution of the balance sheet based on the forward-looking scenarios of the Group’s Financial Plan, referring to scenarios of interest rates, volumes and margins. Furthermore, in accordance with the Group’s corporate principles, all