Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 858

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 858
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 the new business, defined according to the Financial Plan, and the interest rate curves on which the aforesaid scenarios are built. Based on the balance sheet position and the market situation and outlooks, risk mitigation techniques are proposed and agreed upon to adjust this position to match the one desired by the Group and to ensure it remains within the established risk appetite. Interest rate instruments additional to the natural hedges of balance sheet items are used as mitigation techniques, such as fixed-income bond portfolios or hedging derivatives that enable metrics to be placed at levels in keeping with the Institution’s risk appetite. In addition, proposals can be put forward to redefine the interest rate characteristics of commercial products or the launch of new products. Derivatives, mainly interest rate swaps (IRS), which qualify as hedges for accounting purposes, are arranged in financial markets to be used as risk hedging instruments. Two separate types of macro-hedges are used:

| – | Cash flow macro-hedges of interest rate risk, the purpose of which is to reduce the volatility of the net interest 
 margin due to changes in interest rates over one-year time horizon.                                                |

| – | Fair value macro-hedges of interest rate risk, the purpose of which is to maintain the economic value of the hedged 
 items, consisting of fixed-rate assets and liabilities.                                                             |

For each type of macro-hedge, there is a framework document that includes the hedging strategy, defining it in terms of management and accounting and establishing its governance. In Banco Sabadell, as part of the continuous improvement process, structural interest rate risk management and monitoring activities are implemented and regularly updated, aligning the Institution with best market practices and current regulations. In particular, throughout 2022 work has continued on the review and continuous improvement of the systems and behavioural models in accordance with the guidelines established by the EBA. Among other things, it is worth noting the calibration of the main behavioural modelling assumptions for demand deposits based on the different interest rate scenarios and their ongoing monitoring to ensure the suitability of those assumptions. Further progress has also been made with the definition, from a Group perspective, of the methodological and modelling criteria and principles relating to customers’ behavioural options to enable greater standardisation and coordination with the different BSMUs, and stress testing procedures have also been reinforced. A-651

As confidentially submitted to the Securities and Exchange Commission on August 11, 2025.

This Amendment No. 4 has not been publicly filed with the Securities and Exchange Commission and all

information herein remains strictly