Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 157

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 157
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/ITS/2021/07 EU IRRBBA h)

In the context of the SREP, CRD IV provides for a review and evaluation of the IRRBB. The main instrument of this assessment is the Supervisory Outlier Test (SOT), which assesses the impact on Economic Value of Equity (EVE) and Net Interest Margin risks (NII) of the banking book under different interest rate variation scenarios. This exercise allows comparability between entities.

As described above, the structural interest rate risk in the banking book (IRRBB) is part of the entity’s risk management framework and is included in the internal capital self-assessment process as part of Pillar 2.

The table below shows the changes in the economic value of equity (EVE) and in net interest income (NII) shown as % over Tier 1 Fully Loaded:

| Table 64.EU IRRBB1 -  Interest rate risk in the banking book |

|                  |     | ∆ EVE      |       |   | ∆ EVE     |       |   | ∆ NII      |       |   | ∆ NII     |       |   |
| Currency         |     | 12-31-2024 |       |   | 6-30-2024 |       |   | 12-31-2024 |       |   | 6-30-2024 |       |   |
| Parallel up      |     |            | -8.56 | % |           | -8.25 | % |            | -0.01 | % |           |  0.63 | % |
| Parallel down    |     |            |  3.14 | % |           |  2.91 | % |            | -1.26 | % |           | -2.29 | % |
| Steepener        |     |            |  0.52 | % |           |  0.63 | % |            |       |   |           |       |   |
| Flattener        |     |            | -2.76 | % |           | -3.03 | % |            |       |   |           |       |   |
| Short rates up   |     |            | -5.02 | % |           | -5.16 | % |            |       |   |           |       |   |
| Short rates down |     |            |  2.66