Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 309

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 309
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 of the European Central Bank as at the end of 30 June 2025 stood at 2.00% (dropping by 100 basis points in the first half of 2025), while the base rate of the Bank of England stood at 4.25% (dropping by 50 basis points in the first half of 2025). In 2025, the Bank’s gross performing loans to customers continued to trend towards a larger proportion of fixed-rate transactions (mainly mortgages and business loans), while on the liabilities side, the shift of balances observed in previous years from non-interest-bearingdemand deposits to other interest-bearing products, such as term deposits, was partially reversed. Furthermore, the Group continues to monitor customer behaviour in response to interest rate movements and variations of other economic variables (unemployment rates, gross domestic product, etc.), in order to A-32

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 confidential.

anticipate possible changes and impacts on the behavioural assumptions used to measure and manage IRRBB. In particular, it analyses customer behaviour related to
non-maturing items (changes in the stability of demand deposits and possible migration to other products that earn higher interest) and related to items with an expected maturity that may be different from the
contractually established maturity (due to early repayment of loans, early withdrawal of term deposits, or recovery time and balance of non-performing exposures).

4.3.4 Structural foreign exchange risk

Structural
foreign exchange risk occurs when changes in market exchange rates between different currencies generate losses on permanent investments in foreign branches and subsidiaries with functional currencies other than the euro.

The purpose of managing structural foreign exchange risk is to minimise the impact on the value of the Institution’s portfolio/equity in the event
of any adverse movements in currency markets. The foregoing takes into account the potential impacts on the CET1 capital ratio and on the net interest margin, subject to the risk appetite set out in the Risk Appetite Statement (RAS). Furthermore,
the levels set for the established risk metrics must be complied with at all times.

Foreign exchange risk is monitored regularly and reports are
sent to supervisory bodies on existing risk levels and on compliance with the limits set forth by the Board of Directors. The main monitoring metric is currency exposure, which measures the maximum potential loss that the open structural position
could produce