Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 338

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 338
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 to choose the management 
 target that it will pursue, although all BSMUs should follow the principles and critical parameters set by the Group, adapting them to the specific characteristics of the region in which they operate.                                             |

| – | The existence of a transfer pricing system. |

| – | The set of systems, processes, metrics, limits, reporting arrangements and governance arrangements included within 
 the IRRBB and CSRBB strategy must comply with regulatory precepts at all times.                                    |

A-105

As defined in the IRRBB and CSRBB Management and Control Policy, the first line of defence is undertaken by the various BSMUs, which report to their respective local Asset and Liability Committees. Their main role is to manage interest rate risk and credit spread risk, ensuring they are assessed on a recurrent basis through management and regulatory metrics, taking into account the modelling of the various balance sheet totals and the level of risk taken. The metrics developed to control and monitor the Group’s structural interest rate risk and credit spread risk are aligned with best market practice, consistently implemented in all BSMUs, based on the results obtained from the exercise carried out to identify subrisks and assess their materiality, and monitored on an ongoing basis by each of the local Asset and Liability Committees. The diversification effect between currencies and BSMUs is taken into account when disclosing overall figures. A) Interest rate risk The Group identifies five subrisks when managing interest rate risk:

| – | Repricing risk arises from differences in the timing of rate changes of interest rate-sensitive instruments, covering 
 changes to the term structure of interest rates occurring consistently across the yield curve (parallel shifts).      |

| – | Curve risk arises from differences in the timing of rate changes of interest rate-sensitive instruments, covering 
 changes to the term structure of interest rates occurring differentially by period (non-parallel shifts).         |

| – | Basis risk includes the risk arising from the impact of relative changes in interest rates on instruments that have 
 similar tenors but are re-priced using different interest rate indices.                                             |

| – | Automatic option risk comprises the risk arising from automatic options (e.g. lending floors and caps), both embedded                                                                                                                                 
 and explicit, in which the Balance Sheet Management Unit (BSMU) or its customer can alter the level and timing of their cash flows and in which the holder will almost certainly exercise the option when it is in their financial interest to do so. |

| – | Behavioural option risk arises from flexibility embedded implicitly within the terms of certain