Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 694

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 694
---
 and the criteria or methodologies followed by the Group to evaluate its effectiveness. The Group operates with the following types of hedges intended to mitigate structural interest rate risk:

| – | Fair value hedges: hedges against the exposure to changes in the fair value of assets and liabilities recognised on                                                                                                  
 the balance sheet, or against the analogous exposure of a specific selection of such assets and liabilities, that can be attributed to interest rate risk. These are used to keep a stable economic value of equity. |

The main types of balance sheet items hedged are:

| • |     | Fixed-rate loans included in the lending portfolio. |

| • |     | Debt securities included in the portfolio of “Financial assets at fair value through other comprehensive 
 income” and the portfolio of “Financial assets at amortised cost”.                                       |

| • |     | Fixed-rate liabilities, including fixed-term deposits and the Institution’s funding operations in capital markets. |

Banco Sabadell generally uses macro-hedging for balance sheet items, both assets and liabilities, while TSB uses macro-hedging for fixed-rate loans or deposits and micro-hedging for debt securities or the Bank’s funding operations in capital markets, for which derivative contracts are arranged, typically for a nominal amount identical to that of the hedged item and with the same financial characteristics. If the hedge relates to assets, the Group enters into a fixed-for-floating swap, whereas if the hedge relates to liabilities, it enters into a floating-to-fixed interest rate swap. These derivatives can be traded in cash or as forwards. The hedged risk is the interest rate risk deriving from a potential change in the risk-free interest rate that gives rise to changes in the value of the hedged balance sheet items. As such, the hedge will not cover any risk inherent in the hedged items other than the risk of a change in the risk-free interest rate. In order to assess the effectiveness of the hedge from the beginning, a backtesting exercise is carried out which compares the accumulated monthly variance in the fair value of the hedged item against the accumulated monthly variance in the fair value of the hedging derivative. Hedge effectiveness is also assessed on a forward-looking basis, verifying that future changes in the fair value of the hedged balance sheet items are offset by future changes in the fair value of the derivative in the event of any changes in the market interest rate curve. A-464

As confidentially submitted to the Securities and Exchange Commission on August 11, 2025. This Amendment No. 4