Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 616

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 616
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 fluctuations. It is                                                                                                                                         
 obtained by comparing the economic value of the balance sheet in the baseline scenario against the one obtained in a scenario of instant disruption, always considering the result obtained in the least favourable scenario. This is done by calculating 
 the present value of interest rate-sensitive items as an update in the risk-free yield curve, on the reference date, of future payments of principal and interest without taking into account mark-ups, in line                                           
 with the Group’s IRRBB management strategy. This metric supplements the net interest margin sensitivity.                                                                                                                                                  |

| – | Sensitivity that combines the two above metrics: the effect of changes in value of instruments recognised directly 
 through profit or loss or through equity is added to the net interest margin sensitivity.                          |

In the quantitative interest rate risk estimations made by each BSMU, a series of interest rate scenarios are designed which allow the different sources of risk mentioned above to be identified. These scenarios include, for each significant currency, parallel shifts and non-parallelshifts of the interest rate curve. Based on these, sensitivity is calculated as the difference resulting from:

| – | Baseline scenario: market interest rate movements based on implied interest rates. |

A-421

| – | Stressed scenario: a shift in interest rates in relation to the baseline scenario, with the extent of this shift                                                                                        
 varying depending on the scenario to be calculated. A minimum post-disruption interest rate is applied, starting at -150 basis points for current maturities and increasing by 3 basis point intervals, 
 eventually reaching 0% after 50 years or more.                                                                                                                                                          |

In addition, in the annual planning exercises, measurements are carried out that include assumptions regarding the evolution of the balance sheet based on the forward-looking scenarios of the Group’s Financial Plan, referring to scenarios of interest rates, volumes and margins. Furthermore, in accordance with the Group’s corporate principles, all BSMUs regularly carry out stress tests, which allow them to forecast high-impact situations with a low probability of occurrence that could place BSMUs in a position of extreme exposure in relation to interest rate risk, and they also consider mitigating actions for such situations. The stress test is complemented with reverse stress tests which aim to identify the scenarios capable of producing a particular impact within a pre-establishedrange of values. The following table gives details of the Group’s interest rate gap based on estimated maturities as at 31 December 2023 and 2022:

| Thousand euro                      |     |         |