Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 470

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 470
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50 basis points over the year). The scenario envisaged in the short/medium term will likely involve a reduction in central bank rates as inflation continues to fall back gradually, and it is therefore expected that Euribor levels will remain slightly below those at 2024 year-end.In this respect, it is expected that the cost of customer funds will remain contained even though balances of interest-bearing products continue to grow. Taking into account the balance sheet variations detailed above, as well as episodes of volatility and variations in the benchmark interest rates of all the Group’s material currencies, the IRRBB metrics have been affected during the year, although the measures taken have allowed the Group’s IRRBB metrics to be kept within the risk appetite and below the levels considered significant under current legislation. Furthermore, the Group continues to monitor customer behaviour in reaction to interest rate cuts or variations of other economic variables (unemployment rates, gross domestic product, etc.), in order to anticipate possible changes and impacts on the behavioural assumptions used to measure and manage IRRBB. In particular, it analyses and monitors customer behaviour related to non-maturingitems (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 to the contractually established maturity (due to early repayment of loans, early termination of term deposits or recovery time and balance of non-performingexposures). B) Credit spread risk To identify credit spread risk, the Group has taken into account both the market credit spread component, which represents the credit risk premium required by market participants for a specific credit quality, and the market liquidity spread component, which represents the premium of the market’s appetite for investments and the presence of buyers and sellers willing to trade. Furthermore, in general the generic idiosyncratic component has been isolated, using segmentation criteria by sector, geography and currency. The Institution used current regulations when determining CSRBB-sensitive instruments. The instruments included by the Group in the CSRBB perimeter are those directly or indirectly indexed to market prices of liquid instruments. In the quantitative credit spread risk estimations, a series of credit spread scenarios are designed which allow the different sources of risk to be identified. These scenarios include, for each significant currency, narrowing and widening shifts in credit spreads (stress scenarios). Based on these, the sensitivity is calculated as the difference resulting from the stressed scenario and the baseline scenario. The main calculations performed by the Group on a monthly basis are the following:

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