Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 516

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 516
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.25 |     |         | 2.75 |     |         | 4.81 |     |         | 2.10 |

In 2023, the overall VaR figures for trading activity increased, particularly where trading involves interest and exchange rates. This is due to greater exposure to interest rate risk, mainly short-term rates, and foreign exchange risk. Structural interest rate risk Structural interest rate risk is inherent in banking activity and is defined as the current or future risk to both the income statement (income and expenses) and the economic value of equity (present value of assets, liabilities and off-balancesheet positions) arising from adverse interest rate fluctuations affecting interest rate-sensitive instruments in non-tradingactivities (also known as Interest Rate Risk in the Banking Book, or IRRBB). The Group identifies five interest rate sub-risks:

| – | Repricing risk is the risk arising from mismatches at the time the repricing of interest rate-sensitive instruments                      
 occurs, including those changes in the time structure of interest rates that occur consistently along the yield curve (parallel shifts). |

| – | Curve risk is the risk arising from mismatches at the time the repricing of interest rate-sensitive instruments                                         
 occurs, including those changes in the time structure of interest rates that occur differently depending on the time to maturity (non-parallel shifts). |

| – | Basis risk includes the risk arising from the impact of relative changes in interest rates on instruments with 
 similar maturities but whose repricing is determined using different interest rate indices.                    |

| – | Automatic optionality risk comprises the risk arising from automatic options (for example, 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 optionality risk arises from the flexibility embedded within the terms of certain financial contracts, 
 which allow variations in interest rates to produce a change in customer behaviour.                                |

The Group’s management of this risk pursues two fundamental objectives:

| – | To stabilise and protect the net interest margin, preventing interest rate movements from causing excessive 
 variations in the budgeted margin.                                                                          |

| – | To minimise the volatility of the economic value of equity, this perspective being complementary to that of the 
 margin.                                                                                                         |

Interest rate risk is managed through a Group-wide approach