Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 715

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 715
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 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 the 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 the capital markets, for which they arrange derivative contracts, typically for a nominal amount identical to the item hedged and with the same financial features. If the hedge relates to assets, the Group enters into a fixed-for-floatingswap, whereas if the macro- hedge relates to liabilities, it enters into a floating-to-fixedinterest rate swap. These derivatives can be traded in cash or as forwards. The hedged risk is the interest rate risk arising 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.

| – | Cash flows: hedging against the exposure to changes in cash flows arising from a particular risk associated with a                                                                                                
 previously recognised asset or liability, or a forecast transaction that is highly likely to materialise and which could affect the results for the year. They are used to reduce net interest income volatility. |

The main types of balance sheet items hedged are:

| • |     | Floating rate mortgage loans indexed to the mortgage Euribor. |

| • |     | Floating rate liabilities indexed to the 3-month Euribor. |

Banco Sabadell generally uses macro-hedging for balance sheet items, both assets and liabilities, while TSB also uses micro-hedging for floating-rate issues of its own-namesecurities, for which they arrange derivative contracts, typically for a nominal amount identical to the item hedged and