Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 820

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 820
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 operation, it is classified as such from the outset of the transaction or the inception of the instruments included in the hedge, and a document is prepared which covers the hedging strategy, defining it in management and accounting terms, and setting out its governance. The aforesaid document clearly identifies the item or items hedged and the hedging instrument, the risk that it seeks to hedge 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 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