Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 614

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 614
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 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 on the basis of the RAS, approved by the Board of Directors. A decentralised model is followed based on Balance Sheet Management Units (BSMUs). In coordination with the Group’s corporate functions, each BSMU has the autonomy and capability to carry out risk management and control duties. The Group’s current interest rate risk management strategy is based on the following principles in particular, in line with the business model and the defined strategic objectives: A-420

| – | Each BSMU has appropriate tools and robust processes and systems in place to adequately identify, measure, manage,                                                                                                                                
 control and report on IRRBB, following the main criteria defined by the Group’s internal methodology. The Group uses these to obtain information about all of the identified sources of IRRBB, assess their effect on the net interest margin and 
 the economic value of equity and measure the vulnerability of the Group/BSMU in the event of potential losses arising from IRRBB under different scenarios affecting the interest rate curves.                                                    |

| – | At the corporate level, a series of limits are established for overseeing and monitoring IRRBB exposure levels, which                                                                                                                                    
 are aligned with internal risk tolerance policies. However, each BSMU has the autonomy and structure required to properly manage and control IRRBB. Specifically, each BSMU has sufficient autonomy to choose the management target that it will pursue, 
 although all BSM