Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 781

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 781
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 pursue, 
 although all BSMUs should follow the principles and critical parameters set by the Group, adapting them to the specific characteristics of the region in which they operate.                                                                             |

| – | The existence of a transfer pricing system. |

| – | The set of systems, processes, metrics, limits, reporting arrangements and governance arrangements included within 
 the IRRBB strategy must comply with regulatory precepts at all times.                                              |

As defined in the IRRBB Management and Control Policy, the first line of defence is undertaken by the various BSMUs, which report to their respective local Asset and Liability Committees. Their main role is to manage interest rate risk, ensuring it is assessed on a recurrent basis through management and regulatory metrics, taking into account the modelling of the various balance sheet totals and the level of risk taken. The metrics developed to control and monitor the Group’s structural interest rate risk are aligned with the market’s best practices and are implemented consistently across all BSMUs, based on the results obtained from the exercise carried out to identify sub-risksand assess their materiality mentioned previously, and by each of the local asset and liability committees. The diversification effect between currencies and BSMUs is taken into account when disclosing overall figures. The metrics that the Group calculates on a monthly basis are as follows:

| – | Interest rate gap: static metric showing the breakdown of maturities and repricing of sensitive balance sheet items.                                                  
 This metric compares the values of assets that are due to be revised or that mature in a given period and the liabilities that mature or reprice in that same period. |

| – | Duration analysis: a static metric based on the assignment of all cash flows of interest-rate sensitive balance sheet                                                                                                                                  
 items to time brackets. The duration of each pool of balance sheet items is calculated based on the variation of its net present value due to a parallel shift of 1 basis point in the interest rate curve. This gives the duration of both assets and 
 liabilities.                                                                                                                                                                                                                                           |

| – | Net interest margin sensitivity: dynamic metric that measures the impact of interest rate fluctuations over different                                                                                                                                
 time horizons. It is obtained by comparing the net interest margin over given time horizon in the baseline scenario, which would be the one obtained from implied market rates, against the one obtained in a scenario of instant disruption, always 
 considering the result obtained in the least favourable scenario. This metric supplements the economic value of equity sensitivity.                                                                                                                  |

| – | Economic value of equity sensitivity: static metric that measures the