Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 518

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 518
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ification effect between currencies and BSMUs is taken into account when disclosing overall figures. The main calculations performed by the Group on a monthly basis are the following:

| – | 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 allocation of all flows of principal and interest of pools of                                                                                                                                     
 interest rate sensitive items to time buckets. 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 impact of interest rate fluctuations. It is                                                                                                                                         
 obtained by comparing the economic value of the balance sheet in the baseline scenario against the one obtained in a scenario of instant disruption, always considering the result obtained in the least favourable scenario. This is done by calculating 
 the present value of interest rate-sensitive items as an update in the risk-free yield curve, on the reference date, of future payments of principal and interest without taking into account mark-ups, in line                                           
 with the Group’s IRRBB management strategy. This metric supplements the net interest margin sensitivity.                                                                                                                                                  |

| – | Sensitivity that combines the two above metrics: the effect of changes in value of instruments recognised directly 
 through profit or loss or through equity is added to the net interest margin sensitivity.                          |

In the quantitative interest rate risk estimations made by each BSMU, a series of interest rate scenarios are designed which allow the different sources of risk mentioned above to be identified. These scenarios include, for each significant currency, parallel shifts and non-parallelshifts of the interest rate curve. Based on these, sensitivity is calculated as the difference resulting from:

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