Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 665

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 665
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MUs). 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

As confidentially submitted to the Securities and Exchange Commission on August 11, 2025. This Amendment No. 4 has not been publicly filed with the Securities and Exchange Commission and all information herein remains strictly confidential.

| – | 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 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