Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 776

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 776
---
 the NSFR stood at 151% for the TSB LMU, 132% for Banco Sabadell Spain and 138% for the Group.

4.4.3.2. Market risk

Market risk is defined as the risk of financial instrument positions losing some or all of their market value due to changes in risk
factors affecting their market price or quotations, their volatility, or the correlations between them.

Positions that generate market risk are
usually held in connection with trading activity, which consists of the hedging transactions arranged by the Bank to provide services to its customers as well as discretionary proprietary positions.

Market risk can also arise from the mere maintenance of overall (also known as structural) balance sheet positions that in net terms are left open.
This risk is addressed in the sections on structural risks.

A-644

The items of the consolidated balance sheet as at 31 December 2022 and 2021 are shown below, making a distinction between positions included in trading activity and other positions. In the case of items not included in trading activity, their main risk factor is indicated:

| Thousand euro                                                                   |     |                  |             |     |                  |           |     |       |             |     |                              |
|                                                                                 |     | 31/12/2022       |             |     |                  |           |     |       |             |     |                              |
|                                                                                 |     | On-balance sheet 
 balance          |             |     | Trading activity |           |     | Other |             |     | Main market risk factor in   
 “Other”                      |
| Assets subject to market risk                                                   |     |                  | 251,379,528 |     |                  | 2,670,824 |     |       | 248,708,704 |     |                              |
| Cash, cash balances at central banks and other demand deposits                  |     |                  |  41,260,395 |     |                  |         — |     |       |  41,260,395 |     | Interest rate                |
| Financial assets held for trading                                               |     |                  |   4,017,253 |     |                  | 2,670,824 |     |       |   1,346,429 |     | Interest rate                |
| Non-trading financial assets mandatorily at fair value through profit or loss   |     |                  |      77,421 |     |                  |         — |     |       |      77,421 |