Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 716

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 716
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 with the same financial features. If the hedge relates to assets, the Group enters into a floating-to-fixedinterest rate swap, whereas if the macro-hedge relates to liabilities, it enters into a fixed-for-floatingswap. These derivatives can be traded in cash or as forwards. The hedged risk is the interest rate risk associated with the effect that a potential change in the benchmark interest rate could have on the future interest accrued on hedged balance sheet items. The credit spread and risk premium which, together with the benchmark index, make up the contractual interest rate applicable to the hedged balance sheet items is expressly excluded from the hedge. A-603

In order to assess the effectiveness of the hedge from the beginning, a backtesting
exercise is carried out which compares the accumulated variance in the fair value of the hedged item against the accumulated variance in the fair value of the hedging derivative. Hedge effectiveness is also assessed on a forward-looking basis,
verifying that the expected cash flows on the hedged items are still highly likely to materialise.

Possible causes of partial or total
ineffectiveness include changes in the sufficiency of the portfolio of hedged balance sheet items or differences in their contractual characteristics in relation to hedging derivatives.

Every month, the Group calculates the interest rate risk metrics and establishes hedging strategies in accordance with the established risk appetite
framework. Hedges are therefore managed, establishing hedges or discontinuing them, as required, on the basis of the evolution of the balance sheet items described previously within the management and control framework defined by the Group through
its policies and procedures.

Hedging of net investments in foreign operations

The positions of subsidiaries and foreign branches implicitly entail exposure to exchange rate risk, which is managed by creating hedges through the
use of forward contracts and options.

The maturities of these instruments are periodically renewed on the basis of prudential and forward-looking
criteria.

A-604

2022 hedging disclosures The nominal values and the fair values of the hedging instruments as at 31 December 2022 and 2021, broken down by risk category and type of hedge, are as follows:

| Thousand euro                                 |     |         |            |     |        |           |     |             |           |     |         |            |     |        |         |     |             |         |
|                                               |     |    2022 |            |     |        |           |     |             |           |     |    2021 |            |     |