Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 39

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 39
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 of individual transactions or pairs of transactions, as is typical in traditional hedging approaches. Companies applying macro hedging accounting have to demonstrate the effectiveness of the
hedges and follow a detailed process for documenting and testing their effectiveness.

This difference between IFRS-EU and IFRS-IASB emerged during the EU’s endorsement process of IAS 39 “Financial Instruments: Recognition and Measurement”, whereby the EU made specific carve-outs to account for the prepayment
risk associated with these portfolios and treat such risk as interest rate risk. This carve-out is not contemplated under IFRS-IASB, where the approach to macro hedges is focused on traditional risks, such as
interest rate risk, exchange rate risk or market price risk, with prepayment risk not falling under the definition and criteria set forth under IAS 39 “Financial Instruments: Recognition and Measurement”.

Based on BBVA’s reading of Banco Sabadell’s consolidated financial statements as of and for the year ended December 31, 2024,
BBVA believes that Banco Sabadell is applying hedge accounting to the prepayment risk associated with a portfolio of core deposits and to a mortgage portfolio. The use of this carve-out is not expressly
disclosed in the explanatory notes of such financial statements as it is compliant with IFRS-EU.

According to Note 12 to Banco Sabadell’s consolidated financial statements as of and for the year ended December 31, 2024, the value
adjustments on hedged items through macro hedges as of December 31, 2024

21

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.

amounted to €(412) million and €(227) million for assets and liabilities, respectively. The impact (before taxes) of macro hedges on Banco Sabadell’s consolidated income
statement for the year ended December 31, 2024 amounted to €(40) million and €7 million for hedging instruments and hedged items, respectively. These amounts include adjustments for all macro hedges and such adjustments may
not comply with IFRS-IASB.

Given the absence of information in Banco Sabadell’s consolidated financial statements as of and for the
year ended December 31, 2024 and Banco Sabadell’s condensed consolidated interim financial statements as of and for the six months ended