Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 159

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 159
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| PILLAR 3 2024 |     | 4. RISK |     | P. 188 |

case of the EVE, the worst scenario among the 6 prescriptive scenarios corresponds to the parallel up scenario.

When compared to June-24 results, risk remains at moderate levels. From the EVE point of view, the most significant impacts in the worst-case scenario again come mainly from the local currency balance sheet of BBVA Mexico, due to the larger shocks applied in the prescriptive scenarios, and from the euro balance sheet of BBVA S.A. which presents the higher exposure. Likewise, a slight deterioration is observed during the period, partially due to the inclusion of BBVA Colombia in the exercise.

From NII's perspective, there is a reduction in risk, mainly in BBVA S.A. and BBVA Mexico, as a result of strategies implemented to protect the Net Interest Income amid expectations of declining interest rates.

Additionally, in both dimensions, the ratio benefits from the increase in BBVA’s TIER 1 Capital and the depreciation of the Mexican peso against the euro during the period.

#### 4.4.2.

#### Structural exchange rate risk
Structural exchange rate risk, is defined as the possibility of impacts on solvency, equity value and results driven by fluctuations in the exchange rates due to exposures in foreign currencies.

Structural exchange rate risk is inherent to the business of international banking groups, such as BBVA, that develop their activities in different geographical areas and currencies. At a consolidated level, structural exchange-rate risk arises from the consolidation of holdings in subsidiaries with functional currencies other than the euro. Its management is centralized in order to optimize the joint management of permanent foreign currency exposures, taking diversification into account.

The purpose of structural exchange rate risk management is protecting solvency by limiting volatility of the consolidated CET1 ratio and income to consolidate denominated in a currency other the euro in the Group, as well as to limit the capital requirements under exchange rate fluctuations to which the Group is exposed due to its international diversification. The ALM Global corporate unit, through the ALCO, is responsible for the management of this risk all through an active hedging policy, deliberately taken for each objective, and fully aligned with the management strategy.

At the corporate level, the risk monitoring metrics included in the limits framework are aligned with the Risk Appetite Framework, and are targeted to control the effects on the solvency through the economic capital metric and the fluctuations in the Common Equity Tier I fully