Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 460

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 460
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holders and Investors - Fixed income investors”.

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-191

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. The items of the consolidated balance sheet as at 31 December 2024 and 2023 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                                                                   |     |                  |             |   |     |                  |           |     |       |             |   |     |                            |                              |
|                                                                                 |     | 31/12/2024       |             |   |     |                  |           |     |       |             |   |     |                            |                              |
|                                                                                 |     | On-balance sheet 
 balance          |             |   |     | Trading activity |           |     | Other |             |   |     | Main market risk factor in 
 “Other”                    |                              |
| Assets subject to market risk                                                   |     |                  | 239,597,927 |   |     |                  | 2,615,848 |     |       | 236,982,079 |   |     |                            |                              |
| Cash, cash balances at central banks and other demand deposits                  |     |                  |  18,382,112 |   |     |                  |         — |     |       |  18,382,112 |   |     |                            | Interest rate                |
| Financial assets held for trading                                               |     |                  |   3,438,955 |   |     |                  | 2,615,848 |     |       |     823,107 |   |