Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 139

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 139
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 P. 174 |

By type of market risk assumed by the Group's trading portfolio, the main risk factor for the Group continued to be that linked to interest rates, with a weight of 78% of the total as of December 31, 2024 (this figure includes the spread risk). The relative weight of this risk has increased 8 percentage points compared with the close of 2023. Exchange-rate risk accounted for 11% of the total risk, maintaining its weight with respect to December 2023, while equity, volatility and correlation risk has decreased, with a weight of 3% and 8% respectively, which implies a reduction of their relative weights of 3 and 5 percentage points, respectively with respect to 2023.

According to article 455, letter d) and e) of the CRR -corresponding to the breakdown of information on internal models of Market Risk-, the elements that make up the Own Funds requirements to which a reference is made in articles 364 and 365 of the CRR, are presented below.

| Table 57.EU MR2-A - Market risk under the IMA(Million Euros) |

|                                                                                                        |     | 12-31-2024 |     |        |     |                      | 12-31-2023 |     |       |     |                      |
|                                                                                                        |     |            |     |    RWA |     | Capital Requirements |            |     |   RWA |     | Capital Requirements |
| VaR                                                                                                    |     |            |     |  2,626 |     |                  210 |            |     | 2,764 |     |                  221 |
| Previous day's VaR                                                                                     |     |            |     |        |     |                   70 |            |     |       |     |                   85 |
| Average of the daily VaR on each of the preceding sixty business days (VaRavg) x multiplication factor |     |            |     |        |     |                  210 |            |     |       |     |                  221 |
| SVaR                                                                                                   |     |            |     |  5,472 |     |                  438 |            |     | 3,958 |     |                  317 |
| Latest SVaR                                                                                            |     |            |     |        |     |                  161 |            |     |       |     |                  109 |
| Average of the SVaR