Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 690

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 690
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 to adequately identify, measure, manage,                                                                                                                                
 control and report on IRRBB, following the main criteria defined by the Group’s internal methodology. The Group uses these to obtain information about all of the identified sources of IRRBB, assess their effect on the net interest margin and 
 the economic value of equity and measure the vulnerability of the Group/BSMU in the event of potential losses arising from IRRBB under different scenarios affecting the interest rate curves.                                                    |

| – | At the corporate level, a series of limits are established for overseeing and monitoring IRRBB exposure levels, which                                                                                                                                    
 are aligned with internal risk tolerance policies. However, each BSMU has the autonomy and structure required to properly manage and control IRRBB. Specifically, each BSMU has sufficient autonomy to choose the management target that it will pursue, 
 although all BSMUs should follow the principles and critical parameters set by the Group, adapting them to the specific characteristics of the region in which they operate.                                                                             |

| – | The existence of a transfer pricing system. |

| – | The set of systems, processes, metrics, limits, reporting arrangements and governance arrangements included within 
 the IRRBB strategy must comply with regulatory precepts at all times.                                              |

As defined in the IRRBB Management and Control Policy, the first line of defence is undertaken by the various BSMUs, which report to their respective local Asset and Liability Committees. Their main role is to manage interest rate risk, ensuring it is assessed on a recurrent basis through management and regulatory metrics, taking into account the modelling of the various balance sheet totals and the level of risk taken. The metrics developed to control and monitor the Group’s structural interest rate risk are aligned with the market’s best practices and are implemented consistently across all BSMUs, based on the results obtained from the exercise carried out to identify sub-risksand assess their materiality mentioned previously, and by each of the local asset and liability committees. The diversification effect between currencies and BSMUs is taken into account when disclosing overall figures. The metrics that the Group calculates on a monthly basis are as follows:

| – | Interest rate gap: static metric showing the breakdown of maturities and repricing of sensitive balance sheet items.                                                  
 This metric compares the values of assets that are due to be revised or that mature in a given period and the liabilities that mature or reprice in that same period. |

| – | Duration analysis: a static metric based on the assignment of all cash flows of