Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 339

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 339
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 financial contracts, 
 which allow changes in interest rates to effect a change in the behaviour of the customer.                           |

The main calculations performed by the Group on a monthly basis are the following:

| – | 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 repriced or that mature in a given period and the liabilities that mature or are to be repriced in that same period. |

| – | Duration analysis: a static metric based on the allocation of all flows of principal and interest of pools of                                                                                                                                             
 interest rate-sensitive instruments into time buckets. The duration of each pool is calculated from the change of its net present value due to a 1 basis point parallel shift of the yield curve. This gives the duration of both assets and liabilities. |

| – | Net Interest Income (NII) sensitivity: dynamic metric that measures the impact of changes in interest rates over                                                                                                                                        
 different time horizons. It is obtained by comparing net interest income over a given time horizon in the baseline scenario, which is the one obtained from market-implied interest rates, against the one obtained in an instantaneous shock scenario, 
 always considering the result obtained in the least favourable scenario. This metric supplements the economic value of equity sensitivity.                                                                                                              |

| – | Economic Value of Equity (EVE) sensitivity: static metric that measures the impact of changes in interest rates. It                                                                                                                              
 is obtained by comparing the economic value of the balance sheet in the baseline scenario against the one obtained in an instantaneous shock scenario, always considering the result obtained in the least favourable scenario. This is done by  
 calculating the present value of interest rate-sensitive items as an updated risk-free interest rate curve, on the reference date, of future payments of principal and interest without taking into account commercial margins, in line with the 
 Group’s IRRBB management strategy. This metric supplements the NII sensitivity.                                                                                                                                                                  |

A-106

| – | A sensitivity metric that combines the two previous metrics: the effect of changes in value of instruments recognised 
 directly through profit or loss or through equity is added to NII sensitivity.                                        |

In the quantitative interest rate estimations made by each BSMU, a series of interest rate scenarios are designed which allow the different sources of risk mentioned above to be identified. These scenarios include, for each significant currency, parallel shifts and non-parallelshifts of the interest rate curve. Based on these, sensitivity is calculated