Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 340

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 340
---
 as the difference resulting from:

| – | Baseline scenario: movements in market interest rates based on implicit interest rates. |

| – | Stressed scenario: a shift in interest rates in relation to the baseline scenario, with the extent of this shift                                                                                              
 varying depending on the scenario to be calculated. A post-shock interest rate floor is applied, starting at -150 basis points for immediate maturities and increasing by 3 basis point intervals, eventually 
 reaching 0% after 50 years or more.                                                                                                                                                                           |

In addition, in the annual planning exercises, measurements are made that include assumptions regarding the balance sheet’s evolution based on the scenarios used for the forecasts of the Group’s Financial Plan, which consider different interest rates, volumes and margins. Furthermore, in accordance with the Group’s corporate principles, all BSMUs regularly carry out stress tests, which allow them to forecast high-impact situations with a low probability of occurrence that could place BSMUs in a position of extreme exposure to interest rate risk, and they also consider mitigating actions for such situations. The stress test is complemented with reverse stress tests which aim to identify the scenarios capable of producing a particular impact within a pre-establishedrange of values. The following table gives details of the Group’s interest rate gap based on maturities and interest rate revisions, excluding valuation adjustments, as at 31 December 2024 and 2023:

| Thousand euro                      |     |         |            |   |     |        |            |   |     |         |            |     |              |            |   |     |              |            |   |     |              |            |   |     |              |            |   |     |             |             |   |     |       |             |
|                                    |     |         |            |   |     |        |            |   |     |         |            |     |         2024 |            |   |     |              |            |   |     |              |            |   |     |              |            |   |     |             |             |   |     |       |             |
| Time to maturity or                
 repricing                          |     | Up to 1 
 month   |            |   |     | 1 to 3 
 months |            |   |     | 3 to 12 
 months  |            |     | 1 to 2 years |            |   |     | 2 to 3 years |            |   |     |