Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 492

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 492
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 liability to be valued are taken into account, particularly the different types of risks that may be associated therewith. Notwithstanding the foregoing, the limitations inherent in the valuation models that have been developed and possible inaccuracies in the assumptions and parameters required by these models may result in the estimated fair value of a financial asset or financial liability not exactly matching the price at which the asset or liability could be delivered or settled on the valuation date. The fair value of financial derivatives quoted on an active market is the daily quoted price. In the case of instruments for which quoted prices cannot be determined, prices are estimated using internal models developed by the Bank, most of which take data based on observable market parameters as significant inputs. In the remaining cases, the models make use of other inputs that rely on internal assumptions based on generally accepted practices within the financial community. For financial instruments, the fair values disclosed in the financial statements are classified according to the following fair value levels:

| – | Level 1: fair values are obtained from the (unadjusted) prices quoted on active markets for that instrument. |

| – | Level 2: fair values are obtained from the prices quoted on active markets for similar instruments, the prices of                                                     
 recent transactions, expected payment flows or other valuation techniques in which all significant inputs are directly or indirectly based on observable market data. |

| – | Level 3: fair values are obtained through valuation techniques in which one or more significant inputs is not based 
 on observable market data.                                                                                          |

A-215

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. Set out below are the main valuation methods, assumptions and inputs used when estimating the fair value of financial instruments classified in Levels 2 and 3, according to the type of financial instrument concerned:

| Level 2 financial      
 instruments            |                                                                                                                                                                                                                           | Valuation techniques    |                                                                                                                         | Main assumptions                                                                                                                                  |                                                                                                   | Main inputs used                                                                                        |
| Debt securities        |                                                                                                                                                                                                                           | Net present value       
 method                  |                                                                                                                         | Calculation of the present value of financial instruments as the present value of future cash flows (discounted at market interest rates), taking 
 into account: - An estimate of pre-payment rates                                                                                                  
 - Issuers’ credit risk                                                                                                                            |                                                                                                   | - Issuer credit spreads                                                                                 
 - Observable market interest rates                                                                      |
| Equity instruments