Company: BBVXF
Filing Date: 2025-09-05
Form Type: F-4/A
Source: 0001193125-25-196513
Chunk: 437

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-05
Form: F-4/A
Chunk 437
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 for management purposes. The most significant of these include:

| – | Prepayment of the loan portfolio and early termination of term deposits (embedded optionality): in order to reflect                                                                                                                            
 customers’ reactions to interest rate fluctuations, prepayment/early termination assumptions are defined, broken down by type of product. To that end, the Institution uses historical data to ensure alignment with best market practice. The 
 evolution of market interest rates can prompt customers to pay off their loans or withdraw term deposits early, altering the future evolution of balances with respect to that envisaged according to the contractual schedule.                |

A-197

| Prepayment mainly affects fixed-rate mortgages when their contractual interest rates are high compared to market interest rates. |

| – | Modelling of demand deposits and other liabilities with no contractual maturity: a model has been defined using                                                                                                                                        
 historical monthly data to reproduce customer behaviour, establishing parameters concerning the deposits’ stability, the percentage of interest rate movements that is passed through to the interest paid on the deposits and the delay with which    
 this occurs, depending on the type of product (type of account/transactionality/interest paid) and the type of customer (retail/wholesale). The model captures the effect of low interest rates on the stability of deposits, as well as the potential 
 migration to other deposits that earn more interest in different interest rate scenarios.                                                                                                                                                              |

| – | Modelling of non-performing lending items: a model has been defined that                                                                                                                                          
 enables the expected cash flows associated with non-performing positions (net of provisions, i.e. those expected to be recovered) to be included within pools of interest rate-sensitive items. To that end, both 
 existing balances and estimated recovery periods have been included.                                                                                                                                              |

The process for approving and updating IRRBB models is part of the corporate governance arrangements for models, whereby these models are reviewed and validated by a division that is always separate from the division that created them. This process is described in the corresponding Model Risk Policy and establishes both the responsibilities of the different areas involved in the models and the internal validation framework to be followed, the monitoring requirements established on the basis of their materiality and the backtesting processes. Regarding the measurement systems and tools used, all sensitive transactions are identified and recorded taking into account their interest rate characteristics, the sources of information being the official ones of the Institution. These transactions are aggregated according to predefined criteria, so that calculations can be made faster without undermining the quality or reliability of the data. The entire data process is subject to