Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 441

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 441
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 acquired specifically to hedge                                                                                                 
 against certain balances or transactions and to show the intended method for achieving and measuring hedge effectiveness, provided that this method is consistent with the Group’s own risk management processes. |

Hedges are applied to either individual items and balances (micro-hedges) or to portfolios of financial assets and financial liabilities (macro-hedges). In the latter case, the set of financial assets and financial liabilities to be hedged must share the same type of risk, a condition that is met when the individual hedged items have a similar interest rate sensitivity. Changes that take place after the designation of the hedge, changes in the measurement of financial instruments designated as hedged items and changes in financial instruments designated as hedging instruments are recognised in the following way:

| – | In fair value hedges, differences arising in the fair value of the derivative and the hedged item that are                                                                                                                                        
 attributable to the hedged risk are recognised directly in the consolidated income statement, with a balancing entry under the headings of the consolidated balance sheet in which the hedged item is included, or under the heading “Derivatives 
 – Hedge accounting”, as appropriate.                                                                                                                                                                                                              |

In fair value hedges of interest rate risk of a portfolio of financial instruments, gains or losses arising when the hedging instrument is measured are recognised directly in the consolidated income statement. Losses and gains arising from fair value changes in the hedged item that can be attributed to the hedged risk are recognised in the consolidated income statement with a balancing entry under the heading “Fair value changes of the hedged items in portfolio hedge of interest rate risk” on either the asset side or the liability side of the consolidated balance sheet, as appropriate. In this case, hedge effectiveness is assessed by comparing the net position of assets and liabilities in each time period against the hedged amount designated for each of them, immediately recognising the ineffective portion under the heading “Gains or (-) losses on financial assets and liabilities, net” of the consolidated income statement.

| – | In cash flow hedges, differences in the value of the effective portion of hedging instruments are recognised under                                                                                                                      
 the heading “Accumulated other comprehensive income – Hedging derivatives. Cash flow hedges reserve [effective portion]” of the consolidated statement of equity. These differences are recognised in the consolidated income statement 
 when the losses or gains on the hedged item are recognised through profit or loss, when the envisaged transactions are executed, or on the maturity date of the hedged item.                                                            |

A