Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 337

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 337
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-balancesheet positions) arising from adverse movements in interest rates that affect interest rate-sensitive instruments in non-tradingactivities (also known as Interest Rate Risk in the Banking Book, or IRRBB). Credit Spread Risk in the Banking Book (CSRBB) refers to potential losses in the economic value of an institution’s equity and earnings driven changes in the market price for credit risk, for liquidity and for potentially other characteristics of credit-risky instruments, which are not captured by another existing prudential framework such as IRRBB or by expected credit/(jump-to-)default risk. In other words, it captures how the credit spread fluctuates within a certain credit rating/PD range. The Group’s management of these risks pursues two fundamental objectives:

| – | Stabilise and defend net interest income, preventing interest rate fluctuations and movements in credit spreads from 
 causing excessive changes to the budgeted NII.                                                                       |

| – | Minimise the volatility of the economic value of equity, this perspective being complementary to that of NII. |

Interest rate risk and credit spread risk are managed through a Group-wide approach on the basis of the RAS, approved by the Board of Directors. A decentralised model is followed based on Balance Sheet Management Units (BSMUs). In coordination with the Group’s corporate functions, each BSMU has the autonomy and capability to carry out risk management and control duties. The Group’s current interest rate risk and credit spread risk management strategy is based on the following principles in particular, in line with the business model and the defined strategic objectives:

| – | Each BSMU has appropriate tools and robust processes and systems in place to adequately identify, measure, manage,                                                                                                                                 
 control and report on IRRBB and CSRBB, following the main criteria defined by the Group’s internal methodologies. This makes it possible to obtain information about all of the identified sources of IRRBB and CSRBB, assess their effect on the  
 net interest income and the economic value of equity and measure the vulnerability of the Group/BSMU in the event of potential losses arising from IRRBB and CSRBB under different scenarios affecting the interest rate and credit spread curves. |

| – | At the corporate level, a series of limits are established for overseeing and monitoring IRRBB and CSRBB exposure                                                                                                                                    
 levels, which are aligned with internal risk tolerance policies. However, each BSMU has the autonomy and structure required to properly manage and control IRRBB and CSRBB. Specifically, each BSMU has sufficient autonomy