Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 717

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 717
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edges of transactions involving customer loans, recognised under the heading “Financial assets at                                                                             
 amortised cost” and those involving debt securities under the headings “Financial assets at fair value through other comprehensive income” and “Financial assets at amortised cost”. |

A-605

| C. | Micro-hedges of future transactions. The Institution designates as a hedging item those derivative contracts that                                         
 will be settled for their gross amount through the transfer of the underlying asset (generally, fixed-income securities) according to the contract price. |

| D. | Micro-hedging operations carried out by the Group’s securitisation funds. |

| E. | Micro-hedges of transactions involving term deposits arranged by customers and which are currently being sold. |

| F. | Micro-hedges of interest rates on inflation-linked bonds, recognised under the heading “Financial assets at                                          
 amortised cost”. The Group has arranged financial swaps to hedge future changes in cash flows that will be settled by inflation-linked bonds (ILBs). |

| G. | Hedges against foreign exchange risk on permanent investments currently cover 333 million pounds sterling and                                                                                                                  
 9,253 million Mexican pesos corresponding to interests held in Group entities (213 million pounds sterling and 10,003 million Mexican pesos as at 31 December 2021) and 425 million US dollars corresponding to interests held 
 in foreign branches (280 million US dollars as at 31 December 2021). All of these hedges are carried out through currency forwards.                                                                                            |

| H. | Macro-hedges of the Institution’s funding operations in capital markets, transactions involving term deposits         
 and demand deposits arranged by customers and recognised under the heading “Financial liabilities at amortised cost”. |

| I. | Macro-hedges of debt securities classified under the headings “Financial assets at fair value through other                                                                               
 comprehensive income” and “Financial assets at amortised cost”, and of fixed-rate mortgage loans granted to customers, recognised under the heading “Financial assets at amortised cost”. |

| J. | Macro-hedges of floating rate mortgage loans granted to customers recognised under the heading “Financial assets                                                            
 at amortised cost”. The average rate of interest rate swaps used for this hedge was 3.59% as at 31 December 2022. This last hedge was not in effect as at 31 December 2021. |

The maturity profiles of the hedging instruments used by the Group as at 31 December 2022 and 2021 are shown below: