Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 466

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 466
---
 time horizons. It is obtained by comparing net interest income over a given time horizon in the baseline scenario, which is the one obtained from market-implied interest rates, against the one obtained in an instantaneous shock scenario, 
 always considering the result obtained in the least favourable scenario. This metric supplements the economic value of equity sensitivity.                                                                                                              |

| – | Economic Value of Equity (EVE) sensitivity: static metric that measures the impact of changes in interest rates. It                                                                                                                              
 is obtained by comparing the economic value of the balance sheet in the baseline scenario against the one obtained in an instantaneous shock scenario, always considering the result obtained in the least favourable scenario. This is done by  
 calculating the present value of interest rate-sensitive items as an updated risk-free interest rate curve, on the reference date, of future payments of principal and interest without taking into account commercial margins, in line with the 
 Group’s IRRBB management strategy. This metric supplements the NII sensitivity.                                                                                                                                                                  |

A-195

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.

| – | A sensitivity metric that combines the two previous metrics: the effect of changes in value of instruments recognised 
 directly through profit or loss or through equity is added to NII sensitivity.                                        |

In the quantitative interest rate estimations made by each BSMU, a series of interest rate scenarios are designed which allow the different sources of risk mentioned above to be identified. These scenarios include, for each significant currency, parallel shifts and non-parallelshifts of the interest rate curve. Based on these, sensitivity is calculated as the difference resulting from:

| – | Baseline scenario: movements in market interest rates based on implicit interest rates. |

| – | Stressed scenario: a shift in interest rates in relation to the baseline scenario, with the extent of this shift                                                                                              
 varying depending on the scenario to be calculated. A post-shock interest rate floor is applied, starting at -150 basis points for immediate maturities and increasing by 3 basis point intervals, eventually 
 reaching 0% after 50 years or more.                                                                                                                                                                           |

In addition, in the annual planning exercises, measurements are made that include assumptions regarding the balance sheet’s evolution based on the scenarios used for the forecasts of the Group’s Financial Plan, which consider different interest rates, volumes and margins. Furthermore, in accordance with the