Company: BBVXF
Filing Date: 2025-02-27
Form Type: F-4/A
Source: 0001193125-25-037317
Chunk: 714

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-02-27
Form: F-4/A
Chunk 714
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     | + 100 bp      |          |     |           -0.2 |   % |   |     |      -0.1 |    % |   |     |      -0.3 |   % |   |     |         -0.2 |   % |   |

(*) Changes to macroeconomic variables are applied in absolute terms. (**) In the scenario of a change to the UK employment rate, a standard deviation of +/- 100 bps represents the relative standard deviation of the macroeconomic variable 3 times higher than in Spain. Note 12 – Derivatives - hedge accounting Hedging management The main hedges arranged by the Group are described below: Interest rate risk hedge Based on the balance sheet position and the market situation and outlooks, interest rate risk mitigation strategies are proposed and agreed upon to adapt this position to the one desired by the Group. With this aim in mind, Banco Sabadell Group establishes interest rate hedging strategies for positions that are not included in the trading book and, to that end, derivative instruments are used, whether fair value or cash flow hedging instruments, and a distinction is made between them depending on the items hedged:

| – | Macro-hedges: hedges intended to mitigate the risk of balance sheet components. |

| – | Micro-hedges: hedges intended to mitigate the risk of a particular asset or liability. |

A-602

When a transaction is designated as a hedging operation, it is classified as such from the outset of the transaction or the inception of the instruments included in the hedge, and a document is prepared which covers the hedging strategy, defining it in management and accounting terms, and setting out its governance. The aforesaid document clearly identifies the item or items hedged and the hedging instrument, the risk that it seeks to hedge and the criteria or methodologies followed by the Group to evaluate its effectiveness. The Group operates with the following types of hedges intended to mitigate structural interest rate risk:

| – | Fair value hedges: hedges against the exposure to changes in the fair value of assets and liabilities recognised on                                                                                                  
 the balance sheet, or against the analogous exposure of a specific selection of such assets and liabilities, that can be attributed to interest rate risk. These are used to keep a stable economic value of equity. |

The main types of balance sheet items hedged are:

| • |     | Fixed-rate loans included in the lending portfolio. |

| • |     | Debt securities included in the portfolio