Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 853

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 853
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57 |     |    0.11 |     |    0.25 |     |    0.62 |     |    0.07 |
| Aggregate VaR                   |     |    2.75 |     |    4.81 |     |    2.10 |     |    2.89 |     |    5.39 |     |    1.15 |

During 2022, the overall VaR figures of trading activity have remained at medium-lowlevels, the exchange rate being the main risk factor, due to a higher exposure of portfolios to this risk factor. In spite of the increased volatility during the year, on average the figures dropped slightly compared to the previous year as the Covid-19scenarios, which had a considerable impact on the foreign exchange risk factor, no longer fell within the time window considered, although a slight rebound of interest rates and credit spreads was observed. Structural interest rate risk Structural interest rate risk is inherent in banking activity and is defined as the current or future risk to both the income statement (income and expenses) and the economic value of equity (present value of assets, liabilities and off-balancesheet positions) arising from adverse interest rate fluctuations affecting interest rate-sensitive instruments in non-tradingactivities (also known as Interest Rate Risk in the Banking Book, or IRRBB). The Group identifies five interest rate sub-risks:

| – | Repricing risk is the risk arising from mismatches at the time the repricing of interest rate-sensitive instruments                      
 occurs, including those changes in the time structure of interest rates that occur consistently along the yield curve (parallel shifts). |

| – | Curve risk is the risk arising from mismatches at the time the repricing of interest rate-sensitive instruments                                         
 occurs, including those changes in the time structure of interest rates that occur differently depending on the time to maturity (non-parallel shifts). |

| – | Basis risk includes the risk arising from the impact of relative changes in interest rates on instruments with 
 similar maturities but whose repricing is determined using different interest rate indices.                    |

| – | Automatic optionality risk comprises the risk arising from automatic options (e.g. lending floors and caps), both                                                                                                                                       
 embedded and explicit, in which the Balance Sheet Management Unit (BSMU) or its customer can alter the level and timing of their cash flows and in which the holder will almost certainly exercise the option when it is in their financial interest to 
 do so.                                                                                                                                                                                                                                                  |

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