Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 779

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 779
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     |    1.30 |     |    2.42 |     |    0.90 |     |    1.61 |     |    3.13 |     |    0.03 |
| Equity                          |     |    0.13 |     |    1.24 |     |       — |     |    0.16 |     |    1.89 |     |    0.04 |
| Credit spread                   |     |    0.25 |     |    0.57 |     |    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