Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 108

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 108
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                          |     |  5,672 |                 |     |  4,383 |                          |     |  5,073 |                 |     |  5,488 |
| Index credit default swaps       |     |                          |     | 14,931 |                 |     | 15,860 |                          |     |  9,171 |                 |     | 10,113 |
| Total return swaps               |     |                          |     |      — |                 |     |  1,952 |                          |     |      — |                 |     |  1,475 |
| Credit options                   |     |                          |     |      — |                 |     |      — |                          |     |      — |                 |     |      — |
| Other credit derivatives         |     |                          |     |      — |                 |     |      — |                          |     |    159 |                 |     |      — |
| Notionals Total                  |     |                          |     | 20,603 |                 |     | 22,196 |                          |     | 14,403 |                 |     | 17,076 |
| Fair Values                      |     |                          |     |        |                 |     |        |                          |     |        |                 |     |        |
| Positive fair value (asset)      |     |                          |     |    174 |                 |     |    212 |                          |     |    166 |                 |     |    377 |
| Negative fair value (liability)  |     |                          |     |   -337 |                 |     |    -33 |                          |     |   -418 |                 |     |   -124 |

The main variation during 2024 was due to new transactions in indexed CDS.

Additionally, as of December 31, 2024, and December 31, 2023 the Group did not have any credit derivatives used in intermediation activities as hedges.

4.2.6.3. CVA charge requirements

Article 439 h) CRR

The CVA surcharge in Capital refers to the additional capital requirements to cover unexpected losses due to credit valuation adjustments, for which there are two approaches:

• Standardised Approach (Art. 384 CRR): application of a standard regulatory formula. The formula applied is an analytical approximation to the calculation of the CVA VaR by supposing that the

counterparty spreads