Company: BBVXF
Filing Date: 2025-08-12
Form Type: DRS
Source: 0000950123-25-007520
Chunk: 464

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-08-12
Form: DRS
Chunk 464
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 on Balance Sheet Management Units (BSMUs). In coordination with the Group’s corporate functions, each BSMU has the autonomy and capability to carry out risk management and control duties. The Group’s current interest rate risk and credit spread risk management strategy is based on the following principles in particular, in line with the business model and the defined strategic objectives:

| – | Each BSMU has appropriate tools and robust processes and systems in place to adequately identify, measure, manage,                                                                                                                                 
 control and report on IRRBB and CSRBB, following the main criteria defined by the Group’s internal methodologies. This makes it possible to obtain information about all of the identified sources of IRRBB and CSRBB, assess their effect on the  
 net interest income and the economic value of equity and measure the vulnerability of the Group/BSMU in the event of potential losses arising from IRRBB and CSRBB under different scenarios affecting the interest rate and credit spread curves. |

| – | At the corporate level, a series of limits are established for overseeing and monitoring IRRBB and CSRBB exposure                                                                                                                                    
 levels, which are aligned with internal risk tolerance policies. However, each BSMU has the autonomy and structure required to properly manage and control IRRBB and CSRBB. Specifically, each BSMU has sufficient autonomy to choose the management 
 target that it will pursue, although all BSMUs should follow the principles and critical parameters set by the Group, adapting them to the specific characteristics of the region in which they operate.                                             |

| – | The existence of a transfer pricing system. |

| – | The set of systems, processes, metrics, limits, reporting arrangements and governance arrangements included within 
 the IRRBB and CSRBB strategy must comply with regulatory precepts at all times.                                    |

A-194

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. As defined in the IRRBB and CSRBB Management and Control Policy, the first line of defence is undertaken by the various BSMUs, which report to their respective local Asset and Liability Committees. Their main role is to manage interest rate risk and credit spread risk, ensuring they are assessed on a recurrent basis through management and regulatory metrics, taking into account the modelling of the various balance sheet totals and the level of risk taken. The metrics developed to control and monitor the Group’s structural interest rate risk and