Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 158

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 158
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 | % |           |  2.61 | % |            |       |   |           |       |   |

The SOT regulatory metrics have been calculated as described in the guidelines.

IRRBB measures cover the principal exposures in currency EUR, USD, MXN, TRY and COP, up to a cumulative percentage of the banking book above 90%. A new addition, compared to june-24, is the inclusion of BBVA Colombia in the scope of the SOT exercise.

Reported changes of the economic value of equity (EVE) are calculated as follows:

• Changes in EVE under the six supervisory interest rate shock scenarios

• The supervisory maturity-dependent post-shock interest rate floor (-1.5%) has been applied for each currency

• Changes in EVE are expressed as a percentage of BBVA's Tier 1 fully loaded at the reporting date

• Aggregate EVE change for each interest rate shock scenario has been calculated by adding together any negative and positive changes to EVE occurring in each currency. Positive changes have been weighted by a factor of 50%.

• Run-off balance sheet assumption: existing positions mature and are not replaced

• Own equity has been excluded from the computation of the exposure level

• Commercial margins are included in the interest cash flows

• Cash flows have been discounted using one only risk-free rate yield curve

Reported changes of the net interest income (NII) are calculated as follows:

• Changes in projected NII over a forward-looking rolling 12-month period under the two parallel supervisory interest rate shock scenario out of the six supervisory shock scenarios for EVE

• The supervisory maturity-dependent post-shock interest rate floor (-1.5%) has been applied for each currency

• Instantaneous shocks are applied

• Changes in NII are expressed as a percentage of BBVA Tier 1 f ully loaded as of the date of the report

• Aggregate NII change for each interest rate shock scenario has been calculated by adding together any negative and positive changes to NII occurring in each currency. Positive changes have been weighted by a factor of 50%.

• Constant balance sheet assumption

• New exposures are repriced considering the margin of new productions at the reporting date.

• Commercial margins are included in the interest cash flows

• Fees and commissions attributable for interest rate changes are not included

SOT metrics significance and evolution

SOT IRRBB metrics at Group level remain in a medium-low risk level, maintaining the negative exposure to parallel down scenario for the NII approach,