Company: BBVXF
Filing Date: 2025-03-21
Form Type: 6-K
Source: 0000842180-25-000016
Chunk: 156

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-03-21
Form: 6-K
Chunk 156
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 |     | [-0,5% , 0,5%]  |                          |     | [-0,5% , 0,5%]  |                             |     | [-0,5% , 0,5%]  |
| Other                                                                |     |                                  |     | [-0,5% , 0,5%] |                          |     | [-0,5% , 0,5%]  |                             |     | [-0,5% , 0,5%]  |                          |     | [-0,5% , 0,5%]  |                             |     | [-0,5% , 0,5%]  |
| BBVA Group                                                           |     |                                  |     | [1,5% , 2,5%]  |                          |     | [-3,5% , -2,5%] |                             |     | [-3,5% , -2,5%] |                          |     | [2,5% , 3,5%]   |                             |     | [-1,5% , -0,5%] |
| (1)Percentage of "12 months" net interest income for the BBVA Group. 
 (2)Percentage of CET1 (Fully Loaded) for BBVA Group.                 |     |                                  |     |                |                          |     |                 |                             |     |                 |                          |     |                 |                             |     |                 |

The key modelling and parametric assumptions used for internal calculations are the same as those used for the prescribed for the SOT regulatory IRRBB metrics (as explained in the following section), except for the following settings:

• Multiple risk free discount curves are used in order to capture basis risk, instead of one single curve as for the SOT calculations.

• Floors applied to negative rates in the internal risk scenarios are different from the one prescribed for EBA SOT scenarios.

• Cross-currency aggregation methods, based on historical correlation among currencies, are used.

• For the internal metrics, in the Net Interest Income (NII) projections it is applied a dynamic balance sheet growth assumption, based on the updated financial planning.

| PILLAR 3 2024 |     | 4. RISK |     | P. 187 |

4.4.1.5. IRRBB SOT regulatory metrics

Article 448 a), b), d) CRR

EBA