Company: BBVXF
Filing Date: 2025-09-09
Form Type: 424B3
Source: 0001193125-25-198517
Chunk: 430

Company: BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
Filing Date: 2025-09-09
Form: 424B3
Chunk 430
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 income at 12 months. (**) Percentage calculated on the basis of shareholders’ equity. In addition to the impact on the net interest income within the time horizon of one year shown in the previous table, the Group calculates the impact on NII over a time horizon of two and three years, the result of which is considerably more positive for all currencies in a scenario of interest rate hikes. The metrics are calculated taking into account the behavioural assumptions concerning items with no contractual maturity and those whose expected maturity is different from the maturity established in the contracts, in order to obtain a view that is more realistic and, therefore, more effective for management purposes. The most significant of these include:

| – | Prepayment of the loan portfolio and early termination of term deposits (embedded optionality): in order to reflect                                                                                                                            
 customers’ reactions to interest rate fluctuations, prepayment/early termination assumptions are defined, broken down by type of product. To that end, the Institution uses historical data to ensure alignment with best market practice. The 
 evolution of market interest rates can prompt customers to pay off their loans or withdraw term deposits early, altering the future evolution of balances with respect to that envisaged according to the contractual schedule.                |

A-197

| Prepayment mainly affects fixed-rate mortgages when their contractual interest rates are high compared to market interest rates. |

| – | Modelling of demand deposits and other liabilities with no contractual maturity: a model has been defined using                                                                                                                                        
 historical monthly data to reproduce customer behaviour, establishing parameters concerning the deposits’ stability, the percentage of interest rate movements that is passed through to the interest paid on the deposits and the delay with which    
 this occurs, depending on the type of product (type of account/transactionality/interest paid) and the type of customer (retail/wholesale). The model captures the effect of low interest rates on the stability of deposits, as well as the potential 
 migration to other deposits that earn more interest in different interest rate scenarios.                                                                                                                                                              |

| – | Modelling of non-performing lending items: a model has been defined that                                                                                                                                          
 enables the expected cash flows associated with non-performing positions (net of provisions, i.e. those expected to be recovered) to be included within pools of interest rate-sensitive items. To that end, both 
 existing balances and estimated recovery periods have been included.                                                                                                                                              |

The process for approving and updating IRRBB models is part of the corporate governance arrangements for models, whereby these models are reviewed and validated by a division that is always