\u2013 Specific Risk: Securitization, correlation portfolios and Investment funds without look-through. Capital charges for
securitizations and correlation portfolios are assessed based on the potential losses associated with the occurrence of a
credit event in the underlying exposures. They are calculated by the standard model. The scope of the correlations
portfolios refers to the First To Default (FTD)-type market operation and/or tranches of market CDOs and only for positions
with an active market and hedging capacity. Capital charge for Funds include losses associated with volatility and credit risk
of the underling positions of the fund. All charges are calculated by the standard model.
Validity tests are performed regularly on the risk measurement models used by the Group. They estimate the maximum loss that
could have been incurred in the assessed positions with a certain level of probability (backtesting), as well as measurements of the
impact of extreme market events on risk positions (stress testing). As an additional control measure, backtesting is conducted at a
trading desk level in order to enable more specific monitoring of the validity of the measurement models.
Market risk in 2024
The Group\u2019s market risk related to its trading portfolio remained in 2024 at low levels compared to other risks managed by BBVA,
particularly credit risk. This is due to the nature of the business. In 2024, the average VaR was \u20ac37 million, above the figure of 2023,
with a maximum level in the year reached on February 19, 2024 of \u20ac50 million. The evolution in the BBVA Group\u2019s market risk during
2024, measured as VaR with a 99% confidence level and a 1-day horizon (shown in Millions of Euros) is as follows:
By type of market risk assumed by the Group's trading portfolio, the main risk factor for the Group continued to be that linked to
interest rates, with a weight of 78% of the total as of December 31, 2024 (this figure includes the spread risk). The relative weight of
this risk has increased 8 percentage points compared with the close of 2023. Exchange-rate risk accounted for 11% of the total risk,
maintaining its weight with respect to December 2023, while equity, volatility and correlation risk has decreased, with a weight of 3%
and 8% respectively, which implies a reduction of their relative weights of 3 and 5 percentage points, respectively with respect to
2023.