Banco Bilbao Vizcaya Argentaria. (BBVA) 6-K Current report (foreign)

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 6-K

REPORT OF FOREIGN ISSUER PURSUANT TO RULE 13a-16 OR 15d-16

UNDER THE SECURITIES EXCHANGE ACT OF 1934

For the month of March, 2023

Commission file number: 1-10110

BANCO BILBAO VIZCAYA ARGENTARIA, S.A.

(Exact name of Registrant as specified in its charter)

BANK BILBAO VIZCAYA ARGENTARIA, S.A.

(Translation of Registrant’s name into English)

Calle Azul 4,

28050 Madrid

Spain

(Address of principal executive offices)

Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or Form 40-F:

Form 20-F [X] Form 40-F [  ]

Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):

Yes [ ] No [X]

Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):

Yes [ ] No [X]

BBVA. PILLAR 3 2022 INDEX P. 1

Index

Index of Tables	4
Index of Charts	9
Executive Summary	11
1.Introduction	16
1.1.Applicable regulatory framework	17
1.2.Regulatory developments in 2021	18
1.3.Contents of the 2021 Prudential Relevance Report	22
2.General information requirements	24
2.1.Corporate name and differences between the consolidated group for the purposes of solvency regulations and accounting criteria	25
2.2.Identification of dependent entities with bank capital below the minimum requirement. Possible impediments to transferring own funds	31
2.3.Exemptions from capital requirements at the individual or sub-consolidated level	31
3.Eligible own funds and minimum requirements	32
3.1.Characteristics of the eligible capital resources	33
3.2.Amount of own funds	38
3.3.Own Funds requirements by risk type	43
3.4.IFRS 9 and OCI Transitional Arrangements	49
3.5.Procedure used in the capital self-assessment process	51
4.Risk	52
4.1.General Risk Management and Control Model	54
4.2.Credit and Counterparty Risk	64
4.3.Market Risk	160
4.4.Structural risk	177
4.5.Liquidity Risk	187

BBVA. PILLAR 3 2022 INDEX P. 2

4.6.Operational Risk	204
5.Leverage ratio	211
5.1.Leverage Ratio definition and composition	212
5.2.Evolution of the ratio	214
5.3Governance	215
6.Information on remuneration	216
6.1.Information on the decision-making process used to establish the remuneration policy for the Identified	218
6.2.Description of the different types of employees included in the Identified Staff	222
6.3.Key features of the remuneration system	223
6.4.Information on the connection between the remuneration of the Identified Staff and the Group's performance	230
6.5.Description of the criteria used to take into consideration present and future risk in the remuneration processes	232
6.6.Main parameters and the motivation of any component of possible variable compensation plans and other non-cash advantages	233
6.7.Ratios between fixed and variable remuneration of the Identified Staff	233
6.8.Quantitative information on remuneration of the Identified Staff	235
7.Information on the corporate governance system	241
7.1.Members of the Board of Directors of BBVA	243
7.2.Selection, suitability and diversity policy	247
7.3.Committees of the Board of Directors	249
7.4.Information flow on risk	251
8.Environmental, social and governance risk	253
8.1.Introduction and regulatory framework	255
8.2.Business processes and strategy	258
8.3.Governance model	268
8.4.Sustainability risk management	270
8.5.Transition risk	277

BBVA. PILLAR 3 2022 INDEX P. 3

8.6.Physical risk	290
8.7.Other climate and environmental risks	293
8.8.Social risk	295
8.9. Governance	300
8.10. Additional initiatives	302
Annexes	309

BBVA. PILLAR 3 2022 INDEX OF TABLES P. 4

Index of tables

Table 1. EU KM1 - Key metrics	14
Table 2. EU CC2 - Reconciliation of regulatory capital to balance sheet	28
Table 3. EU LI1 - Differences between the accounting and regulatory scopes of consolidation and the mapping of the financial statements categories with regulatory risk categories	29
Table 4. EU LI2 - Main sources of the differences between regulatory original exposure amounts and carrying values in financial statements	30
Table 5. Capital distribution constraints	35
Table 6.1. EU CCyB1 - Geographical breakdown of relevant credit exposures for the calculation of the countercyclical capital buffer	36
Table 6.2. EU CCyB2 - Amount of institution-specific countercyclical capital buffer	37
Table 7. Amount of capital (EU CC1)	40
Table 8. Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter	42
Table 9. EU OV1 - Overview of RWAs	44
Table 10. Capital requirements by risk type and exposure class	47
Table 11. IFRS 9-FL - Comparison of institutions’ own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs and with and without the application of the temporary treatment of gains and losses measured at Fair Value through OCI	50
Table 12. Credit Risk and Counterparty Risk Exposure	67
Table 13. Breakdown of RWA density by geographical area and approach	70
Table 14. EU CR1 - Performing and non-performing exposures and related provisions	72
Table 15. EU CQ3 - Credit quality of performing and non-performing exposures by past due days	75
Table 16. EU CQ4 - Quality of non-performing exposures by geography	77
Table 17. EU CQ5 - Credit quality of loans and advances to non-financial corporations by industry	79
Table 18. EU CR1-A - Maturity of exposures	81
Table 19. EU CR2 - Changes in the balance of loans and debt securities in default and impaired	81
Table 20. EU CQ1 - Credit quality of forborne exposures	82
Table 21. EU CQ7 - Collateral obtained by taking possession and execution processes	83
Table 22. Information on loans and advances subject to to legislative and non-legislative moratoria	84
Table 23. Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria	85
Table 24. Information on new loans and advances subject to public guarantee schemes introduced in response to the COVID-19 crisis	86
Table 25. EU CR4 - Standardised approach - credit risk exposure and credit risk mitigation effects	87
Table 26. EU CR5 - Standardised approach: exposure values after application of credit risk mitigation techniques	89

BBVA. PILLAR 3 2022 INDEX OF TABLES P. 5

Table 27. RWA flow statements of credit risk exposures under the standardised approach	91
Table 28. Models authorised by the supervisor for the purpose of their use in the calculation of capital requirements	91
Table 29. EU CR6-A — Scope of the use of IRB and SA approaches	92
Table 30. Master Scale of BBVA's rating	95
Table 31. EU CR6 - IRB approach - Credit risk exposures by exposure class and PD range	102
Table 32. EU CR8 - RWA flow statements of credit and counterparty risk exposures under the IRB approach	113
Table 33. EU CR9 - IRB approach - Backtesting of PD per exposure class	114
Table 34. EU CR9.1 - Backtesting of PD per exposure class	119
Table 35. EU CR10 (1-4) - IRB: specialised lending	124
Table 36. EU CR10 (5) - IRB: equity	127
Table 37. Positions subject to counterparty credit risk in terms of OE, EAD and RWAs	130
Table 38. Amounts of counterparty risk in the trading book	132
Table 39. EU CCR1 - Analysis of CCR exposure by approach	132
Table 40. EU CCR3 - Standardised approach - CCR exposures by regulatory portfolio and risk	134
Table 41. EU CCR4 - IRB approach: CCR exposures by portfolio and PD scale	135
Table 42. EU CCR5 - Composition of collateral for exposure to Counterparty Credit Risk	137
Table 43. EU CCR6 - Credit derivatives exposures	138
Table 44. EU CCR2 - CVA Capital Charge	139
Table 45. Flow statements CVA RWAs	140
Table 46. EU CCR8 - Exposures to CCPs	140
Table 47. EU SEC1 - Securitisation exposures in the banking book	145
Table 48. EU SEC2: Securitisation exposures in the trading portfolio	146
Table 49. EU SEC3 - Securitisation exposures in the banking book and associated regulatory capital requirements – bank acting as originator or as sponsor	148
Table 50. EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments	149
Table 51. Outstanding balance corresponding to the underlying assets of the Group's originated securitisations, in which risk transfer criteria are not fulfilled	150
Table 52. EU SEC4: Securitisation exposures in the banking book and associated capital requirements – bank acting as investor	151
Table 53. EU CR3 - CRM techniques - overview	155
Table 54. EU CR7-A - IRB approach – Disclosure of the extent of the use of CRM techniques	157
Table 55. EU MR1 - Market risk under the standardised approach	161
Table 56. EU PV1 - Prudent Valuation Adjustments	166

BBVA. PILLAR 3 2022 INDEX OF TABLES P. 6

Table 57. Trading Book. VaR without smoothing by risk factors	167
Table 58. EU MR2-A - Market risk under the IMA	168
Table 59. EU MR3 - IMA values for trading portfolios	169
Table 60. EU MR2-B - RWA flow statements of market risk exposures under the IMA	169
Table 61. Trading Book. Impact on earnings in Lehman scenario	170
Table 62. Trading Book. Stress resampling	171
Table 63. Average Maturities for NMDs	180
Table 64. Sensitivity to interest-rate and credit spread analysis	182
Table 65. EU IRRBB1 - Interest rate risk in the banking book	182
Table 66. Sensitivity to 1% change	184
Table 67. Breakdown of RWAs, equity investments and capital instruments by applicable approach	185
Table 68. Variation in RWAs for Equity Risk	186
Table 69. LtSCD by LMU	190
Table 70. LCR main LMU	190
Table 71. NSFR main LMU	191
Table 72. Inflows - Contractual maturities	191
Table 73. Outflows - Contractual maturities	191
Table 74. Maturity of wholesale issuances of Balance Euro by nature	193
Table 75. Maturity of wholesale issuances of BBVA Mexico by nature	194
Table 76. Maturity of wholesale issuances of BBVA Garanti by nature	194
Table 77. Maturity of wholesale issues of South America by nature	194
Table 78. EU LIQ1: Liquidity Coverage Ratio disclosure	195
Table 79. EU LIQ2 – Net Stable Funding Ratio (NSFR)	197
Table 80. Encumbered assets over total assets	199
Table 81. Covered bonds	200
Table 82. Covered bonds and securitisations issued and retained	200
Table 83. EU AE1 - Encumbered and unencumbered Assets	201
Table 84. EU AE2 - Collateral received	202
Table 85. EU AE3 -Sources of encumbrance	202
Tabla 86. EU OR1 - Regulatory capital for Operational Risk	209

BBVA. PILLAR 3 2022 INDEX OF TABLES P. 7

Table 87. EU LR1 - Summary reconciliation of accounting assets and exposure corresponding to the Leverage Ratio	213
Table 88. EU LR3 - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)	213
Table 89. Composition of the Remunerations Committee	219
Tabla 90. AVR Annual Performance Indicators	225
Table 91. Multi-year performance indicators	226
Table 92. Financial indicators - Level of achievement	230
Table 93. Non-Financial indicators - Level of achievement	231
Table 94. EU REM1 - Remuneration awarded for the financial year	236
Table 95. EU REM2 - Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff)	237
Table 96. EU REM3 - Deferred remuneration	238
Table 97. EU REM4 - Remuneration of €1 million or more per year	239
Table 98. EU REM5 - Information on remuneration of staff whose professional activities have a material impact on institutions’ risk profile (identified staff)	240
Table 99. Committees of the Board of Directors	249
Table 100. Number of meetings held by the Board of Directors and by its Committees	249
Table 101. Contents index of the Law 7/2021, of May 20, about climate change and energetic transition	256
Table 102. Exposure ratios regarding Taxonomy	257
Table 103. ESG3: Banking book - Climate change transition risk: Alignment metrics	259
Table 104. Climate change opportunities for BBVA	261
Table 105. ESG10. Climate change mitigating actions	265
Table 106. Assets under management with SRI criteria	267
Table 107. Risk Assessment Climate Change 2022	274
Table 108. Transition Risks	277
Table 109. Financed emissions	280
Table 110. ESG1. Banking book- Climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity	281
Table 111. ESG4. Banking book - Climate change transition risk: Exposures to top 20 carbon-intensive firms	286
Table 112. ESG2. Banking book - Climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral	289
Table 113. Physical Risks	290
Table 114. ESG5. Banking book - Climate change physical risk: Exposures subject to physical risk	292
Table 115. Natural capital dependency. Heat mapping of portfolios	294
Table 116. Operational data analysed according to the Equator Principles criteria	297
Table 117. Global Eco-efficiency Plan Goals 2021-2025	302

BBVA. PILLAR 3 2022 INDEX OF TABLES P. 8

Table 118. Waste (Circular economy)	303
Table 119. Evolution of the global eco-efficiency plan indicators	304
Table 120. Environmental footprint (BBVA Group)	306

BBVA. PILLAR 3 2022 INDEX OF CHARTS P. 9

Index of charts

Chart 1. Annual evolution of the CET1 fully loaded ratio	#
Chart 2. Composition of the fully loaded total capital ratio	12
Chart 3. Liquidity ratios by LMUs	13
Chart 4. Fully loaded and phased-in leverage ratio	13
Chart 5. Capital requirements and capital ratios (Phased in)	34
Chart 6. Annual evolution of the CET1 fully loaded ratio	#
Chart 7. Distribution of RWAs by risk type eligible on Pillar I	45
Chart 8. Distribution by geographical area of Exposure to Credit Risk	69
Chart 9. Distribution of Exposure between the use of PPU, IRB and rollout plans	94
Chart 10. Advanced Measurement Approach: EAD by obligor category	112
Chart 11. Advanced Measurement Approach: Weighted average PD by EAD	112
Chart 12. Advanced Measurement Approach: Weighted average LGD by EAD	112
Chart 13. Advanced Measurement Approach: RWAs by obligor category	112
Chart 14. Functions performed in the securitization process and Group's level of involvement	142
Chart 15. Trading book. Trends in VaR without smoothing	167
Chart 16. Trading book. Market Risk Model Validation for BBVA S.A. Hypothetical Backtesting (EU MR4)	174
Chart 17. Trading book. Market Risk Model Validation for BBVA S.A. Real Backtesting (EU MR4)	174
Chart 18. Trading book. Market Risk Model Validation for BBVA Bancomer. Hypothetical Backtesting (EU MR4)	175
Chart 19. Trading book. Market Risk Model Validation for BBVA Bancomer. Real Backtesting (EU MR4)	175
Chart 20. Operational Risk Management Processes	205
Chart 21. Operational Risk Profile of BBVA Group	209
Chart 22. Operational Risk by risk and country	210
Chart 23. Trends in the leverage ratio	214
Chart 24. Accumulated chaneling of sustainable business 2018-2022	263
Chart 25. Sustainable business chaneling during 2022	264
Chart 26. Integrating climate change into risk management and planning	270
Chart 27. Materiality matrix	271
Chart 28. Risk materializing in the short term: time horizon 12-18 months	273
Chart 29. Financing distribution to high transition risk sectors	275

BBVA. PILLAR 3 2022 INDEX OF CHARTS P. 10

Chart 30. Classification of the transition scorecard of main customers	279
Chart 31. Environmental performance in 2022	305

BBVA. PILLAR 3 2022 EXECUTIVE SUMMARY P. 11

Executive Summary

The strength of the BBVA Group's earnings has contributed to achieving a consolidated fully loaded CET1 ratio of 12.61% as of December 31, 2022, which allows it to maintain a large management buffer over the Group's CET1 requirement (8.63%), which is also above the Group's target management range of 11.5-12.0% CET1.

The Group's CET1 incorporates the effects of the corporate transactions carried out during the year, which had a combined impact of -38 basis points. Excluding these elements, the fully loaded CET1 ratio increased by 24 basis points, mainly explained by the generation of earnings in the year (+214 basis points) which, net of shareholder remuneration and payment of convertible contingent instrument coupons (CoCos), generated a positive contribution of +106 basis points. Meanwhile, the growth in risk-weighted assets (RWAs) derived from the organic growth of the business in constant terms has drained 101 basis points. Finally, the other elements that make up CET 1 had a positive contribution of +19 basis points; these include the effects of market evolution, the calculation of minority interests, regulatory impacts as

well as the compensation in equity of the negative effect on results due to the loss in value of the net monetary position in hyperinflationary economies.

Following the latest SREP (Supervisory Review and Evaluation Process) decision, the ECB has informed the Group that, effective January 1, 2023, it must maintain at consolidated level a total capital ratio of 13.00% and a CET1 capital ratio of 8.75%, including a Pillar 2 requirement at consolidated level of 1.71% (a minimum of 0.96% must be satisfied with CET1), of which 0.21% (0.12% to be met by CET1) is determined on the basis of the ECB's prudential provisioning expectations, which as of January 1, 2023 will no longer be treated as a deduction from CET 1 with a positive effect of 19 basis points on fully-loaded CET1 at the end of December 2022, which would be equivalent to a pro-forma ratio of 12.80%.

The evolution of the CET1 fully-loaded ratio through 2022 is presented below:

Chart 1. Annual evolution of the CET1 fully loaded ratio

BBVA. PILLAR 3 2022 EXECUTIVE SUMMARY P. 12

Consolidated fully loaded Additional Tier 1 (AT1) capital fully loaded stood at 1.54% at December 31, 2022, 34 basis points lower than in 2021, mainly due to the early redemption of an issue of AT1 instruments for 500 million dating back to 2017.

The Tier 2 fully loaded ratio stood at 1.79% which represents a reduction of -58 basis points compared to

2021, mainly explained by the effect of increased RWAs during the year and the lower computability of internal credit model provisions.

The composition of the fully loaded total capital ratio as of December 31, 2021 and December 31, 2022 is shown below:

Chart 2. Composition of the fully loaded total capital ratio

With respect to phased-in ratios, the main difference with respect to fully loaded ratios is due to the impact associated with the transitional adjustments associated with IFRS9.

The BBVA Group maintains a solid liquidity position in every geographical area in which it operates, with ratios well above the minimum required:

–The BBVA Group's liquidity coverage ratio (LCR) remained comfortably above 100% throughout the year 2022, and stood at 159% as of December 31, 2022. For the calculation of this ratio, it is assumed that there is no transfer of liquidity among subsidiaries; i.e. no type of excess liquidity levels in foreign subsidiaries is being considered in the calculation of the consolidated ratio. When considering these excess liquidity levels, the BBVA Group's LCR would stand at 201%.

–The net stable funding ratio (NSFR), defined as the result between the amount of stable funding available and the amount of stable funding required, demands banks to maintain a stable funding profile in relation to the composition of their assets and off-balance sheet activities.

This ratio should be at least 100% at all times. The BBVA Group's NSFR ratio, stood at 135% as of December 31, 2022.

The breakdown of these ratios in the main geographical areas in which the Group operates is shown below:

BBVA. PILLAR 3 2022 EXECUTIVE SUMMARY P. 13

Chart 3. Liquidity ratios by LMUs

As for the leverage ratio, as of December 31, 2022, the fully loaded ratio stood at 6.46 % (phased in at 6.49 %), above the minimum required ratio of 3.00 %.

The fully loaded and phased in ratios as of December 31, 2021 and December 31, 2022 are shown below:

Chart 4. Fully loaded and phased-in leverage ratio

The following table shows the main regulatory metrics in accordance with Article 447 of the CRR:

BBVA. PILLAR 3 2022 EXECUTIVE SUMMARY P. 14

Table 1. EU KM1 - Key metrics (Million Euros)

	12-31-2022		9-30-2022		6-30-2022		3-31-2022		12-31-2021
Available own funds (amounts)
Common Equity Tier 1 (CET1) capital	42,738		42,876		41,563		40,537		39,949
Tier 1 capital	47,931		48,281		46,828		46,364		45,686
Total capital	53,861		54,895		53,647		53,203		53,069
Risk-weighted exposure amounts
Total risk-weighted exposure amount	337,066		341,678		330,871		316,361		307,795
Capital ratios (as a percentage of risk-weighted exposure amount)
Common Equity Tier 1 ratio (%)	12.68	%	12.55	%	12.56	%	12.81	%	12.98	%
Tier 1 ratio (%)	14.22	%	14.13	%	14.15	%	14.66	%	14.84	%
Total capital ratio (%)	15.98	%	16.07	%	16.21	%	16.82	%	17.24	%
Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)
Additional own funds requirements to address risks other than the risk of excessive leverage (%)	1.50	%	1.50	%	1.50	%	1.50	%	1.50	%
of which: to be made up of CET1 capital (percentage points)	0.84	%	0.84	%	0.84	%	0.84	%	0.84	%
of which: to be made up of Tier 1 capital (percentage points)	1.13	%	1.13	%	1.13	%	1.13	%	1.13	%
Total SREP own funds requirements (%)	9.50	%	9.50	%	9.50	%	9.50	%	9.50	%
Combined buffer requirement (as a percentage of risk-weighted exposure amount)
Capital conservation buffer (%)	2.50	%	2.50	%	2.50	%	2.50	%	2.50	%
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)	—		—		—		—		—
Institution specific countercyclical capital buffer (%)	0.04	%	0.01	%	0.01	%	0.01	%	0.01	%
Systemic risk buffer (%)	—		—		—		—		—
Global Systemically Important Institution buffer (%)	—		—		—		—		—
Other Systemically Important Institution buffer	0.75	%	0.75	%	0.75	%	0.75	%	0.75	%
Combined buffer requirement (%)	3.29	%	3.26	%	3.26	%	3.26	%	3.26	%
Overall capital requirements (%)	12.79	%	12.76	%	12.76	%	12.76	%	12.76	%
CET1 available after meeting the total SREP own funds requirements (%)	6.48	%	6.57	%	7.22	%	7.47	%	7.64	%
Leverage ratio
Total exposure measure	737,990		765,452		752,016		687,992		671,789
Leverage ratio (%)	6.49	%	6.31	%	6.23	%	6.74	%	6.80	%
Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)
Additional own funds requirements to address the risk of excessive leverage (%)	—		—		—		—		—
of which: to be made up of CET1 capital (percentage points)	—		—		—		—		—
Total SREP leverage ratio requirements (%)	3.00	%	3.00	%	3.00	%	3.06	%	3.06	%
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
Leverage ratio buffer requirement (%)	—		—		—		—		—
Overall leverage ratio requirements (%)	3.00	%	3.00	%	3.00	%	3.06	%	3.06	%
Liquidity Coverage Ratio (1)
Total high-quality liquid assets (HQLA) (Weighted value)	108,648		105,293		104,585		106,449		110,132
Cash outflows - Total weighted value	97,796		93,032		89,833		89,459		91,541
Cash inflows - Total weighted value	31,352		29,211		26,999		26,169		24,709
Total net cash outflows (adjusted value)	66,443		63,822		62,833		63,289		66,833
Liquidity coverage ratio (%)	163.70	%	165.30	%	166.80	%	168.60	%	165.80	%
Net Stable Funding Ratio
Total available stable funding	425,240		435,473		431,382		432,723		430,759
Total required stable funding	315,094		324,694		321,719		320,367		319,017
NSFR ratio (%)	134.96	%	134.12	%	134.09	%	135.07	%	135.03	%

(1) The EBA "mapping tool" links the LCR information to the regulatory models C72, C73, C74 and C76, which show end-of-quarter point-in-time values. However, article 447(f) of Regulation 575/2013 (CRR) establishes that the information related to the LCR and its components should be disclosed as the average of the preceding 12 months’ values and not as point-in-time. As a consequence, this information is not based on the EBA "mapping tool" but on table 78 (EU LIQ1)

BBVA. PILLAR 3 2022 EXECUTIVE SUMMARY P. 15

The following sections detail matters relating to the Group's solvency. These are supplemented by information included in the Group's Consolidated Financial Statements and Management Report as of year 2022, which also contain the Group's main activity and profitability indicators.

BBVA. PILLAR 3 2022 1. INTRODUCTION P. 16

1.Introduction

1.1.Applicable regulatory framework	17
1.2.Regulatory developments in 2022	18
1.3.Contents of the 2022 Prudential Relevance Report	22

BBVA. PILLAR 3 2022 1. INTRODUCTION P. 17

1.1.Applicable regulatory framework

As a Spanish credit institution, BBVA is subject to Directive 2013/36/EU of the European Parliament and of the Council dated June 26, 2013, on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms (the "CRD IV Directive”) which main amendment is Directive 2019/878/EU (the “CRD V Directive).

The major regulation governing the solvency of credit institutions is (EU) Regulation No. 575/2013 of the European Parliament and of the Council of June 26, 2013, on the prudential requirements for credit institutions and investment firms amending (EU) Regulation No 648/2012 ("CRR" and in conjunction with Directive CRD IV and any implementing measures of CRD IV, "CRD IV"), which is complemented by several binding Regulatory Technical Standards that are directly applicable to all EU member states, without the need to implement national measures. This Regulation was mainly amended by Regulation 2019/876/EU (“CRR2”) and Regulation 2020/873/EU (“Quick Fix”).

The CRD IV Directive was transposed to Spanish national law by means of the Royal Decree-Law 14/2013, of November 29 (“RD-L 14/2013”), Law 10/2014 of June 26, Royal Decree 84/2015, of February 13 (“RD 84/2015”), Bank of Spain Circular 2/2014 of January 31 and Circular 2/2016 of February 2 (“Bank of Spain Circular 2/2016”), which has been amended by Circular 3/2022 of March, 30.

During 2021, Directive 2019/878 was transposed into the Spanish legal system through the publication of Royal Decree-Law 7/2021, of April 27 (amending Law 10/2014), Royal Decree 970/2021, of November 8 (which modifies RDL 84/2015) and Circular 5/2021, of September 22 (which modifies Circular 2/2016).

In the Macroprudential field, Royal Decree 102/2019 was published in March 2019, establishing the Macroprudential Authority of the Financial Stability Board, establishing its legal regime. The aforementioned Royal Decree also develops certain aspects related to the macroprudential tools contained in Royal Decree-Law 22/2018. Among them, it provides that the Bank of Spain may adopt measures such as the countercyclical buffer for a given sector, sectoral limits on the concentration of exposures or the establishment of limits and conditions on the granting of loans and other operations. These measures are developed in Bank of Spain Circular 5/2021, of September 22.

Section 1.3 of this chapter includes the specific regulations governing the information requirements of the Prudential Relevance Report (Pillar 3).

BBVA. PILLAR 3 2022 1. INTRODUCTION P. 18

1.2.Regulatory developments in 2022

During 2022, the regulatory environment for the financial industry has been shaped by a new geopolitical framework caused by the war between Russia and Ukraine and its repercussions. This has shaken up the markets and the financial system and has materialized in a range of economic sanctions imposed on Russia, which have, in turn, prompted a focus on issues related to money laundering and terrorist financing, and the role of cryptoassets.

All this took place alongside the implementation of work plans already stipulated by the regulatory bodies, which focused on three lines of action:

(I) climate change;

(II) strengthen the prudential framework of the financial system;

(III) digitalization of the banking sector.

Another highlight of 2022 were the new data regulations and agreements and the intensification of the global regulatory debate around cryptoassets. Solutions are being sought that address the regulation, supervision and oversight of cryptoassets with a focus on financial stability.

ESG

In 2022, ESG regulatory activity for the European banking system became firmly established and regulation in the United States took off.

At the global level, the BCBS published a statement of principles for effective management and monitoring of climate change-related risks. The principles are designed to be adaptable to different banking systems, in a proportionate manner, depending on the size, complexity and risk profile of the sector. The document lays down 18 principles: 12 for banks (covering corporate governance, internal control, risk management and reporting) and 6 for supervisors (who must ensure that they have adequate resources and capabilities to assess the management of banks).

There are other initiatives driven by global institutions that are advancing swiftly. These include the new International Sustainability Standards Board (ISSB), created in November 2021 by the International Financial Reporting Standards Foundation (IFRS), which in 2022 published two climate and general issues papers for comment, and draft sector-specific standards. The ISSB relied on the Task Force on Climate-related Financial Disclosures (TCFD) and the sector-specific standards of the Sustainability Accounting Standards Board (SASB). The ISSB aims to be a comprehensive global standard-setter. It is therefore partnering with other international organizations and jurisdictions to ensure the

development of a robust, internationally applicable framework that will form the basis for the requirements of the various jurisdictions. In addition to the frameworks mentioned so far, we especially highlight the initiatives of the Global Reporting Initiative (GRI), the Value Reporting Foundation, and the WEF (IBC's stakeholder capitalism metrics), with which the ISSB actively collaborates to achieve a global metrics model.

The EU has continued to integrate ESG concepts into prudential regulation, supervision and reporting requirements. In prudential regulation, discussions continued in the legislative negotiation of the CRR III and CRD VI, which introduce the definitions of the different types of ESG risks. In terms of reporting, the European Commission published the Regulatory Technical Standards (RTS), which supplement the Sustainable Finance Disclosure Regulation (SFDR). For its part, the EC has adopted the Implementing Technical Standards (ITS) on Pillar 3 reporting of ESG risks with the aim of integrating all relevant reporting requirements. The ITS provide the tables, templates and instructions that banks should use to disclose relevant qualitative information on ESG risks and quantitative data on climate change-related risks, including transitional and physical risks and mitigation measures. Banks must make the first disclosure in March 2023, releasing data as of December 2022. The first disclosure will be annual and thereafter will be six-monthly.

Regarding taxonomy, the complementary delegated act on climate (mitigation and adaptation) was approved through Delegated Regulation 2021/2139 of June 4, 2021, in order to accelerate decarbonization, and was subsequently modified by Delegated Regulation (EU) 2022/1214 of the Commission of March 9, 2022, which introduces specific information requirements that companies must comply with in relation to their activities in the gas and nuclear energy sectors.

In addition, the European Commission has published a proposal for a Directive on Corporate Sustainability Due Diligence. During 2022, this proposal was under negotiation in the Parliament and the Council. The Directive aims to ensure that companies operating in the internal market contribute to the transition to sustainability through the identification, prevention and mitigation, cessation and minimization of potential or actual adverse human rights and environmental impacts related to the company's own activity or the activities of its subsidiaries or of its value chain. Once adopted, Member States will have two years to transpose the Directive into their national legislation.

Europe has continued to integrate ESG concepts into prudential regulation, supervision, and reporting requirements. Several sustainability reporting standards have been created: one in Europe, following the enactment of the Corporate Sustainability Reporting

BBVA. PILLAR 3 2022 1. INTRODUCTION P. 19

Directive (CSRD), for the implementation of which the first set of 'European Sustainability Reporting Standards,' prepared by the European Financial Reporting Advisory Group (EFRAG) to the European Commission; and another in the United States, after the Securities and Exchange Commission (SEC) published in March 2022 the paper 'The Enhancement and Standardization of Climate-Related Disclosures for Investors.'

Reflecting the rising importance of ESG issues in supervision, the ECB has launched the first bottom-up stress test exercise for climate change risk supervision to identify vulnerabilities, best practices and challenges faced by banks in managing climate change risk. The results will feed into the Supervisory Review and Evaluation Process (SREP) from a qualitative standpoint only.

Prudential developments

In the global prudential arena, the Basel Committee on Banking Supervision (BCBS) has addressed new issues. Among other forward steps, the BCBS has adopted a set of principles for the effective management and supervision of financial climate change risks and has advanced the implementation of the prudential treatment of cryptoassets with the publication of its final standard. Moreover, the BCBS has agreed on a roadmap to reflect the development of the European banking union based on the assessment method for global systemically important banks (hereinafter G-SIBs). The Committee has continued to assess risks and vulnerabilities in the global banking system, including those arising from the conflict in Ukraine. The body also addressed the post-crisis regulatory framework, with a focus on the effectiveness of the Basel III reforms, on which a report was published in December 2022.

In the European prudential field, intense negotiations have taken place in the Council and Parliament on the implementation in EU law of the international capital adequacy rules known as Basel III. The proposal presented at the end of 2021 by the European Commission, the "2021 Banking Package", seeks to make EU banks more resilient to potential future economic crises, while contributing to Europe's recovery from the COVID-19 pandemic and the transition to climate neutrality. The package comprises three proposals: (I) the proposed capital requirements directive (CRD VI, amending the previous CRD V); (II) the proposed capital requirements regulation (CRR III, amending CRR II); and (III) a separate legislative proposal around bank resolution (the "Daisy Chain proposal"), which also amends CRR V. The entry into force of the changes will be gradual and is expected to come into effect from 2025.

Furthermore, the European Banking Authority (EBA) has published final draft Regulatory Technical Standards (RTS) for the probability of default (PD) and loss given default (LGD) risk model for banks using the new internal

models-based approach under the Fundamental Review of the Trading Book (FRTB). Regarding non-performing loans (NPLs), the EBA has published several consultation papers on the reporting templates that banks must file. The European Commission has 3 months to adopt the EBA's ITS or propose amendments. The result is expected to be published in the first half of 2023, and has published the standard on the information required for the sale of NPL loans.

Regarding securitizations, the EBA has published its final draft of the RTS. The standards specify requirements for originators, sponsors and originating lenders in relation to risk retention. In Spain, on July 8, 2022, the new law on bonds came into force, which implements the European directive and affects both existing bonds and future issues.

In Spain, the Bank of Spain (Spanish 'BdE') published Circular 1/2022 on liquidity, prudential rules and reporting obligations for financial institutions, which amends Circular 1/2009 and Circular 3/2019. The document sets out the liquidity regulations applicable to financial credit institutions and adapts the reporting obligations of credit institutions regarding solvency and shareholder structure to the activity, business model, size and relative importance of each institution. Circular 3/2022, of March 30 opens in new window, of the Bank of Spain, amending Circular 2/2016, of February 2, to credit institutions, on supervision and solvency, which completes the adaptation of the Spanish legal system to Directive 2013/36/EU and Regulation (EU) n.o 575/2013. Moreover, in the context of global economic uncertainty, Royal Decree-Law 6/2022, on urgent measures in response to the economic and social consequences of the war in Ukraine, was adopted to address the economic and social consequences of the war, with short-term measures and steps to accelerate medium- and long-term action on the energy transition. Finally, we highlight the enactment of Law 18/2022, on company formation and growth. The statute includes measures ranging from regulatory streamlining to reduction of the minimum share capital to form private limited companies. It also includes the promotion of collective investment and venture capital, and improved access to finance.

In 2022, the regulatory debate continued on the macroprudential framework and capital buffers. The European Central Bank (ECB) confirmed that it will not extend the loosening of Pillar 2 capital requirements and capital conservation buffer allowed during the COVID pandemic. As of January 1, 2023, banks will return to operating at pre-crisis levels.

Furthermore, the consultation launched by the European Commission in November 2021 on the review of the macroprudential framework, including the design and functioning of capital buffers, was completed. The EBA, the ECB and the European Systemic Risk Board (ESRB) published their respective opinions. The Commission's

BBVA. PILLAR 3 2022 1. INTRODUCTION P. 20

legislative proposal is expected during the first quarter of 2023.

A relevant novelty is the recognition of the progress of the Banking Union in the method of identification of G-SIBs. In May 2022, the BCBS allowed the calculation of parallel scoring for G-SIBs where 66% of cross-border exposures within the Banking Union for European G-SIBs can be characterized as domestic. This parallel scoring will allow, according to the expert judgment of the national authorities (NCAs), an adjustment of the assignment of the banks to the different levels of required capital (the 'buckets').

Environmental, Social and Governance (ESG) or sustainability criteria are also included in the macroprudential framework, as they were one of the topics addressed in the EuropeanCommission's consultation, which asked whether they should be accorded specific treatment. In July 2022, the ECB and the ESRB published a joint report, "The Macroprudential Challenge of Climate Change," which discusses the adequacy of macroprudential tools to address climate-related risks. The Financial Stability Board (FSB) also commented on this possibility in its final report on supervisory and regulatory approaches to climate-related risks, assessing the pros and cons.

Regarding shadow banking, the EBA has published its final draft of the Regulatory Technical Standards (RTS). The standards set out the criteria for identifying shadow banking entities for large exposure reporting purposes. Entities that conduct banking activities or services authorized and supervised in accordance with the EU prudential framework will not be considered to be shadow banks.

In terms of transparency, and, in the field of remuneration of the Identified Staff, in 2022 the EBA has published the Guidelines on the benchmarking exercises on remuneration practices, the gender pay gap and approved higher ratios under Directive 2013/36/EU (EBA/GL/2022/06), which include additional specifications regarding the presentation, in the Pillar 3 Report, of the standardised remuneration disclosure templates.

Stability and Resolution

In the field of resolution, the Daisy Chain-related changes, which came into effect on November 14, 2022, are a raft of reforms related to the bank resolution framework, with special impact on Multiple Point of Entry ("MPE") banks, where capital and liquidity are managed separately in each subsidiary.

Furthermore, at the Eurogroup meeting, the Eurogroup President's proposal to unblock progress on the Banking Union by setting up a European Deposit Insurance Scheme (EDIS) was rejected. The consensus reached was that certain aspects of the bank crisis management

and guarantee fund framework need to be reviewed. A legislative proposal is expected by early 2023.

The EBA published its final guidelines for enhancing the resolution capabilities of banks and resolution authorities, which will be applicable as from January 1, 2024. The Single Resolution Board (SRB) published its operational guidance on the identification and mobilization of collateral in resolution, which supplements the 'Expectations for Banks' paper and helps stakeholders understand the operational and legal requirements that banks should anticipate maximizing the amount of assets that could be mobilized as collateral during and after resolution. For its part, the European Commission published a consultation paper to assess the framework for State aid in the banking system, which is linked to the crisis management framework. Finally, the EBA published a consultation paper to revise its guidance on the method for calculating contributions to the Deposit Guarantee Fund (DGF).

Digital transformation

In 2022, digitization continued to be a priority for European authorities, which have continued to make progress in implementing the digital strategy laid down in 2020. The key pillars of the initiative are strengthening the use of data and the development and regulation of artificial intelligence.

This year, the entry of large digital platforms or 'Big Tech' into the financial sector continued to be a subject of debate for financial authorities around the world. At the global level, the BIS led a discussion on the need to introduce comprehensive regulation for these new providers and to strengthen coordination between authorities across sectors and countries. At the European level, the European Supervisory Authorities issued a report with recommendations to the Commission on how to approach the review of the regulatory and supervisory framework for the financial sector to ensure that it complies with the "same activity, same risk, same regulation" principle. For instance, it is recommended to review prudential consolidation requirements and consider the need for additional supervisory structures to ensure effective regulation and supervision of the new providers, which constitute mixed activity groups.

Another area that attracted great attention from international bodies and national regulators in 2022 was that of crypto-assets. At the global level, the Basel Committee on Banking Supervision published in December the final standard on the prudential treatment of banks' exposures to cryptoassets. These were classified into two groups, with a specific regulatory treatment for each of them. In addition, a limit is imposed on the holding of certain cryptoassets. The FSB has proposed a framework for international regulation of cryptoasset activities, with broad recommendations for the regulation, supervision and oversight of their

BBVA. PILLAR 3 2022 1. INTRODUCTION P. 21

activities and markets and a review of the high-level recommendations specific to "global stablecoins". The objective is to address the associated financial stability risks more effectively.

Financial markets

During 2022, the EU continues to work along Anti-Money Laundering (AML)/Combating the Financing of Terrorism (CFT). In this field, the EBA published its guidelines on policies and procedures relating to compliance management and the role and powers of the AML/CFT compliance officer. The guidelines comprehensively address, for the first time at EU level, the AML/CFT governance structure. In addition, in 2022, negotiations have continued in the Parliament and the Council on the AML/CFT package published by the European Commission. Among other proposals, the Commission launched the idea of creating a European anti-money laundering authority. The EU Council agreed in December its position on the texts of the new AML Directive and the new AML Regulation.

BBVA. PILLAR 3 2022 1. INTRODUCTION P. 22

1.3.Contents of the 2022 Prudential Relevance Report

Article 13 of the CRR establishes that the parent entities of the European Union are subject, based on their consolidated situation, to the disclosure requirements set by Part Eight of CRR.

The Prudential Relevance Report (Pillar 3) of the BBVA Group, corresponding to the year ended December 31, 2022, has been prepared in accordance with the requirements of Part Eight of the CRR and approved by the Audit Committee (in its meeting held on February 27, 2023), applying the rules for the preparation of financial information of the BBVA Group and in compliance with the "General Policy for disclosure of economic-financial, non-financial and corporate information" approved by the governance bodies of Banco Bilbao Vizcaya Argentaria, SA.

Likewise, it should be noted that the data disclosed in the IRP - Pillar 3, have been prepared in accordance with the internal processes and controls described in the "Standard for the preparation of periodic public information of Banco Bilbao Vizcaya Argentaria, S.A." and BBVA Group”. The aforementioned policies and standards guarantee that the information disclosed in the IRP Report - Pillar 3 is subject to the internal control framework defined by the Group, as well as to an adequate level of internal review.

This report provides the prudential information of BBVA Consolidated Group as of December 31, 2022 which has been prepared in accordance with the precepts contained in Part Eight of the CRR, complying with the guidelines published by EBA and the applicable technical implementation standards.

In addition, the main EBA guidelines that apply as of December 31, 2022 are highlighted below:

•Guidelines on materiality, proprietary information, and confidentiality, and on the frequency of disclosure of information according to Article 432, sections 1 and 2, and Article 433 of Regulation (EU) No. 575/2013 (EBA/GL/2014/14). These guidelines detail the process and the criteria to be followed regarding the principles of materiality, proprietary information, confidentiality and the right to omit information, and provide guidance for entities to assess the need to publish information more frequently than the annual one. These guidelines were adopted by the Bank of Spain Executive Commission in February 2015.

•Guidelines on reporting and disclosure of exposures subject to measures applied in response to the crisis arising from COVID-19 (EBA/GL/2020/07). These guidelines were adopted by the Bank of Spain Executive Commission on June 23, 2020.

•Guidelines amending the EBA/GL/2018/01 guidelines on the uniform disclosure of information pursuant to Article 473a of Regulation (EU) No. 575/2013 (CRR) with regard to transitional provisions to mitigate the impact on own funds caused by the implementation of IFRS 9, aiming to guarantee compliance with the Quick Fix made to the CRR in response to the COVID-19 Pandemic (EBA/GL/2020/12). These guidelines are applicable from August 11, 2020 until the end of the transitional periods contemplated in articles 468 and 473 bis of the CRR (December 31, 2024 and December 31, 2022, respectively)

•Implementing Technical Standards published in June 2020 concerning reporting and disclosure of public information (EBA/ITS/2020/04, hereinafter “New EBA ITS”). These technical standards implement the changes introduced by CRR2.

In these technical implementation standards, the EBA, following the mandate of the European Commission in article 434a of the CRR2, implements the changes introduced by aforementioned regulation, integrating in a single document most of the disclosure requirements to the market that were disseminated in various guidelines published to date.

Additionally, these regulations also aim to unify, as far as possible, public information with the information reported to the Supervisor through integration in regulatory reporting and has meant in some cases the simplification of standard templates that could contain similar information, maintaining only those templates that include just complete and relevant information, such as those referring to the credit quality of the exposures.

Likewise, together with the aforementioned ITS, the EBA publishes for informative purposes a document called mapping tool that interrelates the quantitative information of most of the standard templates required in Pillar 3 with the regulatory reporting, which has been taken into account in the preparation of this report. The implementation of these standards may produce variations in the content and the way in which the information is presented with respect to previous periods.

•Guidelines on the specification and disclosure of systemic importance indicators (EBA/GL/2020/14), adopted by the Bank of Spain Executive Commission. These guidelines have been amended and subsequently adopted by Bank of Spain in 2022 by EBA/GL/2022/12 Guidelines.

•Guidelines on sound remuneration policies under Directive 2013/36/EU (EBA/GL/2021/04). These

BBVA. PILLAR 3 2022 1. INTRODUCTION P. 23

guidelines were adopted by the Bank of Spain Executive Commission in December 2021. In addition, as regards remuneration, the Guidelines on the benchmarking exercises on remuneration practices, the gender pay gap and approved higher ratios under Directive 2013/36/EU (EBA/GL/2022/06), adopted as its own by the Bank of Spain on December 21, 2022, also apply.

•Commission Implementing Regulation (EU) 2022/631 of 13 April 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/637 as regards the disclosure of exposures to interest rate risk on positions not held in the trading book, published in the Official Journal of the European Union (OJUE) on April 19, 2022.

•Commission implementing regulation (EU) 2022/2453 of 30 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/637 as regards the disclosure of environmental, social and governance risks, published in the Official Journal of the European Union (OJUE) on December 19, 2022.

Annex VIII.a of this report contains the correspondence of the articles of Part Eight of the CRR on disclosure of information that are applicable at the date of the report with the different sections of the document where the required information is found. Additionally, Annex VIII.b contains the correspondence of the articles of Annex II of the Commission Implementing Regulation (EU) 2022/2453 on ESG risk disclosure with the different sections of this report.

The aforementioned annex, together with the other annexes and the tables included in this report, are in an editable format in order to facilitate their treatment, following the recommendations of the EBA Guidelines. This document is called "Pillar 3 2022 - Tables & Annexes", available in the Shareholders and Investors / Financial Information section of the Group's website.

BBVA. PILLAR 3 2022 2. GENERAL INFORMATION REQUIREMENTS P. 24

2.General information requirements

2.1.Corporate name and differences between the consolidated group for the purposes of solvency regulations and accounting criteria	25
2.1.1.Corporate name and scope of application	25
2.1.2.Differences between the Consolidated Group for the purposes of solvency regulations and accounting criteria	25
2.1.3.Main changes to the Group’s perimeter in 2022	26
2.1.4.Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter	27
2.2.Identification of dependent entities with bank capital below the minimum requirement. Possible impediments to transferring own funds	31
2.3.Exemptions from capital requirements at the individual or sub-consolidated level	31

BBVA. PILLAR 3 2022 2. GENERAL INFORMATION REQUIREMENTS P. 25

2.1.Corporate name and differences between the consolidated group for the purposes of solvency regulations and accounting criteria

2.1.1. Corporate name and scope of application

Banco Bilbao Vizcaya Argentaria, S.A. (hereinafter “the Bank”, “BBVA" or “BBVA, S.A.”) is a private-law entity subject to the laws and regulations governing banking entities operating in Spain. It carries out its activity through branches and agencies across the country and abroad.

The Bylaws and other public information are available for inspection at the Bank’s registered address (Plaza San Nicolás, 4 Bilbao) as noted on its web site (www.bbva.com).

Solvency regulations are applicable at a consolidated level for the whole Group.

2.1.2. Differences between the consolidated group for the purposes of solvency regulations and accounting criteria

The BBVA Group’s Consolidated Financial Statements are presented in compliance with IFRS-IASB (International Financial Reporting Standards as issued by the International Accounting Standards Board), as well as in accordance with the International Financial Reporting Standards endorsed by the European Union (hereinafter, “EU-IFRS”) applicable as of December 31, 2022, considering the Bank of Spain Circular 4/2017, as well as its successive amendments, and with any other legislation governing financial reporting which is applicable and with the format and mark-up requirements established in the EU Delegated Regulation 2019/815 of the European Commission.

On the basis of accounting criteria, companies are considered to form part of a consolidated group when the parent entity holds or can hold, directly or indirectly, control of them. An institution is understood to control a subsidiary when it is exposed, or is entitled to, variable returns as a result of its involvement in the subsidiary and has the capacity to influence those returns through the power it exercises over the subsidiary. For control to exist, the following aspects must be fulfilled:

a.Power: An investor has power over a subsidiary when it has current rights that provide it with the capacity to direct its relevant activities, i.e. those that significantly affect the returns of the subsidiary.

b.Returns: An investor is exposed, or is entitled to variable returns, as a result of its involvement in the subsidiary when the returns obtained by the investor for such involvement may vary based on the economic performance of the subsidiary. Investor returns can be positive only, negative only, or positive and negative at the same time.

c.Relationship between power and returns: An investor has control over a subsidiary when it not only has power over the subsidiary and is exposed, or is entitled to, variable returns for its involvement in the subsidiary, but it also has the capacity to use its power to influence the returns it obtains due to its involvement in the subsidiary.

Therefore, in drawing up the Consolidated Financial Statements of BBVA Group, all dependent companies and consolidating structured entities have been consolidated by applying the full consolidation method.

Associated companies, as well as joint ventures (those over which joint control arrangements are in place), are valued using the equity method.

The list of all the companies forming part of the Group is included in the appendices to the Consolidated Financial Statements of BBVA Group.

For the purposes of solvency regulations, the following subsidiaries form part of the consolidated group, as defined in Article 18 of the CRR:

•Credit institutions

•Investment firms

•Financial Institutions

A financial institution is a company, separate from other institutions (credit institution or investment firm), whose main activity may consist of acquiring holdings or performing one or more of the following activities:

•Loans, including in particular consumer finance, credit agreements relating to immovable property, recourse and non-recourse factoring, and financing of commercial transactions (including forfaiting)

•Financial leasing

•Payment services

BBVA. PILLAR 3 2022 2. GENERAL INFORMATION REQUIREMENTS P. 26

•Issuing and managing other payment channels (e.g. traveler's checks and bank checks)

•Granting of guarantees and commitments

•Trading on their own account or on behalf of customers on any of the following instruments:

◦Money market instruments (checks, bills, certificates of deposit etc.)

◦Foreign currency

◦Financial futures and options

◦Foreign-exchange or interest-rate instruments

◦Marketable securities

•Participating in the issuance of securities and the provision of corresponding services

•Advising companies with regard to capital structure, industrial strategy and related matters, as well as advice and services for mergers and acquisitions of companies

•Brokerage in the interbank markets

•Managing or advising on equity management

•Custody and administration of marketable securities

•Issuance of electronic money

This definition includes financial holding companies, mixed financial holding companies, payment institutions and asset management firms, but excludes pure industrial holding companies, insurance companies, insurance holding companies and mixed insurance holding companies.

•Auxiliary services companies: A company whose main activity is holding or management of property, management of computing services or any other similar activity of an auxiliary nature with regard to the main activity of one or more institutions (credit institution or investment firm).

Therefore, for the purposes of calculating solvency requirements, and hence the drawing up of this Prudential Relevance Report, the scope of consolidating entities is different from the scope defined for the purposes of drawing up the Consolidated Financial Statements of BBVA Group.

The effect of the difference between the two regulations is mainly due to:

•Withdrawals from the balance made by entities (largely insurance companies regulated by the Solvency II regulatory framework) that are consolidated in the Consolidated Financial Statements of BBVA Group by the full consolidation method and consolidated for the purposes of solvency by applying the equity method.

•Entries to the balance contributed mainly by financial entities, consolidated by applying the equity method at the accounting level, but for the purposes of solvency, are proportionally integrated.

The list of entities that use different consolidation methods in their public and regulatory balance sheets is included in the table EU LI3 in Annex I.

2.1.3. Significant transactions in the Group in 2022

Announcement of the agreement with Neon Payments Limited

On February 14, 2022, BBVA announced the agreement with the company Neon Payments Limited (the "Company" in this section) for the subscription of 492,692 preference shares, representing approximately 21.7% of its share capital, through a share capital increase and in consideration of approximately USD 300 million (equal to approximately €263 million, using the applicable 1.14 EUR/USD exchange rate as of February 11, 2022).

The Company, which is incorporated and domiciled in the United Kingdom, is the owner of 100% of the shares of the Brazilian company Neon Pagamentos S.A.

As of February 14, 2022, BBVA was already the indirect owner of approximately 10.2% of the share capital of the Company through companies where BBVA owns more than 99% of the share capital. As of December 31, 2022, BBVA held, directly and indirectly, approximately 29.2% of the share capital of the Company. Despite owning more than 20% of the share capital, BBVA's ability to influence the Company´s financial and operating decisions policies is very limited, so the investment is recognized under the heading "Non-trading financial assets mandatorily at fair value through profit or loss" (see Note 11).

Voluntary takeover bid for the entire share capital of Türkiye Garanti Bankası A.Ş (Garanti BBVA)

On November 15, 2021, BBVA announced a voluntary takeover bid (hereinafter "VTB") addressed to the 2,106,300,000 shares1 not controlled by BBVA, which represented 50.15% of the total share capital of Türkiye Garanti Bankası A.Ş (hereinafter "Garanti BBVA"). BBVA submitted for authorization an application of the VTB to the supervisor of the securities markets in Turkey (Capital

1All references to “shares” or “share” shall be deemed made to lots of 100 shares, which is the trading unit in which Garanti BBVA shares are listed at Borsa Istanbul.

BBVA. PILLAR 3 2022 2. GENERAL INFORMATION REQUIREMENTS P. 27

Markets Board, hereinafter "CMB") on November 18, 2021.

On March 31, 2022, CMB approved the offer information document and on the same day BBVA announced the commencement of the VTB acceptance period on April 4, 2022. On April 25, 2022 BBVA informed of an increase of the cash offer price per Garanti BBVA share from that initially announced (12.20 Turkish lira) to 15.00 Turkish lira.

On May 18, 2022, BBVA announced the finalization of the offer acceptance period, with the acquisition of 36.12% of Garanti BBVA’s share capital. The total amount paid by BBVA was approximately 22,758 million Turkish lira (equivalent to approximately €1,390 million2 including the expenses associated with the transaction and net of the collection of the dividends corresponding to the stake acquired).

The percentage of total share capital of Garanti BBVA owned by BBVA (after the completion of the VTB on May 18) is 85.97%.

2.1.4.Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter

The following table includes an exercise in transparency to show the reconciliation process between the book balances reported in the public balance sheet (attached to the Consolidated Financial Statements of BBVA Group) and the book balances this report uses (regulatory perimeter), revealing the main differences between both perimeters.

2Using the effective exchange rate of 16.14 Turkish lira per euro.

BBVA. PILLAR 3 2022 2. GENERAL INFORMATION REQUIREMENTS P. 28

Table 2. EUCC2 - Reconciliation of regulatory capital to balance sheet (Million Euros. 12-31-2022)

Public Balance Sheet Headings	Public Balance Sheet	Regulatory balance sheet	Reference to template EU CC1
Cash, cash balances at central banks and other demand deposits	79,756	79,992
Financial assets held for trading	110,671	111,578
Non-trading financial assets mandatorily at fair value through profit or loss	6,888	1,500
Financial assets designated at fair value through profit or loss	913	—
Financial assets at fair value through accumulated other comprehensive income	58,980	45,428
Financial assets at amortised cost	422,061	414,000
Derivatives - Hedge accounting	1,891	1,812
Fair value changes of the hedged items in portfolio hedges of interest rate risk	(148)	(148)
Joint ventures and associates	916	3,436
Insurance and reinsurance assets	210	—
Tangible assets	8,737	8,205
Intangible assets	2,156	2,125	g)
Tax assets	16,472	16,223
Of which: deferred tax assets	14,494	14,294	h)
Other assets	2,614	3,815
Non-current assets and disposal groups classified as held for sale	1,022	984
Total Assets	713,140	688,951
Financial liabilities held for trading	95,611	96,000
Financial liabilities designated at fair value through profit or loss	10,580	3,288
Financial liabilities at amortised cost	528,629	524,359	o) q)
Derivatives - Hedge accounting	3,303	3,069
Fair value changes of the hedged items in portfolio hedges of interest rate risk	—	—
Liabilities under insurance and reinsurance contracts	11,848	—
Provisions	4,933	4,588
Tax liabilities	2,742	2,291
Of which: deferred tax liabilities	1,326	922
Other liabilities	4,880	4,864
Non-current assets and disposal groups classified as held for sale	—	—
Total liabilities	662,526	638,459
Capital	2,955	2,955	a)
Share premium	20,856	20,856	a)
Equity instruments issued other than capital	—	—
Other equity	63	63	c)
Retained earnings	32,536	31,436	b)
Revaluation reserves	—	—
Other reserves	2,345	3,234	c)
Less: treasury shares	(29)	(29)	l)
Profit or loss attributable to owners of the parent	6,420	6,407	e)
Less: interim dividend	(722)	(722)	e)
Accumulated other comprehensive income (loss)	(17,432)	(17,248)	c)
Minority interests	3,624	3,541
Total equity	50,615	50,492
Total equity and total liabilities	713,140	688,951

The main differences between the public balance sheet and the regulatory balance sheet are due to withdrawals from the balance generated by insurance, real estate and financial entities that are consolidated through the application of the equity method for the amount of €-25,359 million; and balance entries generated by entities that are consolidated using the proportional integration method for an amount of €+1,170 million.

The following table also shows the risk to which each of the items on the regulatory balance sheet is exposed:

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Table 3. EU LI1 - Differences between the accounting and regulatory scopes of consolidation and the mapping of the financial statements categories with regulatory risk categories (Million Euros. 12-31-2022)

	Carrying values as reported in published financial statements	Carrying Values under scope of regulatory consolidation	Carrying values of items(1)
			Subject to credit risk framework	Subject to counterparty credit risk framework	Subject to the Securitisation framework	Subject to the market risk framework	Not subject to capital requirements or subject to deduction from capital
Assets
Cash, cash balances at central banks and other demand deposits	79,756	79,992	79,589	402	—	—	—
Financial assets held for trading	110,671	111,578	23	83,607	—	111,555	—
Non-trading financial assets mandatorily at fair value through profit or loss	6,888	1,500	1,472	—	16	—	11
Financial assets designated at fair value through profit or loss	913	—	—	—	—	—	—
Financial assets at fair value through accumulated other comprehensive income	58,980	45,428	45,344	—	82	—	2
Financial assets at amortised cost	422,061	414,000	397,994	10,906	5,072	—	28
Derivatives - Hedge accounting	1,891	1,812	—	1,812	—	—	—
Fair value changes of the hedged items in portfolio hedges of interest rate risk	(148)	(148)	—	—	—	—	(148)
Joint ventures and associates	916	3,436	3,325	—	—	—	111
Insurance and reinsurance assets	210	—	—	—	—	—	—
Tangible assets	8,737	8,205	8,205	—	—	—	—
Intangible assets	2,156	2,125	777	—	—	—	1,348
Tax assets(2)	16,472	16,223	15,166	—	—	—	1,057
Other assets(3)	2,614	3,815	2,477	—	—	—	1,338
Non-current assets and disposal groups classified as held for sale (4)	1,022	984	984	—	—	—	—
Total assets	713,140	688,951	555,356	96,727	5,171	111,555	3,747
Liabilities
Financial liabilities held for trading	95,611	96,000	—	82,043	—	96,000	—
Financial liabilities designated at fair value through profit or loss	10,580	3,288	—	—	—	—	3,288
Financial liabilities at amortised cost	528,629	524,359	—	10,557	—	—	513,802
Derivatives - Hedge accounting	3,303	3,069	—	3,069	—	—	—
Fair value changes of the hedged items in portfolio hedges of interest rate risk	—	—	—	—	—	—	—
Liabilities under insurance and reinsurance contracts	11,848	—	—	—	—	—	—
Provisions	4,933	4,588	770	—	—	—	3,818
Tax liabilities(2)	2,742	2,291	802	—	—	—	1,489
Other liabilities	4,880	4,864	—	—	—	—	4,864
Liabilities included in disposal groups classified as held for sale	—	—	—	—	—	—	—
Total Liabilities	662,526	638,459	1,572	95,669	—	96,000	527,261
(1) For the purpose of the template, when a single item is associated with the capital requirements according to more than one risk framework, it is shown in all the columns corresponding to the capital requirements to which it is associated. As a result, the sum of the values of the columns by type of risk may be greater than the carrying value according to the scope of regulatory consolidation.
(2) Deferred tax assets that depend on future income, reduced by the amount of deferred tax liabilities (article 38 of the CRR) are € 3,389 million and have a risk weight of 250% in application of article 48 of the CRR. The remaining tax assets include deferred tax assets that do not depend on future income and current tax assets.
(3) Other assets include mainly an amount of €1,338 million relating to insurance contracts linked to pensions, which are not subject to capital requirements.

A summary table with the main sources of differences between the amount of exposures in regulatory terms (EAD) and the accounting balances according to the Financial Statements is below:

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Table 4. EU LI2 - Main sources of the differences between regulatory original exposure amounts and carrying values in financial statements (Million Euros. 12-31-2022)

	Total	Items subject to:
		Credit risk framework	Counterparty credit risk framework	Securitisation framework	Market risk framework
Asset carrying value amount under scope of regulatory consolidation	768,809	555,356	96,727	5,171	111,555
Liabilities carrying value amount under scope of regulatory consolidation	193,241	1,572	95,669	—	96,000
Total net amount under regulatory scope of consolidation	575,568	553,784	1,058	5,171	15,555
Amount of off-balance-sheet	198,317	192,948	5,369	—
Differences in valuation(1)	(356)	—	—	—	(356)
Differences due to netting agreements (netting, long/short positions) (2)	115,648	—	115,648	—
Differences due to accounting Provisions(3)	4,720	4,720	—	—
Differences due to credit risk mitigation techniques (CRM)	(30,016)	(5,837)	(24,027)	(152)
Differences due to credit conversion factors (CCF)	(113,515)	(113,515)	—	—
Differences due to risk transfer securitisations	(854)	—	—	(854)
Other(4)	13,792	3,374	10,418	—
Exposure amounts considered for regulatory purposes	763,304	635,474	108,467	4,164	15,200
(1) It includes the deduction for prudent valuation adjustments. This deduction is included in row 7 of table EU CC1.
(2) This amount includes the reversal of the accounting netting of derivatives and repurchase agreements to include the netting adjustment applicable in prudential regulation; and the impact of the collateral adjustment on securities financing transactions.
(3) Includes provisions for exposures to credit risk under advanced approach that do not reduce the EAD.
(4) Includes, among others, derivatives counterparty credit risk.

As the table shows, the main sources of difference between the accounting value on the balance sheet and the amount of exposure for regulatory purposes are the inclusion of off-balance sheet items after the conversion factor, the different treatment of the guarantees eligible as risk mitigation techniques and the regulatory treatment of derivative and securities financing transactions (inclusion of netting rules other than those applied in accounting value and the inclusion of the potential future exposure).

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2.2.Identification of dependent entities with bank capital below the minimum requirement. Possible impediments to transferring own funds

As of December 31, 2022, there are no entities in the Group with capital adequacy below their applicable minimum regulatory requirement.

The Group operates mainly in Spain, Mexico, Turkey and South America. The Group’s banking subsidiaries around the world are subject to supervision and regulation (with respect to issues such as compliance with a minimum level of regulatory capital) by a number of regulatory bodies.

The obligation to comply with these capital requirements may affect the capacity of these banking subsidiaries to transfer funds (e.g. via dividends) to the parent company.

In some jurisdictions in which the Group operates, the regulations lay down that dividends may only be paid with the funds available by regulation for this purpose.

2.3.Exemptions from capital requirements at the individual or sub-consolidated level

In accordance with what is set out in the solvency regulations regarding the exemption from capital requirements compliance for Spanish credit institutions belonging to a consolidated group (at individual or sub-consolidated level) established in the aforementioned regulation, the Group obtained exemption from the supervisor on December 30, 2009 for the following companies (this exemption was ratified through ECB decision 1024/2013):

•Banco Industrial de Bilbao, S.A.

•Banco Occidental, S.A.

In addition, for Financiero de Crédito de Portugal (BBVA IFIC, S.A.), the ECB has decided not to apply prudential or liquidity requirements individually

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3.Eligible own funds and minimum requirements

3.1.BBVA Group’s regulatory capital tiers	33
3.2.Eligible own funds	38
3.3.Own Funds requirements by risk type	43
3.3.1.Entity risk profile	43
3.3.2.Breakdown of minimum capital requirements by risk type	46
3.4.IFRS 9 and OCI Transitional Arrangements	49
3.5.Procedure used in the capital self-assesment process	51

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3.1.BBVA Group’s regulatory capital tiers

Article 92 of the CRR establishes that credit institutions must maintain the following own funds requirements at all times:

a.Common Equity Tier 1 capital ratio of 4.5%, calculated as Common Equity Tier 1 capital expressed as a percentage on the total amount of risk-weighted assets.

b.Tier 1 capital ratio of 6%, calculated as the level of tier capital 1 expressed as a percentage of the total amount of risk-weighted assets.

c.Total capital ratio of 8%, calculated as the total own funds expressed as a percentage of the total amount of risk-weighted assets

Notwithstanding the application of the Pillar 1 requirement, CRD IV allows competent authorities to require credit institutions to maintain a level of own funds higher than the requirements of Pillar 1 to cover types of risk other than those already covered by the Pillar 1 requirement (this power of the competent authority is commonly referred to as "Pillar 2").

Furthermore, from 2016 and in accordance with CRD IV, credit institutions must comply with the following combined requirement of capital buffers at all times: (i) the capital conservation buffer, (ii) the buffer for global systemically important banks (the "G-SIB" buffer), (iii) the entity-specific countercyclical capital buffer, (iv) the buffer for other systemically important banks ("D-SIB" buffer) and (v) the systemic risk capital buffer. The “combined capital buffer requirement” must be met with Common Equity Tier 1 capital (“CET1”) to cover both minimum capital required by “Pillar 1” and “Pillar 2".

Both the capital conservation buffer and the G-SIB buffer (where appropriate) will apply to credit institutions as it establishes a percentage greater than 0%.

The buffer for global systemically important banks applies to those institutions on the list of global systemically important banks, which is updated annually by the Financial Stability Board (“FSB”). Considering the fact that BBVA does not appear on that list, as at the report date, the G-SIB buffer does not apply to BBVA. Detailed information on each of the quantitative indicators that form part of the evaluation process is available on the BBVA Group's website.

The Bank of Spain has extensive discretionary powers as regards the countercyclical capital buffer specific to each bank, the buffer for other systemically important financial institutions (which are those institutions considered to be systemically important domestic financial institutions “D-SIB”) and the buffer against systemic risk (to prevent or avoid systemic or macroprudential risk). The European Central Bank (ECB)

has the powers to issue recommendations in this respect following the entry into force on November 4, 2014 of the Single Supervisory Mechanism (SSM).

With regard to minimum capital requirements, following the latest decision of the SREP (Supervisory Review and Evaluation Process), which comes into force as of January 1, 2023, the ECB has notified the Group of maintaining the Pillar 2 requirement at 1.71 Therefore, BBVA must maintain a CET1 capital ratio of 8.75% and a total capital ratio of 13.00% at a consolidated level.

Thus, the consolidated overall capital requirement includes: i) the minimum capital requirement of Common Equity Tier 1 (CET1) of Pillar 1 (4.5%); ii) the capital requirement of Additional Tier 1 (AT1) of Pillar 1 (1.5%); iii) the capital requirement of Tier 2 of Pillar 1 (2%); iv) the CET1 requirement of Pillar 2 (0.96%), v) the capital requirement of Additional Tier 1 (AT1) of Pillar 2 (0.32%); vi) the capital requirement of Tier 2 of Pillar 2 (0.43%); vii) the capital conservation buffer (2.5% of CET1); viii) the capital buffer for Other Systemically Important Institutions (O-SIIs) (0.75% of CET1); and ix) the countercyclical buffer (CCyB) (0.04% of CET1)

The BBVA Group has set the objective of maintaining a fully-loaded CET1 ratio at a consolidated level between 11.5% and 12.0%. At the end of the financial year 2022, the fully-loaded CET1 ratio was above this target management range.

CET1 phased-in ratio reach 12.68% which represents +405 basis points over the minimum requirement of 8.63%.

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Chart 5. Capital requirements and capital ratios (Phased in)

(*) The AT1 requirement is 1.78%, and Tier2, 2.38%.

(*) The countercyclical capital buffer as of December 31, 2022 amounts to 0.04%.

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The following table shows the CET1 ratio that would trigger restrictions on capital distribution capacity and the capital ratios as of December 2022:

Table 5. Capital distribution constraints (12-31-2022)

	CET1 capital ratio that would trigger capital distribution constraints (%)	Current CET 1 capital ratio(%)
CET1 Pillar 1	4.50%	12.68%
CET1 Pillar 2 (P2R)	0.84%
Capital conservation buffer	2.50%
D-SIB buffer	0.75%
Countercyclical buffer	0.04%
CET1 phased-in minimum plus Basel III buffers (excluding capital used to meet other minimum regulatory capital)	8.63%
CET1 phased-in minimum plus Basel III buffers (including capital used to meet other minimum regulatory capital)	9.49%	12.68%

The following table shows the distribution by geographic areas of the credit exposure for calculation of the countercyclical capital buffer. Countries where no buffer is established are grouped:

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Table 6.1. EU CCyB1 -Geographical breakdown of relevant credit exposures for the calculation of the countercyclical capital buffer (Million Euros. 12-31-2022)

	General credit exposures (1)		Trading book exposure		Securitisation exposure	Total exposure value	Own funds requirements				Risk-weighted exposure amounts	Own funds requirements weights		Countercyclical capital buffer rate
	Exposure value for SA	Exposure value for IRB	Sum of long and short position of trading book	Trading book exposure value for internal models	Exposure value for SA		Of which: General credit exposures	Of which: Trading book exposures	Of which: Securitisation exposures	Total
Geographical breakdown
Bulgary	26	1	—	—	—	27	2	—	—	2	26	0.01	%	1.00	%
Denmark	5	130	6	6	—	147	6	—	—	6	75	0.03	%	2.00	%
Slovakia	—	153	—	—	—	153	20	—	—	20	251	0.11	%	1.00	%
Estonia	—	1	—	—	—	1	—	—	—	—	—	—		1.00	%
Hong-Kong	2	3,998	—	—	—	4,000	75	—	—	75	943	0.41	%	1.00	%
Iceland	—	—	—	—	—	—	—	—	—	—	—	—		2.00	%
Luxembourg	72	2,219	15	15	—	2,321	91	2	—	92	1,155	0.50	%	0.50	%
Norway	15	44	15	14	—	87	2	—	—	2	26	0.01	%	2.00	%
United Kingdom	1,133	7,576	71	69	—	8,848	413	8	—	421	5,259	2.30	%	1.00	%
Czech Republic	1	103	—	—	—	104	5	—	—	5	58	0.03	%	1.50	%
Romania	2,200	11	—	—	—	2,210	113	—	—	113	1,409	0.62	%	0.50	%
Sweden	21	267	11	11	—	310	13	1	—	14	170	0.08	%	1.00	%
Total countries with countercyclical capital buffer	3,475	14,503	118	115	—	18,208	740	11	—	750	9,372	4.10	%
Germany	166	5,470	97	92	25	5,850	199	8	—	207	2,584	1.13	%	—
Argentina	5,279	219	124	—	—	5,622	395	—	—	395	4,938	2.16	%	—
Colombia	2,336	874	28	27	—	3,265	184	2	—	186	2,325	1.02	%	—
Spain	13,774	698	79	29	—	14,579	856	4	—	859	10,743	4.70	%	—
United States	22,620	146,003	67	43	4,140	172,873	5,413	3	36	5,452	68,154	29.81	%	—
France	724	24,704	143	158	—	25,730	785	9	—	794	9,925	4.34	%	—
Italy	1,321	8,481	204	205	—	10,211	304	7	—	312	3,898	1.71	%	—
Mexico	45	5,327	22	19	—	5,413	208	—	—	208	2,598	1.14	%	—
Netherlands	37,151	37,910	387	270	—	75,719	4,073	45	—	4,118	51,475	22.51	%	—
Peru	541	4,956	112	111	—	5,719	197	8	—	206	2,571	1.13	%	—
Portugal	18,100	849	50	1	—	19,000	1,129	—	—	1,129	14,116	6.17	%	—
United Kingdom	2,581	2,374	4	3	—	4,963	238	—	—	238	2,975	1.30	%	—
Turkey	41,677	567	246	—	—	42,491	2,755	2	—	2,758	34,471	15.08	%	—
Total countries with a 0% countercyclical buffer or without countercyclical capital buffer (with own funds requirements greater than 1%)	146,315	238,432	1,563	958	4,165	391,435	16,736	88	36	16,862	210,773	92.18	%
Other areas (2)	4,093	12,142	167	80	—	16,483	669	11	—	679	8,497	3.72	%
Total countries without countercyclical capital buffer (with own funds requirements less than 1%)	4,093	12,142	167	80	—	16,483	669	11	—	679	8,497	3.72	%
Total	153,883	265,077	1,848	1,153	4,165	426,126	18,145	110	36	18,291	228,642	100.00	%
(1) Credit exposure excludes exposures to Central Governments or Central Banks, Regional Governments or Local Authorities, Public sector entities, Multilateral Development Banks, International Organisations and Institutions in accordance with art. 140.4 of Directive 2013/36/EU.
(2) A full breakdown of the countries with relevant exposures for the calculation of the countercyclical capital buffer which are included in "Other areas", is in Annex IV.

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Table 6.2. EU CCyB2 -Amount of institution-specific countercyclical capital buffer (Million Euros. 12-31-2022)

	a
Total risk exposure amount	337,066
Institution specific countercyclical buffer rate (1)	0.04	%
Institution specific countercyclical buffer requirement	121
(1) Countercyclical capital buffer calculated as of December 2022 in accordance with Commission Delegated Regulation (EU) 2015/1555.

The countercyclical capital buffer requirement applicable to the BBVA Group is approximately 0.04%, which increased 3 basis points compared to December 2021. This requirement means that the Group must maintain an additional capital buffer of 121 million euros at the end of December 2022.

The increase is mainly due to the activation of the requirement in the United Kingdom (1%), a territory where the Group has significant exposures, making it one of the 10 countries where the Group has the greatest exposure. Additionally, and to a lesser extent, it has also been affected by the activation or increase of the requirement in other less relevant geographies for the Group.

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3.2.Eligible own funds

For the purposes of calculating minimum capital requirements, according to Regulation (EU) 575/2013 and subsequent amendments, which are applicable as of the report date, the elements and instruments of Tier 1 capital are defined as the sum of Common Equity Tier 1 capital (CET1) and additional Tier 1 capital (AT1), as defined in Part Two, Title I, Chapters I to III of the CRR, as well as their corresponding deductions, in accordance with Articles 36 and 56, respectively.

Also considered are the elements of Tier 2 capital defined in Part Two, Title I of Chapter IV, Section I of the CRR. The deductions defined as such in Section II of the same Chapter are also considered.

The level of Common Equity Tier 1 capital essentially comprises the following elements:

a.Capital and share premium: this includes the elements described in article 26 section 1, and 28 of the CRR and the EBA list referred to in Article 26 Section 3 of the CRR.

b.Accumulated gains: in accordance with Article 26. 1 c), the gains that may be used immediately and with no restriction to cover any risk or losses are included, in the event that they occur.

c.Other accumulated income and other reserves: in accordance with Article 26. 1, d) and e), this item primarily classifies the exchange-rate differences and the valuation adjustments associated with the portfolio of financial assets at fair value with changes to other comprehensive income.

d.Minority interests eligible as CET1: includes the sum of the Common Equity Tier 1 capital instruments of a subsidiary that arise in the process of its global consolidation and are attributable to natural or legal third persons other than companies included in the consolidation, calculated in accordance with Article 84 et seq. of the CRR.

e.Net profit of the year attributed to the Group: the independently verified profits are included, net of any possible expense or foreseeable dividend previously authorised by the supervisor (following the treatment set out in Article 5 of Decision (EU) 2015/656 of the ECB). As of December 31, 2022, it includes the prudential accrual of 0.31 cents/share as Shareholders remuneration related to 2022 results, which has been agreed by the Management Board on January, 31, 2023 (pending approval by the General Shareholders' Meeting to be held on March 17, 2023).

Furthermore, CET1 capital is adjusted mainly through the following deductions:

f.Additional value adjustments: this includes adjustments resulting from the prudent valuation of positions at fair value, as set out in Article 105 of the CRR.

g.Intangible assets: these are included net of the corresponding tax liabilities, as set out in Article 36.1 b) and Article 37 of the CRR. It mainly includes goodwill, software and other intangible assets. The amount shall be deducted from the amount of the accounting revaluation of the intangible assets of the subsidiaries derived from the consolidation of the subsidiaries attributable to persons other than the companies included in the consolidation.This includes the positive effect due to the prudent treatment of software following the publication of Delegated Regulation 2020/2176 of December 22.

h.Deferred tax assets: it includes deferred tax assets that rely on future profitability and do not rise from temporary differences (net of the corresponding tax liabilities when the conditions established in Article 38.3 of the CRR are met), as per Article 36.1 c) and Article 38 of the CRR, mainly loss carryforwards (LCFs).

i.Reserves at fair value related to losses or gains from cash flow hedging: includes value adjustments of cash flow hedging of financial instruments not valued at fair value, including expected cash flows in accordance with Article 33 a) of the CRR.

j.Negative amounts due to the calculation of the expected losses: the default provision on expected losses in exposure weighted by method based on internal ratings, calculated in accordance with Article 36.1 d) of the CRR, is included.

k.Profit and loss at fair value: these are derived from the entity’s own credit risk, in accordance with Article 33 b) of the CRR.

l.Direct, indirect and synthetic holdings of own instruments (treasury stock): includes the shares and other instruments eligible as capital that are held by any of the Group’s consolidating entities, together with those held by non-consolidating entities belonging to the economic Group, as set out in Article 36.1 f) and Article 42 of the CRR. It mainly includes the amount of the treasury stock up to the maximum limit authorized by the ECB to the BBVA Group and the financing of own treasury shares.

m.Securitisation: any instance of securitisation that receives a risk weight of 1.250% is included, as set out in Article 36.1 k) ii) of the CRR.

n.Other regulatory adjustments: other CET1 deductions are included according to the CRR,

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which were not recognised in the above headings, such as:

i.losses and gains at fair value arising from the entity's own credit risk related to derivative liabilities (DVA).

ii.the amount corresponding to the insufficient coverage of non-performing exposures, taking into account both Article 36.1.m) of the CRR and the supervisory expectations on prudential provisions for non-performing exposures published in the Appendix to the ECB Guide on non-performing loans for credit institutions published in March 2018.

iii.the adjustment for the transitional treatment of the impact of IFRS9. In this regard, it is worth mentioning that since 2018, the BBVA Group has applied the static and dynamic treatment of the impacts of IFRS 9, therefore, the phased-in capital and leverage ratios are calculated taking into account the transitional provisions defined in Article 473 bis of the CRR and its subsequent amendments to the aforementioned article introduced by Regulation 2020/873 of the Parliament and of the Council of June 24, 2020 in response to the COVID19 Pandemic, opting to apply section 7a of the aforementioned article in the calculation of the impact of the transitory treatment on phased-in risk-weighted assets.

iv.the amount of the deduction arise from significant holdings in financial institutions and deferred tax assets arising from temporary differences that exceed the 10% limit of the CET1, as well as the deduction for exceeding the joint limit of 17.65% of the CET1 according to Article 48.2 of the CRR.

In addition, as of December 31, 2022, the Group do not hold stakes in financial institutions that are excluded from the application of the previously mentioned limits (article 49 of the CRR) and, therefore, the standard template of the EBA EU INS1 shall not be applicable.

v.the execution of 422 million share buyback program, subject to obtaining the corresponding regulatory authorizations and the communication of the specific terms and conditions of the program prior to the beginning of its execution.

In addition, the Group includes as eligible own funds the AT1 capital, which is comprised of:

o.Capital instruments and share premium eligible as AT1: this item includes the perpetual contingent convertible securities that meet the conditions set out in Articles 51 and 52.1, 53 and 54 of the CRR.

p.Qualifying Tier 1 capital included in the consolidated additional capital issued by affiliates and held by third parties: this item includes the amount of additional Tier 1 capital from the subsidiaries, calculated in accordance with Article 85 and 86 of the CRR.

Finally, the Group also includes Tier 2 eligible capital as own funds, which includes the following elements:

q.Capital instruments and Tier 2 share premiums: includes funding that, for credit ranking purposes, comes behind all the common creditors. The issues, moreover, have to fulfil a number of conditions, which are laid out in Article 63 of the CRR, taking into account the transitory provisions established in Part Ten, Chapter 4 of the CRR

r.Eligible own funds instruments eligible as Tier 2 capital issued by subsidiaries and held by third parties: these instruments are included under Articles 87 and 88 of the CRR.

s.Credit risk adjustments: it includes the surplus resulting from comparing the provisions and expected credit losses related to exposures calculated under IRB approach with the limit of 0.6% of the risk-weighted exposure.

t.Tier 2 Regulatory adjustments: this mainly includes direct and indirect holdings of own Tier 2 capital instruments and the adjustment of the element described in letter s) derived from the transitional treatment of the impact of IFRS9.

Annex III outlines the main characteristics of capital instruments eligible for inclusion as additional Tier 1 and Tier 2 capital, in accordance with the standard template EU CCA.

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The amount of total eligible capital, net of deductions, for the different items making up the capital base as of December 31, 2022 and 2021, respectively, is below, in accordance with the requirements for the disclosure of information related to regulatory own funds established

by the Implementing Technical Standards (EBA/ITS/2020/04) (Implementing Regulation 2021/637 of March 15, 2021):

Table 7. Amount of capital (EU CC1) (Million Euros)

Reference to template EU CC2(1)	12-31-2021		6-30-2021		12-31-2020
a) Capital and share premium	23,810		25,463		26,866
b) Retained earnings	31,436		31,214		30,745
c) Other accumulated earnings and other reserves	(13,952)		(13,295)		(17,200)
d) Minority interests eligible as CET1	1,853		1,988		2,800
e) Net profit of the year attributtable to the Group (2)	3,814		1,478		2,573
Common Equity Tier 1 Capital before other regulatory adjustments	46,962		46,847		45,784
f) Additional value adjustments	(356)		(350)		(260)
g) Intangible assets	(1,395)		(1,416)		(1,484)
h) Deferred tax assets	(1,057)		(1,048)		(1,009)
i) Fair value reserves related to gains o losses on cash flow hedges	425		662		483
j) Expected losses in equity	(16)		—		—
k) Profit or losses on liabilities measured at fair value	(72)		(97)		(2)
l) Direct, indirect and synthetic holdings of own instruments	(356)		(1,749)		(2,800)
m) Securitisations tranches at 1250%	(1)		(24)		(22)
n) Other CET1 regulatory adjustments (2)	(1,396)		(1,262)		(741)
Total Common Equity Tier 1 regulatory adjustments	(4,223)		(5,284)		(5,835)
Common Equity Tier 1 (CET1)	42,738		41,563		39,949
o) Equity instruments and AT1 share premium	4,875		4,925		5,265
p) Qualifying Tier 1 capital included in consolidated AT1 capital issued by subsidiaries and held by third parties	318		339		472
Additional Tier 1 before regulatory adjustments	5,193		5,264		5,737
Additional Tier 1 (AT1)	5,193		5,264		5,737
Tier 1 (Common Equity Tier 1+Additional Tier 1)	47,931		46,828		45,686
q) Equity instruments and Tier 2 share premiums	3,510		3,737		4,324
r) Eligible own funds instruments included in consolidated Tier 2 issued by subsidiaries and held by third parties	2,310		2,333		2,516
s) Credit risk adjustments	213		758		722
Tier 2 before regulatory adjustments	6,033		6,828		7,562
t) Tier 2 regulatory adjustments	(103)		(9)		(179)
Tier 2	5,930		6,819		7,383
Total Capital (Total capital = Tier 1 + Tier 2)	53,861		53,647		53,069
Total RWAs	337,066		330,871		307,795
CET 1 (phased-in)	12.68	%	12.56	%	12.98	%
CET 1 (fully loaded)	12.61	%	12.45	%	12.75	%
TIER 1 (phased-in)	14.22	%	14.15	%	14.84	%
TIER 1 (fully loaded)	14.15	%	14.05	%	14.62	%
Total Capital (phased-in)	15.98	%	16.21	%	17.24	%
Total Capital (fully loaded)	15.94	%	16.11	%	16.99	%
(*) As of 31 December 2022, the difference between the phased-in and fully loaded ratios arises from the transitional treatment of certain elements of capital, mainly the impact of IFRS 9, to which the BBVA Group has voluntarily adhered (in accordance with article 473a of the CRR). See table 11 for more information on the transitional impact of IFRS 9.
In addition, noted that the Group as of December, 31, 2022 is not applying the transitional treatment of unrealised gains and losses valued at fair value through Other comprehensive Income (hereinafter, unrealised P&L measured at fair value through OCI) as defined in Article 1.6 of that Regulation amending Article 468 of the CRR. Therefore, the Group’s own funds, capital and leverage ratios to date reflect the full impact of the above-mentioned unrealised P&L measured at fair value through OCI.
(1) References to regulatory balance sheet (EU CC2) where these items are included.
(2) As of December 31, 2022, the total shareholder remuneration for 2022 is deducted from CET 1, so that "Net profit of the year attributable to the Group" includes the amount of cash remuneration (€2,593 million) and "Other CET1 regulatory adjustments" includes the deduction of €422 million corresponding to the execution of a program to repurchase BBVA shares, approved by the Board of Directors on January 31, 2023 and subject to obtaining the corresponding regulatory authorizations.

The CET1 fully-loaded ratio of the BBVA Group (hereinafter, the Group) stood at 12.61% at the end of December 2022, which allows maintaining a large management buffer over the Group's CET 1 requirement (8.63%) and over the Group's target management range established between 11.5-12% of CET 1. The phased-in CET 1 ratio was 12.68%, the difference between the two

ratios is explained by the effect of the transitional adjustments of the IFRS9 impacts on solvency indicators.

These ratios incorporate the effects of the corporate transactions carried out during the year, with a combined impact of -38 basis points on the Group's CET1. These

BBVA. PILLAR 3 2022 3. ELIGIBLE OWN FUNDS AND MINIMUM REQUIREMENTS P. 41

transactions are the agreement reached with Neon Payments Limited in the first quarter of 2022, the voluntary takeover bid for Garanti BBVA and the acquisition from Merlin of 100% of Tree Inversiones Inmobiliarias Socimi, S.A. in the second quarter of 2022. Excluding these elements, the CET1 fully loaded ratio has increased by 24 basis points, mainly explained by: the generation of earnings in the year (+214 basis points) which, net of shareholder remuneration and payment of CoCos coupons (Contingent Convertible ) has generated a positive contribution of +106 basis points. On the other hand, the growth of risk-weighted assets (RWAs) in constant has subtracted -101 basis points, reflecting the organic growth of the activity. Finally, the other elements that make up CET 1 had a positive contribution of +19 basis points; these include market effects, minority interests, regulatory impacts and the compensation in equity of the negative effect on results due to the loss in value of the net monetary position in hyperinflationary economies.

Additional Tier 1 (AT1) fully-loaded capital stood at 1.54% at the end of December 2022 (1.54% phased-in), 34 basis points lower than in 2021, which includes the €500 million reduction effect from the early redemption of a CoCos issue dating back to 2017.

The Tier 2 fully-loaded ratio stood at 1.79% (1.76% phased-in) which represents a reduction of -58 basis

points compared to 2021, mainly explained by the effect of increased RWAs during the year and the lower computability of internal credit model provisions.

As a consequence of the foregoing, the fully-loaded total capital ratio stands at 15.94 % as of December 2022, while the total phased-in ratio is 15.98 % as of the same date.

Following the latest SREP (Supervisory Review and Evaluation Process) decision, the ECB has informed the Group that with effect from January 1, 2023, it must maintain at consolidated level a total capital ratio of 13.00% and a CET1 capital ratio of 8.75%, which include a Pillar 2 requirement at consolidated level of 1.71% (a minimum of 0.96% must be satisfied with CET1). Regarding this total capital requirement, 0.21% (0.12% to be met by CET1) corresponds to the ECB's prudential provisioning expectations. Prudential provisions, as of January 1, 2023, will no longer be treated as a deduction in CET1 with a positive effect of 19 basis points on the December 2022 close, which would be equivalent to a pro-forma ratio of 12.80%.

The evolution of fully loaded CET1 ratio during the year 2022 is below:

Chart 6. Annual evolution of the CET1 fully loaded ratio

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The process of reconciliation between accounting own funds and regulatory own funds is shown below. Based on the shareholders’ equity reported in the Consolidated Financial Statements of BBVA Group and applying the

deductions and adjustments shown in the table below, reaching to the regulatory capital figure eligible for solvency purposes:

Table 8. Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter (Million Euros)

Eligible capital own funds	12-31-2022	12-31-2021
Capital	2,955	3,267
Share premium	20,856	23,599
Retained earnings, revaluation reserves and other reserves	34,881	29,984
Other equity	63	60
Less: Treasury shares	(29)	(647)
Attributable to the parent company	6,420	4,653
Attributable dividend	(722)	(532)
Total equity	64,422	60,384
Accumulated other comprehensive income (Loss)	(17,432)	(16,477)
Non-controlling interest	3,624	4,853
Shareholders`equity	50,615	48,760
Goodwill and other intangible assets	(1,395)	(1,484)
Deductions	(1,722)	(1,484)
Differences from solvency and accounting level	(123)	(130)
Equity not eligible at solvency level	(123)	(130)
Other adjustments and deductions(2)	(6,032)	(7,197)
Common Equity Tier 1 (CET 1)	42,738	39,949
Additional Tier 1 before Regulatory Adjustments	5,193	5,737
Total regulatory adjustments of additional Tier 1	—	—
Tier 1	47,931	45,686
Tier 2	5,930	7,383
Total Capital (Tier 1 + Tier 2)	53,861	53,069
Total Minimum capital required(1)	43,111	39,275
(1) Calculated over minimum total capital applicable for each period.
(2) Other adjustments and deductions include, among others, the adjustment related to the amount of minority interest not eligible as capital, the amount of the treasury shares repurchase up to the maximum limit authorised by the ECB to BBVA Group and the amount of dividends not yet distributed.

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3.3.Own Funds requirements by risk type

3.3.1. Entity risk profile

The BBVA Group has a general risk management and control model (hereinafter, the “Model”) that is appropriate for its business model, its organisation, the countries where it operates and its corporate governance system. This model allows the Group to carry out its activity within the risk management and control strategy and policy defined by the corporate bodies of BBVA and to adapt itself to a changing economic and regulatory environment, facing this management at a global level and aligned to the circumstances at all times. The Model establishes a suitable risk management system related to the risk profile and strategy of the entity.

The types of risk inherent in the business that make up the risk profile of the Group are as follows:

•Credit risk and dilution: Credit risk arises from the probability that one party to a financial instrument will fail to meet its contractual obligations for reasons of insolvency or inability to pay and cause a financial loss for the other party. This includes counterparty risk, issuer risk, liquidation risk and country risk.

•Counterparty risk: The credit risk corresponding to derivative instruments, repurchase and reverse repurchase transactions, securities or commodities lending or borrowing transactions and deferred settlement transactions.

•Credit Valuation Adjustment Risk (CVA): Its aim is to reflect the impact on the fair value of the counterparty’s credit risk, resulting from OTC derivative instruments which are not recognised credit derivatives for the purpose of reducing the amount of credit risk weighted exposure

•Market risk: Market risk originates in the possibility that there may be losses in the value of positions held due to movements in the market variables that affect the valuation of financial products and assets in the trading book. This includes risk with respect to the position in debt and equity instruments, exchange rate risk and commodity risk.

•Operational risk: a risk that may cause losses as a result of human error; inadequate or defective internal processes; inadequate conduct towards customers, in the markets or against the company; failures, interruptions or deficiencies in systems or communications; theft, loss or misuse of information, as well as deterioration of its quality; internal or external fraud including, in all cases, fraud resulting from cyber-attacks; theft or physical damage to assets or persons; legal risks; risks resulting from workforce and occupational health management; and inadequate service provided by suppliers. This definition includes legal risk, but excludes strategic and/or business risk and reputational risk.

•Structural risk: This is divided into structural interest-rate risk (movements in market interest rates that cause changes in an entity’s net interest income and book value) and structural exchange-rate risk (exposure to variations in exchange rates originating in the Group’s foreign companies and in the provision of funds to foreign branches financed in a different currency from that of the investment).

•Liquidity risk: Risk of an entity having difficulties in duly meeting its payment commitments, or where, to meet them, it has to resort to funding under burdensome terms which may harm the Group’s image or reputation.

•Reputational risk: Considered to be the potential loss in earnings as a result of events that may negatively affect the perception of the Group’s different stakeholders.

The following table shows the total capital requirements broken down by risk type as of quarter-end from December 31, 2021 to December 31, 2022:

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Table 9. EU OV1 - Overview of RWAs (Million Euros)

	RWEAs(1)					Minimum Capital Requirements (2) (3)
	12-31-2022	9-30-2022	6-30-2022	3-31-2022	12-31-2021	12-31-2022
Credit risk (excluding CCR) (4)	285,362	278,942	270,369	257,856	247,299	22,829
Of which the standardised approach (5)	143,612	150,696	144,373	135,061	129,741	11,489
Of which the Foundation IRB (F-IRB) approach	—	—	—	—	—	—
Of which: slotting approach	5,177	5,541	4,928	4,718	4,498	414
Of which equity IRB under the simple risk-weighted approach(6)	2,570	2,600	2,307	2,418	2,442	206
Of which the Advanced IRB (A-IRB) approach (7)	102,547	104,095	102,013	100,760	97,614	8,204
Counterparty credit risk - CCR	11,232	13,436	11,646	11,115	13,870	899
Of which the standardised approach (8)	6,725	8,908	8,023	7,791	9,661	538
Of which internal model method (IMM)	—	—	—	—	—	—
Of which exposures to a CCP(9)	702	551	223	154	156	56
Of which credit valuation adjustment - CVA	1,741	2,461	2,072	1,932	2,518	139
Of which other CCR	2,063	1,516	1,328	1,238	1,535	165
Settlement risk	—	—	—	—	—	—
Securitisation exposures in the non-trading book (after the cap)(10)	455	326	364	296	325	36
Of which internal assessment approach (SEC-IRBA)	438	271	345	274	300	35
Of which external assessment approach (SEC-ERBA)	17	17	20	22	25	1
Of which standardised approach (SEC-SA)	—	37	—	—	—	—
Of which 1250%/ deduction (10)	—	—	—	—	—	—
Market Risk	12,969	15,568	15,751	14,867	14,712	1,037
Of which the standardised approach (SA)	4,716	5,439	5,884	5,580	4,445	377
Of which IMA	8,252	10,129	9,866	9,287	10,267	660
Large exposures	—	—	—	—	—	—
Operational risk	27,049	33,407	32,742	32,227	31,589	2,164
Of which basic indicator approach	946	690	699	719	748	76
Of which standardised approach	26,103	32,717	32,043	31,508	30,841	2,088
Of which advanced measurement approach	—	—	—	—	—	—
Amounts below the thresholds for deduction (subject to 250% risk weight)(11)	16,268	16,319	15,827	15,442	15,112	1,301
Total	337,066	341,678	330,871	316,361	307,795	26,965
(1) Risk-weighted assets according to the phased-in period
(2) Considering the minimum total capital requirement of 8% (Article 92 of the CRR)
(3) Under the total capital requirement ratio after the supervisory review process (SREP), the total capital requirement ratio amounts to 12.79% (€43,111 million as of the reporting date)
(4) Including amounts below the deduction thresholds subject to 250% weight (DTAs rise to €8,472 million and significant investments in financial sector entities and insurance companies amounting to €7,796 million).
(5) Excluding deferred tax assets arising from temporary differences subject to 250% risk weight in accordance with Article 48.4 CRR. This amount is €8,472 million as of december 31, 2022.
(6) It only includes equity exposures under the simple method of IRB approach.
(7) It only includes credit risk exposures under the advanced internal ratings-based approach (AIRB).
(8) It only includes SA-CCR for derivatives.
(9) This row includes the total RWAs corresponding to exposures with central counterparties (CCPs), both qualified and non-qualified, among which are also the initial margins.
(10) The BBVA Group deducts from capital those securitisations meeting the deduction requirements, so it does not apply a weight of 1,250% to these exposures. In this row, the value of €11 million that would result from applying this weight to the exposures deducted is not included.
(11) The information in this row is disclosed for information purposes only, as the amount included here is also included in row 1, where institutions are requested to disclose information on credit risk. As a consequence, this row should not be taken into account when calculating the total indicated at the bottom of the table.

In 2022, , risk-weighted assets grew by approximately €30 billion euros, mainly due to the dynamism of lending activity throughout the Group. Of particular note were Turkey and South America, where the Group applies standardised approach. The above growth is partly reduced by the evolution of counterparty credit risk, as well as market risk, in line with the lower volatility observed. Finally, the Group recorded a net impact of supervisory effects and model updates in the calculation of operational risk of approximately €8.2 billion, which

had an impact on the Group's CET 1 ratio of approximately -30 basis points.:

The evolution of RWAs by type of risk is explained in more detail in the respective sections of the report.

Total risk-weighted assets are shown below, broken down by type of risk (where credit risk includes counterparty risk) as of December 31, 2022 and December 31, 2021:

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Chart 7. Distribution of RWAs by risk type eligible on Pillar 1

(1) Credit Risk includes Risk for CVA adjustment and the prudential advance for the impacts of the TRIM and other regulatory/supervisory impacts

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Chart 7. Distribution of RWAs by risk type eligible on Pillar 1

(1) Credit Risk includes Risk for CVA adjustment and the prudential advance for the impacts of the TRIM and other regulatory/supervisory impacts

3.3.2. Breakdown of minimum capital requirements by risk type

This section provides an overview of risk-weighted assets and the minimum capital requirements established by Article 92 of the CRR.

The following table is a breakdown of risk-weighted assets and capital requirements broken down by risk type and exposure categories as of December 31, 2022, September 30, 2022 and December 31, 2021:

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Table 10. Capital requirements by risk type and exposure class (Million Euros)

	Capital requirements(2)			RWA's(1)
Exposure Class and risk type	12-31-2022	9-30-2022	12-31-2021	12-31-2022	9-30-2022	12-31-2021
Credit Risk	11,779	12,366	10,853	147,240	154,576	135,660
Central governments or central banks	2,500	2,556	2,521	31,254	31,948	31,511
Regional governments or local authorities	107	96	95	1,335	1,194	1,189
Public sector entities	80	73	70	1,002	917	876
Multilateral development banks	—	—	—	6	6	6
International organisations	—	—	—	—	—	—
Institutions	393	544	566	4,916	6,805	7,073
Corporates	3,660	3,935	3,177	45,746	49,185	39,710
Retail	2,910	2,901	2,282	36,379	36,262	28,520
Secured by mortgages on immovable property	790	827	691	9,871	10,332	8,637
Exposures in default	215	233	280	2,691	2,913	3,495
Exposures associated with particularly high risk	225	241	292	2,809	3,007	3,654
Covered bonds	—	—	—	—	—	—
Claims on institutions and corporates with a short-term credit assessment	—	2	—	—	24	—
Collective investments undertakings	—	—	—	1	1	1
Equity exposures	—	—	—	—	—	—
Other exposures	898	959	879	11,230	11,982	10,987
Total credit risk by standardised approach	11,779	12,366	10,853	147,240	154,576	135,660
Credit Risk	9,075	9,316	8,599	113,432	116,453	107,492
Central governments or central banks	88	101	79	1,105	1,266	983
Institutions	587	662	578	7,336	8,278	7,228
Corporates	6,441	6,631	6,044	80,508	82,892	75,554
Of which: SMEs	1,032	1,058	1,202	12,896	13,224	15,023
Of which: Specialised lending	424	454	414	5,306	5,677	5,173
Of which: Others	4,985	5,119	4,429	62,307	63,991	55,359
Retail	1,959	1,921	1,898	24,483	24,017	23,727
Of which: Secured by mortgages on immovable property (SME)	86	87	108	1,078	1,091	1,346
Of which: Secured by mortgages on immovable property (non SME)	713	711	774	8,916	8,888	9,681
Of which: Qualifying revolving	709	696	523	8,868	8,699	6,541
Of which: Other SMEs	93	90	122	1,158	1,120	1,520
Of which: Other Non-SMEs	357	337	371	4,463	4,218	4,639
Equity	1,048	1,053	1,059	13,097	13,160	13,235
Simple risk weight approach	206	208	195	2,570	2,600	2,442
Exposures in sufficiently diversified portfolios (RW 190%)	120	117	108	1,500	1,465	1,351
Exchange traded exposures (RW 290%)	44	49	56	551	612	702
Others (RW 370%)	42	42	31	519	523	389
PD/LGD approach	180	180	205	2,250	2,248	2,559
Internal models approach	38	23	35	481	289	433
Exposures subject to 250% risk weght	624	642	624	7,796	8,022	7,800
Total credit risk by IRB approach	10,122	10,369	9,658	126,529	129,612	120,727
Total contributions to the default fund of a CCP	12	22	4	154	279	54
Securitisation exposures	36	26	26	455	326	325
Total credit risk	21,950	22,783	20,541	274,378	284,793	256,766
Settlement risk	—	—	—	—	—	—
Standardised approach:	377	435	191	4,716	5,439	4,445
Of which: Fixed income price risk	167	189	113	2,088	2,358	1,971
Of which: Equity market risk	1	2	1	16	21	11
Of which: Price risk in CIUs	18	21	44	230	261	341
Of which: Foreign exchange risk	191	218	28	2,383	2,731	2,059
Of which: Commodities risk	—	5	5	—	68	63
IMA: Market Risk	660	810	821	8,252	10,129	10,267
Total trading book risk	1,037	1,245	1,012	12,969	15,568	14,712
CVA risk	139	197	201	1,741	2,461	2,518
Operational risk	2,164	2,673	2,527	27,049	33,407	31,589
Others (3)	1,674	436	177	20,929	5,450	2,211
Capital requirements	26,965	27,334	24,624	337,066	341,678	307,795
(1) Risk-weighted assets for the transitional period (phased-in).
(2) Calculated on the minimum total capital requirements of 8% (Article 92 of the CRR).
(3) This line includes capital consumptions that the Group incorporates to reflect a more conservative treatment of certain elements in accordance with article 3 CRR.

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The full series of the capital requirements and RWA by risk type, during the year 2022, is available in the editable file "Pillar 3 2022 - Tables & Annexes".

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3.4.IFRS 9 and OCI Transitional Arrangements

The table below shows a comparison of institutions' own funds and capital and leverage ratios with and without the application of the transitional treatment of IFRS9 impact, and with and without the application of the transitional treatment in accordance with Article 468 of the CRR, according to the standard format set by EBA guidelines (EBA/GL/2018/01).

Since 2018 BBVA Group has applied the transitional treatment of IFRS9 impact. Therefore, phased-in capital ratios and leverage ratio are calculated taking into account the transitional provisions as defined by article 473a of the CRR and its subsequent amendments made by Regulation 2020/873 of the Parliament and Council of 24 June 2020 in response to the COVID-19 pandemia. The Group also applies paragraph 7a of the aforementioned article in calculating the impact of the transitional treatment on phased in risk-weighted assets.

In addition, as of the end of December 2022, the Group is not applying the transitional treatment of unrealised gains and losses measured at fair value through other comprehensive income (hereinafter, unrealised gains and losses measured at FVTOCI) outlined in Article 1, Paragraph 6 of the aforementioned regulation amending Article 468 of the CRR. Therefore, the Group's own funds, and its capital adequacy and leverage ratios, reflect to date the full impact of the aforementioned unrealised gains and losses measured at FVTOCI.

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Table 11. IFRS 9-FL - Comparison of institutions’ own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs and with and without the application of the temporary treatment of gains and losses measured at Fair Value through OCI (Million Euros)

Available capital (Million Euros)	12-31-2022		9-30-2022		6-30-2022		3-31-2022		12-31-2021
Common Equity Tier 1 Capital (CET1)	42,738		42,876		41,563		40,537		39,949
Common Equity Tier 1 (CET1) if the transitional provisions of IFRS 9 or similar ECL had not been applied	42,484		42,494		41,181		40,155		39,184
Common Equity Tier 1 (CET1) if the transitional treatment of unrealized gains and losses measured at fair value through OCI (other comprehensive income) had not been applied
Tier 1 capital (T1)	47,931		48,281		46,828		46,364		45,686
Tier 1 capital (T1) if the transitional provisions of IFRS 9 or similar ECL had not been applied	47,677		47,899		46,446		45,982		44,922
Tier 1 (T1) capital if the transitional treatment of unrealized gains and losses measured at fair value through OCI (other comprehensive income) had not been applied
Total capital	53,861		54,895		53,647		53,203		53,069
Total capital if the transitional provisions of IFRS 9 or similar ECL had not been applied	53,699		54,512		53,264		52,820		52,473
Total capital if the transitional treatment of unrealized gains and losses measured at fair value with changes in OCI had not been applied (other comprehensive income)
Risk-weighted assets (Million Euros)
Total risk-weighted assets	337,066		341,678		330,871		316,361		307,795
Total risk-weighted assets had the transitional provisions of IFRS 9 or similar ECL not been applied	336,884		341,448		330,642		316,131		307,335
Total risk-weighted assets if the transitional treatment of unrealised gains and losses measured at fair value through OCI had not been applied (other comprehensive income)
Capital ratios
Common Equity Tier 1 (CET1) (as a percentage of the risk exposure amount)	12.68	%	12.55	%	12.56	%	12.81	%	12.98	%
Common Equity Tier 1 (CET1) (as a percentage of the risk exposure amount) if the transitional provisions of IFRS 9 or similar ECL had not been applied	12.61	%	12.45	%	12.45	%	12.70	%	12.75	%
Common Equity Tier 1 (CET1) (as a percentage of the risk exposure amount) if the transitional treatment of unrealized gains and losses measured at fair value through OCI (other comprehensive income) had not been applied
Tier 1 capital (T1) (as a percentage of the amount of the exposure)	14.22	%	14.13	%	14.15	%	14.66	%	14.84	%
Tier 1 capital (T1) (as a percentage of the exposure amount) if the transitional provisions of IFRS 9 or similar ECL had not been applied	14.15	%	14.03	%	14.05	%	14.55	%	14.61	%
Tier 1 (T1) capital (as a percentage of the exposure amount) if the transitional treatment of unrealized gains and losses measured at fair value through OCI (other comprehensive income) had not been applied
Total capital (as a percentage of the amount of the exposure)	15.98	%	16.07	%	16.21	%	16.82	%	17.24	%
Total capital (as a percentage of the amount of the exposure) if the transitional provisions of IFRS 9 or similar ECL had not been applied	15.94	%	15.96	%	16.11	%	16.71	%	17.07	%
Total capital (as a percentage of the amount of the risk exposure) if the transitional treatment of unrealized gains and losses measured at fair value through OCI (other comprehensive income) had not been applied
Leverage ratio
Measurement of total exposure corresponding to the leverage ratio (Million Euros)	737,990		765,452		752,016		687,992		671,789
Leverage ratio	6.49	%	6.31	%	6.23	%	6.74	%	6.80	%
Leverage ratio if the transitional provisions of IFRS 9 or similar ECL had not been applied	6.46	%	6.26	%	6.18	%	6.69	%	6.69	%
Leverage ratio if the transitional treatment of unrealized gains and losses measured at fair value through OCI (other comprehensive income) had not been applied

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3.5.Procedure used in the capital self-assessment process

The Group carries out the internal capital assessment process in accordance with the Capital Requirements Directive 2013/36/EU and guidelines on the supervisory review and evaluation process (SREP) published by the European Banking Authority. In accordance with Article 108 of the Capital Requirements Directive (2013/36/EU), the Group complies with the obligations set out in Article 73 thereof on a consolidated basis. Furthermore, the document is structured on the basis of the ECB's guidance on the internal capital adequacy assessment process (ICAAP) of November 2018.

Within the framework of the internal capital assessment process, the Group assesses and quantifies all risk that could significantly affect its capital position and draws a conclusion on the capital adequacy from a holistic medium-term perspective.

The Group applies a proportionate approach that aims to ensure the entity's survival and continued compliance with all legal and internal requirements. In addition to regulatory and accounting perspectives, the Group bases its capital adequacy position analysis on a sound internal approach in which its capital position is assessed under an economic vision, which includes quantifying capital needs for risk covered in Pillar 1 of Basel and the needs due to risk not covered by Pillar 1.

The following are some of the points assessed in the internal capital assessment process:

•Business and strategy model, describing both the changes planned by the bank in the current business model and its underlying activities such as the relationship between the business strategy and internal capital assessment process.

•Internal governance, risk management and the control framework, reviewing the processes and mechanisms that ensure that the bank has a sound and integrated framework for managing present and future material risk.

•Risk appetite framework, describing the correspondence between this framework and the bank’s business strategy and model.

•Identification and assessment of risk (including credit, operational, market, liquidity and other structural risk) and quantification of the capital necessary to cover them, with a quantitative reconciliation between the Pillar 1 and Pillar 2 approaches.

•Planning capital under baseline and stress scenarios, projecting the capital base of the Group, the parent and its main subsidiaries over the next four years and analysing capital sufficiency in accordance with the regulatory requirements and the internal objectives set out by the entity for the close of the period, also dealing with the planned capital actions.

This internal capital assessment process concludes with submission to the supervisor of an annual report on the process. The report plays a key role in the review and evaluation methodology applied by the Single Supervisory Mechanism, and is an important element for determining capital requirements under Pillar 2.

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4.Risk

4.1.General Risk Management and Control Model	54
4.1.1.Governance and organisation	54
4.1.2.Risk Appetite Framework	60
4.1.3. Assessment, monitoring and reporting	61
4.1.4. Infrastructure	62
4.1.5. Transactions with related parties	62
4.2.Credit and Counterparty Risk	64
4.2.1.Scope and nature of the Credit Risk measurement and reporting systems for capital framework purposes	64
4.2.2.Definitions and accounting methodologies	65
4.2.3.Information on credit risk	66
4.2.4.Information on the standardised approach	86
4.2.5.Information on the IRB approach	91
4.2.6.Information on counterparty credit risk	128
4.2.7.Information on securitisation	141
4.2.8.Hedging and risk reduction policies. Supervision strategies and processes	153
4.2.9.Information on credit risk mitigation techniques	154
4.3.Market Risk	160
4.3.1.Scope and nature of the market risk measurement and reporting systems	160
4.3.2.Differences in the trading book under accounting and prudential regulation	160
4.3.3Standardised approach	161
4.3.4.Internal models	162
4.4.Structural risk	177
4.4.1.Structural interest rate risk	177
4.4.2.Structural exchange rate risk	183
4.4.3.Structural equity risk	184
4.5.Liquidity Risk	187
4.5.1.Liquidity and Funding strategy and planning	193
4.5.2.Governance and monitoring	188
4.5.3.Liquidity and funding performance in 2022	194
4.5.4.Liquidity and funding prospects	196

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4.5.5.LCR disclosure	199
4.5.6.Net Stable Funding Ratio	196
4.5.7.Encumbered assets in funding operations	199
4.6.Operational Risk	204
4.6.1.Operational risk management principles	208
4.6.2.Operational risk management model	209
4.6.3.Operational risk governance	207
4.6.4.Methods used for calculating capital	208
4.6.5.Group’s operational risk profile	209

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4.1.General Risk Management and Control Model

The BBVA Group has a general risk management and control model (hereinafter, the “Model”) that is appropriate for its business model, its organization, the countries where it operates and its corporate governance system. This model allows the Group to carry out its activity within the management and risk control strategy and policy defined by the corporate bodies of BBVA (considering sustainability specifically) and to adapt itself to a changing economic and regulatory environment, facing this management at a global level and aligned to the circumstances at all times.

The Model, for which the Group’s Chief Risk Officer (CRO) is responsible and that must be updated or reviewed at least annually, is fully applied in the Group and it comprises the following basic elements:

–Governance and organization

–Risk Appetite Framework

–Assessment, monitoring and reporting

–Infrastructure.

The Group promotes the development of a risk culture that ensures a consistent application of the Model in the Group, and that guarantees that the risks function is understood and internalized at all levels of the organization.

4.1.1. Governance and organisation

The risk governance model in the BBVA Group is characterized by a special involvement of its corporate bodies, both in setting the risk strategy and in monitoring and supervising its implementation on an ongoing basis.

Thus, and as explained below, the corporate bodies are responsible for approving the risk strategy and the general policies for the different types of risks. Global Risk Management (hereinafter, GRM) and Regulation & Internal Control (including, among other areas, Non-Financial Risks) are the functions responsible for its implementation and development, with the appropriate reporting to corporate bodies.

Responsibility for day-to-day management of risks falls on business and corporate areas, the activities of which adhere to the general policies, regulation, infrastructures and controls that, based on the framework set by corporate bodies, are defined by GRM and Regulation & Internal Control in their corresponding areas of responsibility.

To carry out this work adequately, the financial risks function in the BBVA Group has been set up as a single, global function and independent from commercial areas.

The head of the financial risks function at an executive level, is the Group's Chief Risk Officer, who is appointed by the Board of Directors as a member of its senior management, and reports directly on the development of the corresponding functions to the corporate bodies. The Chief Risk Officer, for the best fulfilment of the functions, is supported by a structure consisting of cross-cutting risk units in the corporate area and specific risk units in the Group's geographical and/or business areas.

In addition, and with regard to non-financial risks and internal control, the Group has a Regulation & Internal Control area independent from the rest of units and whose head (Head of Regulation & Internal Control) is also appointed by the Board of Directors of BBVA and reports directly to corporate bodies on the performance of its functions. This area is responsible for proposing and implementing non-financial risks policies and the Internal Control Model of the Group, and it is composed by, among other, the Non-Financial Risks, Regulatory Compliance and Risk Internal Control units.

The Risk Internal Control unit, within the Regulation & Internal Control area and, therefore, independent from the financial risks function (GRM), acts as a control unit for the activities carried out by GRM. In this regard, and without prejudice to the functions performed in this regard by the Internal Audit area, Risk Internal Control checks that the regulatory framework, the models and processes and established measures are sufficient and appropriate for each type of financial risk. It also monitors its implementation and operation, and confirms that those decisions taken by GRM are taken independently from the business lines and, in particular, that there's an adequate segregation of functions between units.

Governance and organizational structure are basic pillars for ensuring an effective risk management and control. This section summarizes the roles and responsibilities of the corporate bodies in the risks area, of the Group's Chief Risk Officer and, in general, of the risks function, its interrelation and the parent-subsidiary relationship model in this area and the group of committees, in addition to the Risk Internal Control unit.

Corporate Bodies of BBVA

According to the corporate governance system of BBVA, the Board of Directors of the Bank has certain reserved competencies, concerning management, through the implementation of the corresponding most relevant decisions, and concerning supervision and control, through the monitoring and supervision of implemented decisions and management of the Bank.

In addition, to ensure adequate performance of the management and supervision functions of the Board of Directors, the corporate governance system

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contemplates the support activity carried out by the Risk and Compliance Committee (CRC), as well as by other committees that assist the Board. for reasons of speciality of the matter, in accordance with the functions established in its own regulations.

With regard to risks, the Board of Directors' competencies are those relating to establishing the policy for controlling and managing risk and the oversight and control of its implementation.

In carrying out these functions, the Board relies on the Risk and Compliance Committee, which monitors the evolution of all the Group's financial and non-financial risks, with a global and transversal vision, and their degree of adequacy with the defined strategies and policies and the Group's Risk Appetite Framework. Added to this are the functions regarding specific non-financial risks that, due to their speciality, the Board has assigned to other committees, such as: (i) non-financial risks of an accounting, tax and reporting nature, by the Audit Commission; (ii) technological and cybersecurity risks, by the Technology and Cybersecurity Commission; and (iii) reputational and business risks, by the Permanent Delegate Committee, which thus complement the overall supervision of the Group's set of financial and non-financial risks carried out by the Risk and Compliance Committee, for which purpose It coordinates between the different Board committees through different reports, in addition to the cross composition of the Board committees.

The involvement of the corporate bodies of BBVA in the control and management of the risks of the Group is detailed below:

Board of Directors

The Board of Directors is responsible for establishing the risk strategy of the Group and, in this role, it determines the control and risk management policy, through the following documents:

–The Risk Appetite Framework of the Group, which includes in the one hand the risk appetite statement of the Group, that is, the general principles governing the risk strategy of the Group and its target profile; and, on the other hand, and based on the above mentioned risk appetite statement, a set of quantitative metrics (core metrics, and their corresponding statements, and by type of risk metrics), reflecting the risk profile of the Group;

–the framework of management policies of the different types of risk to which the Bank is or could be exposed, which contain the basic lines for managing and controlling risks in a uniform way across the Group and consistently with the Model and Risk Appetite Framework;

–and the General risk management and control model described above.

All of the above in coordination with the rest of prospective-strategic decisions of the Bank, which includes the Strategic Plan, the Annual Budget, the Capital Plan and the Liquidity & Funding Plan, in addition to the rest of management objectives, whose approval is a responsibility of the Board of Directors.

In addition to defining the risk strategy, the Board of Directors (in the performance of its risks monitoring, management and control tasks) also monitors the evolution of the risks of the Group and of each main geographical and/or business area, ensuring compliance with the Risk Appetite Framework of the Group; and also supervising the internal information and control systems.

For the development of all these functions, the Board of Directors is supported by the CRC and the CDP, which are responsible for the functions detailed below.

Risk and Compliance Committee

The CRC is, according to its own charter, composed of non-executive directors and its main purpose is to assist the Board of Directors on the establishment and monitoring of the risk control and management policy of the Group.

For this purpose, it assists the Board of Directors in a variety of risk control and monitoring areas, in addition to its analysis functions, based on the strategic pillars established at all times by both the Board of Directors and the CDP, the proposals on the strategy, control and risk management of the Group, which are particularly specified in the Risk Appetite Framework and in the “Model”. After the analysis, the Risk Appetite Framework and Model proposal is submitted to the Board of Directors for consideration and, where appropriate, approval purposes.

In addition, the CRC proposes, in a manner consistent with the Risk Appetite Framework of the Group approved by the Board of Directors, the control and management policies of the different risks of the Group, and supervises the information and internal control systems.

With regard to the monitoring of the evolution of the risks of the Group and their degree of compliance with the Risk Appetite Framework and defined general policies, and without prejudice to the monitoring task carried out by the Board of Directors and the CDP, the CRC carries out monitoring and control tasks with greater frequency and receives information with a sufficient granularity to achieve an adequate performance of its duties.

The CRC also analyzes all measures planned to mitigate the impact of all identified risks, should they materialize, which must be implemented by the CDP or the Board of Directors, as the case may be. The CRC also monitors the procedures, tools and measurement indicators of those risks established at a Group level in order to have a comprehensive view of the risks of BBVA and its Group,

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and monitors compliance with the regulation and supervisory requirements in terms of risks.

The CRC is also responsible for analyzing those project-related risks that are considered strategic for the Group or corporate transactions that are going to be submitted to the Board of Directors of the CDP, within its scope of competence.

In addition, it contributes to the setting of the remuneration policy, checking that it is compatible with an appropriate and effective management of risks and that it does not provide incentives to take risks breaching the level tolerated by the Bank.

Lastly, the CRC ensures the promotion of the risk culture in the Group.

In 2022, the CRC has held 22 meetings.

Executive Committee

In order to have a comprehensive and complete vision of the progress of the Group's business and its business units, the CDP monitors the evolution of the risk profile and the core metrics defined by the Board of Directors, being aware of any potential deviation or breach of the metrics of the Risk Appetite Framework and implementing, when applicable, the appropriate measures, as explained in the Model.

In addition, the CDP is responsible for proposing the basis for developing the Risk Appetite Framework, which will be established in coordination with the rest of prospective/strategic decisions of the Bank and the rest of management objectives.

Lastly, the CDP is the committee supporting the Board of Directors in decisions related to business risk and reputational risk, according to the dispositions set out in its own charter.

Parent-subsidiary risk relationship model

In accordance with the provisions of the BBVA Group's General Corporate Governance Policy, for integrated management and supervision in the Group, the Group has a common management and control framework, consisting of basic guidelines (including strategic-prospective decisions) and General Policies, established by BBVA's corporate bodies for the Group.

For the purpose of transferring the risk strategy and its management and control model to the different subsidiaries of the BBVA Group and their corresponding specific risk units, a parent-subsidiary relationship model has been designed within the scope of risk management and control in the BBVA Group.

This relationship model implies a minimum catalog of decisions that must be adopted by the corporate bodies of the subsidiaries in terms of risks in order to provide them with an adequate governance model coordinated

with the parent company. It will be the responsibility of the head of the Risk function (GRM) of each subsidiary to formulate the proposals that proceed to the corresponding corporate body for its consideration and, where appropriate, approval, according to the scope of functions that apply.

The approval of these decisions by the corporate bodies of the subsidiaries obliges the risk units of the geographical areas to carry out a risk monitoring and control plan before their corporate bodies.

Notwithstanding the foregoing, it is considered necessary that certain decisions regarding risks reserved for the consideration of the corresponding corporate bodies of the subsidiary for their approval, are also subject to the approval of the corporate bodies of BBVA, in accordance with what is established regulations at all times.

In the specific case of BBVA, S.A., what is described in this document regarding the coordination of the local risk management function with the risk function of the parent company BBVA, S.A. is applicable (as in any subsidiary of the Group). And with regard to the decisions that the corporate bodies of the subsidiaries must adopt, in this case it is the responsibility of the head of the Risk function of BBVA, S.A. (GRM) formulate the proposals that proceed to the corresponding corporate body for its consideration and, where appropriate, approval, according to the scope of functions that apply.

Chief Risk Officer of the Group

The Group's Chief Risk Officer (CRO) is responsible for the management of all the financial risks of the Group with the necessary independence, authority, rank, experience, knowledge and resources. The CRO is appointed by the Board of Directors of BBVA and has direct access to its corporate bodies (Board of Directors, CDP and CRC), with the corresponding regular reporting on the risk situation in the Group.

The GRM area has a responsibility as the unit transversal to all the businesses of the BBVA Group. This responsibility is part of the structure of the BBVA Group, which is formed by subsidiaries based in different jurisdictions, which have autonomy and must comply with their local regulations, but always according to the risk management and control scheme designed by BBVA as the parent company of the BBVA Group.

The Chief Risk Officer of the BBVA Group is responsible for ensuring that the risks of BBVA Group, within the scope of its functions, are managed according to the established model, assuming, among other, the following responsibilities:

–Prepare, in coordination with the rest of areas responsible for risks monitoring and control, and propose to corporate bodies the risk strategy of the BBVA Group, which includes the

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Risk Appetite statement of the BBVA Group, core (and their respective statements) and by type of risk metrics, and the Model.

–Ensure the necessary coordination to define and prepare the proposals for the Appetite Framework of the Group companies, and make sure they are applied correctly.

–Define, in coordination with the rest of areas responsible for risks monitoring and control, and propose to corporate bodies the general policies for each type of risk within its scope of responsibility and, as part these, to establish the required specific regulation.

–Prepare, in coordination with the rest of areas responsible for risks monitoring and control, and propose for approval, or approving if within its competence, the risk limits for the geographical areas, business areas and/or legal entities, which shall be consistent with the defined Risk Appetite Framework; it is also responsible for the monitoring, supervision and control of risk limits within its scope of responsibility.

–Submit to the Risk and Compliance Committee the information required to carry out its supervisory and control functions.

–Regular reporting to the corresponding corporate bodies on the situation of those risks of the BBVA Group within its scope of responsibility.

–Identify and assess the material risks faced by the BBVA Group within its scope of responsibility, with an effective management of those risks and, where necessary, with the implementation of the required mitigation measures.

–Early warning to the relevant corporate bodies and the Chief Executive Officer of any material risk within its scope of responsibility that could compromise the solvency of the BBVA Group.

–Ensure, within its scope of responsibility, the integrity of measurement techniques and management information systems and, in general, the provision of models, tools, systems, structures and resources to implement the risk strategy defined by the corporate bodies.

–Promote the risk culture of the BBVA Group to ensure the consistency of the Model in the different countries where it operates, strengthening the cross-cutting model of the risks function.

For decision-making, the Group’s Chief Risk Officer has a governance structure for the role that culminates in a support forum, the Global Risk Management Committee (GRMC), which is established as the main executive-level committee on the risks within its remit. Its purpose is to develop the strategies, policies, regulations and infrastructures needed to identify, assess, measure and

manage the material risks within its remit that the Group faces in its business activity. This committee is composed by the Chief Risk Officer, who chairs the meetings, and the heads of the Corporate Area of the disciplines of GRM, the “Risk Strategy, Development & BEX”, “Strategy and Development”, “South America and Turkey”, and “Risk Internal Control”; and by the heads of GRM in the three most important geographical units and in CIB. The purpose of the GRMC is to propose and challenge, among other issues, the internal regulatory framework of GRM and the infrastructures required to identify, assess, measure and manage the risks faced by the Group in carrying out its businesses and to approve risk limits.

The GRMC carries out its functions assisted by various support committees which include:

–Global Credit Risk Management Committee: It is responsible for analyzing and decision-making related to wholesale credit risk admission.

–Wholesale Credit Risk Management Committee: It is responsible for analyzing and making decisions related to wholesale credit risk admission in specific customer segments of BBVA Group, as well as being informed of the relevant decisions adopted by members of the committee within their scope of decision-making at corporate level.

–Work Out Committee: Its purpose is to analyze and make decisions regarding the admission of wholesale credit risks of customers classified in Watch List, doubtful risk or write-offs in accordance with the criteria established in the Group, as well as to be informed of the decisions adopted by the person in charge of the Work Out process in its area of responsibility; it will also include the approval of proposals on entries, exits and modifications in Watch List, entries and exits in doubtful, unlikely to pay and pass to write-offs; as well as the approval of other proposals that must be seen in this Committee according to the established thresholds and criteria.

–Global Portfolio Management Committee: The executive authority responsible for managing the limits by asset class for credit risk, equities and real estate not for own use, structural risks, insurance and pension risk and asset management; and by business area and at group level established in the risk limits planning exercise, which aims to achieve an optimal combination and composition of portfolios under the restrictions imposed by the Risk Appetite Framework, which allows maximizing the risk- adjusted return on regulatory and economic capital when appropriate. Additionally, it takes into account the concentration and asset quality objectives of the portfolio, as well as the prospects and strategic needs of the the BBVA Group.

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–Risk Models Management Committee: It ensures an appropriate decision-making process regarding the planning, development, implementation, use, validation and monitoring of the models required to achieve an appropriate management of the Model Risk in the BBVA Group.

–Global Market and Counterparty Risk Committee: its purpose is to formalize, supervise and communicate the trading risk monitoring in all Global Markets business units, as well as coordinating and approving the key decisions of the Market and Counterparty Risk activity. It is also responsible for the analysis and decision making (opinion on the risk profile of the proposal, the mitigants and the risk-return ratio) with respect to the most relevant transactions in the different geographies in which Global Markets is present.

–Retail Credit Risk Committee: it ensures for the analysis, discussion and decision support on all issues regarding the retail credit risk management that impact or potentially do in the practices, processes and corporate metrics established in the General Policies, Rules and Operating Frameworks.

Also:

–GRM Continuity Committee: this committee operates under the provisions of the Corporate Continuity Committee for the different Areas. Its purpose is to analyze and make decisions about exceptional crisis situations, with the aim of managing continuity and the restoration of critical GRM processes, minimizing the impact of its operations through the Continuity Plan, which covers crisis management and Recovery Plans.

–The Corporate Committee for Admission of Operational Risk and Product Governance (CCAROyGP) aims to ensure the adequate evaluation of initiatives with significant operational risk (new business, product, outsourcing, process transformation, new systems, etc.) from the perspective of operational risk and approval of the proposed control environment.

Risk units of the corporate areas and the business/geographical areas

The risks function is comprised of risk units from the corporate area, which carry out cross-cutting functions, and of risk units of the geographical/business areas.

–The risk units of the corporate area develop and submit to the Group's Chief Risk Officer the different elements required to define the proposal for the Group's Risk Appetite Framework, the general policies, the regulation and global infrastructures within the operating

framework approved by corporate bodies; they ensure their application and report directly or through the Group's Chief Risk Officer to the corporate bodies of BBVA. With regard to non-financial risks and reputational risk, which are entrusted to the Regulation & Internal Control and Communications areas respectively, the corporate units of GRM will coordinate, with the corresponding corporate units of those areas, the development of the elements that should be integrated into the Appetite Framework of the Group.

–The risk units of the business and/or geographical areas develop and submit to the Chief Risk Officer of the geographical and/or business areas the Risk Appetite Framework proposal applicable in each geographical and/or business area, independently and always according to the Group's Risk Appetite Framework. In addition, they ensure the application of general policies and the rest of the internal regulations, with the necessary adaptations, when applicable, to local requirements, providing the appropriate infrastructures for risk management and control purposes, within the global risk infrastructure framework defined by the corporate areas, and reporting to the corresponding corporate bodies and senior management, as applicable. With regard to Non-financial risks, which are integrated in the Regulation & Internal Control area, the local risk units will coordinate, with the unit responsible for those risks, the development of the elements that should be integrated into the local Risk Appetite Framework.

Thus, the local risk units work with the risk units of the corporate area with the aim of adapting themselves to the risk strategy at Group level and pooling all the information required to monitor the evolution of their risks.

As previously mentioned, the risks function has a decision-making process supported by a structure of committees, and also a top-level committee, the GRMC, whose composition and functions are described in the section "Chief Risk Officer of the Group."

Each geographical and/or business area has its own risk management committee(s), with objectives and contents similar to those of the corporate area. These committees perform their duties consistently and in line with general risk policies and corporate rules, and its decisions are reflected in the corresponding minutes.

Under this organizational scheme, the risks function ensures the integration and application throughout the Group of the risk strategy, the regulatory framework, the infrastructures and standardized risk controls. It also benefits from the knowledge and proximity to customers

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in each geographical and/or business area, and conveys the corporate risk culture to the Group's different levels. Moreover, this organization enables the risks function to conduct and report to the corporate bodies an integrated monitoring and control of the risks of the entire Group.

The risks function is cross-cutting, i.e. it is present in all of the Group's geographical and/or business areas through specific risk units. Each of these units is headed by a Chief Risk Officer for the geographical and/or business area who, within the relevant scope of responsibility, carries out risk management and control functions and is responsible for applying the Model, the general policies and corporate rules approved at Group level in a consistent manner, adapting them if necessary to local requirements and with the subsequent reporting to local corporate bodies.

The Chief Risk Officers of the geographical and/or business areas have functional reporting to the Group's Chief Risk Officer and hierarchical reporting to the head of their geographical and/or business area. This dual reporting system aims to ensure the independence of the local risks function from the operational functions and enable its alignment with the Group's general policies and goals related to risks.

Risk internal control

The Group has a specific Risk Internal Control unit, within the Regulation & Internal Control area, that, among other tasks, independently challenges and control the regulation and governance structure in terms of financial risks and its implementation and deployment in GRM, in addition to the challenge of the development and implementation of financial risks control and management processes. It is also responsible for the validation of risk models.

For this purpose, it has 3 subunits: RIC-Processes, Risks Technical Secretariat and Risk Internal Validation.

–RIC-Processes. It is responsible for challenging an appropriate development of the functions of GRM units, and for reviewing that the functioning of financial risk management and control processes is appropriate and in line with the corresponding regulation, identifying potential opportunities for improvement and contributing to the design of the action plans to be implemented by the responsible units. In addition, it is the Risk Control Specialist (RCS) in the Group's Internal Control Model and, therefore, establishes the general mitigation and control frameworks for its risk area and contrasts them with those actually implemented.

–Risks Technical Secretariat. It is responsible for the definition, design and management of the principles, policies, criteria and processes through which the regulatory risk framework is developed, processed, reported and disclosed

to the countries; and for the coordination, monitoring and assessment of its consistency and completeness. In addition, it coordinates the definition and structure of the most relevant GRM Committees, and monitors their proper functioning, in order to ensure that all risk decisions are taken through an adequate governance and structure, ensuring their traceability. It also provides to the CRC the technical support required in terms of financial risks for a better performance of its functions.

–Risk Internal Validation. It is responsible for validating the risks models. In this regard, it effectively challenges the relevant models used to manage and control the risks faced by the Group, as an independent third party from those developing or using the models in order to ensure its accuracy, robustness and stability. This review process is not restricted to the approval process, or to the introduction of changes in the models; it is a plan to make a regular assessment of those models, with the subsequent issue of recommendations and actions to mitigate identified weaknesses.

The Head of Risk Internal Control of the Group is responsible for the function and reports about his activities and work plans to the Head of Regulation & Internal Control and to the CRC, with the corresponding support in the issues required, and, in particular, challenging that GRM's reports submitted to the Committee are aligned with the criteria established at the time.

In addition, the risk internal control function is global and transversal, it includes all types of financial risks and has specific units in all geographical and/or business areas, with functional reporting to the Head of Risk Internal Control of the Group.

The Risk Internal Control function must ensure compliance with the general risks strategy defined by the Board of Directors, with adequate proportionality and continuity. In order to comply with the control activity within its scope. Risk Internal Control is member of GRM's top-level committees (sometimes even assuming the Secretariat role), independently verifying the decisions that may be taken and, specifically, the decisions related to the definition and application of internal GRM regulation.

Furthermore, the control activity is developed within a homogeneous methodological framework at a Group level, covering the entire life cycle of financial risk management and carried out under a critical and analytical approach.

The Risk Internal Control team reports the results of its control function to the corresponding heads and teams, promoting the implementation of corrective measures and submitting these assessments and the resolution

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commitments in a transparent manner to the established levels.

Lastly, and notwithstanding the control responsibility that GRM teams have in the first instance, Risk Internal Control teams promote a control culture in GRM, conveying the importance of having robust processes.

4.1.2.Risk Appetite Framework

The Group's Risk Appetite Framework approved by the corporate bodies determines the risks and the risk level that the Group is willing to assume to achieve its business objectives considering the organic evolution of business. These are expressed in terms of solvency, liquidity and funding, and profitability, as well as recurrence of revenue, which are reviewed not only periodically but also if there are any substantial changes in the business strategy or relevant corporate transactions.

The Risk Appetite Framework is expressed through the following elements:

–Risk appetite statement: sets out the general principles of the Group's risk strategy and the target risk profile:

"The BBVA Group develops a multichannel and responsible universal banking business model, based on values, committed to sustainable development and centred on our customers' needs, focusing on operational excellence and the preservation of adequate security and business continuity.

BBVA intends to achieve these goals while maintaining a moderate risk profile, so the risk model established aims at ensuring a robust financial position, facilitating its commitment with sustainability and obtaining a sound risk- adjusted profitability throughout the cycle, as the best way to face adverse environments without jeopardizing its strategies.

BBVA Group's risk management is based on prudent management, and a comprehensive and prospective vision of all risks, to allow us to adapt to the disruptive risks inherent in the banking business. It includes the climate factor, a diversification of portfolios by geographies, asset classes and customer segments, prevention of money laundering and terrorist financing, and the maintenance of a long-term relationship with customers, supporting them in the transition to a sustainable future, to promote profitable growth and recurring generation of value."

–Statements and core metrics: Statements are established, based on the risk appetite

statement, specifying the general principles of risk management in terms of solvency, liquidity and funding, profitability and income recurrence. Moreover, the core metrics reflect, in quantitative terms, the principles and the target risk profile set out in the Risk Appetite statement. Each core metric has three thresholds ranging from usual management of the businesses to higher levels of impairment:

◦Management benchmark: a benchmark that determines a comfortable management level for the Group.

◦Maximum appetite: the maximum level of risk that the Group is willing to accept in its ordinary activity.

◦Maximum capacity: the maximum risk level that the Group could assume, which for some metrics is associated with regulatory requirements.

–Metrics by type of risk: based on the core metrics and their thresholds, a number of metrics are determined for each type of risk, whose observance enables compliance with the core metrics and the Group's Risk Appetite statement. These metrics have a maximum risk appetite threshold.

In addition to this Framework, statements are established that include the general principles for each risk type, as well as a level of management limits that is defined and managed by the areas responsible for the management of each type of risk in order to ensure that the early management of risks complies with the established Risk Appetite Framework.

Each significant geographical area (that is, those representing more than 1% of the assets or operating income of the BBVA Group) has its own Risk Appetite framework, consisting of its local Risk Appetite statement, core statements and metrics, and metrics by type of risk, which must be consistent with those set at the Group level, but adapted to their own reality. These are approved by the corresponding corporate bodies of each entity. This Appetite Framework is supplemented by statements for each risk type and has a limit structure in line and consistent with the above.

The corporate risks area works with the various geographical and/or business areas to define their Risk Appetite Framework, so that it is coordinated with, and integrated into, the Group's Risk Appetite Framework, making sure that its profile is in line with the one defined. Moreover, and for the purposes of monitoring at local level, the Chief Risks Officer of the geographical and/or business area regularly reports on the evolution of the metrics of the Local Risk Appetite Framework to the corporate bodies, as well as to the relevant top-level local committees, following a scheme similar to that of the Group, in accordance with its own corporate governance systems.

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Within the issuing process of the Risk Appetite Framework, Risk Internal Control carries out, within the scope of the GRM area the effective challenge of the Framework proposal prior to its escalation to corporate bodies, which is also documented, and it is extended to the approval of the management limits under which it is developed, also supervising its adequate approval and extension to the different entities of the Group. Likewise, in each significant geographical area, the local Risk Internal Control unit, working in the Risk Management Committee (hereinafter, RMC), carries out an effective challenge of the local Risk Appetite Framework prior to its escalation to local corporate bodies, which is also documented, and extended to the local approval process of the management limits.

Monitoring of the Risk Appetite Framework and management of breaches

So that corporate bodies can develop the risk functions of the Group, the heads of risks at an executive level will regularly report (more frequently in the case of the CRC, within its scope of responsibility) on the evolution of the metrics of the Risk Appetite Framework of the Group, with the sufficient granularity and detail, in order to check the degree of compliance of the risks strategy set out in the Risk Appetite Framework of the Group approved by the Board of Directors.

If, through the monitoring of the metrics and supervision of the Risk Appetite Framework by the executive areas, a relevant deviation or breach of the maximum appetite levels of the metrics is identified, that situation must be reported and, where applicable, the corresponding corrective measures must be submitted to the CRC.

After the relevant review by the CRC, the deviation must be reported to the CDP (as part of its role in the monitoring of the evolution of the risk profile of the Group) and to the Board of Directors, which will be responsible, when applicable, for implementing the corresponding executive measures, including the modification of any metric of the Risk Appetite Framework. For this purpose, the CRC will submit to the corresponding corporate bodies all the information received and the proposals prepared by the executive areas, together with its own analysis.

Notwithstanding the foregoing, once the information has been analyzed and the proposal of corrective measures has been reviewed by the CRC, the CDP may adopt, on grounds of urgency and under the terms established by law, measures corresponding the Board of Directors, but always reporting those measures to the Board of Directors in the first meeting held after the implementation for ratification purposes.

In any case, an appropriate monitoring process will be established (with a greater information frequency and granularity, if required) regarding the evolution of the breached or deviated metric, and the implementation of the corrective measures, until it has been completely

redressed, with the corresponding reporting to corporate bodies, in accordance with its risks monitoring, supervision and control functions.

Integration of the Risk Appetite Framework into the management

The transfer of the Risk Appetite Framework to ordinary management is underpinned by three basic elements:

1.The existence of a standardized set of regulations: the corporate risks area defines and proposes the general policies within its scope of action, and develops the additional internal regulation required for the development of those policies and the operating frameworks on the basis of which risk decisions must be adopted within the Group. The approval of the general policies for all types of risks is a responsibility of the corporate bodies of BBVA, while the rest of regulation is defined at an executive level according to the framework of competences applicable at any given time. The Risks units of the geographical and/or business areas comply with this regulation and performing, where necessary, the relevant adaptation to local requirements, in order to have a decision-making process that is appropriate at local level and aligned with the Group's policies.

2.Risk planning, which ensures the integration into the management of the Risk Appetite Framework through a cascade process established to set limits adjusted to the target risk profile. The Risks units of the corporate area and of the geographical and/or business areas are responsible for ensuring the alignment of this process with the Group's Risk Appetite Framework in terms of solvency, liquidity and funding, profitability, and recurrence of earnings.

3.A comprehensive management of risks during their life cycle, based on differentiated treatment according to their type.

4.1.3.Assessment, monitoring and reporting

Assessment, monitoring and reporting is a cross-cutting function at Group level. This function ensures that the model has a dynamic and proactive vision to enable compliance with the Risk Appetite Framework approved by the Board of Directors, even in adverse scenarios.

This process is integrated in the activity of the Risk units, both of the corporate area and in the geographical and/or business units, together with the units specialized in non-financial risks and reputational risk within the Regulation & Internal Control and Communications business areas respectively, in order to generate a

BBVA. PILLAR 3 2022 4. RISK P. 62

comprehensive and single view of the risk profile of the Group.

This process is developed through the following phases:

1.Monitoring of the identified risk factors that can compromise the performance of the Group or of the geographical and/or business areas in relation to the defined risk thresholds.

2.Assessment of the impact of the materialization of the risk factors on the metrics that define the Risk Appetite Framework based on different scenarios, including stress testing scenarios (EU-wide stress testing).

3.Response to unwanted situations and proposals for redressing measures to the corresponding levels, in order to enable a dynamic management of the situation, even before it takes place.

4.Monitoring the Group's risk profile and the identified risk factors, through internal, competitor and market indicators, among others, to anticipate their future development.

5.Reporting: complete and reliable information on the evolution of risks to corporate bodies and senior management, in accordance with the principles of accuracy, exhaustiveness, clarity and utility, frequency, and adequate distribution and confidentiality. The principle of transparency governs all the risk information reporting process.

4.1.4.Infrastructure

For the implementation of the Model, the Group has the resources required for an effective management and supervision of risks and for achieving its goals. In this regard, the Group's risks function:

1.Has the appropriate human resources in terms of number, ability, knowledge and experience. The profile of resources will evolve over time based on the specific needs of the GRM and Regulation & Internal Control areas, always with a high analytical and quantitative capacity as the main feature in the profile of those resources. Likewise, the corresponding units of the geographical and/or business areas have sufficient means from the resources, structures and tools perspective in order to achieve a risk management process aligned with the corporate model.

2.Develops the appropriate methodologies and models for the measurement and management of the different risk profiles, and the assessment of the capital required to take those risks.

3.Has the technological systems required to: support the Risk Appetite Framework in its broadest definition; calculate and measure the variables and specific data of the risk function;

support risk management according to this Model; and provide an environment for storing and using the data required for risk management purposes and reporting to supervisory bodies.

4.Promotes adequate data governance, in accordance with the principles of governance, infrastructure, precision and integrity, completeness, promptness and adaptability, following the quality standards of the internal regulations referring to this matter.

Within the risk functions, both the profiles and the infrastructure and data shall have a global and consistent approach.

The human resources among the countries must be equivalent, within proportionality, ensuring a consistent operation of the risk function within the Group. However, they will be distinguished from those of the corporate area, as the latter will be more focused on the conceptualization of appetite frameworks, operating frameworks, the definition of the regulatory framework and the development of models, among other tasks.

As in the case of the human resources, technological platforms must be global, thus enabling the implementation of the Risk Appetite Framework and the standardized management of the risk life cycle in all countries.

The corporate area is responsible for deciding on the platforms and for defining the knowledge and roles of the human resources. It is also responsible for defining risk data governance.

The foregoing is reported to the corporate bodies of BBVA so they can ensure that the Group has the appropriate means, systems, structures and resources.

4.1.5. Transactions with related parties

Regarding operations with related parties and intra-group transactions, BBVA Group has internal policies and procedures to approve, supervise and control such operations.

In this regard, BBVA and other Group subsidiaries, in their capacity as financial entities, carry out transactions with their related parties in the normal course of their business, all of which are not significant and are carried out under normal market conditions.

Additionally, BBVA Group has a resolution strategy defined by the SRB as Multiple Point of Entry (MPE), which is based, according to the Financial Self-Sufficiency Principle and the Decentralized Management Principle, on a decentralized business model in which the subsidiaries are substantially self-sufficient in terms of legal structure, governance, capital, funding

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relationships and operations, subject, however, to the corporate policies established for the BBVA Group and to the general supervision and control of the corporate areas. Under this model, and subject to these principles, funding operations for subsidiaries are limited and at market prices.

Details of transactions with related parties and transactions with joint ventures and associates can be found in note 53 of the BBVA Group Consolidated Annual Accounts.

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4.2.Credit and Counterparty Risk

4.2.1.Scope and nature of the Credit Risk measurement and reporting systems for capital framework purposes

Credit risk arises from the probability that one of the parties to the financial instrument contract will default on its contractual obligations due to insolvency or inability to pay and cause the other party to incur a financial loss.

It is the most relevant risk for the Group and includes the management of counterparty, issuer, counterparty and country risks.

The Group has a risk strategy established by the Board of Directors of the parent company, which establishes the Group's Risk Appetite statement, core metrics and the metrics by type of risk in which it materializes, as well as the General Risk Management and Control Model.

The Risk and Compliance Committee assists the Board of Directors in different areas relating to risk control and monitoring, complementing these functions by submitting to the Board proposals on the Group's risk strategy, control and management. It also establishes, in line with the Group's Risk Appetite Framework approved by the Board of Directors, the control and management policies for the different risks of the Group.

The Risk and Compliance Committee, the Executive Committee and the Board itself adequately monitor the implementation of the Group's risk strategy and profile.

Based on the risk strategy determined by the Board of Directors, the Global Risk Management Committee approves the statements by risk type and the management limits structure that articulates the Risk Appetite Framework at the level of geographies, risk types, asset classes and portfolios, including the proposed Asset Allocation management limits with the appropriate level of disaggregation. The limits establish, on an annual basis, maximum exposure levels by type of portfolio.

Asset Allocation limits for portfolios, businesses and risks are defined, considering the established metrics, in terms of exposure, capital consumption and composition of the portfolio mix and aimed at maximizing the generation of the Group's recurring economic profit, subject to the restrictions framework resulting from the target risk profile definition.

The Corporate Risk Area establishes individual, portfolio, sector and geographic risk concentration thresholds. These thresholds are established in terms of EAD and

Herfindahl indexes in order to limit the impact on capital consumption.

The Business Areas work in line with the global view and the defined metrics, optimizing in terms of profitability/risk, within the Group's limits and policies, each of the portfolios for which they are responsible.

Existing gaps with regard to the target portfolio are identified at global level and submitted to the Business Areas, establishing global and local plans to align the risk with the predefined target profile and taking into account the expected future evolution of the portfolios.

For risk and capital management purposes, credit risk at BBVA is quantified using two main measures: expected loss ("EL") and economic capital ("EC"). The expected loss reflects the average value of losses and is considered as business cost. However, economic capital is the amount of capital considered necessary to cover unexpected losses arising from the possibility that actual losses may exceed expected losses.

These risk measures are combined with profitability information within the value-based management framework, thus integrating the profitability-risk binomial in decision-making, from the business strategy definition to the approval of individual loans, pricing, the assessment of non-performing portfolios, incentives to the Group's areas, etc.

There are three essential parameters for obtaining the aforementioned measures (PE and CE): probability of default ("PD"), loss given default ("LGD") and exposure at default ("EAD"), based mainly on the estimation of credit conversion factors ("CCF"), which are generally estimated using the historical information available in the systems, and which are assigned to transactions and customers depending on their characteristics.

In this context, credit rating tools (ratings and scorings) assess the risk of each client/transaction based on its credit quality through a score, which is used in the allocation of risk metrics along with other additional information: age of facilities, loan-to-value ratio, client segment, etc.

Section 4.2.5.1. of this document details the definitions, methods and data used by the Group in determining the equity requirements for the estimation of the probability of default (PD), loss given default (LGD) and credit conversion factor (CCF).

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4.2.2.Definitions and methodologies

4.2.2.1.Prudential definition of default

The definition of default in the prudential field is included in Article 178 of Regulation (EU) No. 575/2013. This definition is applicable both under the standardized approach and under the internal ratings-based (IRB) approach.

In 2021, the EBA Guidelines (EBA/GL/2016/07) and the Regulations on materiality thresholds (Delegated Regulation of the European Commission 2018/171 and Regulation 2018/1845 of the European Central Bank) that develop the content of the aforementioned article 178, entered into force. The modifications introduced cover aspects such as the calculation of past due days, clarifications on the indicators of probable non-payment (“Unlikely to Pay”), the criteria for the classification to non-defaulted status, definition of retail exposures and aspects related to documentation and external governance. During 2021, BBVA completed the implementation of the prudential definition of default, both for portfolios under the standardised approach, as well as portfolios under the IRB approach, once the relevant supervisory authorization has been received.

Currently, the BBVA Group considers that a default has occurred in relation to a certain obligor when at least one of the following circumstances occurs:

a) that the obligor has a delay for more than 90 consecutive days with respect to any significant credit obligation to the entity.

b) that the entity considers that there are reasonable doubts about the payment of all of its credit obligations to the entity itself, the parent company or any of its subsidiaries, without resorting to actions such as the execution of guarantees.

In relation to the computation of past due days, a obligor is considered in default when the sum of the past due amounts in all its credit obligations with the entity exceed the materiality thresholds (both absolute and relative) for more than 90 consecutive days. The absolute threshold is set at €100 for retail exposures and €500 for wholesale exposures and the relative threshold at 1% of all on-balance sheet exposures to the obligor.

Regarding the existence of reasonable doubts about payment, the following elements are considered as indicators of probability of default:

A) Specific credit risk adjustments: a specific adjustment as a result of a sharp deterioration in the credit quality of the obligor is an indicator of probable default.

B) Sale of credit obligations with significant economic loss: a sale of a credit obligation against an obligor with a material economic loss related to a deterioration in credit quality should be considered an indicator of default. When the economic loss exceeds the 5% threshold, the credit obligations will be considered to be in default.

C) Distressed restructuring: it is considered that there is an indicator of probable default, and therefore the client must be considered in default, when the restructuring or refinancing measures may result in a reduction of the financial obligation that is considered to be caused by a material forgiveness or deferral of principal, interest or fees.

Specifically, unless proven otherwise, transactions that meet any of the following criteria will be reclassified to the default risk category:

a) They are supported by an inadequate payment plan.

b) They Include contractual clauses that delay the reimbursement of the operation through regular payments.

c) Present amounts derecognized from the balance sheet.

In any case, a restructuring will be considered impaired when the reduction in the net present value of the financial obligation is greater than 1%.

D) Bankruptcy/Arrangement/Liquidation/Failure/Pre-arrangement of the client: These situations will be valued as indicators of non-payment as long as this prevents or delays the payments of credit obligations to the institution.

E) Fraud: If credit fraud is identified before the default is recognized.

The definition of default is applied at the debtor level for wholesale counterparties. Therefore, the classification of any material exposure of a client as defaulted, either because it is more than 90 past due days or due to any of the subjective criteria, implies the consideration of all the client's exposures as default.

Regarding retail customers, the definition of default is applied at the contract level following risk management practices. Notwithstanding the foregoing, when an operation of a retail client presents defaults of more than 90 days and this represents more than 20% of the client's total balance, all its operations are considered in default.

Additionally, it should be noted that when operations of related entities with the holder are considered in default, including both entities of the same group and those with which there is a relationship of economic or financial dependence, the operations of the holder are also classified as default if after its analysis it is concluded

BBVA. PILLAR 3 2022 4. RISK P. 66

that there are reasonable doubts about its total reimbursement.

The classification of an operation as in default is carried out in such a way that each contract can only be either in default or non default in its entirety.

With regard to transactions/customers classified as in default, it should be noted that they will cease to be classified as such when no default trigger is still applicable, either because the client/transaction does not have material past due balances, that is, above both materiality thresholds, for more than 90 consecutive days, either when the recovery process is considered complete in accordance with the entity's recovery management or because no criterion of probable non-payment continues to apply. However, in any case, at least three months must elapse from the moment in which the situation that triggered the non-payment ceased to be fulfilled in order to stop classifying an operation in a defaulted situation as such. During this period, the obligor must show good payment behaviour and an improvement in its credit quality. In restructuring processes, the minimum period will be one year.

4.2.2.2.Accounting definitions and methodologies

The calculation of credit risk adjustments applicable to the BBVA Group's Consolidated Financial Statements follows the provisions of IFRS 9 - Financial Instruments. This standard establishes an expected loss model to calculate aforementioned provision for credit risk.

Credit risk provision is calculated for financial assets valued at amortized cost, debt instruments valued at fair value with changes in accumulated other comprehensive income, financial guarantee contracts and other commitments. All financial instruments measured at fair value through profit or loss are excluded from the impairment model.

Given the nature of the calculation of provisions under IFRS 9, all adjustments are considered specific credit risk adjustments for the purposes of Regulation (EU) No. 575/2013 of the European Parliament and of the Council.

Definition of impaired financial asset

According to IFRS 9, an asset is credit-impaired (stage 3) if one or more events have occurred and they have a detrimental impact on the estimated future cash flows of the asset.

Historically, the definition of impaired assets under IFRS 9 has been substantially aligned with the definition of default used by the Group for internal credit risk management purposes, which is also the definition used for regulatory purposes. As stated in section 4.2.2.1, in 2021 the Group has updated its definition of default to adapt it to the EBA Guidelines. The Group consequently updated the definition of credit-impaired asset (stage 3),

considering it a change in accounting estimates, re-establishing the consistency with the definition of default and guaranteeing the integration of both definitions in credit risk management.

4.2.3.Information on credit risk

4.2.3.1.Exposure to credit risk

According to Article 5 of the CRR, with respect to the regulatory capital requirements for credit risk, exposure is understood to be any asset item and all items included in the Group’s off-balance sheet accounts involving credit risk and not deducted from the Group’s bank capital. Accordingly, mainly loan and advances to customers are included, with their corresponding undrawn balances, letters of credit and guarantees, debt securities and capital instruments, cash and balances with central banks and credit institutions, repurchase and reverse repurchase agreements, financial derivatives and intangible assets.

The credit risk exposure specified in the following sections of this document is broken down into credit risk according to the standardised approach (Section 4.2.4), credit risk according to the advanced approach (Section 4.2.5), counterparty credit risk (Section 4.2.6), securitisation credit risk (Section 4.2.7) and structural equity risk (Section 4.4.3).

In addition to the exposure at default and the risk-weighted assets, the table below shows the original exposure, the exposure net of provisions and the exposure after conversion factors under the standardised and advanced approaches as of December 31, 2022 and as of December 31, 2021 (including counterparty credit risk):

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Table 12. Credit Risk and Counterparty Risk Exposure (Million Euros. 12-31-2022)

Exposure Class	Original Exposure(1)	Provisions	Net exposure of provisions(3)	On-balance exposure after credit risk mitigation techniques(4a)	Off-balance exposure after credit risk mitigation techniques(4b)	Exposure in the adjusted value(5)	EAD(6)	RWA's(8)	RWA density (9=(8)/(6))
Central governments or central banks	162,496	(189)	162,307	180,598	6,152	188,221	184,542	31,254	17	%
Regional governments or local authorities	7,234	(9)	7,226	2,243	308	2,329	2,145	1,335	62	%
Public sector entities	1,695	(2)	1,693	780	493	1,317	1,061	1,002	94	%
Multilateral development banks	187	—	187	185	—	187	187	6	3	%
International organisations	466	—	466	466	—	466	466	—	—
Institutions	35,210	(33)	35,177	10,287	17,293	29,136	13,226	4,916	37	%
Corporates	68,768	(978)	67,791	40,353	14,639	56,941	49,909	45,746	92	%
Retail	85,078	(1,473)	83,605	51,320	26,928	75,051	52,247	36,379	70	%
Secured by mortgages on immovable property	27,878	(218)	27,659	27,300	353	27,515	27,353	9,871	36	%
Exposures in default	7,299	(4,139)	3,159	2,544	359	2,806	2,598	2,691	104	%
Exposures associated with particularly high risk	2,808	(472)	2,336	1,824	396	2,127	1,873	2,809	150	%
Covered bonds	—	—	—	—	—	—	—	—	—
Claims on institutions and corporates with a short-term credit assesment	—	—	—	—	—	—	—	—	39	%
Collective investments undertakings	1	—	1	1	1	1	1	1	100	%
Other exposures	19,559	—	19,559	19,869	37	19,907	19,902	11,230	56	%
Total standardised approach	418,680	(7,513)	411,167	337,772	66,959	406,006	355,511	147,240	41	%
Central governments or central banks	11,531	(5)		12,034	415	12,449	12,234	1,105	9	%
Institutions	129,070	(28)		105,690	9,698	115,387	111,118	7,336	7	%
Corporates	206,910	(1,896)		108,508	88,768	197,277	161,188	80,508	50	%
Corporates (SMEs)	26,174	(810)		16,347	4,942	21,289	18,201	12,896	71	%
Corporates: Specialised lending	7,588	(37)		5,247	2,341	7,588	6,513	5,306	81	%
Corporates: Others	173,148	(1,048)		86,915	81,485	168,400	136,474	62,307	46	%
Retail	122,945	(2,791)		94,038	26,606	120,644	98,198	24,483	25	%
Of which: secured by immovable property	74,481	(913)		69,749	4,732	74,481	69,847	9,994	14	%
Of which: Qualifying revolving	30,185	(721)		9,087	21,098	30,185	12,741	8,868	70	%
Of which: Others	18,279	(1,157)		15,202	776	15,978	15,609	5,620	36	%
Retail: Other SMEs	5,445	(217)		2,438	734	3,172	2,817	1,158	41	%
Retail: Other Non-SMEs	12,834	(940)		12,764	42	12,806	12,792	4,463	35	%
Total IRB approach	470,456	(4,720)	—	320,270	125,487	445,757	382,737	113,432	30	%
Total credit risk dilution and delivery	4,463	—	4,462	4,310	(145)	4,165	4,165	455	11	%
Total positions in securitisation (7)	893,599	(12,233)	415,629	662,353	192,301	855,928	742,413	261,127	35	%
Equity	5,692	—	—	5,692	—	5,692	5,692	13,097	230	%
Simple risk weight approach	1,120			1,120		1,120	1,120	2,570	230	%
Exposures in sufficiently diversified portfolios (RW 190%)	790			790		790	790	1,500	190	%
Exchange traded exposures (RW 290%)	190			190		190	190	551	290	%
Others (RW 370%)	140			140		140	140	519	370	%
PD/LGD approach	1,335			1,335		1,335	1,335	2,250	169	%
Internal models approach	119			119		119	119	481	405	%
Exposures subject to a 250% risk weight	3,118			3,118		3,118	3,118	7,796	250	%
Total credit risk	899,291	(12,233)	415,629	668,044	192,301	861,620	748,105	274,224	37	%
(1) Gross exposure value before credit risk mitigation techniques and CCF, excluding contributions to the default fund for a CCP.
(2) Includes provisions and impairment of financial assets and contingent risk and commitments.
(3) Standardised Approach exposures are adjusted by credit risk adjustments. The original equity exposure is shown net of impairment.
(4a) (4b) Eligible credit risk mitigation techniques are included, either on-balance sheet or off-balance sheet, according to Chapter 4 of CRR. In the case of securitisation exposure, unfunded credit protection is included.
(5) Under the standardised approach, it corresponds to the exposure value after the application of the eligible credit risk mitigation techniques, net of volatility adjustments.
(6) Exposure at default, calculated as (4a)+((4b)*CCF).
(7) This row includes the SEC-SA, SEC-ERBA and SEC-IRBA methods. The exposure of securitisations with a risk weight of 1,250% which are deducted from own funds is included (€860 thousand).

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Credit Risk and Counterparty Risk Exposure (Million Euros. 31-12-2020)

Exposure Class	Original Exposure(1)	Provisions	Net exposure of provisions(3)	On-balance exposure after credit risk mitigation techniques(4a)	Off-balance exposure after credit risk mitigation techniques(4b)	Exposure in the adjusted value(5)	EAD(6)	RWA's(8)	RWA density (9=(8)/(6))
Central governments or central banks	162,496	(189)	162,307	180,598	6,152	188,221	184,542	31,254	17	%
Regional governments or local authorities	7,234	(9)	7,226	2,243	308	2,329	2,145	1,335	62	%
Public sector entities	1,695	(2)	1,693	780	493	1,317	1,061	1,002	94	%
Multilateral development banks	187	—	187	185	—	187	187	6	3	%
International organisations	466	—	466	466	—	466	466	—	—
Institutions	35,210	(33)	35,177	10,287	17,293	29,136	13,226	4,916	37	%
Corporates	68,768	(978)	67,791	40,353	14,639	56,941	49,909	45,746	92	%
Retail	85,078	(1,473)	83,605	51,320	26,928	75,051	52,247	36,379	70	%
Secured by mortgages on immovable property	27,878	(218)	27,659	27,300	353	27,515	27,353	9,871	36	%
Exposures in default	7,299	(4,139)	3,159	2,544	359	2,806	2,598	2,691	104	%
Exposures associated with particularly high risk	2,808	(472)	2,336	1,824	396	2,127	1,873	2,809	150	%
Covered bonds	—	—	—	—	—	—	—	—	—
Claims on institutions and corporates with a short-term credit assesment	—	—	—	—	—	—	—	—	39	%
Collective investments undertakings	1	—	1	1	1	1	1	1	100	%
Other exposures	19,559	—	19,559	19,869	37	19,907	19,902	11,230	56	%
Total standardised approach	418,680	(7,513)	411,167	337,772	66,959	406,006	355,511	147,240	41	%
Central governments or central banks	11,531	(5)		12,034	415	12,449	12,234	1,105	9	%
Institutions	129,070	(28)		105,690	9,698	115,387	111,118	7,336	7	%
Corporates	206,910	(1,896)		108,508	88,768	197,277	161,188	80,508	50	%
Corporates (SMEs)	26,174	(810)		16,347	4,942	21,289	18,201	12,896	71	%
Corporates: Specialised lending	7,588	(37)		5,247	2,341	7,588	6,513	5,306	81	%
Corporates: Others	173,148	(1,048)		86,915	81,485	168,400	136,474	62,307	46	%
Retail	122,945	(2,791)		94,038	26,606	120,644	98,198	24,483	25	%
Of which: secured by immovable property	74,481	(913)		69,749	4,732	74,481	69,847	9,994	14	%
Of which: Qualifying revolving	30,185	(721)		9,087	21,098	30,185	12,741	8,868	70	%
Of which: Others	18,279	(1,157)		15,202	776	15,978	15,609	5,620	36	%
Retail: Other SMEs	5,445	(217)		2,438	734	3,172	2,817	1,158	41	%
Retail: Other Non-SMEs	12,834	(940)		12,764	42	12,806	12,792	4,463	35	%
Total IRB approach	470,456	(4,720)	0	320,270	125,487	445,757	382,737	113,432	30	%
Total credit risk dilution and delivery	4,463	0	4,462	4,310	-145	4,165	4,165	455	11	%
Total positions in securitisation (7)	893,599	(12,233)	415,629	662,353	192,301	855,928	742,413	261,127	35	%
Equity	5,692	0	0	5,692	0	5,692	5,692	13,097	230	%
Simple risk weight approach	1,120			1,120		1,120	1,120	2,570	230	%
Exposures in sufficiently diversified portfolios (RW 190%)	790			790		790	790	1,500	190	%
Exchange traded exposures (RW 290%)	190			190		190	190	551	290	%
Others (RW 370%)	140			140		140	140	519	370	%
PD/LGD approach	1,335			1,335		1,335	1,335	2,250	169	%
Internal models approach	119			119		119	119	481	405	%
Exposures subject to a 250% risk weight	3,118			3,118		3,118	3,118	7,796	250	%
Total credit risk	899,291	(12,233)	415,629	668,044	192,301	861,620	748,105	274,224	37	%
(1) Gross exposure value before credit risk mitigation techniques and CCF, excluding contributions to the default fund for a CCP.
(2) Includes provisions and impairment of financial assets and contingent risk and commitments.
(3) Standardised Approach exposures are adjusted by credit risk adjustments. The original equity exposure is shown net of impairment.
(4a) (4b) Eligible credit risk mitigation techniques are included, either on-balance sheet or off-balance sheet, according to Chapter 4 of CRR. In the case of securitisation exposure, unfunded credit protection is included.
(5) It corresponds to the exposure value adjusted by eligible credit risk mitigation techniques.
(6) Exposure at default, calculated as (4a)+((4b)*CCF).
(7) This row includes the SEC-SA, SEC-ERBA and SEC-IRBA methods. The exposure of securitisations with a risk weight of 1,250% which are deducted from own funds is included (€22 million).

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During 2022, the evolution in exposure and RWAs is due to the activity in the different portfolios, the variation of which will be detailed in their respective chapters. This year there have been no singular events in the Group's prudential perimeter or relevant methodological changes that have had an impact on the RWAs.

See following sections for more information on the variations of RWAs by standardised and IRB approaches.

The distribution of the Group's original exposure by geography (classification by country of the counterparty) is shown below:

Chart 8. Distribution by geographical area of Exposure to Credit Risk

(*) Other Countries includes mainly exposures in Europe (excluding Spain), United States and Asia.

(*) Other Countries includes mainly exposures in Europe (excluding Spain), United States and Asia.

The average RWAs densities for credit and counterparty risk are shown below, by exposure class and geography where the Group operates.

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Table 13. Breakdown of RWA density by geographical area and approach (Million euros. 12-31-2022)

	RWA Density(1)(2)
Category of exposure	Total		Spain(3)		Mexico		Turkey		South America		Other areas(4)
Central governments or central banks	17	%	10	%	21	%	60	%	44	%	—
Regional governments or local authorities	62	%	20	%	97	%	100	%	100	%	13	%
Public sector entities	94	%	—		73	%	99	%	100	%	1	%
Multilateral Development Banks	3	%	—		—		—		7	%	—
International organisations	—		—		—		—		—		—
Institutions	37	%	—		49	%	66	%	62	%	25	%
Corporates	92	%	56	%	96	%	95	%	100	%	87	%
Retail	70	%	63	%	71	%	68	%	73	%	72	%
Secured by mortgages on immovable property	36	%	36	%	36	%	40	%	36	%	35	%
Exposures in default	104	%	109	%	100	%	103	%	104	%	106	%
Exposures associated with particularly high risk	150	%	150	%	150	%	150	%	150	%	151	%
Covered bonds	—		—		—		—		—		—
Short-term claims on institutions and corporate	39	%	—		—		—		39	%	—
Collective investments undertakings	100	%	100	%	—		—		—		100	%
Other exposures	56	%	74	%	55	%	40	%	40	%	17	%
Total credit risk by standardised approach	41	%	19	%	44	%	74	%	70	%	23	%
Central governments or central banks	9	%	72	%	65	%	122	%	63	%	8	%
Institutions	7	%	13	%	45	%	155	%	20	%	5	%
Corporates	50	%	58	%	65	%	107	%	55	%	38	%
Retail	25	%	18	%	92	%	14	%	34	%	33	%
Total credit risk by IRB approach	30	%	31	%	71	%	110	%	41	%	19	%
Securitisation exposures	11	%	11	%	—		—		—		—
Total credit risk dilution and delivery	35	%	26	%	54	%	75	%	68	%	20	%
(1) Equity positions are not included.
(2) Calculated as RWA/EAD.
(3) In Spain, the category Central Governments and Central Banks includes deferred assets net of deferred tax liabilities.
(4) Other areas includes mainly exposures in Europe (excluding Spain), United States and Asia.

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Breakdown of RWA density by geographical area and approach (Million euros. 12-31-2021)

	RWA Density(1)(2)
Category of exposure	Total		Spain(3)		Turkey		Mexico		USA		Other areas(4)		Other areas(4)
Central governments or central banks	19	%	14	%	16	%	69	%	45	%	0	%	1	%
Regional governments or local authorities	60	%	28	%	97	%	100	%	88	%	17	%	20	%
Public sector entities	97	%	—		82	%	75	%	100	%	20	%	19	%
Multilateral Development Banks	6	%	—		—		—		0.07		0	%	—
International organisations	—		—		—		—		—		—		—
Institutions	48	%	62	%	65	%	70	%	82	%	29	%	31	%
Corporates	94	%	102	%	96	%	94	%	99	%	76	%	95	%
Retail	70	%	63	%	71	%	68	%	73	%	73	%	72	%
Secured by mortgages on immovable property	36	%	34	%	36	%	40	%	36	%	37	%	37	%
Exposures in default	110	%	112	%	101	%	119	%	103	%	109	%	108	%
Exposures associated with particularly high risk	150	%	150	%	150	%	150	%	150	%	150	%	150	%
Covered bonds	—		—		—		—		—		—		—
Short-term claims on institutions and corporate	93	%	—		—		—		0.93		0	%	—
Collective investments undertakings	100	%	100	%	—		—		—	%	1		100	%
Other exposures	58	%	84	%	48	%	32	%	40	%	15	%	18	%
Total credit risk by standardised approach	43	%	24	%	43	%	78	%	69	%	24	%	37	%
Central governments or central banks	6	%	81	%	40	%	87	%	25	%	5	%	9	%
Institutions	7	%	11	%	67	%	201	%	18	%	5	%	6	%
Corporates	54	%	65	%	68	%	104	%	60	%	41	%	42	%
Retail	24	%	19	%	89	%	12	%	35	%	47	%	22	%
Total credit risk by IRB approach	30	%	33	%	73	%	105	%	44	%	19	%	16	%
Securitisation exposures	12	%	12	%	—		—		—	%	—		—
Total credit risk dilution and delivery	36	%	29	%	53	%	78	%	67	%	20	%	20	%
(1) Does not include equity positions.
(2) Calculated as RWAs/EAD.
(3) In Spain, the category Central Governments and Central Banks includes deferred assets net of deferred tax liabilities..
(4) Includes all other countries not included in the previous columns. The countries with the largest exposure in this area are: United Kingdom, France, Italy, Germany and Portugal.

4.2.3.2.Credit quality of exposures

The carrying amount of performing and non-performing exposures, broken down by product and counterparty sector, as of December 31, 2022 and as of December 31, 2021, is below:

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Table 14. EU CR1 - Performing and non-performing exposures and related provisions (Million Euros. 12-31-2022)

	Gross carrying amount/nominal amount						Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions						Accumulated partial write-off	Collateral and financial guarantees received
	Performing exposures (1)			Non-performing exposures			Performing exposures			Non-performing exposures
		Of which stage 1	Of which stage 2		Of which stage 2	Of which stage 3		Of which stage 1	Of which stage 2		Of which stage 2	Of which stage 3		On performing exposures	On non-performing exposures
Cash balances at central banks and other demand deposits	73,470	73,470	—	—	—	—	(12)	(12)	—	—	—	—	—	—	—
Loans and advances	375,474	341,612	33,614	13,497	—	13,497	(4,024)	(2,083)	(1,941)	(7,285)	—	(7,285)	(352)	161,589	4,422
Central banks	4,420	4,420	—	—	—	—	(19)	(19)	—	—	—	—	—	279	—
General governments	20,884	20,582	302	38	—	38	(19)	(8)	(11)	(11)	—	(11)	—	6,448	5
Credit institutions	16,137	16,068	69	—	—	—	(34)	(31)	(3)	—	—	—	—	1,847	—
Other financial corporations	12,151	11,913	238	17	—	17	(27)	(15)	(12)	(10)	—	(10)	—	2,260	5
Non-financial corporations	164,837	149,591	15,086	6,340	—	6,340	(1,666)	(675)	(991)	(3,829)	—	(3,829)	(352)	59,099	1,672
Of which: SME	53,823	47,444	6,297	3,653	—	3,653	(721)	(339)	(382)	(2,192)	—	(2,192)	(110)	28,593	1,203
Households	157,047	139,039	17,920	7,102	—	7,102	(2,260)	(1,335)	(925)	(3,435)	—	(3,435)	—	91,656	2,740
Debt securities	81,104	79,937	1,059	57	—	57	(167)	(67)	(100)	(41)	—	(41)	—	—	—
Central banks	3,123	3,123	—	—	—	—	(7)	(7)	—	—	—	—	—	—	—
General governments	69,525	68,418	1,055	—	—	—	(150)	(51)	(100)	—	—	—	—	—	—
Credit institutions	1,697	1,697	—	—	—	—	(3)	(3)	—	—	—	—	—	—	—
Other financial corporations	2,389	2,329	4	54	—	54	(4)	(3)	—	(40)	—	(40)	—	—	—
Non-financial corporations	4,370	4,370	—	3	—	3	(3)	(3)	—	(2)	—	(2)	—	—	—
Off-balance-sheet exposures	191,070	181,076	9,994	1,147	—	1,147	431	171	261	339	—	339	—	7,390	196
Central banks	—	—	—	—	—	—	—	—	—	—	—	—	—	—	—
General governments	3,321	3,105	217	22	—	22	3	—	2	—	—	—	—	4	—
Credit institutions	19,992	19,560	432	24	—	24	7	6	2	1	—	1	—	39	—
Other financial corporations	8,559	8,328	231	6	—	6	6	5	1	—	—	—	—	58	3
Non-financial corporations	114,536	108,282	6,254	984	—	984	291	76	215	314	—	314	—	6,951	179
Households	44,661	41,802	2,860	112	—	112	124	84	40	23	—	23	—	338	14
Total	721,118	676,095	44,667	14,701	—	14,701	(4,634)	(2,333)	(2,302)	(7,665)	—	(7,665)	(352)	168,979	4,618
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(**) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.
(1) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios. Due to this, the balance of the rows other than "Cash and balances with central banks" performing may differ from the sum of the balances of stage 1 and stage 2 columns for these rows.

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EU CR1 - Performing and non-performing exposures and related provisions (Million Euros. 12-31-2021)

	Gross carrying amount/nominal amount						Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions						Accumulated write-off	Collateral and financial guarantees received
	Performing exposures			Non-performing exposures			Performing exposures			Non-performing exposures
		Of which stage 1	Of which stage 2		Of which stage 2	Of which stage 3		Of which stage 1	Of which stage 2		Of which stage 2	Of which stage 3		On performing exposures	On non-performing exposures
Cash balances at central banks and other demand deposits	61,159	61,159	—	—	—	—	(5)	(5)	—	—	—	—	—	—	—
Loans and advances	334,639	299,825	34,159	14,693	17	14,659	(4,089)	(2,001)	(2,088)	(7,064)	(2)	(7,061)	—	161,158	4,880
Central banks	5,687	5,687	—	—	—	—	(6)	(6)	—	—	—	—	—	1,182	—
General governments	19,797	19,287	369	62	—	62	(18)	(13)	(5)	(19)	—	(19)	—	5,655	10
Credit institutions	13,807	13,797	10	—	—	—	(18)	(18)	—	—	—	—	—	609	—
Other financial corporations	9,229	9,097	131	24	—	24	(14)	(8)	(6)	(9)	—	(9)	—	1,565	6
Non-financial corporations	139,903	120,125	19,340	7,316	15	7,290	(2,061)	(757)	(1,303)	(3,741)	(2)	(3,738)	—	60,850	1,803
Of which: SME	49,447	39,824	9,548	3,957	7	3,941	(1,039)	(464)	(575)	(2,256)	(1)	(2,254)	—	29,536	1,332
Households	146,216	131,832	14,309	7,291	2	7,283	(1,972)	(1,199)	(773)	(3,296)	—	(3,296)	—	91,297	3,062
Debt securities	73,696	72,825	765	23	—	23	(104)	(21)	(82)	(18)	—	(18)	—	—	—
Central banks	1,712	1,712	—	—	—	—	(2)	(2)	—	—	—	—	—	—	—
General governments	63,541	62,790	751	—	—	—	(97)	(15)	(82)	—	—	—	—	—	—
Credit institutions	1,795	1,795	—	—	—	—	—	—	—	—	—	—	—	—	—
Other financial corporations	2,258	2,149	4	20	—	20	(3)	(2)	—	(16)	—	(16)	—	—	—
Non-financial corporations	4,389	4,379	10	3	—	3	(2)	(2)	—	(2)	—	(2)	—	—	—
Off-balance-sheet exposures	164,487	152,418	12,069	962	1	957	455	185	270	237	—	236		7,389	135
Central banks	2	2	—	—	—	—	—	—	—	—	—	—		—	—
General governments	3,830	3,742	88	27	—	26	2	1	—	1	—	1		17	—
Credit institutions	20,694	20,246	447	2	—	2	6	4	2	—	—	—		51	—
Other financial corporations	6,736	6,582	154	8	—	8	2	2	—	—	—	—		45	3
Non-financial corporations	97,019	87,707	9,312	812	1	810	342	103	239	213	—	213		6,945	119
Households	36,206	34,138	2,068	113	—	112	102	74	28	22	—	22		332	13
Total	633,980	586,227	46,993	15,678	18	15,639	(4,653)	(2,212)	(2,440)	(7,319)	(2)	(7,315)	—	168,548	5,015
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(**) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.
(1) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios. Due to this, the balance of the rows other than "Cash and balances with central banks" performing may differ from the sum of the balances of stage 1 and stage 2 columns for these rows.

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During 2022 there has been an increase in exposure, mainly linked to the organic growth of the business; thus the total gross book value of performing exposures has grown by approximately €87 billion (+14% over the 2021 value) driven by the growth of loans and advances (€+40,835 million) and off-balance sheet exposures (€+26,583 million euros). Non-performing exposures, on the other hand, decreased compared to 2021 by €977 million, mainly in loans and advances portfolio, positively affected by the exchange rate and the sale of a default portfolio in Spain. Lastly, accumulated impairment and negative changes in fair value increased by €327 million during the year.

The following table shows the credit quality of performing and non-performing exposures according to the number of past due days as of December 31, 2022 and December 31, 2021:

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Table 15. EU CQ3 - Credit quality of performing and non-performing exposures by past due days (Million Euros. 12-31-2022)

	Gross carrying amount/nominal amount
	Performing exposures			Non-performing exposures
		Not past due or past due ≤ 30 days	Past due > 30 days ≤ 90 days		Unlikely to pay that are not past due or are past due ≤ 90 days	Past due > 90 days ≤ 180 days	Past due > 180 days ≤ 1 year	Past due > 1 year ≤ 2 years	Past due > 2 years ≤ 5 years	Past due > 5 years ≤ 7 years	Past due > 7 years	Of which defaulted
Cash balances at central banks and other demand deposits	73,470	73,470	—	—	—	—	—	—	—	—	—	—
Loans and advances	375,474	374,028	1,446	13,497	8,331	1,157	1,048	1,090	1,702	68	101	13,497
Central banks	4,420	4,420	—	—	—	—	—	—	—	—	—	—
General governments	20,884	20,850	34	38	33	—	1	—	—	—	4	38
Credit institutions	16,137	16,137	—	—	—	—	—	—	—	—	—	—
Other financial corporations	12,151	12,151	—	17	15	—	1	—	1	—	—	17
Non-financial corporations	164,837	164,528	309	6,340	3,996	307	437	429	1,044	52	75	6,340
Of which SMEs	53,823	53,605	217	3,653	1,854	233	351	373	743	38	61	3,653
Households	157,047	155,944	1,103	7,102	4,287	849	610	661	657	15	22	7,102
Debt Securities	81,104	81,104	—	57	57	—	—	—	—	—	—	57
Central banks	3,123	3,123	—	—	—	—	—	—	—	—	—	—
General governments	69,525	69,525	—	—	—	—	—	—	—	—	—	—
Credit institutions	1,697	1,697	—	—	—	—	—	—	—	—	—	—
Other financial corporations	2,389	2,389	—	54	54	—	—	—	—	—	—	54
Non-financial corporations	4,370	4,370	—	3	3	—	—	—	—	—	—	3
Off-balance sheet exposures	191,070			1,147								1,147
Central banks	—			—								—
General governments	3,321			22								22
Credit institutions	19,992			24								24
Other financial corporations	8,559			6								6
Non-financial corporations	114,536			984								984
Households	44,661			112								112
Total exposures December 2021	721,118	528,602	1,446	14,701	8,388	1,157	1,048	1,090	1,702	68	101	14,701
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.

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EU CQ3 - Credit quality of performing and non-performing exposures by past due days (Million Euros. 12-31-2021)

	Gross carrying amount/nominal amount
	Performing exposures			Non-performing exposures
		Not past due or past due ≤ 30 days	Past due > 30 days ≤ 90 days		Unlikely to pay that are not past due or are past due ≤ 90 days	Past due > 90 days ≤ 180 days	Past due > 180 days ≤ 1 year	Past due > 1 year ≤ 2 years	Past due > 2 years ≤ 5 years	Past due > 5 years ≤ 7 years	Past due > 7 years	Of which defaulted
Cash balances at central banks and other demand deposits	61,159	61,159	—	—	—	—	—	—	—	—	—	—
Loans and advances	334,639	332,811	1,173	14,693	8,983	834	967	1,437	2,246	108	118	14,693
Central banks	5,687	5,687	—	—	—	—	—	—	—	—	—	—
General governments	19,797	19,639	17	62	45	—	—	—	2	—	15	62
Credit institutions	13,807	13,807	—	—	—	—	—	—	—	—	—	—
Other financial corporations	9,229	9,228	—	24	15	7	—	1	1	—	—	24
Non-financial corporations	139,903	139,235	229	7,316	4,602	232	334	723	1,264	81	79	7,316
Of which SMEs	49,447	49,232	140	3,957	1,941	185	266	523	966	47	30	3,957
Households	146,216	145,215	925	7,291	4,321	595	632	712	979	27	24	7,291
Debt Securities	73,696	73,591	—	23	23	—	—	—	—	—	—	23
Central banks	1,712	1,712	—	—	—	—	—	—	—	—	—	—
General governments	63,541	63,541	—	—	—	—	—	—	—	—	—	—
Credit institutions	1,795	1,795	—	—	—	—	—	—	—	—	—	—
Other financial corporations	2,258	2,153	—	20	20	0	—	—	—	—	—	20
Non-financial corporations	4,389	4,389	—	3	3	—	—	—	—	—	—	3
Off-balance sheet exposures	164,487			962								962
Central banks	2			—								—
General governments	3,830			27								27
Credit institutions	20,694			2								2
Other financial corporations	6,736			8								8
Non-financial corporations	97,019			812								812
Households	36,206			113								113
Total exposures December 2020	633,980	467,561	1,173	15,678	9,006	834	967	1,437	2,246	108	118	15,677
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.

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The distribution of exposures by geographical area as of December 31, 2022 and December 31, 2021 are below:

Table 16. EU CQ4 - Quality of non-performing exposures by geography (Million Euros. 12-31-2022)

	Gross carrying amount(2) / nominal amount
		Of which: non performing	Of which: defaulted	Of which: subject to impairment (3)	Accumulated impairment	Provisions on off-balance sheet	Accumulated negative changes in fair value due to credit risk on non-performing exposures
On balance expousures	470,131	13,554	13,554	469,776	(11,518)		—
Spain	198,128	7,203	7,203	198,111	(4,562)		—
Mexico	88,946	1,945	1,945	88,701	(2,502)		—
Turkey	51,228	2,218	2,218	51,225	(2,031)		—
South America	51,530	1,768	1,768	51,478	(1,965)		—
Other areas (1)	80,301	419	419	80,261	(459)		—
Off balance expousures	192,217	1,147	1,147			770
Spain	53,974	716	716			241
Mexico	23,209	9	9			60
Turkey	21,077	260	260			294
South America	15,209	148	148			141
Other areas (1)	78,748	14	14			34
Total	662,349	14,701	14,701	469,776	(11,518)	770	—
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(**) Impairment of off-balance sheet exposures is shown as positive, in line with FINREP regulatory financial reporting models.
(1) Other Countries includes mainly exposures in Europe (excluding Spain), United States and Asia.
(2) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios.
(3) Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income.

BBVA. PILLAR 3 2022 4. RISK P. 78

EU CQ4 - Quality of non-performing exposures by geography (Million Euros. 12-31-2021)

	Gross carrying amount(2) / nominal amount
		Of which: non performing	Of which: defaulted	Of which: subject to impairment (3)	Accumulated impairment	Provisions on off-balance sheet	Accumulated negative changes in fair value due to credit risk on non-performing exposures
On balance expousures	423,050	14,716	14,716	422,290	(11,275)		—
Spain	194,453	7,822	7,822	194,280	(4,983)		—
Mexico	71,410	1,939	1,939	71,190	(2,051)		—
Turkey	42,261	2,697	2,697	41,966	(1,934)		—
South America	45,317	1,817	1,817	45,317	(1,888)		—
Other areas (1)	69,609	442	442	69,537	(419)		—
Off balance expousures	165,448	962	962			691
Spain	52,051	655	655			261
Mexico	19,805	12	12			67
Turkey	14,052	170	170			209
South America	11,317	116	116			110
Other areas (1)	68,223	9	9			45
Total	588,498	15,678	15,678	422,290	(11,275)	691
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(**) Impairment of off-balance sheet exposures is shown as positive, in line with FINREP regulatory financial reporting models.
(1) Other Countries includes mainly exposures in Europe (excluding Spain), United States and Asia.
(2) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios.
(3) Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income.

BBVA. PILLAR 3 2022 4. RISK P. 79

Throughout 2022, there has been a growth in activity in all the geographies in where the Group operates, mainly due to the dynamism of lending activity.

The distribution by counterparty sector of total and non-performing exposures of loans and advances, as well as their impairment as of December 31, 2022 and December 31, 2021, are shown below:

Table 17. EU CQ5 - Credit quality of loans and advances to non-financial corporations by industry (Million Euros. 12-31-2022)

	Gross carrying amount(1)/nominal amount
		Of which: non performing	Of which: defaulted	Of which: subject to impairment (2)	Accumulated impairment	Accumulated negative changes in fair value due to credit risk on non-performing exposures
Agriculture, forestry and fishing	4,475	153	153	4,475	(151)	—
Mining and quarrying	5,006	179	179	5,006	(106)	—
Manufacturing	44,658	869	869	44,583	(795)	—
Electricity, gas, steam and air conditioning supply	15,344	650	650	15,344	(535)	—
Water supply	875	21	21	875	(16)	—
Construction	8,349	784	784	8,349	(538)	—
Wholesale and retail trade	30,974	1,184	1,184	30,974	(951)	—
Transport and storage	11,054	319	319	11,051	(343)	—
Accommodation and food service activities	8,003	451	451	8,003	(329)	—
Information and communication	7,497	113	113	7,497	(47)	—
Real estate activities	11,431	718	718	11,349	(527)	—
Financial activities and insurance	7,468	200	200	7,468	(187)	—
Professional, scientific and technical activities	3,948	169	169	3,948	(154)	—
Administrative and support service activities	4,021	180	180	4,021	(124)	—
Public administration and defence, compulsory social security	268	8	8	268	(13)	—
Education	556	35	35	556	(29)	—
Human health services and social work activities	2,108	138	138	2,108	(53)	—
Arts, entertainment and recreation	927	68	68	927	(79)	—
Other services	4,214	101	101	4,214	(519)	—
Total	171,176	6,340	6,340	171,017	(5,495)	—
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(1) Includes gross carrying amount of assets at amortised cost, assets at fair value through other comprehensive income and assets designated at fair value through profit and loss other than those held for trading.
(2) Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income.

BBVA. PILLAR 3 2022 4. RISK P. 80

EU CQ5 - Credit quality of loans and advances to non-financial corporations by activity sector (Million Euros. 12-31-2021)

	Gross carrying amount(1)/nominal amount
		Of which: non performing	Of which: defaulted	Of which: subject to impairment (2)	Accumulated impairment	Accumulated negative changes in fair value due to credit risk on non-performing exposures
Agriculture, forestry and fishing	4,077	125	125	4,077	(154)	—
Mining and quarrying	4,889	222	222	4,889	(130)	—
Manufacturing	35,129	1,008	1,008	35,058	(867)	—
Electricity, gas, steam and air conditioning supply	13,718	570	570	13,718	(489)	—
Water supply	782	22	22	782	(21)	—
Construction	8,336	896	896	8,336	(619)	—
Wholesale and retail trade	25,856	1,312	1,312	25,856	(1,104)	—
Transport and storage	10,310	879	879	10,310	(400)	—
Accommodation and food service activities	7,693	470	470	7,693	(405)	—
Information and communication	6,827	118	118	6,533	(56)	—
Real estate activities	9,511	719	719	9,438	(466)	—
Financial activities and insurance	6,236	210	210	6,236	(181)	—
Professional, scientific and technical activities	3,910	185	185	3,910	(152)	—
Administrative and support service activities	3,049	185	185	3,049	(132)	—
Public administration and defence, compulsory social security	203	9	9	203	(11)	—
Education	582	43	43	582	(34)	—
Human health services and social work activities	1,888	48	48	1,888	(41)	—
Arts, entertainment and recreation	1,011	209	209	1,011	(95)	—
Other services	3,211	84	84	3,211	(445)	—
Total	147,219	7,316	7,316	146,781	(5,801)	—
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(1) Includes gross carrying amount of assets at amortised cost, assets at fair value through other comprehensive income and assets designated at fair value through profit and loss other than those held for trading.
(2) Includes gross carrying amount of assets at amortised cost and assets at fair value through other comprehensive income.

During 2022, the gross book balance of loans and advances to non-financial corporations has grown by approximately €24 billion, representing an increase of 16% over the December 31, 2021 figures. In this growth, the contribution of the manufacturing industry sector (€+9,526 million) stands out, representing a relative growth of 27% compared to December 2021. Exposures in default decreased by €976 million and accumulated impairment by €306 million; both figures were partly affected by exchange rates and the sale of a default portfolio in Spain in the last quarter of 2022.

The distribution of the gross book value of performing and non-performing exposures of loans and debt securities by residual maturity is presented below. The accounting values as of December 31, 2022 and December 31, 2021 are presented:

BBVA. PILLAR 3 2022 4. RISK P. 81

Table 18. EU CR1-A - Maturity of exposures (Million Euros. 12-31-2022)

	Value of net exposure(1)
	On demand	≤ 1 year	> 1 year ≤ 5 year	> 5 year	No stated maturity	Total
Loans and advances	4,101	114,139	106,902	152,519	—	377,661
Debt securities	—	19,378	41,795	19,772	7	80,952
Total	4,101	133,517	148,698	172,291	7	458,613
(1) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios.

Table 18. EU CR1-A - Maturity of exposures (Million Euros. 12-31-2021)

	Value of net exposure(1)
	On demand	≤ 1 year	> 1 year ≤ 5 year	> 5 year	No stated maturity	Total
Loans and advances	3,161	85,967	96,524	152,525	—	338,178
Debt securities	—	14,922	34,243	24,175	257	73,597
Total	3,161	100,889	130,767	176,700	257	411,775
(1) Includes gross carrying amount of the "amortised cost" portfolio, the "fair value through other comprehensive income" portfolio and the "fair value through P&L" portfolios.

The changes of non performing exposures between December 31, 2021 and December 31, 2022 is shown below in the following tables:

Table 19. EU CR2 - Changes in the balance of exposures to credit risk in default and impaired (Million Euros)

	Gross book value of defaulted exposures
Opening balance as at December 2021	15,678
Loans and debt securities that have defaulted or whose value has deteriorated since the last reporting period	3,908
Reclassification to non-default status	(2,981)
Amounts recognized as write-offs	(1,158)
Other changes	336
Closing balance as at June 2022	15,783

	Gross book value of defaulted exposures
Opening balance as at June 2022	15,783
Loans and debt securities that have defaulted or whose value has deteriorated since the last reporting period	4,204
Reclassification to non-default status	(2,765)
Amounts recognized as write-offs	(1,610)
Other changes	(910)
Closing balance as at December 2022	14,701

The balance of defaulted exposures decreased by approximately 6% during the year, mainly due to the effect of the sale of the default portfolio in Spain in the last quarter of the year, as well as the evolution of exchange rates.

A table with a general overview of forborne exposures is shown below, which includes the amounts as of December 31, 2022 and the main figures as of December 31, 2021:

BBVA. PILLAR 3 2022 4. RISK P. 82

Table 20. EU CQ1 - Credit quality of forborne exposures (Million Euros. 12-31-2022)

	Gross carrying amount/nominal amount of exposures with forbearance measures				Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions		Collateral received and financial guarantees received on forborne exposures
		Non-performing forborne
	Performing forborne		Of which defaulted	Of which impaired	On performing forborne exposures	On non-performing forborne exposures		Of which collateral and financial guarantees received on non-performing exposures with forbearance measures
Cash balances at central banks and other demand deposits	—	—	—	—	—	—	—	—
Loans and advances	6,985	8,135	8,135	8,135	(678)	(4,242)	6,312	2,689
Central banks	—	—	—	—	—	—	—	—
General governments	18	29	29	29	(1)	(8)	6	5
Credit institutions	—	—	—	—	—	—	—	—
Other financial corporations	3	10	10	10	—	(5)	6	4
Non-financial corporations	3,848	4,442	4,442	4,442	(469)	(2,658)	2,355	964
Households	3,116	3,654	3,654	3,654	(208)	(1,571)	3,945	1,717
Debt Securities	—	—	—	—	—	—	—	—
Loan commitments given	391	41	41	41	16	6	—	—
Total exposures	7,376	8,176	8,176	8,176	(694)	(4,248)	6,312	2,689
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(**) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.

EU CQ1 - Credit quality of forborne exposures (Million Euros. 12-31-2021)

	Gross carrying amount/nominal amount of exposures with forbearance measures				Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions		Collateral received and financial guarantees received on forborne exposures
		Non-performing forborne
	Performing forborne		Of which defaulted	Of which impaired	On performing forborne exposures	On non-performing forborne exposures		Of which collateral and financial guarantees received on non-performing exposures with forbearance measures
Cash balances at central banks and other demand deposits	—	—	—	—	—	—	—	—
Loans and advances	8,736	9,212	9,212	9,200	(801)	(4,033)	7,992	3,187
Central banks	—	—	—	—	—	—	—	—
General governments	47	38	38	38	(1)	(10)	15	6
Credit institutions	—	—	—	—	—	—	—	—
Other financial corporations	17	9	9	9	—	(4)	21	4
Non-financial corporations	4,436	5,217	5,217	5,205	(531)	(2,491)	3,170	1,242
Households	4,236	3,947	3,947	3,947	(268)	(1,529)	4,786	1,935
Debt Securities	—	—	—	—	—	—	—	—
Loan commitments given	364	34	34	34	16	4	—	—
Total exposures	9,101	9,246	9,246	9,234	(817)	(4,037)	7,992	3,187
(*) Includes the carrying amount of reverse repurchase agreements and positions subject to the securitisation framework.
(**) Off-balance sheet exposures provisions are shown as positive, in line with FINREP regulatory financial reporting models.

BBVA. PILLAR 3 2022 4. RISK P. 83

The amounts of collateral obtained by taking possession and execution processes as of December 31, 2022 and

December 31, 2021 are shown below, differentiating property, plant and equipment from other collateral:

Table 21. EU CQ7 - Collateral obtained by taking possession and execution processes (Million Euros)

	12-31-2022		12-31-2021
	Collateral obtained		Collateral obtained
	Value at initial recognition(1)	Accumulated negative changes(2)	Value at initial recognition(1)	Accumulated negative changes(2)
Property, plant and equipment (PP&E)	—	—	—	—
Other than PP&E	1,769	(833)	2,140	(948)
Residential immovable property	1,051	(432)	1,369	(522)
Commercial Immovable property	333	(140)	344	(139)
Movable property (auto, shipping, etc.)	9	(6)	9	(7)
Equity and debt instruments	372	(254)	412	(278)
Other	4	(2)	6	(2)
Total	1,769	(833)	2,140	(948)
(1) Value at initial recognition: the gross carrying amount of the collateral obtained by taking possession at initial recognition.
(2) Cumulative negative changes: cumulative impairment or negative cumulative changes in the value of collateral initially recognised.

4.2.3.3.Public guarantees and moratorium programmes in response to COVID-19 crisis

Since the beginning of the pandemic, the Group offered COVID-19 support measures to its customers in all the geographic areas where it operates, consisting of both deferrals on existing loans and new public-guaranteed lending. Deferral support schemes have expired in all geographical areas. Measures related to new government-guaranteed loans are:

Spain:

–The Official Credit Institute (ICO by its Spanish acronym) published several support programs aimed at the self-employed, small and medium-sized enterprises (hereinafter "SMEs") and companies, through which a guarantee of between 60% and 80% was granted by the ICO (for a term of up to 5 years for new financing granted under RDL Mar/2020, RDL Nov/2020, RDL 5/2021 and the Code of Good Practices).

–In March 2022, the Council of Ministers agreed to modify the Code of Good Practices to lessen access conditions given the difficulties of clients, which are facing sharp increases in costs due to their special exposure to tensions in the prices of energy and other raw materials.

–As an additional measure of the Code of Good Practices, the Council of Ministers approved the agreement to establish the possibility of term extensions of ICO financing given to self-employed and companies, after June 30, 2022, after the expiry of the Temporary Framework of state support approved by the European Commission.

In addition, on November 23, 2022, Royal Decree-Law 19/2022, of November 22, was published. It amends the

Code of Good Practices, establishes a new Code of Good Practices easing the interest rates hike on mortgage loans agreements related to primary residences, and provides for other structural measures aiming to improve the loan market. BBVA has adhered to the new Code of Good Practices with effect from January 1, 2023.

Peru:

–There were public support programs such as Reactiva, Crecer or FAE aimed at companies and micro-enterprises with government guaranteeing amounts ranging from 60% to 98%, depending on the program and the type of company.

–Through a Decree published in May 2022, for loans granted under the Reactiva program, both the maturity and grace period of such loans could be extended. The ability to benefit from this measure expires on June 30, 2023, following the extension of the initial period that ended December 31, 2022.

New government-guaranteed financing was also granted in Turkey, Colombia and Argentina.

Information about public guarantees and moratorium schemes, introduced by the governments in response to COVID-19 crisis as of December 31, 2022 and as of December 31, 2021 is shown below.

BBVA. PILLAR 3 2022 4. RISK P. 84

Table 22. Information on loans and advances subject to to legislative and non-legislative moratoria (Million Euros. 12-31-2022)

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk

Gross carrying amount

Performing

Non performing

Performing

Non performing

Of which: exposures with forbearance measures

Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Of which: exposures with forbearance measures

Of which: Unlikely to pay that are not past-due or past-due <= 90 days

Of which:exposures with forbearance measures

Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)

Of which:exposures with forbearance measures

Of which: Unlikely to pay that are not past-due or past-due <= 90 days

Inflows to non-performing exposures

Loans and advances subject to moratorium

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

of which: Households

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

of which: Collateralised by residential immovable property

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

of which: Non-financial corporations

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

of which: Small and Medium-sized Corporates

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

of which: Collateralised by commercial immovable property

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

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Information on loans and advances subject to to legislative and non-legislative moratoria (Million Euros. 12-31-2021)