K8MS7FD7N5Z2WQ51AZ71-20211231-en

Contents

CONSOLIDATED FINANCIAL STATEMENTS

Consolidated balance sheets ...........................................................................................................................................

Consolidated income statements ...................................................................................................................................

Consolidated statements of recognized income and expense .................................................................................

Consolidated statements of changes in equity ............................................................................................................

Consolidated statements of cash flows .........................................................................................................................

NOTES TO THE ACCOMPANYING CONSOLIDATED FINANCIAL STATEMENTS

1. Introduction, basis for the presentation of the Consolidated Financial Statements, Internal Control over

Financial Reporting and other information ...................................................................................................................

2. Principles of consolidation, accounting policies and measurement bases applied and recent IFRS

pronouncements ................................................................................................................................................................

3. BBVA Group ....................................................................................................................................................................

4. Shareholder remuneration system ............................................................................................................................

5. Earnings per share .........................................................................................................................................................

6. Operating segment reporting ......................................................................................................................................

7. Risk management ..........................................................................................................................................................

8. Fair value of financial instruments ..............................................................................................................................

100

9. Cash, cash balances at central banks and other demand deposits .....................................................................

113

10. Financial assets and liabilities held for trading .......................................................................................................

113

11. Non-trading financial assets mandatorily at fair value through profit or loss ...................................................

114

12. Financial assets and liabilities designated at fair value through profit or loss .................................................

115

13. Financial assets at fair value through other comprehensive income .................................................................

115

14. Financial assets at amortized cost ...........................................................................................................................

119

15. Hedging derivatives and fair value changes of the hedged items in portfolio hedges of interest rate risk

122

16. Investments in joint ventures and associates ........................................................................................................

125

17. Tangible assets .............................................................................................................................................................

127

18. Intangible assets ..........................................................................................................................................................

131

19. Tax assets and liabilities .............................................................................................................................................

134

20. Other assets and Liabilities ......................................................................................................................................

137

21. Non-current assets and disposal groups classified as held for sale and liabilities included in disposal

groups classified as held for sale .................................................................................................................................

138

22. Financial liabilities at amortized cost .......................................................................................................................

143

23. Assets and liabilities under insurance and reinsurance contracts ....................................................................

149

24. Provisions ......................................................................................................................................................................

151

25. Post-employment and other employee benefit commitments ..........................................................................

152

26. Common stock .............................................................................................................................................................

160

27. Share premium .............................................................................................................................................................

161

28. Retained earnings, revaluation reserves and other reserves .............................................................................

161

29. Treasury shares ...........................................................................................................................................................

163

30. Accumulated other comprehensive income (loss) ...............................................................................................

164

31. Non-controlling interest ..............................................................................................................................................

165

P.1

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

32. Capital base and capital management ....................................................................................................................

165

33. Commitments and guarantees given ......................................................................................................................

170

34. Other contingent assets and liabilities ....................................................................................................................

170

35. Purchase and sale commitments and future payment obligations ...................................................................

170

36. Transactions on behalf of third parties ...................................................................................................................

171

37. Net interest income .....................................................................................................................................................

171

38. Dividend income ..........................................................................................................................................................

172

39. Share of profit or loss of entities accounted for using the equity method .......................................................

172

40. Fee and commission income and expense ............................................................................................................

172

41. Gains (losses) on financial assets and liabilities, hedge accounting and exchange differences, net ..........

173

42. Other operating income and expense ....................................................................................................................

174

43. Income and expense from insurance and reinsurance contracts ......................................................................

175

44. Administration costs ...................................................................................................................................................

175

45. Depreciation and amortization ................................................................................................................................

177

46. Provisions or reversal of provisions .........................................................................................................................

178

47. Impairment or reversal of impairment on financial assets not measured at fair value through profit or

loss or net gains by modification .....................................................................................................................................

178

48. Impairment or reversal of impairment of investments in joint ventures and associates ..............................

178

49. Impairment or reversal of impairment on non-financial assets ........................................................................

178

50. Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying

as discontinued operations ..............................................................................................................................................

179

51. Consolidated statements of cash flows ..................................................................................................................

179

52. Accountant fees and services ...................................................................................................................................

180

53. Related-party transactions ........................................................................................................................................

180

54. Remuneration and other benefits for the Board of Directors and members of the Bank's Senior

Management .........................................................................................................................

182

55. Other information ........................................................................................................................................................

189

56. Subsequent events ......................................................................................................................................................

191

57. Explanation added for translation into English ......................................................................................................

191

P.2

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDICES

APPENDIX I. Additional information on subsidiaries and structured entities composing the BBVA Group

as of December 31, 2021 ...................................................................................................................................................

193

APPENDIX II. Additional information on investments joint ventures and associates in the BBVA Group as

of December 31, 2021 ........................................................................................................................................................

199

APPENDIX III. Changes and notifications of participations in the BBVA Group in 2021 ......................................

200

APPENDIX IV. Fully consolidated subsidiaries with more than 10% owned by non-Group shareholders as

of December 31, 2021 ........................................................................................................................................................

203

APPENDIX V. BBVA Group’s structured entities in 2021. Securitization funds ....................................................

204

APPENDIX VI. Details of the outstanding subordinated debt and preferred securities issued by the Bank

or entities in the Group consolidated as of December 31, 2021, 2020 and 2019 ..................................................

205

APPENDIX VII Consolidated balance sheets held in foreign currency as of December 31, 2021, 2020 and

2019 ......................................................................................................................................................................................

208

APPENDIX VIII. Consolidated income statements for the first and second half of 2021 and 2020 ..................

209

APPENDIX IX. Financial Statements of Banco Bilbao Vizcaya Argentaria, S.A. ....................................................

210

APPENDIX X. Information on data derived from the special accounting registry and other information

bonds ....................................................................................................................................................................................

218

APPENDIX XI. Quantitative information on refinancing and restructuring operations and other

requirement under Bank of Spain Circular 6/2012 .....................................................................................................

225

APPENDIX XII. Additional information on risk concentration ....................................................................................

233

APPENDIX XIII Information in accordance with article 89 of Directive 2013/36/EU of the European

Parliament and its application to Spanish Law through Law 10/2014 ....................................................................

242

CONSOLIDATED MANAGEMENT REPORT

GLOSSARY

P.3

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Consolidated balance sheets as of December 31, 2021, 2020 and 2019

ASSETS (Millions of Euros)

Notes

2021

2020 (*)

2019 (*)

CASH, CASH BALANCES AT CENTRAL BANKS AND OTHER DEMAND

DEPOSITS

67,799

65,520

44,303

FINANCIAL ASSETS HELD FOR TRADING

123,493

105,878

99,469

Derivatives

30,933

40,183

32,232

Equity instruments

15,963

11,458

8,892

Debt securities

25,790

23,970

26,309

Loans and advances to central banks

3,467

535

Loans and advances to credit institutions

31,916

18,317

19,020

Loans and advances to customers

15,424

11,898

12,482

NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH

PROFIT OR LOSS

6,086

5,198

5,557

Equity instruments

5,303

4,133

4,327

Debt securities

128

356

110

Loans and advances to customers

655

709

1,120

FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

1,092

1,117

1,214

Debt securities

1,092

1,117

1,214

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE

INCOME

60,421

69,440

61,183

Equity instruments

1,320

1,100

2,420

Debt securities

59,074

68,308

58,731

Loans and advances to credit institutions

FINANCIAL ASSETS AT AMORTIZED COST

372,676

367,668

439,162

Debt securities

34,781

35,737

38,877

Loans and advances to central banks

5,681

6,209

4,275

Loans and advances to credit institutions

13,276

14,575

13,649

Loans and advances to customers

318,939

311,147

382,360

DERIVATIVES - HEDGE ACCOUNTING

1,805

1,991

1,729

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF

INTEREST RATE RISK

JOINT VENTURES AND ASSOCIATES

900

1,437

1,488

Joint ventures

152

149

154

Associates

749

1,288

1,334

INSURANCE AND REINSURANCE ASSETS

269

306

341

TANGIBLE ASSETS

7,298

7,823

10,068

Properties, plant and equipment

7,107

7,601

9,816

For own use

6,874

7,311

9,554

Other assets leased out under an operating lease

233

290

263

Investment properties

191

222

252

INTANGIBLE ASSETS

2,197

2,345

6,966

Goodwill

818

910

4,955

Other intangible assets

1,379

1,435

2,010

TAX ASSETS

15,850

16,526

17,083

Current tax assets

932

1,199

1,765

Deferred tax assets

14,917

15,327

15,318

OTHER ASSETS

1,934

2,513

3,800

Insurance contracts linked to pensions

—

Inventories

424

572

581

Other

1,510

1,941

3,220

NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR

SALE

1,061

85,987

3,079

TOTAL ASSETS

3, 6

662,885

733,797

695,471

(*) Presented for comparison purposes only (see Note 1.3).

The Notes and Appendices are an integral part of the consolidated balance sheet as of December 31, 2021.

P.4

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Consolidated balance sheets as of December 31, 2021, 2020 and 2019

LIABILITIES AND EQUITY (Millions of Euros)

Notes

2021

2020 (*)

2019 (*)

FINANCIAL LIABILITIES HELD FOR TRADING

91,135

84,109

86,414

Derivatives

31,705

41,680

34,066

Short positions

15,135

12,312

12,249

Deposits from central banks

11,248

6,277

7,635

Deposits from credit institutions

16,176

14,377

22,704

Customer deposits

16,870

9,463

9,761

FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR

LOSS

9,683

10,050

10,010

Customer deposits

809

902

944

Debt certificates

3,396

4,531

4,656

Other financial liabilities

5,479

4,617

4,410

Memorandum item: Subordinated liabilities

—

FINANCIAL LIABILITIES AT AMORTIZED COST

487,893

490,606

516,641

Deposits from central banks

47,351

45,177

25,950

Deposits from credit institutions

19,834

27,629

28,751

Customer deposits

349,761

342,661

384,219

Debt certificates

55,763

61,780

63,963

Other financial liabilities

15,183

13,358

13,758

Memorandum item: Subordinated liabilities

14,808

16,488

18,018

DERIVATIVES - HEDGE ACCOUNTING

2,626

2,318

2,233

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF

INTEREST RATE RISK

—

LIABILITIES UNDER INSURANCE AND REINSURANCE CONTRACTS

10,865

9,951

10,606

PROVISIONS

5,889

6,141

6,538

Pensions and other post-employment defined benefit obligations

3,576

4,272

4,631

Other long term employee benefits

632

Provisions for taxes and other legal contingencies

623

612

677

Commitments and guarantees given

691

728

711

Other provisions

366

479

457

TAX LIABILITIES

2,413

2,355

2,808

Current tax liabilities

644

545

880

Deferred tax liabilities

1,769

1,809

1,928

OTHER LIABILITIES

3,621

2,802

3,742

LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR

SALE

—

75,446

1,554

TOTAL LIABILITIES

614,125

683,777

640,546

(*) Presented for comparison purposes only (see Note 1.3).

The Notes and Appendices are an integral part of the consolidated balance sheet as of December 31, 2021.

P.5

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Consolidated balance sheets as of December 31, 2021, 2020 and 2019

LIABILITIES AND EQUITY (Continued) (Millions of Euros)

Notes

2021

2020 (*)

2019 (*)

SHAREHOLDERS’ FUNDS

60,383

58,904

58,950

Capital

3,267

Paid up capital

3,267

Unpaid capital which has been called up

—

Share premium

23,599

23,992

Equity instruments issued other than capital

—

Other equity

Retained earnings

31,841

30,508

29,388

Revaluation reserves

—

Other reserves

(1,857)

(164)

(119)

Reserves or accumulated losses of investments in joint ventures and associates

(247)

(164)

(119)

Other

(1,610)

—

Less: treasury shares

(647)

(46)

(62)

Profit or loss attributable to owners of the parent

4,653

1,305

3,512

Less: Interim dividends

(532)

—

(1,084)

ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)

(16,476)

(14,356)

(10,226)

Items that will not be reclassified to profit or loss

(2,075)

(2,815)

(1,875)

Actuarial gains (losses) on defined benefit pension plans

(998)

(1,474)

(1,498)

Non-current assets and disposal groups classified as held for sale

—

(65)

Share of other recognized income and expense of investments in joint ventures and

associates

—

Fair value changes of equity instruments measured at fair value through other

comprehensive income

(1,079)

(1,256)

(403)

Hedge ineffectiveness of fair value hedges for equity instruments measured at fair

value through other comprehensive income

—

Fair value changes of financial liabilities at fair value through profit or loss

attributable to changes in their credit risk

(21)

Items that may be reclassified to profit or loss

(14,401)

(11,541)

(8,351)

Hedge of net investments in foreign operations (effective portion)

(146)

(62)

(896)

Foreign currency translation

(14,988)

(14,185)

(9,147)

Hedging derivatives. Cash flow hedges (effective portion)

(533)

(44)

Fair value changes of debt instruments measured at fair value through other

comprehensive income

1,274

2,069

1,760

Hedging instruments (non-designated items)

—

Non-current assets and disposal groups classified as held for sale

—

644

(18)

Share of other recognized income and expense of investments in joint ventures and

associates

(9)

(17)

(5)

MINORITY INTERESTS (NON-CONTROLLING INTERESTS)

4,853

5,471

6,201

Accumulated other comprehensive income (loss)

(8,414)

(6,949)

(5,572)

Other items

13,267

12,421

11,773

TOTAL EQUITY

48,760

50,020

54,925

TOTAL EQUITY AND TOTAL LIABILITIES

662,885

733,797

695,471

MEMORANDUM ITEM (OFF-BALANCE SHEET EXPOSURES) (Millions of Euros)

Notes

2021

2020 (*)

2019 (*)

Loan commitments given

119,618

132,584

130,923

Financial guarantees given

11,720

10,665

10,984

Other commitments given

34,604

36,190

39,209

(*) Presented for comparison purposes only (see Note 1.3).

The Notes and Appendices are an integral part of the consolidated balance sheet as of December 31, 2021.

P.6

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Consolidated income statements for the years ended December 31, 2021, 2020 and 2019

CONSOLIDATED INCOME STATEMENTS (Millions of Euros)

Notes

2021

2020 (*)

2019 (*)

Interest and other income

37.1

23,015

22,389

27,762

Interest expense

37.2

(8,329)

(7,797)

(11,972)

NET INTEREST INCOME

14,686

14,592

15,789

Dividend income

176

137

153

Share of profit or loss of entities accounted for using the equity method

(39)

(42)

Fee and commission income

6,997

5,980

6,786

Fee and commission expense

(2,232)

(1,857)

(2,284)

Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through

profit or loss, net

134

139

186

Gains (losses) on financial assets and liabilities held for trading, net

341

777

419

Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net

432

208

143

Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net

335

(98)

Gains (losses) from hedge accounting, net

(214)

Exchange differences, net

883

359

581

Other operating income

661

492

639

Other operating expense

(2,041)

(1,662)

(1,943)

Income from insurance and reinsurance contracts

2,593

2,497

2,890

Expense from insurance and reinsurance contracts

(1,685)

(1,520)

(1,751)

GROSS INCOME

21,066

20,166

21,522

Administration costs

(8,296)

(7,799)

(8,769)

Personnel expense

44.1

(5,046)

(4,695)

(5,351)

Other administrative expense

44.2

(3,249)

(3,105)

(3,418)

Depreciation and amortization

(1,234)

(1,288)

(1,386)

Provisions or reversal of provisions

(1,018)

(746)

(614)

Impairment or reversal of impairment on financial assets not measured at fair value through profit

or loss or net gains by modification

(3,034)

(5,179)

(3,552)

Financial assets measured at amortized cost

(3,017)

(5,160)

(3,470)

Financial assets at fair value through other comprehensive income

(17)

(19)

(82)

NET OPERATING INCOME

7,484

5,153

7,202

Impairment or reversal of impairment of investments in joint ventures and associates

—

(190)

(46)

Impairment or reversal of impairment on non-financial assets

(221)

(153)

(128)

Tangible assets

(161)

(125)

(94)

Intangible assets

(19)

(12)

Other assets

(41)

(9)

(23)

Gains (losses) on derecognition of non-financial assets and subsidiaries, net

(7)

(5)

Negative goodwill recognized in profit or loss

—

Gains (losses) from non-current assets and disposal groups classified as held for sale not

qualifying as discontinued operations

(40)

444

PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS

7,247

5,248

7,046

Tax expense or income related to profit or loss from continuing operations

(1,909)

(1,459)

(1,943)

PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS

5,338

3,789

5,103

Profit (loss) after tax from discontinued operations

280

(1,729)

(758)

PROFIT (LOSS)

5,618

2,060

4,345

ATTRIBUTABLE TO MINORITY INTEREST (NON-CONTROLLING INTEREST)

965

756

833

ATTRIBUTABLE TO OWNERS OF THE PARENT

4,653

1,305

3,512

Notes

2021

2020 (*)

2019 (*)

EARNINGS (LOSSES) PER SHARE (Euros)

0.67

0.14

0.47

Basic earnings (losses) per share from continuing operations

0.63

0.40

0.58

Diluted earnings (losses) per share from continuing operations

0.63

0.40

0.58

Basic earnings (losses) per share from discontinued operations

0.04

(0.26)

(0.11)

Diluted earnings (losses) per share from discontinued operations

0.04

(0.26)

(0.11)

(*) Presented for comparison purposes only (see Note 1.3).

The Notes and Appendices are an integral part of the consolidated income statement for the year ended December 31, 2021.

P.7

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Consolidated statements of recognized income and expense for the years ended

December 31, 2021, 2020 and 2019

CONSOLIDATED STATEMENTS OF RECOGNIZED INCOME AND EXPENSE (Millions of Euros)

2021

2020 (*)

2019 (*)

PROFIT (LOSS) RECOGNIZED IN INCOME STATEMENT

5,618

2,060

4,345

OTHER RECOGNIZED INCOME (EXPENSE)

(3,977)

(5,375)

(286)

ITEMS NOT SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT

358

(822)

(584)

Actuarial gains (losses) from defined benefit pension plans

218

(88)

(364)

Non-current assets and disposal groups held for sale

(3)

Share of other recognized income and expense of entities accounted for using the equity method

—

Fair value changes of equity instruments measured at fair value through other comprehensive

income, net

189

(796)

(229)

Gains (losses) from hedge accounting of equity instruments at fair value through other

comprehensive income, net

—

Fair value changes of financial liabilities at fair value through profit or loss attributable to changes

in their credit risk

(133)

Income tax related to items not subject to reclassification to income statement

(80)

140

ITEMS SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT

(4,335)

(4,553)

298

Hedge of net investments in foreign operations (effective portion)

(117)

378

(687)

Valuation gains (losses) taken to equity

(117)

378

(687)

Transferred to profit or loss

—

Other reclassifications

—

Foreign currency translation

(2,256)

(4,873)

(104)

Translation gains (losses) taken to equity

(2,239)

(4,873)

(123)

Transferred to profit or loss

(17)

—

Other reclassifications

—

Cash flow hedges (effective portion)

(691)

230

(203)

Valuation gains (losses) taken to equity

(553)

230

(193)

Transferred to profit or loss

(137)

—

(10)

Transferred to initial carrying amount of hedged items

—

Other reclassifications

—

Debt securities at fair value through other comprehensive income

(1,139)

460

1,131

Valuation gains (losses) taken to equity

(1,082)

515

1,280

Transferred to profit or loss

(57)

(54)

(149)

Other reclassifications

—

Non-current assets and disposal groups held for sale

(663)

(492)

461

Valuation gains (losses) taken to equity

(30)

(472)

472

Transferred to profit or loss

(633)

(20)

—

Other reclassifications

—

(11)

Entities accounted for using the equity method

(13)

Income tax relating to items subject to reclassification to income statements

523

(243)

(332)

TOTAL RECOGNIZED INCOME (EXPENSE)

1,640

(3,315)

4,060

Attributable to minority interest (non-controlling interests)

(500)

(606)

552

Attributable to the parent company

2,141

(2,709)

3,509

(*) Presented for comparison purposes only (see Note 1.3).

The Notes and Appendices are an integral part of the consolidated statement of recognized income and expense for the year ended

December 31, 2021.

P.8

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Consolidated statements of changes in equity for the years ended December 31, 2021, 2020 and 2019

CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros)

Capital

(Note

26)

Premium

(Note 27)

Equity

instruments

issued other

than capital

Other

Equity

Retained

earnings

(Note 28)

Revaluation

reserves

(Note 28)

Other

reserves

(Note 28)

(-)

Treasury

(Note 29)

Profit or loss

attributable to

owners of the

parent

(-) Interim

dividends

(Note 4)

Accumulated

other

comprehensive

income (loss)

(Note 30)

Non-controlling interest

Total

2021

Accumulated

other

comprehensiv

e income

(loss) (Note

31)

Other

(Note 31)

Balances as of January 1, 2021 (*)

3,267

23,992

—

30,508

—

(164)

(46)

1,305

—

(14,356)

(6,949)

12,421

50,020

Effect of changes in accounting policies

—

Adjusted initial balance

3,267

23,992

—

30,508

—

(164)

(46)

1,305

—

(14,356)

(6,949)

12,421

50,020

Total income/expense recognized

—

4,653

—

(2,512)

(1,465)

965

1,640

Other changes in equity

—

(393)

—

1,333

—

(1,693)

(600)

(1,305)

(532)

391

—

(119)

(2,900)

Issuances of common shares

—

Issuances of preferred shares

—

Issuance of other equity instruments

—

Settlement or maturity of other equity

instruments issued

—

Conversion of debt on equity

—

Common Stock reduction

—

Dividend distribution

—

(393)

—

(532)

—

(119)

(1,045)

Purchase of treasury shares

—

(1,022)

—

(1,022)

Sale or cancellation of treasury shares

—

421

—

438

Reclassification of other equity instruments to

financial liabilities

—

Reclassification of financial liabilities to other

equity instruments

—

Transfers within total equity

—

1,693

—

(780)

—

(1,305)

—

391

—

Increase/Reduction of equity due to business

combinations

—

Share based payments

—

(11)

—

(11)

Other increases or (-) decreases in equity

—

(360)

—

(930)

—

(1,260)

Balances as of December 31, 2021

3,267

23,599

—

31,841

—

(1,857)

(647)

4,653

(532)

(16,476)

(8,414)

13,267

48,760

(*) Balances as of December 31, 2020 as originally reported in the Consolidated Financial Statements for the year 2020.

The Notes and Appendices are an integral part of the consolidated statement of changes in equity for the year ended December 31, 2021.

P.9

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the European Union (see Notes 1 to 56). In the event of a discrepancy, the

Spanish-language version prevails

Consolidated statements of changes in equity for the years ended December 31, 2021, 2020 and 2019

CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros)

2020 (*)

Capital

(Note

26)

Premium

(Note 27)

Equity

instruments

issued other

than capital

Other

Equity

Retained

earnings

(Note 28)

Revaluation

reserves

(Note 28)

Other

reserves

(Note 28)

(-)

Treasury

(Note 29)

Profit or loss

attributable to

owners of the

parent

(-) Interim

dividends

(Note 4)

Accumulated

other

comprehensive

income (loss)

(Note 30)

Non-controlling interest

Total

Accumulated

other

comprehensiv

e income

(loss) (Note

31)

Other

(Note 31)

Balances as of January 1, 2020 (**)

3,267

23,992

—

26,402

—

(125)

(62)

3,512

(1,084)

(7,234)

(3,527)

9,728

54,925

Effect of changes in accounting policies

—

2,986

—

(2,992)

(2,045)

2,045

—

Adjusted initial balance

3,267

23,992

—

29,388

—

(119)

(62)

3,512

(1,084)

(10,226)

(5,572)

11,773

54,925

Total income/expense recognized

—

1,305

—

(4,014)

(1,361)

755

(3,315)

Other changes in equity

—

(14)

1,120

—

(45)

(3,512)

1,084

(116)

(16)

(107)

(1,590)

Issuances of common shares

—

Issuances of preferred shares

—

Issuance of other equity instruments

—

Settlement or maturity of other equity

instruments issued

—

Conversion of debt on equity

—

Common Stock reduction

—

Dividend distribution

—

(1,066)

—

(124)

(1,190)

Purchase of treasury shares

—

(807)

—

(807)

Sale or cancellation of treasury shares

—

823

—

823

Reclassification of other equity instruments to

financial liabilities

—

Reclassification of financial liabilities to other

equity instruments

—

Transfers within total equity (see Note 2.2.19)

—

2,585

—

(41)

—

(3,512)

1,084

(116)

(16)

—

Increase/Reduction of equity due to business

combinations

—

Share based payments

—

(22)

—

(22)

Other increases or (-) decreases in equity

—

(399)

—

(4)

—

(394)

Balances as of December 31, 2020

3,267

23,992

—

30,508

—

(164)

(46)

1,305

—

(14,356)

(6,949)

12,421

50,020

(*) Presented for comparison purposes only (see Note 1.3).

(**) Balances as of December 31, 2019 as originally reported in the Consolidated Financial Statements for the year 2019.

The Notes and Appendices are an integral part of the consolidated statement of changes in equity for the year ended December 31, 2021.

P.10

Spanish-language version prevails

Consolidated statements of changes in equity for the years ended December 31, 2021, 2020 and 2019

CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros)

Capital

(Note

26)

Premium

(Note 27)

Equity

instruments

issued other

than capital

Other

Equity

Retained

earnings

(Note 28)

Revaluation

reserves

(Note 28)

Other

reserves

(Note 28)

(-)

Treasury

(Note 29)

Profit or loss

attributable to

owners of the

parent

(-) Interim

dividends

(Note 4)

Accumulated

other

comprehensive

income (loss)

(Note 30)

Non-controlling interest

Total

2019 (*)

Accumulated

other

comprehensiv

e income

(loss) (Note

31)

Other

(Note 31)

Balances as of January 1, 2019 (**)

3,267

23,992

—

23,017

(56)

(296)

5,324

(975)

(7,216)

(3,236)

9,000

52,874

Effect of changes in accounting policies

—

3,046

—

(134)

(3,007)

(2,054)

2,054

—

Adjusted initial balance

3,267

23,992

—

26,063

(37)

(296)

5,400

(1,109)

(10,223)

(5,290)

11,054

52,874

Total income/expense recognized

—

3,512

—

(3)

(282)

833

4,060

Other changes in equity

—

3,325

(3)

(82)

234

(5,400)

—

(114)

(2,009)

Issuances of common shares

—

Issuances of preferred shares

—

Issuance of other equity instruments

—

Settlement or maturity of other equity

instruments issued

—

Conversion of debt on equity

—

Common Stock reduction

—

Dividend distribution

—

(1,063)

—

(1,084)

—

(142)

(2,289)

Purchase of treasury shares

—

(1,088)

—

(1,088)

Sale or cancellation of treasury shares

—

1,322

—

1,335

Reclassification of other equity instruments to

financial liabilities

—

Reclassification of financial liabilities to other

equity instruments

—

Transfers within total equity (see Note 2.2.19)

—

4,364

(3)

(70)

—

(5,400)

1,109

—

Increase/Reduction of equity due to business

combinations

—

Share based payments

—

(4)

—

(4)

Other increases or (-) decreases in equity

—

(12)

—

Balances as of December 31, 2019

3,267

23,992

—

29,388

—

(119)

(62)

3,512

(1,084)

(10,226)

(5,572)

11,773

54,925

(*) Presented for comparison purposes only (see Note 1.3).

(**) Balances as of December 31, 2018 as originally reported in the Consolidated Financial Statements for the year 2018.

The Notes and Appendices are an integral part of the consolidated statement of changes in equity for the year ended December 31, 2021.

P.11

Spanish-language version prevails

Consolidated statements of cash flows for the years ended December 31, 2021, 2020 and

2019

CONSOLIDATED FINANCIAL STATEMENTS OF CASH FLOWS (Millions of Euros)

Notes

2021

2020 (*)

2019 (*)

A) CASH FLOWS FROM OPERATING ACTIVITIES (1 + 2 + 3 + 4 + 5)

(1,242)

39,349

(10,654)

1. Profit for the year

5,618

2,060

4,345

2. Adjustments to obtain the cash flow from operating activities

7,688

11,653

9,582

Depreciation and amortization

1,234

1,288

1,386

Other adjustments

6,454

10,365

8,196

3. Net increase/decrease in operating assets

(38,267)

(57,370)

(37,127)

Financial assets held for trading

(17,031)

(10,351)

(9,604)

Non-trading financial assets mandatorily at fair value through profit or loss

(908)

(241)

(318)

Other financial assets designated at fair value through profit or loss

Financial assets at fair value through other comprehensive income

7,116

(16,649)

(3,755)

Financial assets at amortized cost

(28,062)

(30,212)

(26,559)

Other operating assets

592

(15)

3,010

4. Net increase/decrease in operating liabilities

25,266

84,961

14,148

Financial liabilities held for trading

6,479

247

6,001

Other financial liabilities designated at fair value through profit or loss

(837)

647

2,680

Financial liabilities at amortized cost

19,682

84,853

8,016

Other operating liabilities

(58)

(787)

(2,549)

5. Collection/Payments for income tax

(1,546)

(1,955)

(1,602)

B) CASH FLOWS FROM INVESTING ACTIVITIES (1 + 2)

(1,634)

(37)

1. Investment

(12,472)

(1,185)

(1,494)

Tangible assets

(396)

(632)

(852)

Intangible assets

(550)

(491)

(528)

Investments in joint ventures and associates

(50)

(62)

(114)

Subsidiaries and other business units

—

Non-current assets classified as held for sale and associated liabilities

(11,476)

—

Other settlements related to investing activities

—

2. Divestments

10,838

1,148

1,592

Tangible assets

558

128

Intangible assets

—

Investments in joint ventures and associates

307

Subsidiaries and other business units

—

Non-current assets classified as held for sale and associated liabilities

10,670

283

1,198

Other collections related to investing activities

—

162

C) CASH FLOWS FROM FINANCING ACTIVITIES (1 + 2)

(4,349)

(2,069)

(2,703)

1. Payments

(4,786)

(5,316)

(7,418)

Dividend distribution (shareholders remuneration)

(926)

(1,065)

(2,147)

Subordinated liabilities

(2,301)

(2,820)

(3,571)

Treasury stock amortization

—

Treasury stock acquisition

(1,022)

(807)

(1,088)

Other items relating to financing activities

(538)

(624)

(612)

2. Collections

438

3,247

4,716

Subordinated liabilities

—

2,425

3,381

Treasury shares increase

—

Treasury shares disposal

438

822

1,335

Other items relating to financing activities

—

D) EFFECT OF EXCHANGE RATE CHANGES

(1,864)

(4,658)

(634)

E) NET INCREASE/DECREASE IN CASH OR CASH EQUIVALENTS (A+B+C+D)

(9,089)

32,585

(13,893)

F) CASH AND CASH EQUIVALENTS AT BEGINNING OF THE YEAR (**)

76,888

44,303

58,196

G) CASH AND CASH EQUIVALENTS AT END OF THE YEAR (E+F) (***)

67,799

76,888

44,303

COMPONENTS OF CASH AND EQUIVALENT AT END OF THE YEAR (Millions of Euros)

Notes

2021

2020 (*)

2019 (*)

Cash

6,877

6,447

7,060

Balance of cash equivalent in central banks

55,004

53,079

31,756

Other financial assets

5,918

5,994

5,488

Less: Bank overdraft refundable on demand

—

TOTAL CASH AND CASH EQUIVALENTS AT END OF THE YEAR

67,799

65,520

44,303

TOTAL CASH AND CASH EQUIVALENTS CLASSIFIED AS NON-CURRENT ASSETS AND

DISPOSABLE GROUPS CLASSIFIED AS HELD FOR SALE IN THE UNITED STATES

—

11,368

—

(*) Presented for comparison purposes only (see Note 1.3).

(**) In 2021 it includes the balance of the Group's businesses in the United States included within the scope of the USA Sale (see Notes 1.3, 3 and 21).

(***) With respect to 2020 only, it includes the balance of the companies in the United States included within the scope of the USA Sale (see Notes 1.3, 3 and 21).

The Notes and Appendices are an integral part of the consolidated statement of cash flows for the year ended December 31, 2021.

P.12

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Notes to the accompanying Consolidated Financial Statements

1.Introduction, basis for the presentation of the Consolidated Financial Statements,

Internal Control over Financial Reporting and other information

1.1Introduction

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).

In addition to the activities it carries out directly, the Bank heads a group of subsidiaries, joint ventures and associates which perform

a wide range of activities and which together with the Bank constitute the Banco Bilbao Vizcaya Argentaria Group (hereinafter, the

“Group” or the “BBVA Group”). In addition to its own separate financial statements, the Bank is required to prepare Consolidated

Financial Statements comprising all consolidated subsidiaries of the Group.

As of December 31, 2021, the BBVA Group had 205 consolidated entities and 45 entities accounted for using the equity method (see

Notes 3 and 16 and Appendix I to V).

The Consolidated Financial Statements of the BBVA Group for the year ended December 31, 2020 were approved by the shareholders

at the Annual General Meeting (“AGM”) held on April 20, 2021.

BBVA Group’s Consolidated Financial Statements and the Financial Statements for the Bank and the majority of the remaining

entities within the Group have been prepared for the year ended December 31, 2021, and are pending approval by their respective

AGMs. However, the Board of Directors of the Bank believes that said financial statements will be approved without changes.

1.2Basis for the presentation of the Consolidated Financial Statements

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, 2021, considering the

Bank of Spain Circular 4/2017, 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.

The BBVA Group’s accompanying Consolidated Financial Statements for the year ended December 31, 2021 were prepared by the

Group’s Directors (through the Board of Directors meeting held on February 9, 2022) by applying the principles of consolidation,

accounting policies and valuation criteria described in Note 2, so that they present fairly the Group’s total consolidated equity and

financial position as of December 31, 2021, together with the consolidated results of its operations and cash flows generated during

the year ended December 31, 2021.

These Consolidated Financial Statements were prepared on the basis of the accounting records kept by the Bank and each of the

other entities in the Group. Moreover, they include the adjustments and reclassifications required to harmonize the accounting

policies and valuation criteria used by the Group (see Note 2.2).

All effective accounting standards and valuation criteria with a significant effect in the Consolidated Financial Statements were

applied in their preparation.

The amounts reflected in the accompanying Consolidated Financial Statements are presented in millions of euros, unless it is more

appropriate to use smaller units. Some items that appear without a balance in these Consolidated Financial Statements are due to

how the units are expressed. Also, in presenting amounts in millions of euros, the accounting balances have been rounded up or

down. It is therefore possible that the totals appearing in some tables are not the exact arithmetical sum of their component figures.

The percentage changes in amounts have been calculated using figures expressed in thousands of euros.

1.3Comparative information

The information included in the accompanying consolidated financial statements for the years ended December 31, 2020 and 2019, is

presented in accordance with the applicable regulation, for the purpose of comparison with the information for the year ended

December 31, 2021.

P.13

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Sale of BBVA’s U.S. subsidiary

As mentioned in Note 3, in 2020, BBVA reached an agreement to sell its entire stake in BBVA USA Bancshares, Inc., which in turn

owned all the capital stock of the bank BBVA USA, as well as other companies of the BBVA Group in the United States with activities

related to this banking business. On June 1, 2021 and once the mandatory authorizations had been obtained, BBVA completed this

sale (the USA Sale).

As required by IFRS 5 "Non-current assets held for sale and discontinued operations", the balances of assets and liabilities

corresponding to such companies for sale were reclassified from their corresponding accounting headings to the headings "Non-

current assets and disposal groups classified as held for sale” and “Liabilities included in disposal groups classified as held for sale”

respectively, in the consolidated balance sheet as of December 31, 2020. Similarly, as required by the aforementioned IFRS 5, the

results generated by these companies for the first five months of 2021 and for 2020 are presented in the heading “Profit (loss) after

tax from discontinued operations” of the consolidated income statement for such period, and in the heading "Non-current assets and

disposal groups classified as held for sale" of the consolidated statements of recognized income and expense for 2021 and 2020,

respectively. Additionally, the results corresponding to the year ended December 31, 2019 were reclassified, to facilitate the

comparison between periods, to those same headings of the consolidated income statement and consolidated statement of

recognized income and expense for that year. Finally, the total consideration received in cash for the USA Sale has been recorded

under the heading of “Divestments - Non-current assets classified as held for sale and associated liabilities” of the consolidated

statements of cash flows for the year ended December 31, 2021.

Note 21 shows a breakdown of the financial information of the companies sold in the United States for the dates and periods

indicated.

(Reverse) Repurchase Agreements Recognition

Beginning in 2021, certain repurchase agreements and reverse repurchase agreements began to be presented on a net basis in the

consolidated balance sheet. In order to make the information as of December 31, 2020 and 2019 comparable with the information as

of December 31, 2021, the information as of December 31, 2020 and 2019 was adjusted by reducing Total assets and Total liabilities

by €2,379 and €2,266 million in 2020 and 2019, respectively.

1.4Seasonal nature of income and expense

The nature of the most significant activities carried out by the BBVA Group’s entities is mainly related to typical activities carried out

by financial institutions, and are not significantly affected by seasonal factors within the same year.

1.5Management and impacts of the COVID-19 pandemic

In 2020, the COVID-19 pandemic had adverse effects on the Group's results and capital base. During 2021, the pandemic has

continued to evolve with gradual improvements in the global economic conditions, mainly due to the vaccination progress against the

coronavirus and the significant economic stimuli adopted by authorities, which have supported the improvement in the 2021 results

of the Group. However, there are still uncertainties about the future final impact of the COVID-19 pandemic, mainly in consideration of

the increasing number of infections caused by new variants of the coronavirus. The Group continuously monitors these changes and

their impacts on the business.

The main impacts of COVID-19 pandemic in the BBVA Group's Consolidated Financial Statements are detailed in the following Notes:

–Note 1.6 includes information on the consideration of the COVID-19 pandemic in the estimates made.

–Note 7.1 details the main risks associated with the pandemic as well as information on its evolution and its impact in the

macroeconomic forecasts.

–Note 7.2 includes information related to the initiatives carried out by the Group to help the most affected clients, jointly with

the corresponding government measures. Likewise, it contains, among others, information regarding the level of activity

and the amount corresponding to moratorium measures, both public and private, granted by the Group worldwide.

Additionally, the measures applied to the treatment of forward looking information used in the calculation of expected

losses are detailed.

–Note 7.5 presents information regarding the impact on liquidity and funding risk.

–Note 18.1 includes information concerning the impairment of the goodwill in the United States recorded during the first

quarter of 2020, mainly due to the impact of COVID-19 in updating the macroeconomic scenario and the expected evolution

of interest rates.

–Note 47 includes information on the impact of the update of the macroeconomic scenario affected by the COVID-19

pandemic mainly during the year ended December 31, 2020.

P.14

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

1.6Responsibility for the information and for the estimates made

The information contained in the BBVA Group’s Consolidated Financial Statements is the responsibility of the Group’s Directors.

Estimates were required to be made at times when preparing these Consolidated Financial Statements in order to calculate the

recorded or disclosed amount of some assets, liabilities, income, expense and commitments. These estimates relate mainly to the

following:

–Loss allowances on certain financial assets (see Notes 7, 12, 13, 14 and 16).

–The assumptions used to quantify certain provisions (see Notes 23 and 24) and for the actuarial calculation of post-

employment benefit liabilities and commitments (see Note 25).

–The useful life and impairment losses of tangible and intangible assets (see Notes 17, 18, and 21)

–The valuation of goodwill and price allocation of business combinations (see Note 18).

–The fair value of certain unlisted financial assets and liabilities (see Notes 7, 8, 10, 11, 12 and 13).

–The recoverability of deferred tax assets (see Note 19).

As mentioned above, in 2021, the pandemic has continued to evolve with gradual improvements in the global economic conditions,

although there is still uncertainty about the final future impact (see Note 1.5). The increased uncertainty associated with the

unprecedented nature of this pandemic has entailed greater complexity in developing reliable estimates and applying judgment.

Therefore, these estimates were made on the basis of the best available information on the matters analyzed, as of December 31,

2021. However, it is possible that events may take place in the future which could make it necessary to amend these estimations

(upward or downward). Any such changes would be recorded prospectively, recognizing the effects of the change in estimation in the

corresponding consolidated financial statements.

During 2021 there have been no significant changes in the estimates made as of December 31, 2020 and 2019, with the exception of

those indicated in these Consolidated Financial Statements.

1.7BBVA Group’s Internal Control over Financial Reporting

BBVA Group’s Consolidated Financial Statements are prepared under an Internal Control over Financial Reporting Model (ICFR). It

provides reasonable assurance with respect to the reliability and the integrity of the consolidated financial statements. It is also aimed

to ensure that the transactions are processed in accordance with the applicable laws and regulations.

The ICFR model is compliant with the control framework established in 2013 by the “Committee of Sponsoring Organizations of the

Treadway Commission” (hereinafter, "COSO"). The COSO 2013 framework sets out five components that constitute the basis of the

effectiveness and efficiency of the internal control systems:

–The establishment of an appropriate control framework.

–The assessment of the risks that could arise during the preparation of the financial information.

–The design of the necessary controls to mitigate the identified risks.

–The establishment of an appropriate system of information to detect and report system weaknesses.

–The monitoring over the controls to ensure they perform correctly and are effective over time.

The ICFR model is a dynamic model that continuously evolves over time to reflect the reality of the BBVA Group’s businesses and

processes, as well as the risks and controls designed to mitigate them. It is subject to a continuous evaluation by the internal control

units located in the different entities of BBVA Group.

These control units are integrated within the BBVA internal control model, defined and led by Regulation & Internal Control, and

which is based in two pillars:

–A control system organized into three lines of defense that has been updated and strengthened, as described below:

a.The first line of defense (1LoD) is located within the business and support units, which are responsible for

identifying risks associated with their processes, as well as for implementing and executing the necessary

controls to mitigate them. The Risk Control Assurer (RCA) role was created to reinforce the adequate risk

management in each area’s processes

b.The second line of defense (2LoD) comprises the specialized control units for each type of risk (Risk Control

Specialists - RCS- among others Finance, Legal, IT, Third Party, Compliance or Processes). This second line

P.15

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

defines the mitigation and control frameworks for their areas of responsibility across the entire organization and

performs challenge to the control model (supervises the implementation and design of the controls and assesses

their effectiveness).

c.The third line of defense (3LoD) is the Internal Audit unit, which conducts an independent review of the model,

verifying the compliance and effectiveness of the model.

–A committee structure in the Group, called Corporate Assurance, which enables the escalation of possible weaknesses and

internal control issues to the management at a Group level and also in each of the countries where the Group operates.

The Internal Control Finance (RCS Finance) units within Finance comply with a common and standard methodology established at the

Group level, as set out in the following diagram:

The ICFR model is subject to annual evaluations by the Group’s Internal Audit Unit. It is also supervised by the Audit Committee of the

Bank’s Board of Directors.

The BBVA Group is also required to comply with the Sarbanes-Oxley Act (hereafter “SOX”) as a registered company with the U.S.

Securities and Exchange Commission (“SEC”). The main senior executives of the Group are involved in the design, compliance and

implementation of the internal control model to make it effective and to ensure the quality and accuracy of the financial information.

The description of the ICFR model is included in the Corporate Governance Annual Report within the Management Report attached to

the consolidated financial statements for the year ended December 31, 2021.

2.Principles of consolidation, accounting policies and measurement bases applied

and recent IFRS pronouncements

The Glossary includes the definition of some of the financial and economic terms used in Note 2 and subsequent Notes of the

accompanying Consolidated Financial Statements.

2.1Principles of consolidation

In terms of its consolidation, in accordance with the criteria established by IFRS, the BBVA Group is made up of four types of entities:

subsidiaries, joint ventures, associates and structured entities, defined as follows:

–Subsidiaries

Subsidiaries are entities controlled by the Group (for definition of control, see Glossary). The financial statements of the

subsidiaries are fully consolidated with those of the Bank. The share of non-controlling interests from subsidiaries in the

Group’s consolidated total equity is presented under the heading “Minority interests (Non-controlling interests)” in the

consolidated balance sheet. Their share in the profit or loss for the period or year is presented under the heading

“Attributable to minority interest (non-controlling interests)” in the accompanying consolidated income statement (see

Note 31).

P.16

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Note 3 includes information related to the main subsidiaries in the Group as of December 31, 2021. Appendix I includes

other significant information on all entities.

–Joint ventures

Joint ventures are those entities for which there is a joint control arrangement with third parties other than the Group (for

definitions of joint arrangement, joint control and joint venture, refer to Glossary).

The investments in joint ventures are accounted for using the equity method (see Note 16). Appendix II shows the main

figures for joint ventures accounted for using the equity method as of December 31, 2021.

–Associates

Associates are entities in which the Group is able to exercise significant influence (for definition of significant influence, see

Glossary). Significant influence is deemed to exist when the Group owns 20% or more of the voting rights of an investee

directly or indirectly, unless it can be clearly demonstrated that this is not the case.

Certain entities in which the Group owns 20% or more of the voting rights are not included as Group associates, since the

Group does not have the ability to exercise significant influence over these entities. Investments in these entities, which do

not represent material amounts for the Group, are classified as “Financial assets at fair value through other comprehensive

income” or “Non-trading financial assets mandatorily at fair value through profit or loss”.

In contrast, some investments in entities in which the Group holds less than 20% of the voting rights are accounted for as

Group associates, as the Group is considered to have the ability to exercise significant influence over these entities. As of

December 31, 2021, these entities are not significant to the Group.

Appendix II shows the most significant information related to the associates (see Note 16), which are accounted for using

the equity method.

–Structured Entities

A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding

who controls the entity, such as when the voting rights relate to administrative matters only and the relevant activities are

directed by means of contractual arrangements (see Glossary).

In those cases where the Group sets up entities or has a holding in such entities, in order to allow its customers access to

certain investments, to transfer risks or for other purposes, in accordance with internal criteria and procedures and with

applicable regulations, the Group determines whether control over the entity in question actually exists and therefore

whether it should be subject to consolidation.

Such methods and procedures determine whether there is control by the Group, considering how the decisions are made

about the relevant activities, assessing whether the Group has control over the relevant elements, exposure to variable

returns from involvement with the investee and the ability to use control over the investee to affect the amount of the

investor’s returns.

– Structured entities subject to consolidation

To determine if a structured entity is controlled by the Group, and therefore should be consolidated into the

Group, the existing contractual rights (different from the voting rights) are analyzed. For this reason, an analysis

of the structure and purpose of each investee is performed and, among others, the following factors will be

considered:

a.Evidence of the current ability to manage the relevant activities of the investee according to the specific

business needs (including any decisions that may arise only in particular circumstances).

b.Potential existence of a special relationship with the investee.

c.Implicit or explicit Group commitments to support the investee.

d.The ability to use the Group´s power over the investee to affect the amount of the Group’s returns.

These types of entities include cases where the Group has a high exposure to variable returns and retains

decision-making power over the investee, either directly or through an agent.

The main structured entities of the Group are the asset securitization funds, to which the BBVA Group transfers

loans and advances, and other vehicles, which allow the Group’s customers to gain access to certain investments

or to allow for the transfer of risks or for other purposes (see Appendices I and V). The BBVA Group maintains the

decision-making power over the relevant activities of these vehicles and financial support through securitized

market standard contracts. The most common ones are: investment positions in equity note tranches, funding

P.17

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

through subordinated debt, credit enhancements through derivative instruments or liquidity lines, management

rights of defaulted securitized assets, “clean-up” call derivatives, and asset repurchase clauses by the grantor.

For these reasons, the loans and receivable portfolios related to the vast majority of the securitizations carried out

by the Bank or Group subsidiaries are not derecognized in the books of said entity and the issuances of the related

debt securities are recorded as liabilities within the Group’s consolidated balance sheet.

For additional information on the accounting treatment for the transfer and derecognition of financial

instruments, see Note 2.2.2. “Transfers and derecognition of financial assets and liabilities”.

–Non-consolidated structured entities

The Group owns other vehicles also for the purpose of allowing customers access to certain investments, to

transfer risks, and for other purposes, but without the Group having control of the vehicles, which are not

consolidated in accordance with IFRS 10 – “Consolidated Financial Statements”. The balance of assets and

liabilities of these vehicles is not material in relation to the Group’s Consolidated Financial Statements.

As of December 31, 2021, there was no material financial support from the Bank or its subsidiaries to

unconsolidated structured entities.

The Group does not consolidate any of the mutual funds it manages since the necessary control conditions are

not met. Particularly, the BBVA Group does not act as arranger but as agent since it operates the mutual funds on

behalf and for the benefit of investors or parties (arranger or arrangers) and, for this reason it does not control the

mutual funds when exercising its authority for decision making.

The mutual funds managed by the Group are not considered structured entities (generally, retail funds without

corporate identity over which investors have participations which gives them ownership of said managed equity).

These funds are not dependent on a capital structure that could prevent them from carrying out activities without

additional financial support, being in any case insufficient as far as the activities themselves are concerned.

Additionally, the risk of the investment is absorbed by the fund participants, and the Group is only exposed when it

becomes a participant, and as such, there is no other risk for the Group.

In all cases, the operating results of equity method investees acquired by the BBVA Group in a particular period only include the

period from the date of acquisition to the financial statements date. Similarly, the results of entities disposed of during any year only

include the period from the start of the year to the date of disposal.

The consolidated financial statements of subsidiaries, associates and joint ventures used in the preparation of the Consolidated

Financial Statements of the Group have the same presentation date as the Consolidated Financial Statements. If financial statements

at those same dates are not available, the most recent will be used, as long as these are not older than three months, and adjusted to

take into account the most significant transactions. As of December 31, 2021, financial statements as of December 31 of all Group

entities were utilized except for the case of the consolidated financial statements of six associates deemed non-significant for which

financial statements as of November 30, 2021 were used.

Separate financial statements

The separate financial statements of the parent company of the Group are prepared under Spanish regulations (Circular 4/2017 of

the Bank of Spain, and following other regulatory requirements of financial information applicable to the Bank). The Bank uses the

cost method to account in its separate financial statements for its investments in subsidiaries, associates and joint venture entities,

which are consistent with the requirements of Bank of Spain Circular 4/2017.

Appendix IX shows BBVA’s financial statements as of and for the years ended December 31, 2021 and 2020.

2.2Accounting principles and policies and applied valuation methods

The accounting principles and policies and the valuation methods applied in the preparation of the consolidated financial statements

may differ from those used, at the individual level, by some of the entities that are part of the BBVA Group; This is why, in the

consolidation process, the necessary adjustments and reclassifications are made to standardize such principles and criteria among

themselves and bring them into line with the EU-IFRS.

In preparing the accompanying Consolidated Financial Statements, the following accounting principles and policies and assessment

criteria have been applied:

2.2.1Financial instruments

IFRS 9 became effective as of January 1, 2018 and replaced IAS 39 regarding the classification and measurement of financial assets

and liabilities, the impairment of financial assets and hedge accounting. However, the Group has chosen to continue applying IAS 39

for accounting for hedges as permitted by IFRS 9.

P.18

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Classification and measurement of financial assets

Classification of financial assets

IFRS 9 contains three main categories for financial assets classification: measured at amortized cost, measured at fair value with

changes through other comprehensive income, and measured at fair value through profit or loss.

The classification of financial instruments in the categories of amortized cost or fair value depends on the business model with which

the entity manages the assets and the contractual characteristics of the cash flows, commonly known as the "solely payments of

principal and interest" criterion (hereinafter, the SPPI).

The assessment of the business model should reflect the way the Group manages groups of financial assets and does not depend on

the intention for an individual instrument. Thus, for each entity within the BBVA Group there are different business models for

managing assets.

In order to determine the business model, the following aspects are taken into account:

–The way in which the performance of the business model (and that of the assets which comprise such business model) is

evaluated and reported to the entity's key personnel;

–The risks and the way in which the risks that affect the performance of the business model are managed;

–The way in which business model managers are remunerated;

–The frequency, amount and timing of sales in previous years, the reasons for such sales and expectations regarding future

sales.

Regarding the SPPI test, the analysis of the cash flows aims to determine whether the contractual cash flows of the assets correspond

only to payments of principal and interest on the principal amount outstanding at the beginning of the transaction. Interest is

understood here as the consideration for the time value of money; and for the credit risk associated with the principal amount

outstanding during a specific period; and for financing and structure costs, plus a profit margin.

The most significant judgments used by the Group in evaluating compliance with the conditions of the SPPI test are the following:

–Modified time value: in the event that a financial asset includes a periodic interest rate adjustment but the frequency of this

adjustment does not coincide with the term of the reference interest rate (for example, the interest rate reset every six

months to a one-year rate), the Group assesses, at the time of the initial recognition, this mismatch to determine whether

the contractual cash flows (undiscounted) differ significantly or not from the cash flows (undiscounted) of a benchmark

financial asset, for which there would be no change in the time value of money. The defined tolerance thresholds are 10% for

the differences in each period and 5% for the analysis accumulated throughout the financial asset life.

–Contractual clauses: The contractual clauses that can modify the calendar or the amount of the contractual cash flows are

analyzed to verify if the contractual cash flows that would be generated during the life of the instrument due to the exercise

of those clauses are only payments of principal and interest on the principal amount outstanding. To do this, the contractual

cash flows that may be generated before and after the modification are analyzed.

The main criteria taken into account in the analysis are:

a.Early termination clauses: generally a contractual clause that permits the debtor to prepay a debt instrument

before maturity is consistent with SPPI when the prepayment amount substantially represents unpaid

amounts of principal and interest on the principal amount outstanding (which may include reasonable

additional compensation for the early termination of the contract).

b.Instruments with an interest rate linked to contingent events:

–An instrument whose interest rate is reset to a higher rate if the debtor misses a particular payment may

meet the SPPI criterion because of the relationship between missed payments and an increase in credit

risk.

–An instrument with contractual cash flows that are indexed to the debtor’s performance – e.g. net

income or is adjusted based on a certain index or stock market value would not meet the SPPI criterion.

c.Perpetual instruments: to the extent that they can be considered instruments with continuous (multiple)

extension options, they meet the SPPI test if the contractual flows meet it. When the issuer can defer the

payment of interest, if such payment would affect their solvency, they would meet the SPPI test if the deferred

interest accrues additional interest, while if they do not, they would not meet the test.

P.19

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–Non-recourse financial instruments: In the case of debt instruments that are repaid primarily with the cash flows of specific

assets or projects and the debtor has no legal responsibility, the underlying assets or cash flows are evaluated to determine

whether the contractual cash flows of the instrument are consistent with payments of principal and interest on the principal

amount outstanding.

a.If the contractual terms do not give rise to additional cash flows to payments of principal and interest on the

amount of principal outstanding or limitations to these payments, the SPPI test is met.

b.If the debt instrument effectively represents an investment in the underlying assets and its cash flows are

inconsistent with principal and interest (because they depend on the performance of a business), the SPPI

test is not met.

–Contractually linked instruments: a look-through analysis is carried out in the case of transactions that are set through the

issuance of multiple financial instruments forming tranches that create concentrations of credit risk in which there is an

order of priority that specifies how the flows of cash generated by the underlying set of financial instruments are allocated

to the different tranches. The debt tranches of the instrument will comply with the requirement that their cash flows

represent only payment of principal and interest on the outstanding principal if:

a.The contractual terms of the tranche being assessed for classification (without looking through to the

underlying pool of financial instruments) give rise to cash flows that are solely payments of principal and

interest on the principal amount outstanding,

b.The underlying pool of financial instruments comprises instruments with cash flow that are solely payments of

principal and interest on the principal amount outstanding, and

c.The exposure to credit risk in the underlying pool of financial instruments inherent in the tranche is equal to or

lower than the exposure to credit risk of the underlying pool of financial instruments (for example, the credit

rating of the tranche being assessed for classification is equal to or higher than the credit rating that would

apply to a single tranche that funded the underlying pool of financial instruments).

In any event, the contractual conditions that, at the time of the initial recognition, have a minimal effect on cash flows or depend on

the occurrence of exceptional and highly unlikely events do not prevent compliance with the conditions of the SPPI test.

Based on the above characteristics, financial assets will be classified and valued as described below.

A debt instrument will be classified in the amortized cost portfolio if the two following conditions are fulfilled:

–The financial asset is managed within a business model whose purpose is to maintain the financial assets to maturity, to

receive contractual cash flows; and

–The contractual conditions of the financial asset give rise to cash flows that are only payments of principal and interest.

A debt instrument will be classified in the portfolio of financial assets at fair value with changes through other comprehensive income

if the two following conditions are fulfilled:

–The financial asset is managed with a business model whose purpose combines collection of the contractual cash flows and

sale of the assets, and

–The contractual characteristics of the instrument generate cash flows which only represent the return of the principal and

interest.

A debt instrument will be classified at fair value with changes in profit and loss provided that the entity's business model for their

management or the contractual characteristics of its cash flows do not require classification into one of the portfolios described

above.

In general, equity instruments will be measured at fair value through profit or loss. However the Group may make an irrevocable

election, at initial recognition to present subsequent changes in the fair value through “other comprehensive income”.

Financial assets will only be reclassified when BBVA Group decides to change the business model. In this case, all of the financial

assets assigned to this business model will be reclassified. The change of the objective of the business model should occur before the

date of the reclassification.

Measurement of financial assets

All financial instruments are initially recognized at fair value, plus, those transaction costs which are directly attributable to the issue

of the particular instrument, with the exception of those financial assets which are classified at fair value through profit or loss.

All changes in the value of financial assets due to the interest accrual and similar items are recorded in the headings "Interest and

other income" or "Interest expense", of the consolidated income statement of the year in which the accrual occurred (see Note 37),

except for trading derivatives that are not economic and accounting hedges.

P.20

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The changes in fair value after the initial recognition, for reasons other than those mentioned in the preceding paragraph, are treated

as described below, according to the categories of financial assets.

“Financial assets held for trading”, “Non-trading financial assets mandatorily at fair value through profit or loss” and

“Financial assets designated at fair value through profit or loss”

Financial assets are recorded under the heading “Financial assets held for trading” if the objective of the business model is to

generate gains by buying and selling these financial instruments or generate short-term results. The financial assets recorded in the

heading “Non-trading financial assets mandatorily at fair value through profit or loss” are derived from a business model which

objective is to obtain the contractual cash flows and / or to sell those instruments but its contractual cash flows do not comply with

the requirements of the SPPI test. Financial assets are classified in “Financial assets designated at fair value through profit or loss”

only if it eliminates or significantly reduces a measurement or recognition inconsistency (an ‘accounting mismatch’) that would

otherwise arise from measuring financial assets or financial liabilities, or recognizing gains or losses on them, on different bases.

The assets recognized under these headings of the consolidated balance sheet are measured upon acquisition at fair value and

changes in the fair value (gains or losses) are recognized as their net value under the headings “Gains (losses) on financial assets and

liabilities held for trading, net”, “Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net” and

“Gains (losses) on financial assets designated at fair value through profit or loss, net” in the accompanying consolidated income

statement (see Note 41). Changes in fair value resulting from variations in foreign exchange rates are recognized under the heading

“Exchange differences, net” in the accompanying consolidated income statements (Note 41).

”Financial assets at fair value through other comprehensive income”

–Debt instruments

Assets recognized under this heading in the consolidated balance sheets are measured at their fair value. This category of valuation

implies the recognition of the information in the income statement as if it were an instrument valued at amortized cost, while the

instrument is valued at fair value in the balance sheet. Thus, both interest income on these instruments and the exchange differences

and impairment that arise in their case are recorded in the profit and loss account, while subsequent changes in its fair value (gains or

losses) are recognized temporarily (by the amount net of tax effect) under the heading “Accumulated other comprehensive income

(loss) - Items that may be reclassified to profit or loss - Fair value changes of debt instruments measured at fair value through other

comprehensive income” in the consolidated balance sheets (see Note 30).

The amounts recognized under the headings “Accumulated other comprehensive income (loss) - Items that may be reclassified to

profit or loss - Fair value changes of debt instruments measured at fair value through other comprehensive income” continue to form

part of the Group's consolidated equity until the corresponding asset is derecognized from the consolidated balance sheet or until a

loss allowance is recognized on the corresponding financial instrument. If these assets are sold, these amounts are derecognized and

included under the headings “Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through

profit or loss, net” (see Note 41).

The net loss allowances in “Financial assets at fair value through other comprehensive income” over the year are recognized under

the heading “Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by

modification - Financial assets at fair value through other comprehensive income” (see Note 47) in the consolidated income

statement for the year. Interest income on these instruments is recorded in the consolidated profit and loss account (see Note 37).

Changes in foreign exchange rates are recognized under the heading “Exchange differences, net" in the accompanying consolidated

income statements (see Note 41).

–Equity instruments

At the time of initial recognition of specific investments in equity instruments, the BBVA Group may make the irrevocable decision to

present subsequent changes in fair value in other comprehensive income. Subsequent changes in this valuation will be recognized in

"Accumulated other comprehensive income - Items that will not be reclassified to profit or loss - Fair value changes of equity

instruments measured at fair value through other comprehensive income" (see Note 30). Dividends received from these investments

are recorded in the heading "Dividend income" in the consolidated income statement (see Note 38). These instruments are not

subject to the impairment model of IFRS 9.

“Financial assets at amortized cost”

The assets under this category are subsequently measured at amortized cost, after initial recognition, using the effective interest rate

method.

Net loss allowances of assets recorded under these headings arising in each period are recognized under the heading “Impairment or

reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification – Financial

assets measured at amortized cost” in the consolidated income statement for such year (see Note 47).

Classification and measurement of financial liabilities

Classification of financial liabilities

Financial liabilities are classified in the following categories:

P.21

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–Financial liabilities at amortized cost;

–Financial liabilities that are held for trading, including derivatives, are financial instruments which are recorded in this

category when the Group’s objective is to generate gains by buying and selling these financial instruments;

–Financial liabilities that are designated at fair value through profit or loss on initial recognition under the Fair Value Option.

The Group has the option to designate irrevocably, on the initial moment of recognition, a financial liability at fair value

through profit or loss provided that doing so results in the elimination or significant reduction of measurement or

recognition inconsistency, or if a group of financial liabilities, or a group of financial assets and financial liabilities, has to be

managed, and its performance evaluated, on a fair value basis in accordance with a documented risk management or

investment strategy.

Measurement of financial liabilities

Financial liabilities are initially recorded at fair value, less transaction costs that are directly attributable to the issuance of

instruments, except for financial instruments that are classified at fair value through profit or loss.

Variations in the value of financial liabilities due to the interest accrual and similar items are recorded in the headings “Interest and

other income” or “Interest expense”, of the consolidated income statement for the year in which the accrual occurred (see Note 37),

except for trading derivatives that are not economic and accounting hedges.

The changes in fair value after the initial recognition, for reasons other than those mentioned in the preceding paragraph, are treated

as described below, according to the categories of financial liabilities.

“Financial liabilities held for trading” and “Financial liabilities designated at fair value through profit or loss“

The subsequent changes in the fair value (gains or losses) of the liabilities recognized under these headings of the consolidated

balance sheets are recognized as their net value under the headings “Gains (losses) on financial assets and liabilities held for trading,

net” and “Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net” in the accompanying

consolidated income statements (see Note 41). The changes in the own credit risk of the liabilities designated under the fair value

option is presented in “Accumulated other comprehensive income (loss) – Items that will not be reclassified to profit or loss – Fair

value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk”, unless this

treatment brings about or increases an asymmetry in the income statement. Changes in fair value resulting from variations in foreign

exchange rates are recognized under the heading “Exchange differences, net” in the accompanying consolidated income statements

(Note 41).

“Financial liabilities at amortized cost”

The liabilities under this category are subsequently measured at amortized cost, using the “effective interest rate” method.

Hybrid financial liabilities

When a financial liability contains an embedded derivative, the Group analyzes whether the economic characteristics and risks of the

embedded derivative and the host instrument are closely related.

If the characteristics and risks of the host and the derivative are closely related, the instrument as a whole will be classified and

measured according to the general rules for financial liabilities. If, on the other hand, the economic characteristics and risks of the

embedded derivative are not closely related to the economic characteristics and risks of the host, its terms meet the definition of a

derivative and the hybrid contract is not measured at fair value with changes in fair value recognized in profit or loss, the embedded

derivative shall be separated from the host and accounted for as a derivative separately at fair value with changes in profit and loss

and the host instrument classified and measured according to its nature.

“Derivatives-Hedge Accounting” and “Fair value changes of the hedged items in portfolio hedges of interest-

rate risk”

The Group uses financial derivatives as a tool for managing financial risks, mainly interest rates and exchange rates (See Note 7).

When these transactions meet certain requirements, they are considered "hedging instruments".

Changes occurring subsequent to the designation of the hedging relationship in the measurement of financial instruments designated

as hedged items as well as financial instruments designated as hedge accounting instruments are recognized as follows:

–In fair value hedges, the changes in the fair value of the derivative and the hedged item attributable to the hedged risk are

recognized under the heading “Gains (losses) from hedge accounting, net” in the consolidated income statement, with a

corresponding offset under the headings where hedging items ("Hedging derivatives") and the hedged items are

recognized, as applicable, except for interest-rate risks hedges (which are almost all of the hedges used by the Group), for

which the valuation changes are recognized under the headings “Interest and other income” or “Interest expense”, as

appropriate, in the accompanying consolidated income statement (see Note 37).

P.22

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–In fair value hedges of interest rate risk of a portfolio of financial instruments (portfolio-hedges), the gains or losses that

arise in the measurement of the hedging instrument are recognized in the consolidated income statement, with the

corresponding offset on the headings “Derivatives-Hedge Accounting” and the gains or losses that arise from the change in

the fair value of the hedged item (attributable to the hedged risk) are also recognized in the consolidated income statement

(in both cases under the heading “Gains (losses) from hedge accounting, net”, using, as a corresponding offset, the

headings "Fair value changes of the hedged items in portfolio hedges of interest rate risk" in the consolidated balance

sheets, as applicable).

–In cash flow hedges, the gain or loss on the hedging instruments relating to the effective portion is recognized temporarily

under the heading “Accumulated other comprehensive income (loss) - Items that may be reclassified to profit or loss -

Hedging derivatives. Cash flow hedges (effective portion)” in the consolidated balance sheets, with a corresponding offset

under the heading “Hedging derivatives” of the Assets or Liabilities of the consolidated balance sheets as applicable. These

differences are recognized under the headings “Interest and other income” or “Interest expense” at the time when the gain

or loss in the hedged instrument affects profit or loss, when the forecast transaction is executed or at the maturity date of

the hedged item. Almost all of the cash flow hedges carried out by the Group are for interest rate risk and inflation of

financial instruments, so their differences are recognized under the heading "Interest and other income" or "Interest

expense” in the consolidated income statement (see Note 37).

–Differences in the measurement of the hedging items corresponding to the ineffective portions of cash flow hedges are

recognized directly in the heading “Gains (losses) from hedge accounting, net” in the consolidated income statement (see

Note 41).

–In the hedges of net investments in foreign operations, the differences attributable to the effective portions of hedging items

are recognized temporarily under the heading "Accumulated other comprehensive income (loss) - Items that may be

reclassified to profit or loss – Hedging of net investments in foreign operations (effective portion)" in the consolidated

balance sheets with a corresponding offset entry under the heading “Hedging derivatives” of the Assets or Liabilities of the

consolidated balance sheets as applicable. These differences in valuation are recognized in the consolidated income

statement when the investment in a foreign operation is disposed of or derecognized (see Note 41).

Loss allowances on financial assets

The “expected losses” impairment model is applied to 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 valued at fair value through profit or loss are excluded from the impairment model.

The standard classifies financial instruments into three categories, which depend on the evolution of their credit risk from the

moment of initial recognition and which establish the calculation of the credit risk allowance.

–Stage 1– without significant increase in credit risk

Financial assets which are not considered to have significantly increased in credit risk have loss allowances measured at an amount

equal to the expected credit loss that arises from all possible default events within 12 months following the presentation date of the

financial statements (12 month expected credit losses).

–Stage 2– significant increases in credit risk

When the credit risk of a financial asset has increased significantly since the initial recognition, the loss allowances of that financial

instrument is calculated as the expected credit loss during the entire life of the asset. That is, they are the expected credit losses that

result from all possible default events during the expected life of the financial instrument.

–Stage 3 – Impaired

When there is objective evidence that the instrument is credit impaired, the financial asset is transferred to this category in which the

provision for losses of that financial instrument is calculated, as in Stage 2, as the expected credit loss during the entire life of the

asset.

When the recovery of any recognized amount is considered remote, such amount is written-off on the consolidated balance sheet,

without prejudice to any actions that may be taken in order to collect the amount until the rights extinguish in full either because it is

time-barred debt, the debt is forgiven, or other reasons.

The BBVA Group has applied the following definitions:

–Credit impaired asset

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 credit impaired asset under IFRS 9 has been substantially aligned with the definition of default used by

the Group for internal credit risk management, which is also the definition used for regulatory purposes. In 2021 the Group updated its

P.23

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

definition of default to conform to that set forth in the European Banking Authority (hereinafter EBA) Guidelines, in compliance with

article 178 of Regulation (EU) No 575/2013 (CRR). The Group has 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.

The determination of an asset as impaired and its classification in Stage 3 is based exclusively on the risk of default, without

considering the effects of credit risk mitigating measures such as guarantees and collaterals. Specifically, the following financial

assets are classified in Stage 3:

a.Impaired assets for objective reasons or delinquency: when there are unpaid amounts of principal or interest for more

than 90 days.

According to IFRS 9, the 90-days past due default is a presumption that can be rebutted in those cases where the entity

considers, based on reasonable and supportable information, that it is appropriate to use a longer term. As of December

31, 2021, the Group has not used terms exceeding 90 days past due.

b.Impaired assets for subjective reasons (other than delinquency): when circumstances are identified that show, even in the

absence of defaults, that it is not probable that the debtor will fully comply with its financial obligations. For this purpose,

the following indicators are considered, among others:

–Significant financial difficulties of the issuer or the borrower.

–Granting by the lender or lenders to the borrower, for economic or contractual reasons related to the

latter's financial difficulties, of concessions or advantages that they would not have otherwise granted.

–Breach of contractual clauses, such as events of default or default.

–Increasing probability that the borrower will go into bankruptcy or some other situation of financial

reorganization.

–Disappearance of an active market for the financial asset due to financial difficulties.

–Others that may affect the committed cash flows such as the loss of the debtor's license or that it has

committed fraud.

–Generalized delay in payments. In any case, this circumstance exists when, during a continuous period

of 90 days prior to the reporting date, a material amount has remained unpaid.

–Sales of credit exposures of a client with a significant economic loss will imply that the rest of its

operations are considered impaired.

Relating to the granting of concessions due to financial difficulties, it is considered that there is an indicator of unlikeliness

to pay, and therefore the client must be considered impaired, when the refinancing or restructuring measures may result in

a diminished financial obligation caused by a forgiveness or material deferral of principal, interest or fees. Specifically,

unless proven otherwise, transactions that meet any of the following criteria will be reclassified to the category of impaired

assets:

a.Irregular repayment schedule.

b.Contractual clauses that delay the repayment of the loan through regular payments. Among others, grace

periods of more than two years for the amortization of the principal will be considered clauses with these

characteristics.

c.Amounts of principal or interest written off from the balance sheet as its recovery is considered remote.

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% in accordance with the new management criteria introduced during 2021.

Credit risk management for wholesale counterparties is carried out at the customer (or group) level. For this reason, the classification

of any of a client's material exposures as impaired, whether due to more than 90 days of default or due to any of the subjective

criteria, implies the classification as impaired of all the client's exposures.

Regarding retail clients, which are managed at the individual loan level, the scoring systems review their score, among other factors,

in the event of a breach in any of their operations or incurring generalized delays in payments, which also triggers the necessary

recovery actions. Among them are the refinancing measures that, where appropriate, may lead to all the client's operations being

considered impaired. Furthermore, given the granularity of the retail portfolios, the differential behavior of these clients in relation to

their products and collateral provided, as well as the time necessary to find the best solution, the Group has established as an

indicator that when a transaction of a retail client is in default in excess of 90 days or shows a general delay in payments and this

represents more than 20% of the client's total balance, all its transactions are considered impaired.

P.24

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

When operations by entities related to the client fall into Stage 3, including both entities of the same group and those with which there

is a relationship of economic or financial dependence, the transactions of the holder will also be classified as Stage 3 if after the

analysis it is concluded that there are reasonable doubts about the full payment of the loans.

The Stage 3 classification will be maintained for a cure period of 3 months from the disappearance of all indicators of impairment

during which the client must demonstrate good payment behavior and an improvement in their credit quality in order to corroborate

the disappearance of the causes that motivated the classification of the debt as impaired. In the case of refinancing and restructuring,

the cure period is one year (see Note 7.2.7 for more details).

These criteria are aligned in all the geographies of the Group, maintaining only minor differences to facilitate the integration of

management at the local level.

–Significant increase in credit risk

The objective of the impairment requirements is to recognize lifetime expected credit losses for financial instruments for which there

have been significant increases in credit risk since initial recognition considering all reasonable and supportable information, including

that which is forward-looking.

The model developed by the Group for assessing the significant increase in credit risk has a two-prong approach that is applied

globally (for more detail on the methodology used, see Note 7.2.1):

–Quantitative criterion: the Group uses a quantitative analysis based on comparing the current expected probability of

default over the life of the transaction with the original adjusted expected probability of default, so that both values are

comparable in terms of expected default probability for their residual life (see Note 7.2.1).

–Qualitative criterion: most indicators for detecting significant risk increase are included in the Group's systems through

rating and scoring systems or macroeconomic scenarios, so the quantitative analysis covers the majority of circumstances.

The Group uses additional qualitative criteria to identify significant increase in credit risk and thus, to include circumstances

that are not reflected in the rating/score systems or macroeconomic scenarios used. Such qualitative criteria are the

following:

a.More than 30 days past due. According to IFRS 9, default of more than 30 days is a presumption that can be

rebutted in those cases in which the entity considers, based on reasonable and documented information, that

such non-payment does not represent a significant increase in risk. As of December 31, 2021, the Group has not

considered periods higher than 30 days.

b.Watch list: They are subject to special watch by the Risk units because they show negative signs in their credit

quality, even though there may be no objective evidence of impairment.

c.Refinance or restructuring that does not show evidence of impairment, or that, having been previously identified,

the existence of significant increase in credit risk may still exist.

Although the standard introduces a series of operational simplifications, also known as practical solutions, for analyzing the increase

in significant risk, the Group does not use them as a general rule. However, for high-quality assets, mainly related to certain

government institutions and bodies, the standard allows for considering that their credit risk has not increased significantly because

they have a low credit risk at the presentation date. This possibility is limited to those financial instruments that are classified as

having high credit quality and high liquidity to comply with the liquidity coverage ratio (LCR). This does not prevent these assets from

being assigned the credit risk coverage that corresponds to their classification as Stage 1 based on their credit rating and

macroeconomic expectations.

Method for calculating Expected Credit Loss (ECL)

Method for calculating expected loss

The measurement of expected losses must reflect:

–A considered and unbiased amount, determined by evaluating a range of possible results;

–The time value of money, and

–Reasonable and supportable information that is available without undue cost or effort and that reflects current conditions

and forecasts of future economic conditions.

Expected losses are measured both individually and collectively.

The individualized estimate of credit losses results from calculating the difference between the expected cash flows discounted at the

effective interest rate of the transaction and the carrying amount of the instrument (see Note 7.2.1).

P.25

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

For the collective measurement of expected losses the instruments are classified into groups of assets based on their risk

characteristics. Exposure within each group is segmented according to credit risk common characteristics, which indicate the

payment capacity of the borrower according to the contractual conditions. These risk characteristics have to be relevant in estimating

the future flows of each group. The characteristics of credit risk may consider, among others, the following factors (see Note 7.2.1):

–Type of instrument.

–Rating or scoring tools.

–Credit risk scoring or rating.

–Type of collateral.

–Amount of time at default for stage 3.

–Segment.

–Qualitative criteria which can have a significant increase in risk.

–Collateral value if it has an impact on the probability of a default event.

The estimated losses are derived from the following parameters:

–PD: estimate of the probability of default in each period.

–EAD: estimate of the exposure in case of default at each future period, taking into account the changes in exposure after the

closing date of the financial statements.

–LGD: estimate of the loss in case of default, calculated as the difference between the contractual cash flows and receivables,

including guarantees. For these purposes, the probability of executing the guarantee, the moment until its ownership and

subsequent realization are achieved, the expected cash flows and the acquisition and sale costs, are considered in the

estimation.

–CCF: cash conversion factor is the estimate made on off-balance sheet contractual arrangements to determine the

exposure subject to credit risk in the event of a default.

At the BBVA Group, the calculated expected credit losses are based on internal models developed for all portfolios within the IFRS 9

scope, except for the cases that are subject to individual analysis.

The calculation and recognition of expected credit losses includes exposures with governments and credit institutions, for which,

despite having a reduced number of defaults in the information databases, internal models have been developed, considering, as

sources of information, the data provided by external rating agencies or other observed in the market, such as changes in bond yields,

prices of credit default swaps or any other public information on them.

Use of present, past and future information

IFRS 9 requires incorporation of present, past and future information to detect any significant increase in risk and measure expected

loss, which must be carried out on a weighted probability basis.

The standard does not require identification of all possible scenarios for measuring expected loss. However, the probability of a loss

event occurring and the probability it will not occur have to be considered, even though the possibility of a loss may be very low. To

achieve this, the Group generally evaluates the linear relationship between its estimated loss parameters (PD, LGD and EAD) with the

historical and future forecasts of the macroeconomic scenarios.

Additionally, when there is no linear relation between the different future economic scenarios and their associated expected losses,

more than one future economic scenario must be used for the measurement.

The approach taken by the Group consists of using a methodology based on the use of three scenarios. The first is the most probable

scenario (base scenario) that is consistent with that used in the Group's internal management processes, and two additional ones,

one more positive and the other more negative. The combined outcome of these three scenarios is calculated considering the weight

given to each of them. The main macroeconomic variables that are valued in each of the scenarios for each of the geographies in

which the Group operates are the Gross Domestic Product (GDP), the real estate price index, interest rates and the unemployment

rate. The main goal of the Group's approach is seeking the greatest predictive capacity with respect to the first two variables (see

Note 7.2.1).

2.2.2Transfers and derecognition of financial assets and liabilities

The accounting treatment of transfers of financial assets is determined by the form in which risks and benefits associated with the

financial assets involved are transferred to third parties. Financial assets are only derecognized from the consolidated balance sheet

when the cash flows that they generate are extinguished, when their implicit risks and benefits have been substantially transferred to

P.26

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

third parties or when the control of financial asset is transferred even in case of no physical transfer or substantial retention of such

assets. In the latter case, the financial asset transferred is derecognized from the consolidated balance sheet, and any right or

obligation retained or created as a result of the transfer is simultaneously recognized.

Similarly, financial liabilities are derecognized from the consolidated balance sheet only if their obligations are extinguished or

acquired (with a view to subsequent cancellation or renewed placement).

The Group is considered to have transferred substantially all the risks and benefits if such risks and benefits account for the majority

of the risks and benefits involved in ownership of the transferred financial assets. If substantially all the risks and benefits associated

with the transferred financial asset are retained:

–The transferred financial asset is not derecognized from the consolidated balance sheet and continues to be measured

using the same criteria as those used before the transfer.

–A financial liability is recognized at the amount equal to the amount received, which is subsequently measured at amortized

cost or fair value with changes in the income statement, whichever the case.

–Both the income generated on the transferred (but not derecognized) financial asset and the expense of the new financial

liability continue to be recognized.

Treatment of securitizations

The securitizations funds to which the Group entities transfer their credit portfolios are consolidated entities of the Group. For more

information, refer to Note 2.1 “Principles of consolidation”.

The Group considers that the risks and benefits of the securitizations are substantially retained if the subordinated bonds are held

and/ or if subordination funding has been granted to those securitization funds, which means that the credit loss risk of the

securitized assets will be assumed. Consequently, the Group is not derecognizing those transferred loan portfolios.

Synthetic securitizations are transactions where risk is transferred through derivatives or financial guarantees and in which the

exposure of these securitizations remains in the balance sheet of the Group. The Group has established the synthetic securitizations

through received financial guarantees. As for the commissions paid, they are accrued during the term of the financial guarantee.

2.2.3Financial guarantees

Financial guarantees are considered to be those contracts that require their issuer to make specific payments to reimburse the holder

of the financial guarantee for a loss incurred when a specific borrower breaches its payment obligations on the terms – whether

original or subsequently modified – of a debt instrument, irrespective of the legal form it may take. Financial guarantees may take the

form of a deposit, bank guarantee, insurance contract or credit derivative, among others.

In their initial recognition, financial guarantees are recognized as liabilities in the consolidated balance sheet at fair value, which is

generally the present value of the fees, commissions and interest receivable from these contracts over the term thereof, and the

Group simultaneously recognizes a corresponding asset in the consolidated balance sheet for the amount of the fees and

commissions received at the inception of the transactions and the amounts receivable at the present value of the fees, commissions

and interest outstanding.

Financial guarantees, irrespective of the guarantor, instrumentation or other circumstances, are reviewed periodically so as to

determine the credit risk to which they are exposed and, if appropriate, to consider whether a provision is required for them. The

credit risk is determined by application of criteria similar to those established for quantifying loss allowances on debt instruments

measured at amortized cost (see Note 2.2.1).

The provisions recognized for financial guarantees are recognized under the heading “Provisions - Provisions for contingent risks and

commitments” on the liability side in the consolidated balance sheets (see Note 24). These provisions are recognized and reversed

with a charge or credit, respectively to “Provisions or reversal of provision” in the consolidated income statements (see Note 46).

Income from financial guarantees is recorded under the heading “Fee and commission income” in the consolidated income statement

and is calculated by applying the rate established in the related contract to the nominal amount of the guarantee (see Note 40).

Synthetic securitizations made by the Group to date meet the requirements of the accounting regulations for accounting as

guarantees. Consideration as a financial guarantee means recognition of the commission paid for it over the period.

2.2.4Non-current assets and disposal groups classified as held for sale and liabilities included in disposal

groups classified as held for sale

The heading “Non-current assets and disposal groups classified as held for sale” in the consolidated balance sheet includes the

carrying amount of individual items or items integrated in a group ("disposal group") or that form part of a significant business line or

geographic area that is intended to be disposed of (“discontinued operation”) whose sale is highly probable to take place under the

current conditions within a period of one year from the date to which the financial statements refer. Additionally, assets that were

P.27

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

expected to be disposed of within a year but which disposal is delayed due to events and circumstances beyond the control of the

Group can be classified as held for sale (see Note 21).

Symmetrically, the heading “Liabilities included in disposal groups classified as held for sale” in the consolidated balance sheet

reflects the balances payable arising from disposal groups and discontinued operations.

With respect to the subsidiaries of the BBVA Group, the heading "Non-current assets and disposal groups classified as held for sale"

includes the assets received by the subsidiaries for the satisfaction, in whole or in part, of the payment obligations of their debtors

(foreclosed or received in payment of debt or recoveries from financial leasing transactions, unless the Group has decided to make

continued use of those assets). The BBVA Group has specific units focused on real estate management and sale of these types of

assets.

Non-current assets and disposal groups classified as held for sale are measured, at the acquisition date and at any later date deemed

necessary, at either their carrying amount or the fair value of the property (less costs to sell), whichever is lower. An impairment or

reversal of impairment for the difference is recognized if applicable. When the amount of the sale less estimated costs of sale is higher

than the carrying value, the gain is not recognized until the moment of disposal and derecognition from the balance sheet.

Non-current assets and disposal groups classified as held for sale are not depreciated while included under the heading “Non-current

assets and disposal groups classified as held for sale”.

In the case of real estate assets foreclosed or received in payment of debts, they are initially recognized at the lower of: the restated

carrying amount of the financial asset and the fair value at the time of the foreclosure or receipt of the asset less estimated sales

costs. The carrying amount of the financial asset is updated at the time of the foreclosure, treating the real property received as a

secured collateral and taking into account the credit risk coverage that would correspond to it according to its classification prior to

the delivery. For these purposes, the collateral will be valued at its current fair value (less sale costs) at the time of foreclosure. This

carrying amount will be compared with the previous carrying amount and the difference will be recognized as a provision increase, if

applicable. On the other hand, the fair value of the foreclosed assets is based mainly on appraisals or valuations carried out by

independent experts on an annual basis or more frequently if there are indications of impairment by appraisal, evaluating the need to

apply a discount on the asset derived from the specific conditions of the asset or the market situation for these assets and in any

case, deducting the company’s estimated sale costs.

Gains and losses generated on the disposal of assets and liabilities classified as non-current held for sale, and liabilities included in

disposal groups classified as held for sale as well as impairment losses and, where pertinent, the related recoveries, are recognized in

“Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations” in

the consolidated income statement (see Note 50). The remaining income and expense items associated with these assets and

liabilities are classified within the relevant consolidated income statement headings.

Income and expense for discontinued operations, whatever their nature, generated during the year, even if they have occurred before

their classification as discontinued operations, are presented net of the tax effect as a single amount under the heading “Profit (loss)

after tax from discontinued operations” in the consolidated income statement (see Notes 1.3, 3 and 21). This heading includes the

earnings from their sale or other disposal (net of tax effects).

2.2.5Tangible Assets

Property, plant and equipment for own use

This heading includes the assets under ownership or acquired under lease terms (right to use), intended for future or current use by

the BBVA Group and that it expects to hold for more than one year. It also includes tangible assets received by the consolidated

entities in full or partial settlement of financial assets representing receivables from third parties which are expected to be held for

continuing use.

For more information regarding the accounting treatment of right to use assets under lease terms, see Note 2.2.18 "Leases".

Property, plant and equipment for own use are presented in the consolidated balance sheets at acquisition cost, less any

accumulated depreciation and, where appropriate, any estimated impairment losses resulting from comparing the net carrying

amount of each item with its corresponding recoverable amount (see Note 17).

Depreciation is calculated using the straight-line method, during the useful life of the asset, on the basis of the acquisition cost of the

assets less their residual value; the land is considered to have an indefinite life and is therefore not depreciated.

The tangible asset depreciation charges are recognized in the accompanying consolidated income statements under the heading

"Depreciation and Amortization" (see Note 45) and are based on the application of the following depreciation rates (determined on

the basis of the average years of estimated useful life of the various assets):

P.28

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Depreciation rates for tangible assets

Type of assets

Annual Percentage

Buildings for own use

1% - 4%

Furniture

8% - 10%

Fixtures

6% - 12%

Office supplies and hardware

8% - 25%

Lease use rights

The lesser of the lease term or the useful life of the underlying asset

At each reporting date, the Group entities analyze whether there are internal or external indicators that a tangible asset may be

impaired. When there is evidence of impairment, the Group analyzes whether this impairment actually exists by comparing the asset’s

net carrying amount with its recoverable amount (defined as the higher between its recoverable amount less disposal costs and its

value in use). When the carrying amount exceeds the recoverable amount, the carrying amount is written down to the recoverable

amount and depreciation charges going forward are adjusted to reflect the asset’s remaining useful life.

Similarly, if there is any indication that the value of a previously impaired tangible asset is now recoverable, the consolidated entities

will estimate the recoverable amounts of the asset and recognize it in the consolidated income statement, recording the reversal of

the impairment loss recognized in previous years and thus adjusting future depreciation charges. Under no circumstances may the

reversal of an impairment loss on an asset raise its carrying amount above that which it would have if no impairment losses had been

recognized in prior years.

In the BBVA Group, most of the buildings held for own use are assigned to the different Cash Generating Units (CGU) to which they

belong. The corresponding impairment analyses are performed for these CGU to check whether sufficient cash flows are generated to

support the value of the assets comprised within.

Operating and maintenance expense relating to tangible assets held for own use are recognized as an expense in the year they are

incurred and recognized in the consolidated income statements under the heading "Administration costs - Other administrative

expense - Property, fixtures and materials" (see Note 44.2).

Other assets leased out under an operating lease

The criteria used to recognize the acquisition cost of assets leased out under operating leases, to calculate their depreciation and

their respective estimated useful lives and to recognize the impairment losses on them, are the same as those described in relation to

tangible assets for own use.

Investment properties

The heading “Tangible assets - Investment properties” in the consolidated balance sheets reflects the net values (purchase cost

minus the corresponding accumulated depreciation and, if appropriate, estimated impairment losses) of the land, buildings and other

structures that are held either to earn rental income or for capital appreciation through sale and that are neither expected to be sold

off in the ordinary course of business nor are destined for own use (see Note 17).

The criteria used to recognize the acquisition cost of investment properties, calculate their depreciation and their respective

estimated useful lives, and recognize the impairment losses on them, are the same as those described in relation to tangible assets

held for own use.

2.2.6Business combinations

A business combination is a transaction, or any other deal, by which the Group obtains control of one or more businesses. It is

accounted for by applying the “acquisition method”.

According to this method, the acquirer has to recognize the assets acquired and the liabilities and contingent liabilities assumed,

including those that the acquired entity had not recognized in the accounts. The method involves the measurement of the

consideration received for the business combination and its allocation to the assets, liabilities and contingent liabilities measured

according to their fair value, at the purchase date, as well as the recognition of any non-controlling participation (minority interests)

that may arise from the transaction.

In a business combination achieved in stages, the acquirer shall measure its previously held equity interest in the acquiree at its

acquisition-date fair value and recognize the resulting gain or loss, if any, in profit or loss under the heading “Gains (losses) on

derecognition of non-financial assets and subsidiaries, net” of the consolidated income statements. In prior reporting periods, the

acquirer may have recognized changes in the value of its equity interest in the acquiree in other comprehensive income. If so, the

amount that was recognized in other comprehensive income shall be recognized on the same basis as would be required if the

acquirer had disposed directly of the previously held equity interest.

In addition, the acquirer shall recognize an asset in the consolidated balance sheet under the heading “Intangible asset - Goodwill” if

on the acquisition date there is a positive difference between:

P.29

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–the sum of the consideration transferred, the amount of all the non-controlling interests and the fair value of stock

previously held in the acquired business; and

–the net fair value of the assets acquired and liabilities assumed.

If this difference is negative, it shall be recognized directly in the income statement under the heading “Negative goodwill recognized

in profit or loss”.

Non-controlling interests in the acquired entity may be measured in two ways: either at their fair value; or at the proportional

percentage of net assets identified in the acquired entity. The method of valuing non-controlling interest may be elected in each

business combination. BBVA Group has always elected the second method.

2.2.7Intangible assets

Goodwill

Goodwill represents a portion of consideration transferred in advance by the acquiring entity for the future economic benefits from

assets that cannot be individually identified and separately recognized. Goodwill is never amortized. It is subject periodically to an

impairment analysis, and is written down if there has been impairment (see Note 18).

Goodwill is assigned to one or more CGU that expect to be the beneficiaries of the synergies derived from the business combinations.

The CGU represent the Group’s smallest identifiable asset groups that generate cash flows for the Group and that are largely

independent of the flows generated from the Group’s other assets or groups of assets. Each unit or units to which goodwill is

allocated:

–Is the lowest level at which the entity manages goodwill internally.

–Is not larger than an operating segment.

The CGU to which goodwill has been allocated are tested for impairment (including the allocated goodwill in their carrying amount).

This analysis is performed at least annually or more frequently if there is any indication of impairment.

For the purpose of determining the impairment of a CGU to which a part of goodwill has been allocated, the carrying amount of that

CGU, adjusted by the theoretical amount of the goodwill attributable to the non-controlling interests, in the event they are not valued

at fair value, is compared with its recoverable amount.

The recoverable amount of a CGU is equal to the fair value less sale costs or its value in use, whichever is greater. Value in use is

calculated as the discounted value of the cash flow projections that the unit’s management estimates and is based on the latest

budgets approved for the coming years. The main assumptions used in its calculation are: a growth rate to extrapolate the cash flows

indefinitely, and the discount rate used to discount the cash flows, which is equal to the cost of the capital assigned to each CGU, and

equivalent to the sum of the risk-free rate plus a risk premium inherent to the CGU being evaluated for impairment.

If the carrying amount of the CGU exceeds the related recoverable amount, the Group recognizes an impairment loss; the resulting

loss is apportioned by reducing, first, the carrying amount of the goodwill allocated to that unit and, second, if there are still

impairment losses remaining to be recognized, the carrying amount of the remainder of the assets. This is done by allocating the

remaining loss in proportion to the carrying amount of each of the assets in the unit. In the event the non-controlling interests are

measured at fair value, the deterioration of goodwill attributable to non-controlling interests will be recognized. In any case, an

impairment loss recognized for goodwill shall not be reversed in a subsequent period.

Goodwill impairment losses are recognized under the heading "Impairment or reversal of impairment on non-financial assets –

Intangible assets” (see Note 49).

Other intangible assets

These assets may have an indefinite useful life if, based on an analysis of all relevant factors, it is concluded that there is no

foreseeable limit to the period over which the asset is expected to generate net cash flows for the consolidated entities. In all other

cases they have a finite useful life (see Note 18).

Intangible assets with a finite useful life are amortized according to the duration of this useful life, using methods similar to those used

to depreciate tangible assets. The defined useful life intangible asset is made up mainly of IT applications acquisition costs which have

a useful life of 3 to 5 years. The amortization charge of these assets is recognized in the accompanying consolidated income

statements under the heading "Depreciation and amortization" (see Note 45).

The consolidated entities recognize any impairment losses on the carrying amount of these assets with a charge to the heading

“Impairment or reversal of impairment on non-financial assets- Intangible assets” in the accompanying consolidated income

statements (see Note 49). The criteria used to recognize the impairment losses on these assets and, where applicable, the recovery

of impairment losses recognized in prior years, are similar to those used for tangible assets.

P.30

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

2.2.8Insurance and reinsurance contracts

The assets and liabilities of the BBVA Group’s insurance subsidiaries are recognized according to their nature under the

corresponding headings of the consolidated balance sheet.

The heading “Insurance and reinsurance assets” in the accompanying consolidated balance sheets includes the amounts that the

consolidated insurance subsidiaries are entitled to receive under the reinsurance contracts entered into by them with third parties

and, more specifically, the reinsurer´s share of the technical provisions recognized by the consolidated insurance subsidiaries.

The heading “Liabilities under insurance and reinsurance contracts” in the accompanying consolidated balance sheets includes the

technical provisions for direct insurance and inward reinsurance recognized by the consolidated insurance subsidiaries to cover

claims arising from insurance contracts open at period-end (see Note 23).

The income or expense reported by the BBVA Group’s consolidated insurance subsidiaries on their insurance activities is recognized,

in accordance with their nature, in the corresponding items of the consolidated income statements.

The consolidated insurance entities of the BBVA Group recognize the amounts of the premiums written and a charge for the

estimated cost of the claims that will be incurred at their final settlement to their consolidated income statements. At the close of

each year the amounts collected and unearned, as well as the costs incurred and unpaid, are accrued.

The most significant provisions recorded by consolidated insurance entities with respect to insurance policies issued by them are set

out by their nature in Note 23.

According to the type of product, the provisions may be as follows:

–Life insurance provisions:

Represents the value of the net obligations undertaken with the life insurance policyholder. These provisions include:

a.Provisions for unearned premiums. These are intended for the accrual, at the date of calculation, of the premiums

written. Their balance reflects the portion of the premiums received until the closing date that has to be allocated to the

period from year-end to the end of the insurance policy period.

b.Mathematical reserves: Represents the value of the life insurance obligations of the insurance entities at year-end, net of

the policyholder’s obligations, arising from life insurance contracted.

–Non-life insurance provisions:

a.Provisions for unearned premiums. These provisions are intended for the accrual, at the date of calculation, of the

premiums written. Their balance reflects the portion of the premiums received until the closing date that has to be

allocated to the period between the year-end and the end of the policy period.

b.Provisions for unexpired risks: The provision for unexpired risks supplements the provision for unearned premiums by

the amount by which that provision is not sufficient to reflect the assessed risks and expenses to be covered by the

consolidated insurance subsidiaries in the policy period not elapsed at year-end.

–Provision for claims:

This reflects the total amount of the outstanding obligations arising from claims incurred prior to year-end. Insurance

subsidiaries calculate this provision as the difference between the total estimated or certain cost of the claims not yet

reported, settled or paid, and the total amounts already paid in relation to these claims.

–Provision for bonuses and rebates:

This provision includes the amount of the bonuses accruing to policyholders, insurees or beneficiaries and the premiums to

be returned to policyholders or insurees, as the case may be, based on the behavior of the risk insured, to the extent that

such amounts have not been individually assigned to each of them.

–Technical provisions for reinsurance ceded:

Calculated by applying the criteria indicated above for direct insurance, taking account of the assignment conditions

established in the open reinsurance contracts.

–Other technical provisions:

Insurance entities have recognized provisions to cover the probable mismatches in the market reinvestment interest rates

with respect to those used in the valuation of the technical provisions.

P.31

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

2.2.9Tax assets and liabilities

Expenses on corporate income tax applicable to the BBVA Group’s Spanish entities and on similar income taxes applicable to

consolidated foreign entities are recognized in the consolidated income statement, except when they result from transactions on

which the profits or losses are recognized directly in equity, in which case the related tax effect is also recognized in equity.

The total corporate income tax expense is calculated by aggregating the current tax arising from the application of the corresponding

tax rate as per the tax base for the year (after deducting the tax credits or discounts allowable for tax purposes) and the change in

deferred tax assets and liabilities recognized in the consolidated income statement.

Deferred tax assets and liabilities include temporary differences, defined as the amounts to be payable or recoverable in future years

arising from the differences between the carrying amount of assets and liabilities and their tax bases (the “tax value”), and tax loss

and tax credit or discount carry forwards. These amounts are calculated by applying to each temporary difference the tax rates that

are expected to apply when the asset is realized or the liability settled (see Note 19).

The "Tax Assets" line item in the accompanying consolidated balance sheets includes the amount of all the assets of a tax nature,

broken down into: "Current” (amounts of tax recoverable in the next twelve months) and "Deferred" (which includes the amount of tax

to be recovered in future years, including those arising from tax losses or credits for deductions or rebates that can be compensated).

The "Tax Liabilities" line item in the accompanying consolidated balance sheets includes the amount of all the liabilities of a tax nature,

except for provisions for taxes, broken down into: "Current” (income tax payable on taxable profit for the year and other taxes payable

in the next twelve months) and "Deferred" (the amount of corporate tax payable in subsequent years).

Deferred tax liabilities attributable to taxable temporary differences associated with investments in subsidiaries, associates or joint

venture entities are recognized as such, except where the Group can control the timing of the reversal of the temporary difference

and it is unlikely that it will reverse in the future. Deferred tax assets are recognized to the extent that it is probable that the

consolidated entities will generate enough taxable profits to make deferred tax assets effective and do not correspond to those from

initial recognition (except in the case of business combinations), which also does not affect the fiscal outcome.

The deferred tax assets and liabilities recognized are reassessed by the consolidated entities at each balance sheet date in order to

ascertain whether they still qualify as deferred tax assets and liabilities, and the appropriate adjustments are made on the basis of the

findings of the analyses performed. In those circumstances in which it is unclear how a specific requirement of the tax law applies to a

particular transaction or circumstance, and the acceptability of the definitive tax treatment depends on the decisions taken by the

relevant taxation authority in future, the entity recognizes current and deferred tax liabilities and assets considering whether it is

probable or not that a taxation authority will accept an uncertain tax treatment. Thus, if the entity concludes that it is not probable

that the taxation authority will accept an uncertain tax treatment, the entity uses the amount expected to be paid to (recovered from)

the taxation authorities.

The income and expense directly recognized in consolidated equity that do not increase or decrease taxable income are accounted

for as temporary differences.

2.2.10Provisions, contingent assets and contingent liabilities

The heading “Provisions” in the consolidated balance sheets includes amounts recognized to cover the BBVA Group’s current

obligations arising as a result of past events. These are certain in terms of nature but uncertain in terms of amount and/or settlement

date. The settlement of these obligations is deemed likely to entail an outflow of resources embodying economic benefits (see Note

24). The obligations may arise in connection with legal or contractual provisions, valid expectations formed by Group entities relative

to third parties in relation to the assumption of certain responsibilities or through virtually certain developments of particular aspects

of the regulations applicable to the operation of the entities; and, specifically, future legislation to which the Group will certainly be

subject. The provisions are recognized in the consolidated balance sheets when each and every one of the following requirements is

met:

–They represent a current obligation that has arisen from a past event. At the date of the Consolidated Financial Statements,

there is more probability that the obligation will have to be met than that it will not.

–It is probable that an outflow of resources embodying economic benefits will be required to settle the obligation.

–The amount of the obligation can be reasonably estimated.

Among other items, these provisions include the commitments made to employees by some of the Group entities mentioned in Note

2.2.11, as well as provisions for tax and legal litigation.

Contingent assets are possible assets that arise from past events and whose existence is conditional on, and will be confirmed only

by, the occurrence or non-occurrence of events beyond the control of the Group. Contingent assets are not recognized in the

consolidated balance sheet or in the consolidated income statement; however, they will be disclosed, should they exist, in the Notes

to the Consolidated Financial Statements, provided that it is probable they will give rise to an increase in resources embodying

economic benefits (see Note 34).

P.32

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Contingent liabilities are possible obligations of the Group that arise from past events and whose existence is conditional on the

occurrence or non-occurrence of one or more future events beyond the control of the Group. They also include the existing

obligations of the Group when it is not probable that an outflow of resources embodying economic benefits will be required to settle

them; or when, in extremely rare cases, their amount cannot be measured with sufficient reliability.

Contingent liabilities are not recognized in the consolidated balance sheet or the income statement (excluding contingent liabilities

from business combinations) but are disclosed in the Notes to the Consolidated Financial Statements, unless the possibility of an

outflow of resources embodying economic benefits is remote.

2.2.11Pensions and other post-employment commitments

Below we provide a description of the most significant accounting policies relating to post-employment and other employee benefit

commitments assumed by BBVA Group entities (see Note 25).

Short-term employee benefits

Benefits for current active employees which are accrued and settled during the year and for which a provision is not required in the

entity´s accounts. These include wages and salaries, social security charges and other personnel expense.

Costs are charged and recognized under the heading “Administration costs – Personnel expense – Other personnel expense” of the

consolidated income statement (see Note 44.1).

Post-employment benefits – Defined-contribution plans

The Group sponsors defined-contribution plans for the majority of its active employees. The amount of these benefits is established

as a percentage of remuneration and/or as a fixed amount.

The contributions made to these plans in each year by BBVA Group entities are charged and recognized under the heading

“Administration costs – Personnel expense– Defined-contribution plan expense” of the consolidated income statement (see Note

44.1).

Post-employment benefits – Defined-benefit plans

Some Group entities maintain pension commitments with employees who have already retired or taken early retirement, certain

closed groups of active employees still accruing defined benefit pensions, and in-service death and disability benefits provided to

most active employees. These commitments are covered by insurance contracts, pension funds and internal provisions.

In addition, some of the Spanish entities have offered certain employees the option to retire before their normal retirement age,

recognizing the necessary provisions to cover the costs of the associated benefit commitments, which include both the liability for the

benefit payments due as well as the contributions payable to external pension funds during the early retirement period.

Furthermore, certain Group entities provide welfare and medical benefits which extend beyond the date of retirement of the

employees entitled to the benefits.

All of these commitments are quantified based on actuarial valuations, with the amounts recorded under the heading “Provisions –

Provisions for pensions and similar obligations” in the consolidated balance sheet and determined as the difference between the value

of the defined-benefit commitments and the fair value of plan assets at the date of the Consolidated Financial Statements (see Note

25).

Current service cost is charged and recognized under the heading “Administration costs – Personnel expense – Defined-benefit plan

expense” of the consolidated income statement (see Note 44.1).

Interest credits/charges relating to these commitments are charged and recognized in net terms under the headings “Interest and

other income” or, where appropriated, “Interest expense” of the consolidated income statement (see Note 37).

Past service costs arising from benefit plan changes as well as early retirements granted during the year are recognized under the

heading “Provisions or reversals of provisions” of the consolidated income statement (see Note 46).

Other long-term employee benefits

In addition to the above commitments, certain Group entities provide long-term service awards to their employees, consisting of

monetary amounts or periods of vacation granted upon completion of a number of years of qualifying service. This heading also

includes the commitments related to the termination of employment contracts according to the collective layoff procedure carried

out in BBVA, S.A.

These commitments are quantified based on actuarial valuations and the amounts recorded under the heading “Provisions – Other

long-term employee benefits” of the consolidated balance sheet (see Note 24).

P.33

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Valuation of commitments: actuarial assumptions and recognition of gains/losses

The present value of these commitments is determined based on individual member data. Active employee costs are determined

using the “projected unit credit” method, which treats each period of service as giving rise to an additional unit of benefit and values

each unit separately.

In establishing the actuarial assumptions we take into account that:

–They should be unbiased, i.e. neither unduly optimistic nor excessively conservative.

–Each assumption does not contradict the others and adequately reflects the existing relationship between economic

variables such as price inflation, expected wage increases, discount rates and the expected return on plan assets, etc.

Future wage and benefit levels should be based on market expectations, at the balance sheet date, for the period over which

the obligations are to be settled.

–The interest rate used to discount benefit commitments is determined by reference to market yields, at the balance sheet

date, on high quality bonds.

The BBVA Group recognizes actuarial gains (losses) relating to early retirement benefits, long service awards and other similar items

under the heading “Provisions or reversal of provisions” of the consolidated income statement for the period in which they arise (see

Note 46). Actuarial gains (losses) relating to pension and medical benefits are directly charged and recognized under the heading

"Accumulated other comprehensive income (loss) – Items that will not be reclassified to profit or loss – Actuarial gains (losses) on

defined benefit pension plans" of equity in the consolidated balance sheet (see Note 30).

2.2.12Equity-settled share-based payment transactions

Equity –settled share-based payment transactions, provided they constitute the delivery of such equity instruments once completion

of a specific period of services has occurred, are recognized as an expense for services being provided by employees, with a

corresponding entry under the heading “Shareholders’ funds – Other equity instruments” in the consolidated balance sheet. These

services are measured at fair value for the employees services received, unless such fair value cannot be calculated reliably. In such

case, they are measured by reference to the fair value of the equity instruments granted, taking into account the date on which the

commitments were granted and the terms and other conditions included in the commitments.

When the initial compensation agreement includes what may be considered market conditions among its terms, any changes in these

conditions will not be reflected in the consolidated income statement, as these have already been accounted for in calculating the

initial fair value of the equity instruments. Non-market vesting conditions are not taken into account when estimating the initial fair

value of equity instruments, but they are taken into account when determining the number of equity instruments to be issued. This

will be recognized on the consolidated income statement with the corresponding increase in total consolidated equity.

2.2.13Termination benefits

Termination benefits are recognized in the financial statements when the BBVA Group agrees to terminate employment contracts

with its employees or from the time the costs for a restructuring that involves the payment of compensation for the termination of

contracts with its employees are recorded. This happens when there is a formal and detailed plan in which the fundamental

modifications to be made are identified, and whenever said plan has begun to be executed or its main characteristics or objective

facts about its execution have been publicly announced.

2.2.14Treasury shares

The value of common stock issued by the BBVA Group’s entities and held by them - basically, shares and derivatives on the Bank’s

shares held by some consolidated entities that comply with the requirements to be recognized as equity instruments - are recognized

as a decrease to net equity, under the heading "Shareholders’ funds - Treasury stock" in the consolidated balance sheets (see Note

29).

These financial assets are recognized at acquisition cost, and the gains or losses arising on their disposal are credited or debited, as

appropriate, to the heading “Shareholders’ funds - Retained earnings” in the consolidated balance sheets (see Note 28).

In the event of a contractual obligation to acquire treasury shares, a financial liability is recorded as the present value of the amount

committed (under the heading "Financial liabilities at amortized cost - Other financial liabilities") and the corresponding recognition in

net equity (under the heading “Equity - Other Reserves) (see Notes 22.5 and 28).

2.2.15Foreign-currency transactions and exchange differences

The currency in which the Financial Statements of the BBVA Group are presented is the euro. As such, all balances and transactions

denominated in currencies other than the euro are deemed to be expressed in “foreign currency”.

Conversion to euros of the balances held in foreign currency is performed in two consecutive stages:

P.34

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–Conversion of the foreign currency to the entity’s functional currency (currency of the main economic environment in which

the entity operates); and

–Conversion to euros of the balances held in the functional currencies of the entities whose functional currency is not the

euro.

Conversion of the foreign currency to the entity’s functional currency

Transactions denominated in foreign currencies carried out by the consolidated entities (or entities accounted for using the equity

method) are initially accounted for in their respective currencies. Subsequently, the monetary balances in foreign currencies are

converted to their respective functional currencies using the exchange rate at the close of the financial year. In addition,

–Non-monetary items valued at their historical cost are converted to the functional currency at the exchange rate applicable

on the purchase date.

–Non-monetary items valued at their fair value are converted at the exchange rate in force on the date on which such fair

value was determined.

–Monetary items are converted to the functional currency at the closing exchange rate.

–Income and expense are converted at the period’s average exchange rates for all the operations carried out during the year.

When applying this criterion the BBVA Group considers whether significant variations have taken place in exchange rates

during the year which, owing to their impact on the statements as a whole, may require the application of exchange rates as

of the date of the transaction instead of such average exchange rates.

The exchange differences produced when converting the balances in foreign currency to the functional currency of the consolidated

entities are generally recognized under the heading "Exchange differences, net" in the consolidated income statements (see Note 41).

However, the exchange differences in non-monetary items measured at fair value are recorded to equity under the heading

“Accumulated other comprehensive income (loss) - Items that will not be reclassified to profit or loss - Fair value changes of equity

instruments measured at fair value through other comprehensive income” in the consolidated balance sheets (see Note 30).

Conversion of functional currencies to euros

The balances in the financial statements of consolidated entities whose functional currency is not the euro are converted to euros as

follows:

–Assets and liabilities: at the closing spot exchange rates as of the date of each of the consolidated balance sheets.

–Income and expense and cash flows are converted by applying the exchange rate applicable on the date of the transaction,

and the average exchange rate for the financial year may be used, unless it has undergone significant variations during the

year.

–Equity items: at the historical exchange rates.

The exchange differences arising from the conversion to euros of balances in the functional currencies of the consolidated entities

whose functional currency is not the euro are recognized under the heading “Accumulated other comprehensive income (loss) –

Items that may be reclassified to profit or loss - Foreign currency translation” in the consolidated balance sheets (Notes 30 and 31

respectively). Meanwhile, the differences arising from the conversion to euros of the financial statements of entities accounted for by

the equity method are recognized under the heading “Accumulated other comprehensive income (loss) - Items that may be

reclassified to profit or loss - Share of other recognized income and expense of investments in joint ventures and associates" (Note

30), until the item to which they relate is derecognized, at which time they are recognized in the income statement.

The financial statements of companies of hyperinflationary economies are restated for the effects of changes in prices before their

conversion to euros following the provisions of IAS 29 "Financial information in hyperinflationary economies" (see Note 2.2.19). Both

these adjustments for inflation and the exchange differences that arise when converting the financial statements of companies into

hyperinflationary economies are accounted for in “Accumulated other comprehensive income (loss) – Items that may be reclassified

to profit or loss - Foreign currency translation”.

The breakdown of the main consolidated balances in foreign currencies, with reference to the most significant foreign currencies, is

set forth in Appendix VII.

Venezuela

Local financial statements of the Group subsidiaries in Venezuela are expressed in Venezuelan Bolivar, and converted into euros for

the consolidated financial statements. Venezuela is a country with strong exchange restrictions that has different rates officially

published, and, since December 31, 2015, the Board of Directors considers that the use of these exchanges rates for converting

bolivars into euros in preparing the Consolidated Financial Statements does not reflect the true picture of the financial statements of

the Group and the financial position of the Group subsidiaries in this country. Therefore, since the year ended December 31, 2015, the

P.35

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

exchange rate for converting bolivars into euros is an estimation taking into account the evolution of the estimated inflation in

Venezuela.

As of December 31, 2021, 2020 and 2019, the impact on the consolidated financial statements that would have resulted by applying

the last published official exchange rate instead of the exchange rate estimated by BBVA Group was not significant (see Note 2.2.19).

2.2.16Recognition of income and expense

The most significant policies used by the BBVA Group to recognize its income and expense are as follows.

–Interest income and expense and similar items:

As a general rule, interest income and expense and similar items are recognized on the basis of their period of accrual using

the effective interest rate method.

They shall be recognized within the consolidated income statement according to the following criteria, independently from

the financial instruments’ portfolio which generates the income or expense:

a.The interest income past-due before the initial recognition and pending to be received will form part of the gross

carrying amount of the debt instrument.

b.The interest income accrued after the initial recognition will form part of the gross carrying amount of the debt

instrument until it will be received.

The financial fees and commissions that arise on the arrangement of loans and advances (basically origination and analysis

fees) are deferred and recognized in the income statement over the expected life of the loan. From that amount, the

transaction costs identified as directly attributable to the arrangement of the loans and advances are deducted. These fees

are part of the effective interest rate for the loans and advances.

Once a debt instrument has been impaired, interest income is recognized applying the effective interest rate used to

discount the estimated recoverable cash flows on the carrying amount of the asset.

–Income from dividends received:

Dividends shall be recognized within the consolidated income statement according to the following criteria, independently

from the financial instruments’ portfolio which generates this income:

a.When the right to receive payment has been declared before the initial recognition and when the payment is

pending to be received, the dividends will not form part of the gross carrying amount of the equity instrument and

will not be recognized as income. Those dividends are accounted for as financial assets separately from the net

equity instrument.

b.If the right to receive payment is received after the initial recognition, the dividends from the net equity

instruments will be recognized within the consolidated income statement. If the dividends correspond to the

profits of the issuer before the date of initial recognition, they will not be recognized as income but as reduction of

the gross carrying amount of the equity instrument because it represents a partial recuperation of the investment.

Amongst other circumstances, the generation date can be considered to be prior to the date of initial recognition

if the amounts distributed by the issuer as from the initial recognition are higher than its profits during the same

period.

–Commissions, fees and similar items:

Income and expense relating to commissions and similar fees are recognized in the consolidated income statement using

criteria that vary according to the nature of such items. The most significant items in this connection are:

a.Those relating to financial assets and liabilities measured at fair value through profit or loss, which are recognized

when collected/paid.

b.Those arising from transactions or services that are provided over a period of time, which are recognized over the

life of these transactions or services.

c.Those relating to a singular transaction, which are recognized when this singular transaction is carried out.

–Non-financial income and expense:

These are recognized for accounting purposes on an accrual basis.

–Deferred collections and payments:

P.36

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

These are recognized for accounting purposes at the amount resulting from discounting the expected cash flows at market

rates.

2.2.17Sales of assets and income from the provision of non-financial services

The heading “Other operating income” in the consolidated income statements includes the proceeds of the sales of assets and

income from the services provided by the Group entities that are not financial institutions. In the case of the Group, these entities are

mainly real estate and service entities (see Note 42).

2.2.18Leases

The lessee accounting model requires the lessee to record assets and liabilities for all lease contracts. A lessee is required to

recognize a right-of-use asset representing its right to use the underlying leased asset, which is recorded under the headings

‘‘Tangible assets – Property plants and equipment’’ and ‘‘Tangible assets – Investment properties’’ of the consolidated balance sheet

(see Note 17) and a lease liability representing its obligation to make lease payments which is recorded under the heading ‘‘ Financial

liabilities at amortized cost – Other financial liabilities’’ in the consolidated balance sheet (see Note 22.5). The standard provides two

exceptions for the recognition of lease assets and liabilities that can be applied in the case of short-term contracts and those in which

the underlying assets have low value. BBVA elected to apply both exceptions.

At the initial date of the lease, the lease liability represents the present value of all lease unpaid payments. The liabilities registered

under this heading of the consolidated balance sheets are measured after their initial recognition at amortized cost, this being

determined in accordance with the “effective interest rate” method.

The right to use assets are initially recorded at cost. This cost includes the initial measurement of the lease liability, any payment

made on or before the initial date less any lease incentives received, all direct initial expenses incurred, as well as an estimate of the

expenses to be incurred by the lessee for dismantling or rehabilitation, such as expenses related to the removal and dismantling of the

underlying asset. The right to use assets recorded under this heading of the consolidated balance sheets are measured after their

initial recognition at cost less:

–The accumulated depreciation and accumulated impairment.

–Any remeasurement of the lease liability.

The interest expense on the lease liability is recorded in the consolidated income statements under the heading “Interest

expense” (see note 37.2). Variable payments not included in the initial measurement of the lease liability are recorded under the

heading “Administration costs – Other administrative expense” (see Note 44.2).

Amortization is calculated using the straight-line method over the lifetime of the lease contract, on the basis of the cost of the assets.

The tangible asset depreciation charges are recognized in the accompanying consolidated income statements under the heading

"Depreciation and Amortization" (see Note 45).

When electing one of the exceptions in order not to recognize the corresponding right to use and the liability in the consolidated

balance sheets, payments related to the corresponding lease are recognized in the consolidated income statements, over the

contract period, lineally, or in the way that best represents the structure of the lease operation, under the heading "Other operating

expense” (see Note 42).

Operating lease and sublease incomes are recognized in the consolidated income statements under the headings “Other operating

income” (see Note 42).

As a lessor, lease contracts are classified as finance leases from the inception of the transaction if they substantially transfer all the

risks and rewards incidental to ownership of the asset forming the subject-matter of the contract. Leases other than finance leases

are classified as operating leases.

When the consolidated entities act as the lessor of an asset under finance leases, the aggregate present values of the lease payments

receivable from the lessee plus the guaranteed residual value (normally the exercise price of the lessee’s purchase option on

expiration of the lease agreement) are recognized as financing provided to third parties and, therefore, are included under the

heading “Loans and advances” in the accompanying consolidated balance sheets (see Note 14).

When the consolidated entities act as lessors of an asset in operating leases, the acquisition cost of the leased assets is recognized

under "Tangible assets – Property, plant and equipment – Other assets leased out under an operating lease" in the consolidated

balance sheets (see Note 17). These assets are depreciated in line with the criteria adopted for items of tangible assets for own use,

while the income arising from the lease arrangements is recognized in the consolidated income statements on a straight-line basis

within “Other operating income” and "Other operating expense" (see Note 42).

If a fair value sale and leaseback results in a lease, the profit or loss generated from the effectively transferred part of the sale is

recognized in the consolidated income statement at the time of sale (only for the effectively transmitted part).

P.37

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The assets leased out under operating lease contracts to other entities in the Group are treated in the Consolidated Financial

Statements as for own use, and thus rental expense and income is eliminated in consolidation and the corresponding depreciation is

recognized.

2.2.19Entities and branches located in countries with hyperinflationary economies

In accordance with the criteria established in IAS 29 "Financial Reporting in Hyperinflationary Economies”, to determine whether an

economy has a high inflation rate the country's economic situation is examined, analyzing whether certain circumstances are fulfilled,

such as whether the population prefers to keep its wealth or savings in non-monetary assets or in a relatively stable foreign currency,

whether prices can be set in that currency, whether interest rates, wages and prices are pegged to a price index or whether the

accumulated inflation rate over three years reaches or exceeds 100%. The fact that any of these circumstances is fulfilled will not be a

decisive factor in considering an economy hyperinflationary, but it does provide some reasons to consider it as such.

Argentina

Since 2018, the economy of Argentina has been considered hyperinflationary under the above criteria. As a result, the financial

statements of the BBVA Group’s entities located in Argentina have therefore been adjusted to correct for the effects of inflation.

During 2021, 2020 and 2019, the increase in equity of Group entities located in Argentina derived from the re-expression for

hyperinflation (IAS 29) amounts to €481, €343 and €470 million, respectively, of which €319, €228 and €313 million, respectively,

have been recorded within “Equity – Accumulated other comprehensive income (loss)” and €161, €115 and €157 million, respectively,

within “Minority interests – Accumulated other comprehensive income (loss)”. Furthermore, during 2021, 2020 and 2019 the

decrease in the reserves of Group entities located in Argentina derived from the conversion to the euro (IAS 21) amounted to €143,

€482 and €460 million, respectively, of which €94, €320 and €305 million, respectively, have been recorded within “Equity –

Accumulated other comprehensive income (loss)”, and €49, €162 and €155 million, respectively, within “Minority interests –

Accumulated other comprehensive income (loss)”. The net impact of both effects is presented under the caption “Other increases or

(-) decreases in equity” in the consolidated statement of changes in equity for the years ended December 31, 2021, 2020 and 2019.

The net loss in the profit attributable to the parent company of the Group in 2021, 2020 and 2019 derived from the application of IAS

29 amounted to €255, €148 and €190 million, respectively. In addition, there is a net loss in the profit attributable to the parent

company of the Group in 2021, 2020 and 2019 derived from the application of IAS 21 which amounted to €3, €26 and €34 million,

respectively.

During 2021, 2020 and 2019 the General Price Index (“GPI”) used was 582, 387 and 285 respectively. Likewise, the inflation index at

the end of 2021, 2020 and 2019 was 50.7%, 36.5% and 55% respectively.

Venezuela

Since 2009, the economy of Venezuela has been considered hyperinflationary under the above criteria. As a result, the financial

statements of the BBVA Group’s entities located in Venezuela have therefore been adjusted to correct for the effects of inflation.

The losses recognized under the heading “Profit attributable to the parent company” in the accompanying consolidated income

statement as a result of the adjustment for inflation on net monetary position of the Group entities in Venezuela amounted to €6, €5

and €8 million in 2021, 2020 and 2019, respectively (see Note 2.2.15).

2.3Recent IFRS pronouncements

Standards and interpretations that became effective in 2021

The following amendments to the IFRS standards or their interpretations (hereinafter “IFRIC” or "interpretation") became effective in

2021.

IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 - Modifications - IBOR reform

On August 27, 2020, the IASB issued the second phase of the reform of the IBOR reference indices, which involves the introduction of

amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16, to ensure that the financial statements reflect the economic effects of this

reform in the best possible way. These amendments focus on the accounting for financial instruments, once a new risk-free reference

index (Risk Free Rate, hereinafter “RFR”) has been introduced.

The modifications introduce the accounting relief for changes in the cash flows of financial instruments directly caused by the IBOR

reform if they take place in a context of "economic equivalence", by updating the effective interest rate of the instrument. Additionally,

they introduce a series of exemptions to the hedging requirements so as not to have to interrupt certain hedging relationships.

However, similar to the phase 1 amendments (which entered into force already in 2020) (see Note 15), the phase 2 amendments do

not contemplate exceptions to the valuation requirements applicable to hedged items and hedging instruments in accordance with

IFRS 9 or IAS 39. Thus, once the new reference index has been implemented, the hedged items and hedging instruments must be

valued in accordance with the new index, and the possible ineffectiveness that may exist in the hedge will be recognized in profit or

loss.

The IBOR transition to RFR is considered to be a complex initiative, which affects BBVA Group in different geographical areas and

business lines, as well as in a multitude of products, systems and processes. The main risks to which the Group is exposed due to the

P.38

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

transition are; (1) risk of litigation related to the products and services offered by the Group; (2) legal risks derived from changes in the

documentation required for existing operations; (3) financial and accounting risks, derived from market risk models and from the

measurement, hedging, cancellation and recognition of the financial instruments associated with the benchmark indices; (4) price

risk, derived from how changes in the indices could impact the pricing mechanisms of certain instruments; (5) operational risks, as

the reform may require changes to the Group's IT systems, business reporting infrastructure, operational processes and controls,

and (6) behavioral risks derived from the potential impact of customer communications during the transition period, which could lead

to customer complaints, regulatory penalties or reputational impact.

BBVA Group established a transition program, provided with a robust governance structure by means of an Executive Steering

Committee, with representation from senior management of the affected areas, which reports directly to the Group's Global

Leadership Team. At the local level, each geography has defined its own governance structure with the participation of senior

management. The coordination between geographies is realized through the Project Management Office (PMO) and the Global

Working Groups that incorporate a multi-geographic and transversal view on the areas of Legal, Risk, Regulatory, Finance and

Accounting and Engineering. The project also involves both Corporate Assurance of the different geographies and business lines and

Global Corporate Assurance of the Group.

This transition project has taken into account the different approaches and periods of transition to the new RFRs when evaluating the

various risks associated with the transition, as well as defining the lines of action in order to mitigate them. BBVA is aligned with the

Good Practices issued by the ECB that outline how banks can better structure their governance, identify related risks and create

contingent action plans and documentation in relation to the transition of reference rates.

During 2021, the BBVA Group has worked to modify all its contracts referenced to EONIA and LIBOR EUR, CHF, GBP, JPY and USD

(one-week and two-month maturity) to the corresponding RFRs. As of December 31, 2021, the Group continues to hold financial

assets and liabilities whose contracts are referenced to IBOR rates, mainly EURIBOR and LIBOR USD, as they are used, among others,

for loans, deposits and debt issues as well as underlying derivative financial instruments.

In the case of EONIA, during 2021 the BBVA Group carried out a novation of most of the contracts expiring after the end of 2021,

migrated the balances against clearing houses and renegotiated collateral contracts, replacing that index with the € STR.

In the case of the EURIBOR, the European authorities have encouraged modifications in its methodology so that it meets the

requirements of the European Regulation of Reference Indices, so this index does not disappear.

The official discontinuation date for LIBORs exUSD (GBP, CHF, EUR, JPY), USD LIBOR 1-week and 2-month indices was December 31,

2021, and for EONIA was January 3, 2022. However, the Financial Conduct Authority (FCA) and the European Commission have

established a legal safeguard in the event that there are some operations that could not be migrated before said discontinuation date.

In the case of the FCA, said legal safeguard, called Synthetic LIBOR, would apply only to contracts referenced to LIBOR GBP and

LIBOR JPY in terms of 1, 3 and 6 months, and allows the index to continue to be applied for an additional period. Moreover, the

European Commission, through what is known as the Statutory Fallback, provides a legal safeguard for EONIA contracts and for

LIBOR CHF (into force on January 1, 2022), so that in the contracts subject to this measure, said indices are automatically replaced

and by legal requirement, by the substitute indices identified in the standard.

The entity has actively collaborated in the IBOR transition, both for its support and participation in the sectorial working groups and

for its commitment to remediate the contracts with its counterparties. In this sense, the entity has carried out a process of

communication and contact with the counterparties to modify the terms of the contractual relations in such a way that said

agreements have been modified using different mechanisms: through the inclusion of addenda to the contracts, by the adherence to

industry standard protocols, the transition of operations by clearing house, the cancellation of contracts and subscription of new

ones, or by the transition through other legislative mechanisms.

This process has been managed through the monitoring mechanisms and indicators that have been developed by the working groups

within the Group. The process will remain active for the management of the transition of the USD (for the rest of the affected terms in

June 2023), the transition of other currencies and those contracts that, to a lesser extent, have been referenced to the proposed

synthetic solution by the FCA, as this is a temporary measure. Likewise, work continues to adapt all systems and processes in the

treatment of alternative RFR indices, such as SOFR and SONIA.

Below is the BBVA Group's exposure to financial assets and liabilities maturing after the transition dates of these IBORs to their

corresponding RFRs. At the end of the year, thanks to efforts in remediation of contracts, the BBVA Group has robust transition

fallbacks or a synthetic or statutory solution for all operations with EONIA and LIBOR EUR, CHF, GBP, JPY and USD (for terms of one

week and two months) pending transition as of December 31, 2021. The table shows the gross amounts in the case of loans and

advances to customers, asset and liability debt instruments, and deposits and, in the case of derivatives, their notional value is shown:

P.39

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Millions of Euros

Loans &

Advances

Debt Securities

Assets

Debt Securities

Issued

(Liabilities)

Deposits

Derivatives

(notional)

EONIA with maturity > December 31, 2021

—

371

7,079

LIBOR ex USD & LIBOR USD 1W/2M with

maturity > December 31, 2021

1,568

—

243

846

27,343

LIBOR USD with maturity > June 30, 2023

21,256

158

1,974

2,015

474,701

Total

22,883

158

2,217

3,232

509,122

It should be noted that all of these exposures (with the exception of USD LIBOR for terms other than one week and two months)

change their references effectively, and with the mechanisms described above, since January 1, 2022, depending on the next interest

rate fixes.

83.76% of the amount of derivatives referenced to LIBOR EUR, CHF, GBP, JPY and USD (for terms of one week and two months)

corresponds to operations through a clearing house.

Amendments to IFRS 4 – Insurance Contracts

The amendment to IFRS 4 includes a deferral in the temporary exception option regarding the application of IFRS 9 for entities whose

business model is predominantly an insurance model until January 1, 2023, aligning it with the entry into force of the IFRS 17

Insurance Contracts rule. This modification is applicable from January 1, 2021, although it will not have an impact on the Group since

the Group will not take such option.

Modification of IFRS 16 – Leases: practical exemption for lessees due to the COVID-19 pandemic.

The IASB has extended the term to qualify for the exemption that allows tenants not to register concessions in rents as a modification

of the lease if they are a direct consequence of COVID-19. This exemption has not had an impact on the Group since the Bank has not

received concessions on its rents as a result of COVID-19.

The application of the exemption will remain optional and applies to rent concessions made until June 30, 2022.

Standards and interpretations issued but not yet effective as of December 31, 2021

The following new International Financial Reporting Standards together with their Interpretations had been published at the date of

preparation of the accompanying consolidated financial statements, but are not mandatory as of December 31, 2021. Although in

some cases the IASB allows early adoption before their effective date, the BBVA Group has not proceeded with this option for any

such new standards.

IFRS 17 – Insurance contracts

In May 2017, the IASB issued the new accounting standard for insurance contracts, which was later amended in June 2020, with the

aim of helping entities in the implementation of the standard and to facilitate the understanding of the financial statements, although

the amendment maintained the fundamental principles of the original standard. An entity shall apply IFRS 17 for annual reporting

periods beginning on or after January 1, 2023 (with at least one year of comparative information). The standard has already been

adopted by the European Union.

IFRS 17 establishes the accounting principles for insurance contracts. This new standard supersedes IFRS 4, by introducing

substantial changes in the accounting of insurance contracts with the aim of achieving greater homogeneity and increasing

comparability among entities.

Unlike IFRS 4, the new standard establishes minimum requirements for grouping insurance contracts for the purposes of their

recognition and measurement, determining the units of account by considering three levels: portfolios (contracts subject to similar

risks and managed together), annual cohorts and their possibility of becoming onerous.

Regarding the measurement model, the new standard contemplates several methods, being the General Model (Building Block

Approach) the method that will be applied by default for the valuation of insurance contracts, unless the conditions are given to apply

any of the two other methods: the Variable Fee Approach, and the Simplified Model (Premium Allocation Approach).

With the implementation of IFRS 17, the valuation of insurance contracts will be based on a model that will use updated assumptions

at each balance sheet date.

The General Model requires entities to value insurance contracts for the total of:

–fulfillment cash flows, which comprise the estimation of future cash flows discounted to reflect the time value of money, the

financial risk associated with future cash flows, and a risk adjustment for non-financial risk;

P.40

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–and the contractual service margin, which represents the expected unearned benefit from the insurance contracts, which

will be recognized in the entity’s income statement as the service is provided in the future, instead of being recognized at

the time of the estimation.

The amounts recognized in the income statement shall be classified into insurance revenue, insurance service expenses and

insurance finance income or expenses. Insurance revenue and insurance service expenses shall exclude any investment components.

Insurance revenue shall be recognized over the period the entity provides insurance coverage.

Since 2019, the Group has been developing a project to implement IFRS 17 in order to harmonize the criteria in the Group and with the

participation of all involved areas and countries. A sound governance has been established in this project, through a Steering

Committee with representation from the senior management of the affected areas, which periodically reviews its progress. At the

local level, each geography has defined a local governance structure with the participation of senior management.

The Group continues with the planned roadmap for the implementation of the standard, progressing during the years 2019, 2020 and

2021 with the definition of criteria, the actuarial modelling of cash flows and components required by the standard, the data supply,

the systems technological adaptation, the preparation of accounting information, the governance of the reporting process to the

Group and the development of the transition.

In 2022, the assessment of the transition impact on the Group's financial statements will be completed, and the Group will carry out

parallel accounting under both existing standards and IFRS 17. Initially, the Group considers that, if applicable, the quantitative impact

of the transition would come from long-term products, mainly motivated by the identification of products that are classified as

"onerous". Additionally, differences could arise in other comprehensive income caused by the method of calculation of insurance

liabilities provided in IFRS 17, which is based on the difference in valuation of insurance liabilities between the discount rates at

inception (locked-in) and the closing rates.

Amendments to IAS 1 “Presentation of financial statements” and IAS 8 “Accounting policies, changes in accounting

estimates and errors"

In February 2021 the IASB issued amendments to this IAS with the aim of improving the quality of the disclosures in relation to the

accounting policies applied by the entities with the ultimate aim of providing useful and material information in the financial

statements.

The amendments to IAS 1 require companies to disclose their material accounting policy information rather than their significant

accounting policies and include guidance on how to apply the concept of materiality to accounting policy disclosures. The

amendments to IAS 8 also clarify how companies should distinguish changes in accounting policies from changes in accounting

estimates. The amendments will be effective for annual reporting periods beginning on or after January 1, 2023. No significant impact

is expected on BBVA's consolidated financial statements.

Amendment IAS 12 – Income taxes

The IASB has issued an amendment to IAS 12 that clarifies how companies recognize deferred tax on transactions such as leases and

decommissioning obligations.

The amendments conclude that entities should recognize deferred taxes on leases and dismantling provisions following the criteria

established in IAS 12. The aim of the amendments is to reduce diversity in the reporting of deferred tax on leases and

decommissioning obligations. The amendments will be effective for annual reporting periods beginning on or after January 1, 2023,

with early application permitted. No significant impact is expected on the BBVA Group´s consolidated financial statements.

Minor changes to IFRS Standards (IFRS 3 Business Combinations, IAS 16 Property, Plant and Equipment, IAS 37 Provisions)

and Annual Improvements to IFRS 2018-2020 (IFRS 1 - First application of IFRS, IFRS 9 Financial Instruments, IAS 41

Agriculture and modifications to the illustrative examples of IFRS 16 - Leases)

The IASB has issued minor amendments and improvements to various IFRSs to clarify the wording or correct minor consequences,

oversights or conflicts between the requirements of the Standards. The modified standards are: IFRS 3 Business Combination, IAS 16

Property, Plant and Equipment, IAS 37 Provisions, IAS 1 First application of IFRS, IFRS 9 Financial Instruments, IAS 41 Agriculture and

IFRS 16 Leases (modifications to the illustrative examples)

The amendments will be effective for annual reporting periods beginning on or after January 1, 2022. No significant impact is

expected on the BBVA Group's consolidated financial statements.

P.41

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

3.BBVA Group

The BBVA Group is an international diversified financial group with a significant presence in retail banking, wholesale banking and

asset management. The Group also operates in the insurance sector.

The following information is detailed in the appendices of these consolidated financial statements of the Group for the year ended

December 31, 2021:

–Appendix I shows relevant information related to the consolidated subsidiaries and structured entities.

–Appendix II shows relevant information related to investments in joint ventures and associates accounted for using the

equity method.

–Appendix III shows the main changes and notification of investments and divestments in the BBVA Group.

–Appendix IV shows fully consolidated subsidiaries with more than 10% owned by non-Group shareholders.

The following table sets forth information related to the Group’s total assets as of December 31, 2021, 2020 and 2019, broken down

by the Group’s entities according to their activity:

Contribution to Consolidated Group total assets. Entities by main activities (Millions of euros)

2021

2020

2019

Banking and other financial services

631,683

703,304

664,100

Insurance and pension fund managing companies

29,657

28,667

29,300

Other non-financial services

1,545

1,826

2,071

Total

662,885

733,797

695,471

The total assets and results of operations broken down by operating segments are included in Note 6.

The BBVA Group’s activities are mainly located in Spain, Mexico, South America and Turkey, with active presence in the rest of

Europe, the United States and Asia:

–Spain. The Group’s activity in Spain is mainly carried out through Banco Bilbao Vizcaya Argentaria, S.A. The Group also has

other entities that mainly operate in Spain’s banking sector and insurance sector.

–Mexico. The BBVA Group operates in Mexico, not only in the banking sector, but also in the insurance sector through BBVA

Mexico.

–South America. The BBVA Group’s activities in South America are mainly focused on the banking, financial and insurance

sectors, in the following countries: Argentina, Colombia, Peru, Uruguay and Chile. It has a representative office in Sao Paulo

(Brazil). The Group owns more than 50% of most of the entities based in these countries. Appendix I shows a list of the

entities which, although less than 50% owned by the BBVA Group as of December 31, 2021, are consolidated (see Note 2.1).

–Turkey. The Group’s activity in Turkey is mainly carried out through the Garanti BBVA Group.

–Rest of Europe. Group's activity in Europe (excluding Spain) is carried out by banking and financial institutions, mainly in

Switzerland, Italy, Germany, the Netherlands and Romania and the Bank's branches in Germany, Belgium, France, Italy,

Portugal and the United Kingdom.

–United States. The Group's activity in the United States is mainly carried out by the branch of Banco Bilbao Vizcaya

Argentaria, S.A. in New York, the Branch of BBVA Mexico in Houston, participations in technology companies through funds

and investment vehicles, including the venture capital fund Propel Venture Partners, the broker-dealer business BBVA

Securities Inc., and a representative office in Silicon Valley (California).

–Asia. The Group's activity in Asia is conducted through the Bank's branches (Taipei, Tokyo, Hong Kong, Singapore and

Shanghai) and representative offices (Beijing, Seoul, Mumbai, Abu Dhabi and Jakarta).

Significant transactions in the Group in 2021

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

On November 15, 2021, BBVA announced a voluntary takeover bid addressed to the holders of the 2,106,300,000 shares1 not

controlled by BBVA, representing 50.15% of Garanti's total share capital. BBVA submitted for authorization an application of the

voluntary takeover bid to the Capital Markets Board of Turkey (CMB) on November 18, 2021.

P.42

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

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

The consideration offered by BBVA to Garanti shareholders is 12.20 Turkish Liras in cash for each share. The maximum amount

payable by BBVA will be 25,697 million Turkish Liras (equivalent to approximately €1,690 million at an exchange rate of 15.23 Turkish

Liras per Euro estimated as of December 31, 2021) assuming all of Garanti's shareholders sell their shares. BBVA will pay the

consideration with its current shareholder's funds. BBVA reserves the right to reduce or otherwise modify the voluntary takeover bid

price by an amount equal to the gross amount of the distribution per share, if Garanti declares or distributes dividends, reserves or

any other kind of distribution to its shareholders at any time from the date of the announcement on November 15, 2021 until the day

of completion of the voluntary takeover bid. BBVA may cancel the takeover bid at any time before the commencement of the

acceptance period.

The acquisition by BBVA of more than 50% of Garanti's total share capital is subject to the prior approval of several authorities, both

in Turkey and in other jurisdictions. BBVA will disclose to the market when all relevant authorizations are obtained. BBVA has received

confirmation from the CMB that it will not formally approve the voluntary takeover bid application until the CMB receives confirmation

from BBVA that all relevant approvals required by BBVA have been duly obtained. Only after approval by the CMB of the voluntary

takeover bid application will the voluntary takeover bid period begin.

The estimated impact will depend on the percentage of shares that are tendered. As of December 31, 2021, BBVA estimated

maximum impact of minus 32 basis points in the Common Equity Tier 1 fully loaded ratio and approximately 2% accretion to its book

value per share2, (all the above assuming that all Garanti shareholders accept the offer).

Divestitures

Sale of BBVA’s U.S. subsidiary to PNC Financial Service Group

On June 1 2021, after obtaining all the required authorizations, BBVA completed the sale to The PNC Financial Services Group, Inc. of

100% of the capital stock of its subsidiary BBVA USA Bancshares, Inc., which in turn owned all the capital stock of the bank, BBVA

USA.

The consideration received in cash by BBVA amounted to approximately 11,500 million USD (price provided in the agreement minus

the agreed closing price adjustments) equivalent to approximately €9,600 million (with an exchange rate of 1.20 EUR / USD).

The accounting of both the results generated by BBVA USA Bancshares since the announcement of the transaction and the closing of

its sale has had an aggregate positive impact on the BBVA Group's Common Equity Tier 1 ("fully loaded") ratio of approximately 294

basis points, which includes the generation of capital contributed by the subsidiary to the Group until the closing of the transaction

(on June 1, 2021) and a profit net of taxes of €582 million. As a result thereof, the BBVA Group has been reflecting the results that

BBVA USA Bancshares, Inc. has been generating, as well as the positive impact, mainly, of these results on the Common Equity Tier 1

("fully loaded") ratio of BBVA Group. The calculation of the impact on Common Equity Tier 1 has been made taking into account the

amount of the transaction in euros and BBVA Group's financial statements as of June 2021.

The BBVA Group continues to develop an institutional and wholesale business in the United States that it currently carries out

through its broker-dealer BBVA Securities Inc. and the New York branch. BBVA also maintains its investment activity in the fintech

sector through its participation in Propel Venture Partners US Fund I, L.P.

Note 21 shows a breakdown of the financial information of the companies sold in the United States as of December 31, 2021, 2020

and 2019 and the results of those companies as of and for the first five months of 2021 and the years ended 2020 and 2019.

Sale of the BBVA Group's stake in Paraguay

On January 22, 2021, once the mandatory authorizations were obtained, BBVA completed the sale of its direct and indirect

shareholding of 100% of the capital stock of Banco Bilbao Vizcaya Argentaria Paraguay, S.A. (“BBVA Paraguay”) to Banco GNB

Paraguay S.A., a subsidiary of the Gilinski Group. This transaction was originally agreed in 2019. The total amount received by BBVA

amounted to approximately USD 250 million (approximately €210 million). The transaction generated a capital loss net of taxes of

approximately €9 million. This transaction had a positive impact on the Common Equity Tier 1 (fully loaded) of the BBVA Group of

approximately 6 basis points, which is reflected in the capital base of the BBVA Group in the fiscal year 2021.

Significant transactions in the Group in 2020

Divestitures

Alliance with Allianz, Compañía de Seguros y Reaseguros, S.A.

On April 27, 2020, BBVA reached an agreement with Allianz, Compañía de Seguros y Reaseguros, S.A. to create a bancassurance

joint venture in order to develop the non-life insurance business in Spain, excluding the health insurance line of the business.

P.43

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

2 The calculation of the impact on Common Equity Tier 1 and tangible book value per share was made taking into consideration the consolidated Group’s financial statements as of

December 31, 2021, and an exchange rate of 15.23 Turkish Lira per Euro. The impact on CET1 and the tangible book value per share may be different from the date of this

disclosure up to the date of closing of the Voluntary Takeover Bid due to, among other circumstances, changes in the book value of Garanti and changes in the Turkish Lira/Euro

exchange rate.

On December 14, 2020, once the required authorizations had been obtained, BBVA completed the operation and announced the

transfer to Allianz, Compañía de Seguros y Reaseguros, S.A. of half plus one share of the company BBVA Allianz Seguros y

Reaseguros, S.A., for which it received €274 million, without taking into account a variable part of the price (up to €100 million

depending on certain objectives and planned milestones). This operation resulted in a profit net of taxes of €304 million and a positive

impact on the fully loaded CET1 of the BBVA Group of 7 basis points, recorded in the Consolidated Financial Statements for the year

ended December 31, 2020.

4.Shareholder remuneration system

Cash Dividends in financial years 2019 and 2020

Throughout 2019 and 2020, BBVA's Board of Directors approved the payment of the following dividends (interim or final dividends)

fully in cash, recorded in "Total Equity- Interim Dividends" and "Total Equity - Retained earnings" of the consolidated balance sheet of

the relevant year:

–The Annual General Meeting of BBVA held on March 15, 2019, approved, under item 1 of the Agenda, the payment of a final

dividend for 2018, in addition to other dividends previously paid, in cash for an amount equal to €0.16 (€0.1296 net of

withholding tax) per BBVA share. The total amount paid to shareholders on April 10, 2019, after deducting treasury shares

held by the Group's Companies, amounted to €1,064 million and is recognized under the heading "Total equity- Retained

earnings" of the consolidated balance sheet as of December 31, 2019.

–The Board of Directors, at its meeting held on October 2, 2019, approved the payment in cash of €0.10 (€0.081 net of

withholding tax) per BBVA share, as gross interim dividend based on 2019 results. The total amount paid to shareholders on

October 15, 2019, after deducting treasury shares held by the Group's companies, amounted to €665 million and is

recognized under the heading "Total equity- Interim dividends" of the consolidated balance sheet as of December 31, 2019.

–The Annual General Meeting of BBVA held on March 13, 2020, approved, under item 1 of the Agenda, the payment of a final

dividend for 2019, in addition to other dividends previously paid, in cash for an amount equal to €0.16 (€0.1296 net of

withholding tax) per BBVA share. The total amount paid to shareholders on April 9, 2020, after deducting treasury shares

held by the Group's Companies, amounted to €1,065 million and is recognized under the heading "Total equity- Retained

earnings" of the consolidated balance sheet as of December 31, 2020.

ECB recommendations for 2020

In accordance with recommendation ECB/2020/19 issued by the ECB on March 27, 2020 on dividend distributions during the

COVID-19 pandemic, the Board of Directors of BBVA resolved to modify for the financial year corresponding to 2020 the dividend

policy of the Group, announced on February 1, 2017, determining as new policy for 2020 not to pay any dividend amount

corresponding to 2020 until the uncertainties caused by COVID-19 disappear and, in any case, not before the end of such fiscal year.

On July 27, 2020, the ECB prolonged this recommendation until January 1, 2021 by adopting recommendation ECB/2020/35.

On December 15, 2020 the ECB issued recommendation ECB/2020/62, repealing recommendation ECB/2020/35 and

recommending that significant credit institutions exercise extreme prudence when deciding on or paying out dividends or performing

share buy-backs aimed at remunerating shareholders.

Shareholder remuneration during financial year 2021

BBVA notified on January 29, 2021, by means of Privileged Information, that it intended to resume its shareholder remuneration

policy in 2021, announced on February 1, 2017, via Relevant Event, contingent upon the repealing of recommendation ECB/2020/62

and the absence of further restrictions or limitations.

The Annual General Meeting held on April 20, 2021 approved, in the third item of its agenda, a cash distribution from the issue

premium account of €0.059 per share as shareholder remuneration in respect of the Group’s 2020 earnings for each of the Bank's

outstanding shares, all this in compliance with recommendation ECB/2020/62, which was paid on April 29, 2021. The total amount

was €393 million and was recognized under the heading “Total Equity – Share Premium” of the consolidated balance sheet as of

December 31, 2021 (see Note 27).

On July 23, 2021, the European Central Bank published the approval of recommendation ECB/2021/31 repealing recommendation

ECB/2020/62 from September 30, 2021, whereby the ECB indicated that it would assess capital, dividend distribution and share

buyback plans of each financial institution in the context of their ordinary supervisory process, eliminating the remaining restrictions

on dividend and share buyback related matters established in recommendation ECB/2020/62.

In keeping with the above, the Board of Directors, at its meeting held on September 30, 2021, approved the payment in cash of €0.08

(€0.0648 net of withholding tax) per BBVA share, as gross interim dividend against 2021 results. The total amount paid to

shareholders on October 12, 2021, after deducting treasury shares held by the Group's companies, amounted to €532 million and is

recognized under the heading "Shareholder’s funds - Total equity- Interim dividends" of the consolidated balance sheet as of

December 31, 2021.

P.44

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The forecasted financial statement, drawn up in compliance with the applicable legal requirements, which evidenced the existence of

sufficient liquidity to distribute the abovementioned amount approved on September 29, 2021 was the following:

Available amount for interim dividend payments (Millions of Euros)

August 31,

2021

Profit of BBVA, S.A., after the provision for income tax

934

Maximum amount distributable

934

Amount of proposed interim dividend

533

BBVA cash balance available to the date

31,887

Other shareholder remuneration

On February 3, 2022, it was announced that a cash distribution in the amount of €0.23 gross per share as shareholder remuneration

in relation to the Group's result in the 2021 financial year was expected to be submitted to the relevant governing bodies of BBVA for

consideration (see Note 56).

Share buyback program

On October 26, 2021, BBVA obtained the pertinent authorization from the European Central Bank to buy back up to 10% of its share

capital for a maximum of €3.5 billion, in one or several tranches and over the course of a 12-month period (the “Authorization”).

Upon receiving the authorization and making use of the delegation conferred by the BBVA Annual General Meeting held on March 16,

2018, at its meeting of October 28, 2021, BBVA Board of Directors resolved to carry out a framework share buyback program in

compliance with Regulation (EU) no. 596/2014 of the European Parliament and the Council of April 16, 2014 on market abuse and

Delegate Regulation (EU) no. 2016/1052 of the Commission, of March 8, 2016, to be executed in various tranches up to a maximum of

€3.5 billion, with the aim of reducing BBVA's share capital (the “Framework Program”), notwithstanding the possibility of terminating

or cancelling the Framework Program at an earlier date where advisable due to the concurrence of a series of specific circumstances,

as well as to carry out a first share buyback program within the Framework Program (the "First Tranche"), which was notified as

Privileged Information on October 29, 2021.

On November 19, BBVA notified by means of Privileged Information that the First Tranche would be executed externally through J.P.

Morgan AG as manager, for a maximum amount of €1,500 million, for the purchase of a maximum number of shares of 637,770,016

representing, approximately, 9.6% of BBVA's share capital as of the date of the agreement, and that the first program would begin on

November 22, 2021, and that it would conclude not earlier than November 22, 2021 or later than April 5, 2022, and, in any case,

whenever, within said timeframe the maximum monetary amount is reached, or the maximum number of shares is purchased.

Between November 22 and December 31, 2021, J.P. Morgan AG, as manager of the First Tranche, acquired 112,254,236 BBVA shares

(see Note 29). Between January 1 and February 3, 2022, J.P. Morgan AG has acquired 65,272,189 BBVA shares.

On February 3, 2022, BBVA announced that its Board of Directors agreed, within the Framework Program, to carry out a second

buyback program (the “Second Tranche”) aimed at reducing BBVA’s share capital, for a maximum amount of €2,000 million and a

maximum number of shares to be acquired equal to the result of subtracting from 637,770,016 own shares (9.6% of BBVA’s share

capital at that date) the number of own shares finally acquired in execution of the First Tranche. The implementation of the Second

Tranche, which will also be executed externally through a lead-manager, will begin after the end of the implementation of the First

Tranche and shall end no later than October 15, 2022 (see Note 56).

Amendment of Shareholder Remuneration Policy

On November 18, 2021, BBVA announced that the Board of Directors of BBVA agreed to modify the Group’s shareholder distribution

policy, which was communicated as relevant information on February 1, 2017, with registration number 247679 establishing a new

policy consisting in an annual distribution of between 40% and 50% of the consolidated ordinary profit of each year (excluding

extraordinary amounts and items included in the consolidated profit and loss account), compared to the previous policy of

distributing between 35% and 40%.

This policy will be implemented through the distribution of an interim dividend for the year (expected to be paid in October of each

year) and a final dividend (to be paid once the year has ended and the allocation of the year-end profit has been approved, expected to

take place in April of each year), with the possibility of combining cash distributions with share buybacks (the execution of the share

buyback program will be deemed an extraordinary shareholder remuneration and will, therefore, not be included within the scope of

the policy), all subject to the relevant authorizations and approvals applicable at any given time.

P.45

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Proposal on allocation of earnings for 2021

Below is included a breakdown of the distribution of the Bank´s earnings for financial year 2021, which the Board of Directors will

submit to the Annual General Meeting for approval.

Allocation of earnings (Millions of Euros)

2021

Profit (loss) for year

1,080

Distribution

Interim dividends

533

Reserves / Accumulated gains

547

5.Earnings per share

Basic and diluted earnings per share are calculated in accordance with the criteria established by IAS 33. For more information see

Glossary.

The calculation of earnings per share is as follows:

Basic and Diluted Earnings per Share

2021

2020

2019

Numerator for basic and diluted earnings per share (millions of euros)

Profit attributable to parent company

4,653

1,305

3,512

Adjustment: Additional Tier 1 securities (*)

(359)

(387)

(419)

Profit adjusted (millions of euros) (A)

4,293

917

3,093

Profit (loss) from continued operations (net of remuneration of Additional Tier 1

capital instruments)

4,014

2,646

3,851

Profit (loss) from discontinued operations (net of non-controlling interest) (B) (See

Note 21)

280

(1,729)

(758)

Denominator for basic earnings per share (number of shares outstanding)

—

Weighted average number of shares outstanding (**)

6,668

Average treasury shares

(12)

(13)

(20)

Share buyback program (***)

(255)

—

Adjusted number of shares - Basic earnings per share (C)

6,401

6,655

6,648

Adjusted number of shares - diluted earnings per share (D)

6,401

6,655

6,648

Earnings (losses) per share (****)

0.67

0.14

0.47

Basic earnings (losses) per share from continuing operations (Euros per share)A-B/

0.63

0.40

0.58

Diluted earnings (losses) per share from continuing operations (Euros per share)A-

B/D

0.63

0.40

0.58

Basic earnings (losses) per share from discontinued operations (Euros per share)B/

0.04

(0.26)

(0.11)

Diluted earnings (losses) per share from discontinued operations (Euros per

share)B/D

0.04

(0.26)

(0.11)

(*) Remuneration in the year related to contingent convertible securities, recognized in equity (see Note 22.4).

(**) Weighted average number of shares outstanding (millions of euros), excluding weighted average of treasury shares during the year.

(***) Consists of 112 million shares acquired between November 22 and December 31, 2021, by J.P. Morgan AG, as manager of the first tranche of the shares buyback program

approved by the Board of Directors in October 2021 (€1,500 million); and the estimated number of shares pending to be acquired under such tranche as of December 31, 2021

(see Note 4)

(****) In 2021, 2020 and 2019 the weighted average number of shares outstanding was 6,668 million. The adjustment of additional Tier 1 securities amounted to €359, €387 and

€419 million in 2021, 2020 and 2019, respectively.

As of December 31, 2021, 2020 and 2019, there were no other financial instruments or share option commitments to employees that

could potentially affect the calculation of the diluted earnings per share for the years presented. For this reason, basic and diluted

earnings per share are the same.

P.46

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

6.Operating segment reporting

Operating segment reporting represents a basic tool in the oversight and management of the BBVA Group’s various activities. The

BBVA Group compiles reporting information on disaggregated business activities. These business activities are then aggregated in

accordance with the organizational structure determined by the BBVA Group and, ultimately, into the reportable operating segments

themselves.

As of December 31, 2021 the structure of the information by operating segments reported by the BBVA Group differs from that

presented at the end of the 2020 financial year, mainly as a consequence of the exclusion of the United States as an operating

segment, as a result of the sale agreement reached with PNC and the completion of the transaction (see Note 3). Most of the

businesses in the United States excluded from this agreement, together with those of the former operating segment “Rest of

Eurasia” (which has been eliminated) constitute a new operating segment called “Rest of Business”.

The BBVA Group's operating segments as of December 31, 2021 are summarized below:

–Spain

Includes mainly the banking and insurance business that the Group carries out in Spain, including the results of the new

company BBVA Allianz Seguros y Reaseguros, S.A. (see Note 3).

–Mexico

Includes banking and insurance businesses in this country as well as the activity of BBVA Mexico in Houston.

–Turkey

Includes the activity of Garanti BBVA group that is mainly carried out in this country and, to a lesser extent, in Romania and

the Netherlands.

–South America

Primarily includes the Group´s banking and insurance businesses in the region. With respect to the sale of BBVA Paraguay,

the closing of the transaction took place in January 2021 (see Note 3).

–Rest of Business

Mainly includes the wholesale activity carried out in Europe (excluding Spain), and the United States through to the New

York branch, as well as the institutional business that the Group develops in the United States through its broker-dealer

BBVA Securities Inc. It also includes the banking business developed through the five BBVA branches located in Asia.

Lastly, Corporate Center performs centralized Group functions, including: the costs of the head offices with a corporate function;

management of structural exchange rate positions; portfolios whose management is not linked to customer relationships, such as

financial and industrial holdings; stakes in Funds & Investment Vehicles in tech companies including the stake in the venture capital

fund Propel Venture Partners; certain tax assets and liabilities; funds for employee commitments; goodwill and other intangible

assets, as well as the financing of such portfolios and assets. Additionally, the results obtained by the Group's businesses in the

United States until completion of the sale to PNC on June 1, 2021 (see Note 21), are presented in a single line under the heading "Profit

(loss) after tax from discontinued operations" in the consolidated income statement and in the income statement of the Corporate

Center. Finally, the costs related to the Banco Bilbao Vizcaya Argentaria, S.A. restructuring process in Spain, which process is

considered to be a strategic decision, are registered in the lines "Provisions", "Provisions or reversal of provisions", "Impairment or

reversal of impairment on non-financial assets" and "Gains (losses) from non-current assets and disposal groups classified as held for

sale not qualifying as discontinued operations" (see Notes 24, 46, 49 and 50).

The breakdown of the BBVA Group’s total assets by operating segments as of December 31, 2021, 2020 and 2019, is as follows:

Total Group assets by operating segments (Millions of Euros)

2021

2020 (*)

2019 (*)

Spain

413,477

408,030

367,678

Mexico

118,106

110,236

109,087

Turkey

56,245

59,585

64,416

South America

56,124

55,436

54,996

Rest of Business

40,314

35,172

32,891

Subtotal assets by operating segments

684,266

668,460

629,068

Corporate Center and adjustments

(21,381)

65,336

66,403

Total assets BBVA Group

662,885

733,797

695,471

(*) The figures corresponding to 2020 and 2019 have been restated.

P.47

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The following table sets forth certain summarized information relating to results of each operating segment and Corporate Center for

the years ended December 31, 2021, 2020 and 2019:

Main margins and profit by operating segments (Millions of euros)

Operating Segments

BBVA

Group

Spain

Mexico

Turkey

South

America

Rest of

Business

Corporate

Center

2021

Net interest income

14,686

3,502

5,836

2,370

2,859

281

(163)

Gross income

21,066

5,925

7,603

3,422

3,162

741

212

Operating income

11,536

2,895

4,944

2,414

1,661

291

(668)

Operating profit (loss) before tax

7,247

2,122

3,528

1,953

961

314

(1,632)

Profit (loss) after tax from discontinued

operations

280

—

280

Net attributable profit (loss) (**)

4,653

1,581

2,568

740

491

254

(980)

2020 (*)

Net interest income

14,592

3,566

5,415

2,783

2,701

291

(164)

Gross income

20,166

5,567

7,025

3,573

3,225

839

(63)

Operating income

11,079

2,528

4,680

2,544

1,853

372

(898)

Operating profit (loss) before tax

5,248

823

2,475

1,522

896

280

(748)

Profit (loss) after tax from discontinued

operations

(1,729)

—

(1,729)

Net attributable profit (loss) (**)

1,305

652

1,761

563

446

222

(2,339)

2019 (*)

Net interest income

15,789

3,585

6,209

2,814

3,196

236

(252)

Gross income

21,522

5,674

8,034

3,590

3,850

728

(353)

Operating income

11,368

2,420

5,383

2,375

2,276

249

(1,336)

Operating profit (loss) before tax

7,046

1,896

3,690

1,341

1,396

222

(1,499)

Profit (loss) after tax from discontinued

operations

(758)

—

(758)

Net attributable profit (loss) (**)

3,512

1,436

2,698

506

721

184

(2,032)

(*) The figures of the Operating Segments corresponding to 2020 and 2019 have been restated.

(**) See Note 55.2.

The accompanying Consolidated Management Report presents the consolidated income statements and the consolidated balance

sheets by operating segments.

P.48

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

7.Risk management

7.1Risk factors

BBVA Group has processes in place for identifying risks and analyzing scenarios in order to enable the Group to manage risks in a

dynamic and proactive way.

The risk identification processes are forward looking to seek the identification of emerging risks and take into account the concerns of

both the business areas, which are close to the reality of the different geographical areas, and the corporate areas and senior

management.

Risks are identified and measured consistently using the methodologies deemed appropriate in each case. Their measurement

includes the design and application of scenario analyzes and stress testing and considers the controls to which the risks are

subjected.

As part of this process, a forward projection of the Risk Appetite Framework (RAF) variables in stress scenarios is conducted in order

to identify possible deviations from the established thresholds. If any such deviations are detected, appropriate measures are taken to

keep the variables within the target risk profile.

In this context, there are a number of emerging risks that could affect the evolution of the Group's business. These risks are included

in the following blocks:

–Risk associated with the COVID-19 pandemic

The COVID-19 (coronavirus) pandemic has adversely affected the world economy, and economic activity and conditions in the

countries in which the Group operates. Despite the gradual improvement experienced in 2021 driven by the increase in the rate of

vaccination, new waves of contagion continue to be a source of concern and the emergence of new strains remains a risk. Among

other challenges, these countries are still dealing with high unemployment levels, weak activity, supply disruptions and increasing

inflationary pressures, while public debt has increased significantly due to the support and spending measures implemented by the

government authorities. Furthermore, there has been an increase in loan losses from both companies and individuals, which has so

far been slowed down by the impact of government support measures, including bank payment deferrals, credit with public guarantee

and direct aid measures. Likewise, volatility in the financial markets has affected exchange rates - mainly in emerging economies- and

the value of assets and investments, which has adversely affected the Group's results in the past, and could do so again. There are still

uncertainties about the final future impact of the COVID-19 pandemic, mainly if there is an increase in infections caused by the new

variants of the coronavirus.

Furthermore, the Group has been and may be affected during the following quarters or years by the measures or recommendations

adopted by regulatory authorities in the banking sector, such as variations in reference interest rates, the modification of prudential

requirements, the temporary suspension of dividend payments, the modification of the deferral of monthly installments for certain

loans and the granting of guarantees or public guarantees to new credit operations for companies and self-employed persons, the

adoption of further similar measures or the termination of those already approved, as well as any changes in financial assets purchase

programs by the ECB.

Since the outbreak of the pandemic, the Group has experienced a decline in its activity. For example, the granting of new loans to

individuals has generally decreased. In addition, the Group faces various risks, such as an increased risk of volatility in the value of its

assets (including financial instruments valued at fair value, which may suffer significant fluctuations) and of the securities held for

liquidity reasons, a possible increase in the NPL ratio and risk-weighted assets, as well as a negative impact on the Group's cost of

financing and on its access to financing (especially in an environment where credit ratings are affected). Following the generalized

lifting of mobility restrictions and the increasing resumption of normal operations, greater emphasis is being placed on the particular

circumstances of each customer, in addition to its respective industry or sector.

Furthermore, the pandemic could continue to adversely affect the business and transactions of third parties that provide critical

services to the Group and, in particular, the higher demand and/or the lower availability of certain resources could, in some cases,

make it more difficult for the Group to maintain the required service levels. In addition, the widespread use of remote work has

increased the risks related to cybersecurity, as the use of non-corporate networks has increased.

In summary, while the COVID-19 pandemic had adverse effects on the Group's results and capital base during 2020, these were

mitigated throughout 2021, with improvements in the global economic background leading to a strong improvement in 2021 results.

–Macroeconomic and geopolitical risks

In 2021 the global economy has grown significantly, recovering in part from the crisis caused by the pandemic, which caused a sharp

fall in global GDP in 2020. The significant upturn in global growth has been due to progress in the vaccination against COVID-19 and

important economic stimuli adopted by public authorities.

Activity indicators show, however, that the economic recovery process has lost momentum in recent months. The recent slowdown in

economic growth is taking place in an environment marked by a sharp increase in infections caused by new variants of the COVID-19,

P.49

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

although the increasing immunization of the world population has helped to generally prevent the adoption of mobility restrictions,

which would have had a greater impact on the economy.

The effects of reduced production due to the pandemic and its persistence, coupled with fiscal stimuli and strong demand for goods,

once restrictions have been lifted, contribute to maintaining the problems in global supply chains observed since the beginning of

2021 which, in addition to negatively affecting economic activity, generate significant upward pressure on prices.

Against this backdrop, annual inflation in December 2021 stood at 7.0% in the United States and 5.0% in the Eurozone. In both

geographical areas, long-term inflation expectations from markets and surveys have been adjusted upwards, although in the case of

the Eurozone they remain generally below the European Central Bank’s 2% target.

High inflation rates and their increased persistence have put pressure on central banks to withdraw monetary stimuli earlier than they

had originally anticipated. The United States Federal Reserve, in particular, has begun the rollback in its bond-buying program and has

suggested that monetary policy interest rates will adjust upwards earlier and faster than expected by financial markets and financial

analysts, and also that a downsizing of its balance sheet may soon begin. In the Eurozone, the ECB will complete the pandemic

emergency purchase program (PEPP) in March 2022. Although the asset purchase program (APP) is maintained, asset purchases

will be moderated over the course of 2022. However, unlike the Federal Reserve, the ECB has continued to maintain that it rules out

an increase in benchmark interest rates in 2022.

According to BBVA Research, the global economic recovery process is expected to continue in the coming months, albeit at a slightly

slower pace than expected in autumn of 2021, due to the persistence of the pandemic, but also due to a higher-than-estimated impact

of supply chain problems and inflationary pressures. All this against a background of reduced fiscal and monetary stimulus. GDP

growth would therefore moderate, from an estimated 5.6% in 2021 to about 4.2% in 2022 in the United States, from 5.1% in 2021 to

3.7% in 2022 in the Eurozone and from 8.0% in 2021 to 5.2% in 2022 in China. The likely rise in monetary policy interest rates in the

United States, which could reach 1.25% by the end of 2022, as well as a progressive control of the pandemic and a moderation of

supply chain problems, would allow inflation to be moderated throughout the year; although inflation is expected to remain high,

particularly in the United States. Risks arising from this economic scenario expected by BBVA Research are significant and are biased

downwards in the case of activity, and include more persistent inflation, financial turbulence caused by a more aggressive withdrawal

of monetary stimuli, the emergence of new variants of the coronavirus that bypass current vaccines, a more intense slowdown in the

Chinese economy, as well as social and geopolitical tensions. Likewise, the countries in which the Group operates face various

idiosyncratic risks, beyond those related to the global environment.

–Regulatory and reputational risks

Financial institutions are exposed to a complex and ever-changing regulatory environment defined by governments and regulators.

This can affect their ability to grow and the capacity of certain businesses to develop, and result in stricter liquidity and capital

requirements with lower profitability ratios. The Group constantly monitors changes in the regulatory framework that allow for

anticipation and adaptation to them in a timely manner, adopt industry practices and more efficient and rigorous criteria in its

implementation.

The financial sector is under ever closer scrutiny by regulators, governments and society itself. In the course of activities, situations

which might cause relevant reputational damage to the entity could raise and might affect the regular course of business. The

attitudes and behaviors of the Group and its members are governed by the principles of integrity, honesty, long-term vision and

industry practices through, inter alia, the internal control model, the Code of Conduct, the Corporate Principles in tax matters and

Responsible Business Strategy of the Group.

–Business, operational and legal risks

New technologies and forms of customer relationships: Developments in the digital world and in information technologies pose

significant challenges for financial institutions, entailing threats (new competitors, disintermediation, etc.) but also opportunities (new

framework of relations with customers, greater ability to adapt to their needs, new products and distribution channels, etc.). Digital

transformation is a priority for the Group as it aims to lead digital banking of the future as one of its objectives.

Technological risks and security breaches: The Group is exposed to new threats such as cyber-attacks, theft of internal and customer

databases, fraud in payment systems, etc. that require major investments in security from both the technological and human point of

view. The Group gives great importance to the active operational and technological risk management and control.

Regarding legal risks, the financial sector faces an environment of increasing regulatory and litigious pressure, and thus, the various

Group entities are usually party to individual or collective judicial proceedings (including class actions) resulting from their activity and

operations, as well as arbitration proceedings. The Group is also party to other government procedures and investigations, such as

those carried out by the antitrust authorities in certain countries which, among other things, have in the past and could in the future

result in sanctions, as well as lead to claims by customers and others. In addition, the regulatory framework, in the jurisdictions in

which the Group operates, is evolving towards a supervisory approach more focused on the opening of sanctioning proceedings while

some regulators are focusing their attention on consumer protection and behavioral risk.

In Spain and in other jurisdictions where the Group operates, legal and regulatory actions and proceedings against financial

institutions, prompted in part by certain judgments in favor of consumers handed down by national and supranational courts (with

regards to matters such as credit cards and mortgage loans), have increased significantly in recent years and this trend could

continue in the future. The legal and regulatory actions and proceedings faced by other financial institutions in relation to these and

P.50

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

other matters, especially if such actions or proceedings result in favorable resolutions for the consumer, could also adversely affect

the Group.

All of the above may result in a significant increase in operating and compliance costs or even a reduction of revenues, and it is

possible that an adverse outcome in any proceedings (depending on the amount thereof, the penalties imposed or the procedural or

management costs for the Group) could damage the Group's reputation, generate a knock-on effect or otherwise adversely affect the

Group.

It is difficult to predict the outcome of legal and regulatory actions and proceedings, both those to which the Group is currently

exposed and those that may arise in the future, including actions and proceedings relating to former Group subsidiaries or in respect

of which the Group may have indemnification obligations. Any of such outcomes could be significantly adverse to the Group. In

addition, a decision in any matter, whether against the Group or against another credit entity facing similar claims as those faced by

the Group, could give rise to other claims against the Group. In addition, these actions and proceedings attract resources from the

Group and may occupy a great deal of attention on part of the Group's management and employees.

As of December 31, 2021, the Group had €623 million in provisions for the proceedings it is facing (included in the line "Provisions for

litigation and pending tax cases" in the consolidated balance sheet) (see Note 24), of which €533 million correspond to legal

contingencies and €90 million to tax related matters. However, the uncertainty arising from these proceedings (including those for

which no provisions have been made, either because it is not possible to estimate them or for other reasons) makes it impossible to

guarantee that the possible losses arising from these proceedings will not exceed, where applicable, the amounts that the Group

currently has provisioned and, therefore, could affect the Group's consolidated results in a given period.

As a result of the above, legal and regulatory actions and proceedings currently faced by the Group or to which it may become subject

in the future or otherwise affected by, individually or in the aggregate, if resolved in whole or in part adversely to the Group's interests,

could have a material adverse effect on the Group’s business, financial condition and results of operations.

Spanish judicial authorities are investigating the activities of Centro Exclusivo de Negocios y Transacciones, S.L. (Cenyt). Such

investigation includes the provision of services by Cenyt to the Bank. On 29th July, 2019, the Bank was named as an investigated

party (investigado) in a criminal judicial investigation (Preliminary Proceeding No. 96/2017 – Piece No. 9, Central Investigating Court

No. 6 of the National High Court) for alleged facts which could be constitutive of bribery, revelation of secrets and corruption. On

February 3, 2020, the Bank was notified by the Central Investigating Court No. 6 of the National High Court of the order lifting the

secrecy of the proceedings. Certain current and former officers and employees of the Group, as well as former directors have also

been named as investigated parties in connection with this investigation. The Bank has been and continues to be proactively

collaborating with the Spanish judicial authorities, including sharing with the courts the relevant information obtained in the internal

investigation hired by the entity in 2019 to contribute to the clarification of the facts. As of the date of the approval of the Consolidated

Financial Statements, no formal accusation against the Bank has been made.

This criminal judicial proceeding is at the pre-trial phase. Therefore, it is not possible at this time to predict the scope or duration of

such proceeding or any related proceeding or its or their possible outcomes or implications for the Group, including any fines,

damages or harm to the Group’s reputation caused thereby.

7.2Credit risk

Credit risk is the potential loss assumed by the Group as a result of the failure by the Group´s counterparties to meet their contractual

obligations.

The general principles governing credit risk management in the BBVA Group are:

–Risks taken should comply with the general risk policy established by the Board of Directors of BBVA.

–Risks taken should be in line with the level of equity and generation of recurring revenue of the BBVA Group prioritizing risk

diversification and avoiding relevant concentrations.

–Risks taken should be identified, measured and assessed and there should be management and monitoring procedures, in

addition to sound mitigation and control mechanisms.

–Risks should be managed in a prudent and integrated manner during their life cycle and their treatment should be based on

the type of risk. In addition, portfolios should be actively managed on the basis of a common metric (economic capital).

–The main criterion when granting credit risks is the capability of the borrower or obligor to fulfill on a timely basis all financial

obligations with its business income or source of income without depending upon guarantors, bondsmen or pledged assets.

–Improve the financial health of our clients, help them in their decision making and in the daily management of their finances

based on personalized advice.

–Help our clients in the transition towards a sustainable future, with a focus on climate change and inclusive and sustainable

social development.

P.51

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Credit risk management in the Group has an integrated structure for all its functions, allowing decisions to be taken objectively and

independently throughout the life cycle of the risk.

–At Group level: frameworks for action and standard rules of conduct are defined for handling risk, specifically, the channels,

procedures, structure and supervision.

–At the business area level: they are responsible for adapting the Group's criteria to the local realities of each geographical

area and for direct management of risk according to the decision-making channel:

a.Retail risks: in general, the decisions are formalized according to the scoring tools, within the general framework

for action of each business area, with regard to risks. The changes in weighting and variables of these tools must

be validated by the GRM area.

b.Wholesale risks: in general, the decisions are formalized by each business area within its general framework for

action with regard to risks, which incorporates the delegation rule and the Group's corporate policies.

The risk function has a decision-making process supported by a structure of committees with a solid governance scheme, which

describes their purposes and functioning for a proper performance of their tasks.

This governance scheme has been key in the management of the COVID-19 crisis in all the geographical areas where the Group

operates, in which it has been possible to ensure the maintenance of the flow of funds required for the operation of the economies

while rigorously analyzing and monitoring the credit quality of exposures.

COVID-19 support measures

Since the beginning of the pandemic, the Group offered COVID-19 support measures to its customers (individuals, SMEs and

wholesale) in all the geographic areas where it operates, consisting of both deferrals on existing loans and new public-guaranteed

lending. These measures were extended to individual customers and, in the case of legal entities, to different sectors, with Leisure and

Real Estate being the sectors that have used them most. Deferral support schemes have expired in all geographical areas.

Deferrals were both legislative (based on national laws) and non-legislative (based on sectorial or individual schemes) and were aimed

at mitigating the effects of COVID-19 and deferring the payment of principal and/or interest, while maintaining the original contracts.

The detail of legislative deferrals by geographical area is as follows:

Spain:

–Mainly covered by Royal Decree Laws (hereinafter "RDL") 8/2020 and 11/2020, as well as by the sector agreement

promoted by the Spanish Banking Association (hereinafter "AEB") to which BBVA adhered.

–Legislative deferrals consisted of a three-month deferral of principal and interest payments and were aimed, by type of

client, at individuals, sole proprietors or the self-employed and, by type of product, at mortgages, personal loans or

consumer loans.

–In addition, once the legal deferral expired, customers could adhere to the sector agreement for the remaining term up to

the limit established in that agreement.

–Deferrals granted under the AEB sectorial agreement had a duration of up to 12 months of principal deferral in the case of

mortgage loans and up to 6 months in personal loans.

–Under RDL 26/2020, the possibility of deferring the principal and/or interests was offered for companies in the transport

sector for up to 6 months and for companies in the tourism sector for up to 12 months.

Mexico:

–The National Banking and Securities Commission (hereinafter, "CNBV") published the official records P285/2020 dated

March 26, 2020 and P293/2020 dated April 15, 2020, allowing the granting of deferrals on principal and interest for a term

of 4 months, extendable for 2 months more. The main beneficiaries of these measures were individuals and companies,

impacting mortgage loans, personal loans and consumer loans, including credit cards.

Turkey:

–The Banking Regulation and Supervisory Agency (hereinafter, "BRSA") instructed banks to support customers through

deferrals, consisting of deferring payments for a period of 3 months, with a potential extension of up to 6 months. These

support measures were granted to individual customers.

Colombia:

–The binding legislation for deferrals is provided by the Financial Superintendence of Colombia, specifically by its Circulars

07/2020 and 14/2020, as well as Resolution No. 385. The deferrals offered consisted of the deferral of principal and

interest payments for up to 6 months.

P.52

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Peru:

–Several measures were approved by the Superintendence of Banking and Insurance (SBS) of Peru, allowing the deferral of

principal and interest payments, initially for up to 6 months and later extended for up to 12 months, mainly for individuals,

self-employed and small companies.

Argentina:

–Based on state legislation such as Royal Decree 544/2020 or Decree 319/2020, as well as on various regulations from the

Central Bank. Deferral for up to 3 months of principal and interest.

With regard to new financing with public guarantees, the Group's involvement in the following is noteworthy:

Spain:

–The Official Credit Institute (hereinafter, ICO) published several aid programs aimed at the self-employed, small and

medium-sized enterprises (hereinafter "SMEs") and companies, through which a guarantee of between 60% and 80% (in

SMEs always 80%) was granted for a term of up to 5 years for new financing granted (RDL Mar/2020).

–The amount and duration of the guarantee depended on the size of the company and the type of aid to which it applied, and

could be extended for up to a maximum term of 3 additional years and the grace period could be extended for up to 12

additional months with respect to the terms and grace periods initially agreed (RDL Nov/2020).

–Likewise, facilities were provided in term extensions (up to a maximum term of 10 years), conversion of financing operations

into Participative Loans as well as debt forgiveness in part of the financing (RDL 5/2021 and Code of Good Practices).

–The ICO has also subsidized for individuals the amount of the rent for up to 6 months in loans of up to 6 years.

–Almost all of the ICO loans with the expired grace period have resumed payment on a regular basis or canceled their debt.

–ICO loan extensions represented around 25% of all ICO financing.

Turkey:

–Public support programs have been registered guaranteeing up to 80% of loans to companies for a term of 1 year.

Colombia:

–Different public support programs (FNG, Bancoldex, Finagro, Findeter) provide for guarantees covering between 50-90%.

Peru:

–There were public support programs such as Reactiva, Crecer or FAE aimed at companies and micro-enterprises with

guaranteed amounts ranging from 60% to 98%, depending on the program and the type of company.

–For loans granted under the Reactiva program, it was possible to extend both the maturity date and the grace period of the

loans.

Argentina:

–Guarantees of up to 100% for micro-SMEs or self-employed and up to 25% for other companies in loans of up to 1 year

The outstanding balance of existing loans for which a payment deferral was granted (split by those existing at year-end and those that

were completed by year-end) under EBA standards and for which financing was granted with public guarantees given at a Group level,

as well as the number of customers of both measures, as of December 31, 2021 and 2020 are as follows:

Amount of payment deferral and financing with public guarantees of the Group (Millions of Euros)

Payment deferral

Financing with

public guarantees

Existing

Completed

Total

Number of

customers

Total

Number of

customers

Total

payment

deferral

and guarantees

(%) credit

investment

December 2021

189

21,743

21,931

2,188,720

16,093

264,809

38,025

10.9%

December 2020 (*)

6,536

21,868

28,405

2,779,964

16,053

249,458

44,458

12.9%

(*) Figures as of December 2020 do not include the companies sold in the United States in 2021.

P.53

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The outstanding balance of existing loans for which a payment deferral was granted (split by those existing at year-end and those that

were completed by year-end) under EBA standards and for which financing was granted with public guarantees given at a Group level,

broken down by segment, as of December 31, 2021 and 2020 are as follows:

Amount of payment deferral and financing with public guarantees by concept (Millions of Euros)

Payment deferral

Financing with

public guarantees

Existing

Completed

Total

2021

2020 (*)

2021

2020 (*)

2021

2020 (*)

2021

2020 (*)

Group

189

6,536

21,743

21,868

21,931

28,405

16,093

16,053

Households

107

4,503

14,904

14,550

15,011

19,052

1,376

1,235

Of which: Mortgages

3,587

10,195

7,471

10,291

11,059

SMEs

1,023

3,950

4,743

3,994

5,766

10,911

10,573

Non-financial corporations

961

2,766

2,397

2,803

3,358

3,788

4,232

Other

—

122

179

122

229

(*) Figures as of December 2020 do not include the companies sold in the United States in 2021..

Amount of payment deferral by stages (Millions of Euros)

Stage 1

Stage 2

Stage 3

Total

2021

2020 (*)

2021

2020 (*)

2021

2020 (*)

2021

2020 (*)

Group

13,236

18,602

6,252

7,736

2,444

2,066

21,931

28,405

Households

9,167

12,336

3,707

4,997

2,137

1,719

15,011

19,052

Of which: Mortgages

6,360

7,347

2,444

2,844

1,487

867

10,291

11,059

SMEs

2,609

4,147

1,131

1,327

254

292

3,994

5,766

Non-financial corporations

1,364

1,903

1,387

1,399

2,803

3,358

Other

216

—

122

229

(*) Figures as of December 2020 do not include the companies sold in the United States in 2021.

Deferrals involved the temporary suspension, in whole or in part, of contractual obligations and their deferral for a specific period of

time. Considering that the payment deferrals granted in connection with COVID -19 provide temporary relief to the debtors and that

the economic value of the affected loans was not significantly impacted, no contractual modifications were considered and, therefore,

the modified loans are accounted for as a continuation of the original loans.

During 2020, the loss of temporary value of the deferrals that did not trigger the right to collect interest was included under the

heading "Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by

modification” of the consolidated income statement, amounting to €304 million, of which €300 million had been already recognized

as higher interest margin at such date. During 2021, the amount recognized was not significant.

Regarding the classification of exposures according to their credit risk, the Group has continued to apply IFRS 9 rigorously when

granting the payment deferrals and has reinforced the procedures for monitoring credit risk both throughout the life of the

transactions and at their maturity. This means that the payment deferrals granting does not imply in itself an automatic trigger for a

significant increase in risk and that the transactions subject to the payment deferrals are initially classified in the stage in which they

had previously been classified, unless, based on their risk profile, they should be classified in a worse stage. On the other hand, as

evidence of payment has ceased to exist or has been reduced, the Group has introduced additional indicators or segmentations to

identify the significant increase in risk or impairment that may have occurred in some transactions or a set of them and, where

appropriate, they have been classified in Stage 2 or Stage 3.

Furthermore, the indications provided by the European Banking Authority (EBA) have been taken into account to not consider as

"forbearance" the payment deferrals that meet a series of requirements. All this without prejudice to maintaining its consideration as

a forbearance if it was previously qualified as such or classifying the exposure in the corresponding stage previously stated.

On the other hand, the treatment planned for the payment deferrals that expire and may require additional support will be in

accordance with the updated evaluation of the customer's credit quality and the characteristics of the solution granted. If applicable,

they will be treated as Refinancing or Restructuring as described in Note 7.2.7 of the Financial Statements.

Regarding public support for lending, it does not affect the evaluation of the significant increase in risk since risk is valued based on

the credit quality of the relevant instrument. However, in estimating the expected loss, the existence of the guarantor implies a

possible reduction in the level of provisions necessary since, for the hedged part, the loss that would be incurred in the foreclosure of

the guarantee is taken into account.

P.54

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The public guarantees granted in the different geographies in which the Group operates have been considered as an integral part of

the terms and conditions of the loans granted under the consideration that the guarantees are granted at the same time that the

financing is granted to the client and in a way inseparable from it.

The quantitative information on refinancing and restructuring operations is presented in Appendix XI: "Quantitative information on

refinancing and restructuring operations and other requirement under Bank of Spain Circular 6/2012".

7.2.1Measurement of Expected Credit Loss

IFRS 9 requires determining the Expected Credit Loss (hereinafter "ECL") of a financial instrument in a way that reflects an unbiased

estimation removing any conservatism or optimism, including the time value of money and a forward-looking perspective (including

the economic forecast), all this based on the information that is available at a certain point in time and that is reasonable and bearable

with respect to future economic conditions.

Therefore, the recognition and measurement of ECL is highly complex and involves the use of significant analysis and estimation

including formulation and incorporation of forward-looking economic conditions into the ECL model.

The modeling of the ECL calculation is subject to a governance system that is common to the entire Group. Within this common

framework, each geography makes the necessary adaptations to capture its particularities. The methodology, assumptions and

observations used by each geography are reviewed annually, and after a validation and approval process, the outcome of this review

is incorporated into the ECL calculations.

Risk parameters by homogeneous groups

Expected losses can be estimated both individually and collectively. Regarding the collective estimate, the instruments are distributed

in homogeneous groups (segments) that share similar risk characteristics. Following the guidelines established by the Group for the

development of models under IFRS 9, each geography performs the grouping based on the information available, its

representativeness or relevance and compliance with the necessary statistical requirements.

Depending on the portfolio or the parameter being estimated, one risk driver or another will apply and different segments will reflect

differences in PDs and LGDs. Thus, in each segment, changes in the level of credit risk will respond to the impact of changing

conditions on the common range of credit risk drivers. The effect on the Group’s credit risk in response to changes in forward-looking

information will be considered as well. Macroeconomic modeling for each segment is carried out using some of the shared risk

characteristics.

These segments share credit risk characteristics such that changes in credit risk in a part of the portfolio are not concealed by the

performance of other parts of the portfolio. In that sense, the methodology developed for ECL estimation indicates the risk drivers

that have to be taken into account for PD segmentation purposes, depending on whether the estimation is for retail or wholesale

portfolios.

As an example of the variables that can be taken into consideration to determine the final models, the following stand out:

–PD - Retail: Contractual residual maturity, credit risk scoring, type of product, days past due, forbearance, time on books,

time to maturity, nationality of the debtor, sale channel, original term, indicator of credit card activity, percentage of initial

drawn balance in credit cards.

–PD - Wholesale: Credit Risk Rating, type of product, watch-list level, forbearance (client), time to maturity, industry sector,

updated balance (y/n), written off, grace period.

–LGD – retail: credit Risk Scoring, segment, type of product, secured / unsecured, type of collateral, sales channel,

nationality, business area, debtor’s commercial segment, forbearance (account) EAD (this risk driver could be correlated

with the time on books or the LTV so, before including it, an assessment should be done in order to avoid a double counting

effect), time on default of the account (for defaulted exposures), geographical location.

–LGD - wholesale: credit Risk Rating, geographical location, segment, type of product, secured / Unsecured, type of

collateral, business area, forbearance (client), debtor’s commercial segment time on default of the deal (for defaulted

exposures).

–CCF: wholesale/retail, percentage of initial drawn balance, debtor’s commercial segment, days past due, forbearance,

credit limit activity, time on books.

In the BBVA Group, the expected losses calculated are based on the internal models developed for all the Group's portfolios, unless

clients are subject to individualized estimates.

P.55

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Low Default Portfolios, which include portfolios with high credit quality such as exposures to other credit institutions, sovereign debt

or corporates and small client's portfolios with high exposures such as specialized lending or fixed income, are characterized by a low

number of defaults, so the Group's historical bases do not contain sufficiently representative information to build impairment models

based on them. However, there are external sources of information that, based on broader observations, are capable of providing the

necessary inputs to develop models of expected losses. Therefore, based on the rating assigned to these exposures and taking into

account the inputs obtained from these sources, the calculations of expected losses are developed internally, including their

projection based on the macroeconomic perspectives.

Individual estimation of Expected Credit Losses

The Group periodically and individually reviews the situation and credit rating of its customers, regardless of their classification,

taking into consideration the information deemed necessary to do so. It also has procedures in place within the risk management

framework to identify the factors that may lead to increased risk and, consequently, to a greater need for provisions.

The monitoring model established by the Group consists of continuously monitoring the risks to which it is exposed, which guarantees

their proper classification in the different categories of IFRS 9. The original analysis of the exposures is reviewed through the

procedures for updating the rating tools (rating and scoring), which periodically review the financial situation of clients, influencing the

classification by stages of exposures.

Within this credit risk management framework, the Group has procedures that seek to guarantee the review, at least annually, of all its

wholesale counterparties through the so-called financial programs, which include the current and proposed positioning of the Group

with the customer in terms of credit risk. This review is based on a detailed analysis of the client's up-to-date financial situation, which

is complemented by other information available in relation to individual perspectives on business performance, industry trends,

macroeconomic prospects or other public data. As a result of this analysis, the preliminary rating of the client is obtained, which, after

undergoing the internal procedure, can be revised down if deemed appropriate (for example, general economic environment or

evolution of the sector). These factors in addition to the information that the client can provide are used to review the ratings even

before the scheduled financial plan reviews are conducted if circumstances so warrant.

Additionally, the Group has established procedures to identify wholesale customers in the internal Watch List category, which is

defined as that risk in which, derived from an individualized credit analysis, an increase in credit risk is observed, either due to

economic or financial difficulties or because they have suffered, or are expected to suffer, adverse situations in their environment,

without meeting the criteria for classification as impaired risk. Under this procedure, all a customer's Watch List exposures are

considered stage 2 regardless of when they originated, if as a result of the analysis the customer is considered to have significantly

increased risk.

Finally, the Group has Workout Committees, both local and corporate, which analyze not only the situation and evolution of significant

clients in Watch List and impaired situations, but also those significant clients in which, although not on Watch List, may present some

stage 2 rated exposure for a quantitative reason (PD comparison from origination). This analysis is carried out in order to decide if,

derived from this situation, all the client's exposures should be considered in the Watch List category, which would imply the

migration of all the client's operations to stage 2 regardless of the date on which they originated.

With this, the Group ensures an individualized review of the credit quality of its wholesale counterparties, identifying the situations in

which a change in the risk profile of these clients may have occurred and proceeding, where appropriate, to estimate individualized

credit losses. Along with this review, the Group individually estimates the expected losses of those clients whose total exposure

exceeds certain thresholds, including those that part of their operations may be classified in stage 1 and part in stage 2. In setting

thresholds, each geography determines the minimum amount of a client's exposure whose expected losses must be estimated

individually taking into account the following:

–For clients with exposures in stage 3. The analysis of clients with total risk above this threshold implies analyzing at least

40% of the total risk of the wholesale portfolio in stage 3. Although the calibration of the threshold is done on the wholesale

portfolio, clients of other portfolios must be analyzed if they exceed the threshold, staying in Stage 3.

–For all other situations. The analysis of clients with total risk above this threshold implies analyzing at least 20% of the total

risk of the Watch List wholesale portfolio. Although the threshold calibration is carried out on the exposure classified as

Watch List, wholesale clients or clients belonging to other portfolios that have exposures classified in stage 2 and whose

total exposure exceeds the mentioned threshold must be analyzed individually, considering both the exposures classified in

stage 1 as in stage 2.

Regarding the methodology for the individual estimation of expected losses, it should be mentioned, firstly, that these are measured

as the difference between the asset’s carrying amount and the estimated future cash flows discounted at the financial asset’s

effective interest rate.

The estimated recoverable amount should correspond to the amount calculated under the following method:

–The present value of estimated future cash flows discounted at the financial asset’s original effective interest rate; and

–The estimation of the recoverable amount of a collateralized exposure reflects the cash flows that may result from the

settlement of the collateral, as well as prospective information the analyst may implicitly include in the analysis.

P.56

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The estimated future cash flows depend on the type of approach applied, which can be:

–Going concern scenario: when the entity has updated and reliable information about the solvency and ability of payment of

the holders or guarantors. The operating cash flows of the debtor, or the guarantor, continue and can be used to repay the

financial debt to all creditors. In addition, collateral may be exercised to the extent it does not influence operating cash

flows. The following aspects should be taken into account:

a.Future operating cash flows should be based on the financial statements of the debtor.

b.When the projections made on these financial statements assume a growth rate, a constant or decreasing growth

rate must be used over a maximum growth period of 3 to 5 years, and subsequently constant cash flows.

c.The growth rate should be based on the analysis of the evolution of the debtor's financial statements or on a

sound and applicable business restructuring plan, taking into account the resulting changes in the structure of the

company (for example, due to divestments or the interruption of unprofitable lines of business).

d.(Re)-investments that are needed to preserve cash flows should be considered, as well as any foreseeable future

cash-flow changes (e.g. if a patent or a long-term loan expires).

e.When the recoverability of the exposure relies on the realization of the disposal of some assets by the debtor, the

selling price should reflect the estimated future cash flows that may result from the sale of the assets less the

estimated costs associated with the disposal.

–Gone concern scenario: when the entity does not have updated and reliable information, it should consider that the

estimation of loan receivable flows is highly uncertain. Estimation should be carried out through the estimation of

recoverable amounts from the effective real guarantees received. It will not be admissible as effective guarantees, those

whose effectiveness depends substantially on the creditworthiness of the debtor or economic group in which it takes part.

Under a gone concern scenario, the collateral is exercised and the operating cash flows of the debtor cease. This could be

the case if:

a.The exposure has been past due for a long period. There is a rebuttable presumption that the allowance should be

estimated under a gone concern criterion when arrears are greater than 18 months.

b.Future operating cash flows of the debtor are estimated to be low or negative.

c.Exposure is significantly collateralized, and this collateral is central to cash-flow generation.

d.There is a significant degree of uncertainty surrounding the estimation of the future cash flows. This would be the

case if the earnings before interest, taxes, depreciation and amortization (EBITDA) of the two previous years had

been negative, or if the business plans of the previous years had been flawed (due to material discrepancies in the

backtesting).

e.Insufficient information is available to perform a going concern analysis.

Significant increase in credit risk

As indicated in Note 2.2, the criteria for identifying the significant increase in risk are applied consistently throughout the Group,

distinguishing between quantitative reasons or by comparison of probabilities of default and qualitative reasons (more than 30 days

of default, watch list consideration or non-impaired refinancing).

To manage credit risk, the Group uses all relevant information that is available and that may affect the credit quality of the exposures.

This information may come mainly from the internal processes of admission, analysis and monitoring of operations, from the strategy

defined by the Group regarding the price of operations or distribution by geographies, products or sectors of activity, from the

observance of the macroeconomic environment, from market data such as interest rate curves, or prices of the different financial

instruments, or from external sources of credit rating.

This set of information is the basis for determining the rating and scoring (see Note 7.2.4 for more information on rating and scoring

systems) corresponding to each of the exposures and which are assigned a probability of default (PD) that, as already mentioned, is

subject to an annual review process that assesses its representativeness (backtesting) and is updated with new observations.

Furthermore, the projection of these PDs over time has been modeled based on macroeconomic expectations, which allows obtaining

the probabilities of default throughout the life of the operations.

Based on this common methodology, and in accordance with the provisions of IFRS 9 and the EBA guidelines on credit risk

management practices, each geography has established absolute and relative thresholds for identifying whether the expected

changes in the probabilities of default have increased significantly compared to the initial moment, adapted to the particularities of

each one of them in terms of origination levels, product characteristics, distribution by sectors or portfolios, and macroeconomic

situation. To establish the aforementioned thresholds, a series of general principles are considered, such as:

–Uniformity: Based on the rating and scoring systems that, in a homogeneous manner, are implemented in the Group's units.

P.57

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–Stability: The thresholds must be established to identify the significant increase in risk produced in exposures since their

initial recognition and not only to identify those situations in which it is already foreseeable that they will reach the level of

impairment. For this reason, it is to be expected that of the total exposures there will always be a representative group for

which said increased risk is identified.

–Anticipation: The thresholds must consider the identification of the increased risk in advance with respect to the recognition

of the exposures as impaired or even before a real default occurs. The calibration of the thresholds should minimize the

cases in which the instruments are classified in stage 3 without having previously been recognized as stage 2.

–Indicators or metrics: It is expected that the classification of the exposures in stage 2 will have sufficient permanence to be

able to develop an anticipatory management plan with respect to them before, where applicable, they end up migrating to

stage 3.

–Symmetry: IFRS 9 provides for a symmetric treatment both to identify the significant increase in risk and to identify that it

has disappeared, so the thresholds also work to improve the credit classification of exposures. In this sense, it is expected

that the cases in which the exhibitions that improve from stage 3 are directly classified into stage 1 will be minimal.

–The identification of the significant increase in risk from the comparison of the probabilities of default should be the main

reason why exposures in stage 2 are recognized.

Specifically, a contract will be transferred to stage 2 when the following two conditions are met by comparing the current PD values

and the origination PD values:

(current PD) / (Origination PD) - 1*100 >Relative Threshold (%) and

Current PD – Origination PD > Absolute threshold (bps)

These absolute and relative thresholds are consistently established for each geography and for each portfolio, taking into account

their particularities and based on the principles described. The thresholds set by each geography are included within the annual

review process and, generally speaking, are in the range of 150% to 250% for the relative threshold and from 10 to 150 basis points

for the absolute threshold.

The establishment of absolute and relative thresholds, as well as their different levels, comply with the provisions of IFRS 9 when it

indicates that a certain change, in absolute terms, in the risk of a default will be more significant for a financial instrument with a lower

initial risk of default compared to a financial instrument with higher initial risk of default.

For existing contracts before the implementation of IFRS 9, given the limitations in the information available on them, the thresholds

are calibrated based on the PDs obtained from the prudential or economic models for calculating capital.

Risk Parameters Adjusted by Macroeconomic Scenarios

Expected Credit Loss (ECL) must include forward looking information, in accordance with IFRS 9, which states that the

comprehensive credit risk information must incorporate not only historical information but also all relevant credit information, also

including forward-looking macroeconomic information. BBVA uses the typical credit risk parameters PD, LGD and EAD in order to

calculate the ECL for the credit portfolios.

BBVA methodological approach in order to incorporate the forward looking information aims to determine the relation between

macroeconomic variables and risk parameters following three main steps:

–Step 1: Analysis and transformation of time series data.

–Step 2: For each dependent variable find conditional forecasting models that are economically consistent.

–Step 3: Select the best conditional forecasting model from the set of candidates defined in Step 2, based on their

forecasting capacity.

How economic scenarios are reflected in calculation of ECL

The forward looking component is added to the calculation of the ECL through the introduction of macroeconomic scenarios as an

input. Inputs highly depend on the particular combination of region and portfolio, so inputs are adapted to available data regarding

each of them.

Based on economic theory and analysis, the main indicators most directly relevant for explaining and forecasting the selected risk

parameters (PD, LGD and EAD) are:

–The net income of families, corporates or public administrations.

–The outstanding payment amounts on the principal and interest on the financial instruments.

–The value of the collateral assets pledged to the loan.

P.58

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

BBVA Group approximates these variables by using a proxy indicator from the set included in the macroeconomic scenarios provided

by the BBVA Research department.

Only a single specific indicator for each of the three categories can be used and only one of the following core macroeconomic

indicators should be chosen as first option:

–The real GDP growth for the purpose of conditional forecasting can be seen as the only “factor” required for capturing the

influence of all potentially relevant macro-financial scenarios on internal PDs and LGD.

–The most representative short term interest rate (typically the policy rate or the most liquid sovereign yield or interbank

rate) or exchange rates expressed in real terms.

–A comprehensive and representative index of the price of real estate properties expressed in real terms in the case of

mortgage loans and a representative and real term index of the price of the relevant commodity for corporate loan

portfolios concentrated in exporters or producers of such commodity.

Real GDP growth is given priority over any other indicator not only because it is the most comprehensive indicator of income and

economic activity but also because it is the central variable in the generation of macroeconomic scenarios.

Multiple scenario approach

IFRS 9 requires calculating an unbiased probability weighted measurement of ECL by evaluating a range of possible outcomes,

including forecasts of future economic conditions.

The BBVA Research teams within the BBVA Group produce forecasts of the macroeconomic variables under the baseline scenario,

which are used in the rest of the related processes of the Group, such as budgeting, ICAAP and risk appetite framework, stress

testing, etc.

Additionally, the BBVA Research teams produce alternative scenarios to the baseline scenario so as to meet the requirements under

the IFRS 9 standard.

Alternative macroeconomic scenarios

–For each of the macro-financial variables, BBVA Research produces three scenarios.

–BBVA Research tracks, analyzes and forecasts the economic environment to provide a consistent forward looking

assessment about the most likely scenario and risks that impact BBVA’s footprint. To build economic scenarios, BBVA

Research combines official data, econometric techniques and expert judgment.

–Each of these scenarios corresponds to the expected value of a different area of the probabilistic distribution of the possible

projections of the economic variables.

–The non-linearity overlay is defined as the ratio between the probability-weighted ECL under the alternative scenarios and

the baseline scenario, where the scenario’s probability depends on the distance of the alternative scenarios from the base

one.

–BBVA Group establishes equally weighted scenarios, being the probability 34% for the baseline scenario, 33% for the

unfavorable alternative scenario and 33% for the favorable alternative scenario.

The approach in the BBVA Group consists on using the scenario that is the most likely scenario, which is the baseline scenario,

consistent with the rest of internal processes (ICAAP, Budgeting, etc.) and then applying an overlay adjustment that is calculated by

taking into account the weighted average of the ECL determined by each of the scenarios. This effect is calculated taking into account

the average weight of the expected loss determined for each scenario.

It is important to note that in general, it is expected that the effect of the overlay is to increase the ECL. It is possible to obtain an

overlay that does not have that effect, whenever the relationship between macro scenarios and losses is linear.

On the other hand, the BBVA Group also takes into account the range of possible scenarios when defining its significant increase in

credit risk. Thus, the PDs used in the quantitative process to identify the significant increase in credit risk will be those that result from

making a weighted average of the PDs calculated under the three scenarios.

Macroeconomic scenarios

The COVID-19 pandemic generated uncertainty over macroeconomic outlooks, having a direct impact on the credit risk of entities,

particularly, on the expected credit losses under IFRS 9. The situation remains unclear, including the remaining duration of the

pandemic. At the outset of the pandemic, the expectation was that this situation would provoke a severe recession followed by an

economic recovery, but which would not achieve the pre-crisis GDP levels in the short-term, supported by the measures issued by

governments and monetary authorities.

P.59

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

This situation prompted the accounting authorities and the banking supervisors to adopt measures in order to mitigate the impacts

that the crisis would have on the calculation of expected credit losses under IFRS 9 as well as on solvency, urging:

–the entities to evaluate all the available information, weighing more the long-term forecasts against the short-term

economic factors

–the governments to adopt measures to avoid the effects of impairment,

–the entities to develop managerial measures as the design of specific products adapted to the situation which could occur

during this crisis.

Almost all accounting and prudential authorities issued recommendations or measures within the COVID-19 crisis framework

regarding the estimation of the expected losses under IFRS 9 in a coordinated manner.

The common denominator of all of these recommendations was that, given the difficulty of establishing reliable macroeconomic

forecasts, the transitory nature of the economic shock and the need to incorporate the effect of the mitigating measures issued by the

governments, a review of the automatic application of the models in order to increase the weight of the long-term macroeconomic

forecasts in the calculation of the expected losses was needed. As a result thereof, the expected outcome over the lifetime of the

transactions had more weight than the short-term macroeconomic impact.

In this respect, the BBVA Group took into account those recommendations in the calculation of the expected credit losses under IFRS

9, considering that the economic situation caused by the COVID-19 pandemic is transitory and is expected to be followed by a

recovery, even if there is uncertainty over the level and the time period of such recovery. As a consequence, different scenarios have

been taken into consideration in the calculation of expected losses, resulting in the model management believes suits best the current

economic situation and the combined recommendations issued by the authorities.

In 2021, once the most critical phase of the pandemic has been overcome, the forward looking information incorporated in the

calculation of expected losses is in line with the macroeconomic perspectives published by BBVA Research as was usual until the

beginning of the pandemic. However, certain management adjustments are maintained as described in the section "Additional

adjustments to expected loss measurement" to cover exposures that are estimated even with a greater degree of uncertainty.

BBVA Research forecasts a maximum of five years for the macroeconomic variables. The following estimates for the next five years of

the Gross Domestic Product (GDP) growth, of the unemployment rate and of the House Price Index (HPI), for the most relevant

countries where it represents a significant factor, are determined by BBVA Research and have been used at the time of the calculation

of the ECL as of December 31, 2021:

Positive scenario of GDP, unemployment rate and HPI for the main geographies

Spain

Mexico

Turkey

Date

GDP

Unemployment

HPI

GDP

Unemployment

HPI

GDP

Unemployment

2021

5.52%

14.42%

0.33%

6.39%

4.18%

2.35%

11.63%

11.90%

2022

6.14%

12.50%

4.70%

4.07%

3.89%

5.38%

5.60%

11.35%

2023

5.13%

10.05%

3.06%

2.81%

3.75%

3.85%

5.80%

11.93%

2024

2.61%

8.48%

1.87%

2.17%

3.69%

3.07%

3.62%

12.66%

2025

2.22%

7.49%

1.56%

1.88%

3.64%

4.08%

3.66%

12.94%

2026

2.19%

6.71%

1.19%

1.83%

3.59%

3.95%

3.66%

13.05%

Peru

Argentina

Colombia

Date

GDP

Unemployment

GDP

Unemployment

GDP

Unemployment

2021

13.60%

11.33%

9.91%

15.12%

9.89%

15.36%

2022

4.91%

7.50%

6.69%

11.34%

5.33%

13.60%

2023

3.78%

6.82%

3.02%

9.48%

3.38%

13.22%

2024

2.76%

6.55%

2.09%

7.99%

3.30%

12.31%

2025

2.34%

6.52%

2.16%

6.89%

3.44%

11.58%

2026

2.28%

6.47%

2.12%

6.88%

3.51%

11.32%

P.60

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Base scenario of GDP, unemployment rate and HPI for the main geographies

Spain

Mexico

Turkey

Date

GDP

Unemployment

HPI

GDP

Unemployment

HPI

GDP

Unemployment

2021

5.23%

14.93%

(0.20)%

5.98%

4.22%

2.46%

9.46%

12.43%

2022

5.49%

13.98%

2.91%

3.19%

4.05%

5.30%

1.98%

12.80%

2023

4.89%

11.68%

2.04%

2.54%

3.92%

3.68%

5.04%

12.93%

2024

2.59%

10.08%

1.50%

2.09%

3.83%

3.07%

3.49%

13.03%

2025

2.22%

9.05%

1.10%

1.87%

3.77%

4.08%

3.54%

13.13%

2026

2.19%

8.15%

0.74%

1.82%

3.71%

3.93%

3.53%

13.23%

Peru

Argentina

Colombia

Date

GDP

Unemployment

GDP

Unemployment

GDP

Unemployment

2021

12.22%

11.38%

7.49%

15.50%

9.17%

15.44%

2022

2.32%

7.70%

2.30%

12.35%

4.02%

13.86%

2023

3.05%

7.06%

2.04%

10.40%

3.13%

13.51%

2024

2.76%

6.76%

1.98%

8.60%

3.29%

12.60%

2025

2.34%

6.70%

2.03%

7.38%

3.44%

11.87%

2026

2.28%

6.64%

1.99%

7.38%

3.51%

11.53%

Negative scenario of GDP, unemployment rate and HPI for the main geographies

Spain

Mexico

Turkey

Date

GDP

Unemployment

HPI

GDP

Unemployment

HPI

GDP

Unemployment

2021

4.95%

15.41%

(0.82)%

5.58%

4.27%

2.54%

7.29%

12.94%

2022

4.88%

15.41%

1.31%

2.33%

4.23%

5.13%

(1.87)%

14.26%

2023

4.68%

13.25%

1.09%

2.26%

4.10%

3.48%

4.09%

13.99%

2024

2.54%

11.65%

0.99%

2.03%

3.99%

2.92%

3.40%

13.41%

2025

2.18%

10.62%

0.35%

1.82%

3.90%

4.05%

3.47%

13.31%

2026

2.15%

9.61%

(0.01)%

1.78%

3.84%

3.93%

3.46%

13.40%

Peru

Argentina

Colombia

Date

GDP

Unemployment

GDP

Unemployment

GDP

Unemployment

2021

10.84%

11.43%

5.14%

15.86%

8.43%

15.52%

2022

(0.28)%

7.90%

(2.34)%

13.33%

2.72%

14.12%

2023

2.31%

7.30%

0.85%

11.29%

2.83%

13.79%

2024

2.76%

6.98%

1.86%

9.19%

3.29%

12.87%

2025

2.34%

6.91%

1.88%

7.83%

3.43%

12.13%

2026

2.28%

6.85%

1.83%

7.85%

3.51%

11.71%

P.61

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The estimate for the next five years of the following rates, used in the measurement of the expected loss as of December 31, 2020,

consistent with the latest estimates made public at that date, was:

Positive scenario of GDP, unemployment rate and HPI for the main geographies

Spain

Mexico

Turkey

Date

GDP

Unemployment

HPI

GDP

Unemployment

HPI

GDP

Unemployment

2020

(11.20)%

16.44%

(1.44)%

(8.85)%

4.57%

1.71%

2.07%

13.45%

2021

6.63%

16.03%

(3.28)%

4.58%

5.40%

(1.23)%

9.08%

12.60%

2022

6.27%

12.72%

4.56%

3.80%

5.17%

0.32%

5.30%

11.58%

2023

2.95%

10.82%

5.79%

1.62%

5.04%

0.31%

4.13%

11.58%

2024

2.07%

9.58%

3.66%

1.47%

4.91%

1.01%

4.11%

11.19%

2025

2.01%

8.55%

3.57%

1.47%

4.76%

1.72%

4.10%

10.85%

Peru

Argentina

Colombia

Date

GDP

Unemployment

GDP

Unemployment

GDP

Unemployment

2020

(11.74)%

12.75%

(10.64)%

13.60%

(6.80)%

18.14%

2021

12.56%

10.29%

9.95%

14.39%

6.80%

16.14%

2022

5.25%

10.00%

3.52%

11.88%

3.70%

14.53%

2023

3.68%

8.73%

2.08%

8.99%

3.15%

14.28%

2024

3.58%

7.23%

2.11%

7.69%

3.27%

12.49%

2025

3.35%

6.88%

2.14%

6.78%

3.60%

12.28%

Base scenario of GDP, unemployment rate and HPI for the main geographies

Spain

Mexico

Turkey

Date

GDP

Unemployment

HPI

GDP

Unemployment

HPI

GDP

Unemployment

2020

(11.48)%

16.95%

(1.98)%

(9.25)%

4.62%

1.81%

(0.01)%

13.98%

2021

5.99%

17.51%

(5.08)%

3.71%

5.57%

(1.32)%

5.52%

14.05%

2022

6.04%

14.35%

3.48%

3.53%

5.35%

0.15%

4.53%

12.58%

2023

2.93%

12.41%

5.44%

1.55%

5.19%

0.31%

4.01%

11.95%

2024

2.07%

11.14%

3.20%

1.45%

5.03%

1.02%

3.99%

11.38%

2025

2.01%

9.99%

3.12%

1.46%

4.88%

1.71%

3.98%

11.03%

Peru

Argentina

Colombia

Date

GDP

Unemployment

GDP

Unemployment

GDP

Unemployment

2020

(13.04)%

12.80%

(13.00)%

13.98%

(7.51)%

18.23%

2021

10.05%

10.48%

5.54%

15.40%

5.48%

16.40%

2022

4.52%

10.23%

2.54%

12.80%

3.46%

14.83%

2023

3.69%

8.93%

1.98%

9.60%

3.15%

14.57%

2024

3.58%

7.41%

1.98%

8.18%

3.27%

12.78%

2025

3.35%

7.06%

2.01%

7.28%

3.60%

12.55%

P.62

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Negative scenario of GDP, unemployment rate and HPI for the main geographies

Spain

Mexico

Turkey

Date

GDP

Unemployment

HPI

GDP

Unemployment

HPI

GDP

Unemployment

2020

(11.76)%

17.44%

(2.60)%

(9.64)%

4.67%

1.89%

(2.10)%

14.49%

2021

5.37%

18.94%

(6.69)%

2.84%

5.75%

(1.48)%

1.75%

15.51%

2022

5.82%

15.92%

2.49%

3.25%

5.53%

(0.06)%

3.56%

13.64%

2023

2.88%

13.99%

4.94%

1.48%

5.34%

0.17%

3.92%

12.33%

2024

2.03%

12.70%

2.45%

1.41%

5.17%

0.99%

3.91%

11.56%

2025

1.97%

11.45%

2.36%

1.41%

5.02%

1.70%

3.91%

11.20%

Peru

Argentina

Colombia

Date

GDP

Unemployment

GDP

Unemployment

GDP

Unemployment

2020

(14.33)%

12.85%

(15.28)%

14.34%

(8.25)%

18.31%

2021

7.53%

10.69%

0.89%

16.38%

4.16%

16.66%

2022

3.78%

10.48%

1.33%

13.69%

3.16%

15.10%

2023

3.69%

9.15%

1.86%

10.19%

3.15%

14.84%

2024

3.57%

7.62%

1.83%

8.63%

3.27%

13.04%

2025

3.35%

7.27%

1.86%

7.75%

3.60%

12.80%

Sensitivity to macroeconomic scenarios

A sensitivity exercise has been carried out on the expected losses due to variations in the key hypotheses as they are the ones that

introduce the greatest uncertainty in estimating such losses. As a first step, GDP and the House Price Index have been identified as

the most relevant variables. These variables have been subjected to shocks of +/- 100 bps in their entire window with impact of the

macro models. Independent sensitivities have been assessed, under the assumption of assigning a 100% probability to each

determined scenario with these independent shocks.

Variation in expected loss is determined both by re-staging (that is: in worse scenarios due to the recognition of lifetime credit losses

for additional operations that are transferred to stage 2 from stage 1 where 12 months of losses are valued: or vice versa in

improvement scenarios) as well as variations in the collective risk parameters (PD and LGD) of each financial instrument due to the

changes defined in the macroeconomic forecasts of the scenario.

Expected loss variation as of December 31, 2021

BBVA Group

Spain

Mexico

Turkey

GDP

Total

Portfolio

Retail

Mortgages

Wholesaler

Fixed

income

Total

Portfolio

Mortgages

Companies

Total

Portfolio

Mortgages

Cards

Total

Portfolio

Wholesale

Retail

-100pb

3.44%

3.18%

3.43%

4.87%

1.87%

3.33%

4.03%

4.16%

3.73%

2.06%

6.57%

2.39%

2.03%

2.67%

+100pb

(3.20)%

(2.96)%

(2.92)%

(4.54)%

(1.82)%

(3.06)%

(3.35)%

(3.97)%

(3.56)%

(1.96)%

(6.07)%

(2.29)%

(2.08)%

(2.47)%

Housing

price

-100pb

5.17%

0.78%

2.90%

+100pb

(5.11)%

(0.77)%

(2.73)%

P.63

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Expected loss variation as of December 31, 2020

BBVA Group

Spain

Mexico

Turkey

GDP

Total

Portfolio

Retail

Mortgages

Wholesaler

Fixed

income

Total

Portfolio

Mortgages

Companies

Total

Portfolio

Mortgages

Cards

Total

Portfolio

Wholesale

Retail

-100pb

3.55%

3.47%

3.72%

3.91%

1.58%

3.72%

4.39%

3.96%

3.91%

2.20%

6.30%

1.56%

1.58%

1.62%

+100pb

(3.25)%

(3.14)%

(3.03)%

(3.69)%

(1.97)%

(3.32)%

(3.57)%

(3.53)%

(3.64)%

(2.07)%

(5.78)%

(1.47)%

(1.55)%

(1.47)%

Housing

price

-100pb

5.41%

0.79%

3.13%

+100pb

(5.35)%

(0.77)%

(4.47)%

Additional adjustments to expected loss measurement

In addition to what is described on individualized and collective estimates of expected losses and macroeconomic estimates, the

Group may supplement the expected losses if it deems it necessary to account for the effects that may not be included, either by

considering risk drivers or by the incorporation of sectorial particularities or that may affect a set of operations or borrowers. These

adjustments should be temporary, until the reasons that motivated them disappear or materialize.

For this reason, the expected losses have been supplemented with additional amounts that have been considered necessary to collect

the particular characteristics of borrowers, sectors or portfolios and that may not be identified in the general process. In order to

incorporate those effects that are not included in the impairment models, management adjustments to the expected losses exist,

which amounted to €311 million as of December 31, 2021 (€226 million in Spain, €18 million in Peru and €68 million in Mexico). As of

December 31, 2020 there were €223 million in Spain. The variation in 2021 in Spain and Peru is driven by an additional provision given

the possibility of new extensions in the financing granted or agreements aimed at ensuring business viability as well as a charge in

Mexico for the anticipation of the potential credit deterioration following the expiration of payment deferrals.

P.64

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

7.2.2Credit risk exposure

In accordance with IFRS 7 “Financial instruments: Disclosures”, the BBVA Group’s credit risk exposure by headings in the balance

sheets as of December 31, 2021, 2020 and 2019 is provided below. It does not consider the loss allowances and the availability of

collateral or other credit enhancements to guarantee compliance with payment obligations. The details are broken down by financial

instruments and counterparties:

Maximum credit risk exposure (Millions of Euros)

Notes

December

2021

Stage 1

Stage 2

Stage 3

Financial assets held for trading

92,560

Equity instruments

15,963

Debt securities

25,790

Loans and advances

50,807

Non-trading financial assets mandatorily at fair value through profit or loss

6,086

Equity instruments

5,303

Debt securities

128

Loans and advances

655

Financial assets designated at fair value through profit or loss

1,092

Derivatives (trading and hedging)

43,687

Financial assets at fair value through other comprehensive income

60,495

Equity instruments

1,320

Debt securities

59,148

58,587

561

—

Loans and advances to credit institutions

—

Financial assets at amortized cost

383,870

334,772

34,418

14,680

Debt securities

34,833

34,605

205

Loans and advances to central banks

5,687

—

Loans and advances to credit institutions

13,295

13,285

—

Loans and advances to customers

330,055

281,195

34,203

14,657

Total financial assets risk

587,789

Total loan commitments and financial guarantees

165,941

152,914

12,070

957

Loan commitments given

119,618

112,494

6,953

171

Financial guarantees given

11,720

10,146

1,329

245

Other commitments given

34,604

30,274

3,789

541

Total maximum credit exposure

753,730

P.65

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Maximum credit risk exposure (Millions of Euros)

Notes

December

2020

Stage 1

Stage 2

Stage 3

Financial assets held for trading

65,696

Equity instruments

11,458

Debt securities

23,970

Loans and advances

30,268

Non-trading financial assets mandatorily at fair value through profit or loss

5,198

Equity instruments

4,133

Debt securities

356

Loans and advances

709

Financial assets designated at fair value through profit or loss

1,117

Derivatives (trading and hedging)

46,302

Financial assets at fair value through other comprehensive income

69,537

Equity instruments

1,100

Debt securities

68,404

67,995

410

—

Loans and advances to credit institutions

—

Financial assets at amortized cost

379,857

334,552

30,607

14,698

Debt securities

35,785

35,759

Loans and advances to central banks

6,229

—

Loans and advances to credit institutions

14,591

14,565

Loans and advances to customers

323,252

277,998

30,581

14,672

Total financial assets risk

567,705

Total loan commitments and financial guarantees

179,440

165,726

12,682

1,032

Loan commitments given

132,584

124,104

8,214

265

Financial guarantees given

10,665

9,208

1,168

290

Other commitments given

36,190

32,414

3,300

477

Total maximum credit exposure

747,145

Maximum credit risk exposure (Millions of Euros)

Notes

December

2019

Stage 1

Stage 2

Stage 3

Financial assets held for trading

67,238

Equity instruments

8,892

Debt securities

26,309

Loans and advances

32,037

Non-trading financial assets mandatorily at fair value through profit or loss

5,557

Equity instruments

4,327

Debt securities

110

Loans and advances

1,120

Financial assets designated at fair value through profit or loss

1,214

Derivatives (trading and hedging)

39,462

Financial assets at fair value through other comprehensive income

61,293

Equity instruments

2,420

Debt securities

58,841

58,590

250

—

Loans and advances to credit institutions

—

Financial assets at amortized cost

451,640

402,024

33,624

15,993

Debt securities

38,930

38,790

106

Loans and advances to central banks

4,285

—

Loans and advances to credit institutions

13,664

13,500

158

Loans and advances to customers

394,763

345,449

33,360

15,954

Total financial assets risk

626,404

Total loan commitments and financial guarantees

181,116

169,663

10,452

1,001

Loan commitments given

130,923

123,707

6,945

270

Financial guarantees given

10,984

9,804

955

224

Other commitments given

39,209

36,151

2,552

506

Total maximum credit exposure

807,520

P.66

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The maximum credit exposure presented in the table above is determined by type of financial asset as explained below:

–In the case of financial instruments recognized in the consolidated balance sheets, exposure to credit risk is considered

equal to its carrying amount (not including loss allowances) with the only exception of trading and hedging derivatives.

–The maximum credit risk exposure on financial commitments and guarantees granted is the maximum that the Group

would be liable for if these guarantees were called in, or the higher amount pending to be disposed from the customer in the

case of commitments.

–The calculation of risk exposure for derivatives is based on the sum of two factors: the derivatives fair value and their

potential risk (or "add-on").

The breakdown by geographical location and Stage of the maximum credit risk exposure, the accumulated allowances recorded and

the carrying amount of the loans and advances to customers as of December 31, 2021, 2020 and 2019 is shown below:

December 2021 (Millions of Euros)

Gross exposure

Accumulated allowances

Carrying amount

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Spain (*)

201,405

171,883

21,380

8,143

(5,277)

(722)

(923)

(3,631)

196,129

171,161

20,457

4,511

Mexico

57,847

51,665

4,261

1,921

(2,038)

(740)

(381)

(916)

55,809

50,925

3,880

1,005

Turkey (**)

33,472

26,497

4,134

2,841

(2,058)

(224)

(424)

(1,410)

31,414

26,273

3,711

1,431

South America

(***)

36,335

30,166

4,425

1,744

(1,736)

(277)

(362)

(1,096)

34,599

29,889

4,062

648

Others

996

984

(8)

(1)

—

(7)

988

983

Total (****)

330,055

281,195

34,203

14,657

(11,116)

(1,964)

(2,091)

(7,061)

318,939

279,231

32,112

7,596

Of which:

individual

(2,528)

(4)

(657)

(1,867)

Of which:

collective

(8,587)

(1,959)

(1,434)

(5,194)

(*) Spain includes all countries where BBVA, S.A. operates.

(**) Turkey includes all countries in which Garanti BBVA operates.

(***) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.

(****) The amount of the accumulated allowances includes the provisions recorded for credit risk over the remaining expected lifetime of purchased financial instruments. Those

provisions were determined at the moment of the Purchase Price Allocation and were originated mainly in the acquisition of Catalunya Banc S.A. (as of December 31, 2021, the

remaining balance was €266 million). These valuation adjustments are recognized in the consolidated income statement during the residual life of the operations or are applied to

the value corrections when the losses materialize.

December 2020 (Millions of Euros)

Gross exposure

Accumulated allowances

Carrying amount

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Spain (*)

195,983

171,397

16,387

8,199

(5,679)

(753)

(849)

(4,077)

190,304

170,644

15,538

4,122

Mexico

52,211

46,373

4,071

1,767

(2,211)

(685)

(442)

(1,083)

50,000

45,688

3,628

684

Turkey (**)

39,633

30,832

5,806

2,995

(2,338)

(246)

(535)

(1,557)

37,295

30,586

5,272

1,438

South America

(***)

34,499

28,484

4,312

1,703

(1,870)

(320)

(460)

(1,090)

32,629

28,165

3,852

612

Others

925

912

(7)

(1)

—

(6)

918

911

Total (****)

323,252

277,998

30,581

14,672

(12,105)

(2,005)

(2,287)

(7,813)

311,147

275,993

28,294

6,860

Of which:

individual

(2,611)

(10)

(479)

(2,122)

Of which:

collective

(9,494)

(1,995)

(1,808)

(5,691)

(*) Spain includes all countries where BBVA, S.A. operates.

(**) Turkey includes all countries in which Garanti BBVA operates.

(***) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.

(****) The amount of the accumulated allowances includes the provisions recorded for credit risk over the remaining expected lifetime of purchased financial instruments. Those

provisions were determined at the moment of the Purchase Price Allocation and were originated mainly in the acquisition of Catalunya Banc S.A. (as of December 31, 2020 the

remaining balance was €363 million). These valuation adjustments are recognized in the consolidated income statement during the residual life of the operations or are applied to

the value corrections when the losses materialize.

P.67

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2019 (Millions of Euros)

Gross exposure

Accumulated allowances

Carrying amount

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Spain (*)

197,058

173,843

14,599

8,616

(5,311)

(712)

(661)

(3,939)

191,747

173,131

13,939

4,677

The United

States

57,387

49,744

7,011

632

(688)

(165)

(342)

(182)

56,699

49,580

6,670

450

Mexico

60,099

54,748

3,873

1,478

(2,013)

(697)

(404)

(912)

58,087

54,052

3,469

566

Turkey (**)

43,113

34,536

5,127

3,451

(2,613)

(189)

(450)

(1,974)

40,500

34,347

4,677

1,477

South America

(***)

36,265

31,754

2,742

1,769

(1,769)

(366)

(323)

(1,079)

34,497

31,388

2,419

690

Others

839

824

(8)

(1)

(6)

832

823

Total (****)

394,763

345,449

33,360

15,954

(12,402)

(2,129)

(2,181)

(8,093)

382,360

343,320

31,179

7,861

Of which:

individual

(2,795)

(6)

(347)

(2,441)

Of which:

collective

(9,608)

(2,123)

(1,834)

(5,652)

(*) Spain includes all countries where BBVA, S.A. operates.

(**) Turkey includes all countries in which Garanti BBVA operates.

(***) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.

(****) The amount of the accumulated allowances includes the provisions recorded for credit risk over the remaining expected lifetime of purchased financial instruments. Those

provisions were determined at the moment of the Purchase Price Allocation and were originated mainly in the acquisition of Catalunya Banc S.A. (as of December 31, 2019 the

remaining balance was €433 million). These valuation adjustments are recognized in the consolidated income statement during the residual life of the operations or are applied to

the value corrections when the losses materialize.

The breakdown by counterparty of the maximum credit risk exposure, the accumulated allowances recorded, as well as the carrying

amount by stages of loans and advances to customers as of December 31, 2021, 2020 and 2019 is shown below:

December 2021 (Millions of Euros)

Gross exposure

Accumulated allowances

Net amount

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Public administrations

19,719

19,287

369

(37)

(13)

(5)

(19)

19,682

19,274

364

Other financial corporations

9,826

9,672

131

(23)

(8)

(6)

(9)

9,804

9,664

125

Non-financial corporations

146,797

120,140

19,366

7,290

(5,804)

(759)

(1,306)

(3,738)

140,993

119,381

18,060

3,552

Households

153,714

132,096

14,336

7,281

(5,253)

(1,184)

(773)

(3,295)

148,461

130,912

13,563

3,986

Loans and advances to

customers

330,055

281,195

34,203

14,657

(11,116)

(1,964)

(2,091)

(7,061)

318,939

279,231

32,112

7,596

December 2020 (Millions of Euros)

Gross exposure

Accumulated allowances

Net amount

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Public administrations

19,439

19,163

200

(48)

(14)

(9)

(25)

19,391

19,149

191

Other financial corporations

9,856

9,747

(39)

(25)

(6)

(7)

9,817

9,722

Non-financial corporations

142,547

119,891

15,179

7,477

(6,123)

(774)

(1,110)

(4,239)

136,424

119,117

14,069

3,238

Households

151,410

129,196

15,108

7,106

(5,895)

(1,192)

(1,161)

(3,542)

145,515

128,005

13,946

3,564

Loans and advances to

customers

323,252

277,998

30,581

14,672

(12,105)

(2,005)

(2,287)

(7,813)

311,147

275,993

28,294

6,860

P.68

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2019 (Millions of Euros)

Gross exposure

Accumulated allowances

Net amount

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Public administrations

28,281

27,511

682

(59)

(15)

(22)

(21)

28,222

27,496

660

Other financial corporations

11,239

11,085

136

(31)

(19)

(2)

(10)

11,207

11,066

134

Non-financial corporations

173,254

148,768

16,018

8,468

(6,465)

(811)

(904)

(4,750)

166,789

147,957

15,114

3,718

Households

181,989

158,085

16,523

7,381

(5,847)

(1,283)

(1,252)

(3,312)

176,142

156,801

15,272

4,069

Loans and advances to

customers

394,763

345,449

33,360

15,954

(12,402)

(2,129)

(2,181)

(8,093)

382,360

343,320

31,179

7,861

The breakdown by counterparty and product of loans and advances, net of loss allowances, as well as the gross carrying amount by

type of product, classified in different headings of the assets, as of December 31, 2021, 2020 and 2019 is shown below:

December 2021 (Millions of Euros)

Central banks

General

governments

Credit

institutions

Other financial

corporations

Non-financial

corporations

Househol

Total

Gross carrying

amount

On demand and short notice

—

321

2,339

495

3,161

3,345

Credit card debt

—

1,504

12,523

14,030

14,949

Commercial debtors

791

—

476

18,191

19,524

19,766

Finance leases

—

191

—

7,388

317

7,911

8,256

Reverse repurchase loans

1,192

—

2,788

—

4,004

4,013

Other term loans

4,174

18,440

4,004

5,413

110,204

134,505

276,739

286,127

Advances that are not loans

315

394

6,510

3,554

1,805

630

13,208

13,263

LOANS AND ADVANCES

5,681

19,822

13,303

9,804

141,431

148,536

338,577

349,719

By secured loans

Of which: mortgage loans

collateralized by immovable property

324

—

220

21,531

94,821

116,897

119,980

Of which: other collateralized loans

1,180

1,413

2,534

390

3,512

1,950

10,979

11,335

By purpose of the loan

Of which: credit for consumption

42,294

45,236

Of which: lending for house purchase

95,209

96,612

By subordination

Of which: project finance loans

8,863

9,423

December 2020 (Millions of Euros)

Central banks

General

governments

Credit

institutions

Other financial

corporations

Non-financial

corporations

Househol

Total

Gross carrying

amount

On demand and short notice

—

502

1,798

528

2,835

3,021

Credit card debt

—

1,485

11,605

13,093

14,220

Commercial debtors

898

—

317

14,262

15,544

15,796

Finance leases

—

197

—

7,125

322

7,650

8,013

Reverse repurchase loans

472

—

1,914

—

2,457

2,463

Other term loans

5,690

18,111

3,972

5,799

111,141

132,603

277,317

287,467

Advances that are not loans

260

8,721

3,191

1,084

473

13,777

13,833

LOANS AND ADVANCES

6,209

19,475

14,608

9,817

136,966

145,598

332,672

344,813

By secured loans

Of which: mortgage loans

collateralized by immovable property

372

—

209

22,091

94,147

116,819

120,194

Of which: other collateralized loans

472

952

—

317

3,763

2,059

7,562

7,776

By purpose of the loan

Of which: credit for consumption

39,799

43,037

Of which: lending for house purchase

94,098

95,751

By subordination

Of which: project finance loans

10,721

11,032

P.69

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2019 (Millions of Euros)

Central banks

General

governments

Credit

institutions

Other financial

corporations

Non-financial

corporations

Househol

Total

Gross carrying

amount

On demand and short notice

—

118

2,328

595

3,050

3,251

Credit card debt

—

1,940

14,401

16,355

17,608

Commercial debtors

971

—

230

15,976

17,276

17,617

Finance leases

—

227

—

8,091

387

8,711

9,095

Reverse repurchase loans

—

1,817

—

1,843

1,848

Other term loans

4,240

26,734

4,121

7,795

137,934

160,223

341,047

351,230

Advances that are not loans

865

7,743

3,056

951

506

13,156

13,214

LOANS AND ADVANCES

4,275

28,816

13,682

11,208

167,246

176,211

401,438

413,863

By secured loans

Of which: mortgage loans

collateralized by immovable property

1,067

261

23,575

111,085

136,003

139,317

Of which: other collateralized loans

—

10,447

2,106

29,009

6,893

48,548

49,266

By purpose of the loan

Of which: credit for consumption

46,356

49,474

Of which: lending for house purchase

110,178

111,636

By subordination

Of which: project finance loans

12,259

12,415

7.2.3Mitigation of credit risk, collateralized credit risk and other credit enhancements

In certain cases, maximum credit risk exposure is reduced by collateral, credit enhancements and other actions which mitigate the

Group’s exposure. The BBVA Group applies a credit risk hedging and mitigation policy deriving from a banking approach focused on

relationship banking. The existence of guarantees could be a necessary but not sufficient instrument for accepting risks, as the

assumption of risks by the Group requires prior evaluation of the debtor’s capacity for repayment, or that the debtor can generate

sufficient resources to allow the amortization of the risk incurred under the agreed terms.

The policy of accepting risks is therefore organized into three different levels in the BBVA Group:

–Analysis of the financial risk of the transaction, based on the debtor’s capacity for repayment or generation of funds.

–The constitution of guarantees that are adequate, or at any rate generally accepted, for the risk assumed, in any of the

generally accepted forms: monetary, secured, personal or hedge guarantees; and finally

–Assessment of the repayment risk (asset liquidity) of the guarantees received.

This is carried out through a prudent risk policy that consists of the analysis of the financial risk, based on the capacity for

reimbursement or generation of resources of the borrower, the analysis of the guarantee, assessing, among others, the efficiency, the

robustness and the risk, the adequacy of the guarantee with the operation and other aspects such as the location, currency,

concentration or the existence of limitations. Additionally, the necessary tasks for the constitution of guarantees must be carried out -

in any of the generally accepted forms (collaterals, personal guarantees and financial hedge instruments) - appropriate to the risk

assumed.

The procedures for the management and valuation of collateral are set out in the corporate general policies (retail and wholesale),

which establish the basic principles for credit risk management, including the management of collaterals assigned in transactions with

customers. The criteria for the systematic, standardized and effective treatment of collateral in credit transaction procedures in

BBVA Group’s wholesale and retail banking are included in the Specific Collateral Rules.

The methods used to value the collateral are in line with the best market practices and imply the use of appraisal of real-estate

collateral, the market price in market securities, the trading price of shares in mutual funds, etc. All the collaterals received must be

correctly assigned and entered in the corresponding register. They must also have the approval of the Group’s legal units.

The valuation of the collateral is taken into account in the calculation of the expected losses. The Group has developed internal

models to estimate the realization value of the collaterals received, the time that elapses until then, the costs for their acquisition,

maintenance and subsequent sale, from real observations based on its own experience. This modeling is part of the LGD estimation

processes that are applied to the different segments, and is included within the annual review and validation procedures.

The following is a description of the main types of collateral for each financial instrument class:

–Debt instruments held for trading: The guarantees or credit enhancements obtained directly from the issuer or

counterparty are implicit in the clauses of the instrument (mainly guarantees of the issuer).

–Derivatives and hedging derivatives: In derivatives, credit risk is minimized through contractual netting agreements, where

positive- and negative-value derivatives with the same counterparty are offset for their net balance. There may likewise be

other kinds of guarantees and collaterals, depending on counterparty solvency and the nature of the transaction (mainly

collaterals).

P.70

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The summary of the offsetting effect (via netting and collateral) for derivatives and securities operations as of December 31,

2021 is presented in Note 7.4.2.

–Other financial assets designated at fair value through profit or loss and financial assets at fair value through other

comprehensive income: The guarantees or credit enhancements obtained directly from the issuer or counterparty are

inherent to the structure of the instrument (mainly personal guarantees).

As of December 31, 2021, 2020 and 2019, BBVA Group had no credit risk exposure of impaired financial assets at fair value

through other comprehensive income (see Note 7.2.2).

–Financial assets at amortized cost:

a.Loans and advances to credit institutions: These usually have the counterparty’s personal guarantee or pledged

securities in the case of repos.

b.Loans and advances to customers: Most of these loans and advances are backed by personal guarantees

extended by the customer. There may also be collateral to secure loans and advances to customers (such as

mortgages, cash collaterals, pledged securities and other collateral), or to obtain other credit enhancements

(bonds or insurances).

c.Debt securities: The guarantees or credit enhancements obtained directly from the issuer or counterparty are

inherent to the structure of the instrument.

–Financial guarantees, other contingent risks and drawable by third parties: these have the counterparty’s personal

guarantee or other types of collaterals.

The disclosure of impaired loans and advances at amortized cost covered by collateral (see Note 7.2.6), by type of collateral, as of

December 31, 2021, 2020 and 2019, is the following:

Impaired loans and advances at amortized cost covered by collateral (Millions of Euros)

Maximum

exposure to

credit risk

Of which secured by collateral

Residential

properties

Commercial

properties

Cash

Others

Financial

December 2021

14,657

2,875

1,068

886

December 2020

14,678

2,717

789

575

December 2019

15,959

3,396

939

221

542

The value of guarantees received as of December 31, 2021, 2020 and 2019, is the following:

Guarantees received (Millions of Euros)

2021

2020

2019

Value of collateral

117,362

116,900

152,454

Of which: guarantees normal risks under special monitoring

11,768

11,296

14,623

Of which: guarantees non-performing risks

3,981

3,577

4,590

Value of other guarantees

48,680

47,012

35,464

Of which: guarantees normal risks under special monitoring

7,404

4,045

3,306

Of which: guarantees non-performing risks

886

575

542

Total value of guarantees received

166,042

163,912

187,918

The maximum credit risk exposure of impaired financial guarantees and other commitments at December 31, 2021, 2020 and 2019

amounts to €957, €1,032 and €1,001 million, respectively (see Note 7.2.2).

7.2.4Credit quality of financial assets that are neither past due nor impaired

The BBVA Group has tools that enable it to rank the credit quality of its transactions and customers based on an assessment and its

correspondence with the probability of default (“PD”) scales. To analyze the performance of PD, the Group has a series of tracking

tools and historical databases that collect the pertinent internally generated information. These tools can be grouped together into

scoring and rating models.

P.71

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Scoring

Scoring is a decision-making model that contributes to both the arrangement and management of retail loans: consumer loans,

mortgages, credit cards for individuals, etc. Scoring is the tool used to decide to originate a loan, what amount should be originated

and what strategies can help establish the price, because it is an algorithm that sorts transactions by their credit quality. This

algorithm enables the BBVA Group to assign a score to each transaction requested by a customer, on the basis of a series of objective

characteristics that have statistically been shown to distinguish between the quality and risk of this type of transactions. The

advantage of scoring lies in its simplicity and homogeneity: all that is needed is a series of objective data for each customer, and this

data is analyzed automatically using an algorithm.

There are three types of scoring, based on the information used and on its purpose:

–Reactive scoring: measures the risk of a transaction requested by an individual using variables relating to the requested

transaction and to the customer’s socio-economic data available at the time of the request. The new transaction is

approved or rejected depending on the score.

–Behavioral scoring: scores transactions for a given product in an outstanding risk portfolio of the entity, enabling the credit

rating to be tracked and the customer’s needs to be anticipated. It uses transaction and customer variables available

internally. Specifically, variables that refer to the behavior of both the product and the customer.

–Proactive scoring: gives a score at customer level using variables related to the individual’s general behavior with the entity,

and to his/her payment behavior in all the contracted products. The purpose is to track the customer’s credit quality and it

is used to pre-approve new transactions.

Rating

Rating tools, as opposed to scoring tools, do not assess transactions but focus on the rating of customers instead: companies,

corporations, SMEs, general governments, etc. A rating tool is an instrument that, based on a detailed financial study, helps

determine a customer’s ability to meet his/her financial obligations. The final rating is usually a combination of various factors: on one

hand, quantitative factors, and on the other hand, qualitative factors. It is a middle road between an individual analysis and a

statistical analysis.

The main difference between ratings and scorings is that the latter are used to assess retail products, while ratings use a wholesale

banking customer approach. Moreover, scorings only include objective variables, while ratings add qualitative information. And

although both are based on statistical studies, adding a business view, rating tools give more weight to the business criterion

compared to scoring tools.

For portfolios where the number of defaults is low (sovereign risk, corporates, financial entities, etc.) the internal information is

supplemented by “benchmarking” of the external rating agencies (Moody’s, Standard & Poor’s and Fitch). To this end, each year the

PDs compiled by the rating agencies at each level of risk rating are compared, and the measurements compiled by the various

agencies are mapped against those of the BBVA master rating scale.

The probability of default of transactions or customers is calibrated with a long-term view, since its purpose is to measure the risk

quality beyond its time of estimation, seeking to capture information representative of the behavior of the portfolios during a

complete economic cycle (a long-term average probability of default). This probability is mapped to the master scale developed by

the BBVA Group in order to facilitate a homogeneous classification of its different risk portfolios.

P.72

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The table below shows the abridged scale used to classify the BBVA Group’s outstanding risk as of December 31, 2021:

Internal rating

Probability of default

(basis points)

Reduced List (22 groups)

Average

Minimum from >=

Maximum

AAA

—

AA+

AA-

A+

A-

BBB+

BBB

BBB-

BB+

116

BB-

150

116

194

B+

255

194

335

441

335

581

B-

785

581

1,061

CCC+

1,191

1,061

1,336

CCC

1,500

1,336

1,684

CCC-

1,890

1,684

2,121

CC+

2,381

2,121

2,673

3,000

2,673

3,367

CC-

3,780

3,367

4,243

These different levels and their probability of default were calculated by using as a reference the rating scales and default rates

provided by the external agencies Standard & Poor’s and Moody’s. These calculations establish the levels of probability of default for

the BBVA Group’s Master Rating Scale. Although this scale is common to the entire Group, the calibrations (mapping scores to PD

sections/Master Rating Scale levels) are carried out at tool level for each country in which the Group has tools available.

The table below outlines the distribution by probability of default within 12 months and through the lifetime of the asset, and stages of

the gross carrying amount of loans and advances to customers in percentage terms of the BBVA Group as of December 31, 2021,

2020 and 2019:

Probability of default (basis points)

2021

2020

2019

Subject to 12 month

ECL (Stage 1)

Subject to

lifetime ECL

(Stage 2)

Subject to 12 month

ECL (Stage 1)

Subject to

lifetime ECL

(Stage 2)

Subject to 12 month

ECL (Stage 1)

Subject to

lifetime ECL

(Stage 2)

0 to 2

5.8

—

4.0

—

5.5

—

2 to 5

15.7

0.1

10.2

0.1

6.3

—

5 to 11

15.2

0.2

7.7

0.1

14.6

0.2

11 to 39

18.7

0.6

26.8

0.5

24.5

0.8

39 to 194

19.1

2.5

24.0

2.3

24.5

1.6

194 to 1,061

12.2

3.8

15.1

3.4

14.0

3.6

1,061 to 2,121

1.9

1.5

1.2

1.4

1.2

> 2,121

0.8

1.9

0.6

2.5

0.4

1.5

Total

89.4

10.6

89.9

10.1

91.0

9.0

P.73

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

7.2.5Impaired loan risks

The breakdown of loans and advances within financial assets at amortized cost, by impaired amount, accumulated impairment, gross

carrying amount and by counterparties, as of December 31, 2021, 2020 and 2019 is as follows:

December 2021 (Millions of Euros)

Gross

carrying

amount

Impaired loans

and advances

Accumulated

impairment

Impaired loans

and advances

as a % of the

total

Central banks

5,687

—

(6)

—%

General governments

19,719

(37)

0.3%

Credit institutions

13,295

—

(19)

—%

Other financial corporations

9,826

(23)

0.2%

Non-financial corporations

146,797

7,290

(5,804)

5.0%

Agriculture, forestry and fishing

4,077

125

(154)

3.1%

Mining and quarrying

4,889

222

(130)

4.5%

Manufacturing

35,058

1,003

(867)

2.9%

Electricity, gas, steam and air conditioning supply

13,718

570

(489)

4.2%

Water supply

782

(21)

2.9%

Construction

8,336

894

(619)

10.7%

Wholesale and retail trade

25,856

1,311

(1,104)

5.1%

Transport and storage

10,310

879

(400)

8.5%

Accommodation and food service activities

7,693

470

(405)

6.1%

Information and communications

6,533

117

(56)

1.8%

Financial and insurance activities

6,216

197

(181)

3.2%

Real estate activities

9,438

719

(466)

7.6%

Professional, scientific and technical activities

3,910

185

(152)

4.7%

Administrative and support service activities

3,046

181

(132)

5.9%

Public administration and defense; compulsory social

security

203

(11)

4.5%

Education

582

(34)

7.4%

Human health services and social work activities

1,888

(41)

2.5%

Arts, entertainment and recreation

1,011

209

(95)

20.7%

Other services

3,250

(447)

2.6%

Households

153,714

7,281

(5,253)

4.7%

LOANS AND ADVANCES

349,037

14,657

(11,142)

4.2%

P.74

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2020 (Millions of Euros)

Gross

carrying

amount

Impaired loans

and advances

Accumulated

impairment

Impaired

loans and

advances as a

% of the total

Central banks

6,229

—

(20)

—%

General governments

19,439

(48)

0.4%

Credit institutions

14,591

(16)

—%

Other financial corporations

9,856

(39)

0.1%

Non-financial corporations

142,547

7,477

(6,123)

5.2%

Agriculture, forestry and fishing

3,438

132

(108)

3.8%

Mining and quarrying

4,349

(59)

1.1%

Manufacturing

33,771

1,486

(1,129)

4.4%

Electricity, gas, steam and air conditioning supply

13,490

591

(509)

4.4%

Water supply

899

(15)

1.9%

Construction

10,019

1,397

(722)

13.9%

Wholesale and retail trade

24,594

1,456

(1,223)

5.9%

Transport and storage

8,117

489

(368)

6.0%

Accommodation and food service activities

8,337

358

(294)

4.3%

Information and communications

5,764

(60)

1.3%

Financial and insurance activities

5,298

123

(132)

2.3%

Real estate activities

10,025

617

(494)

6.2%

Professional, scientific and technical activities

2,886

177

(124)

6.1%

Administrative and support service activities

3,955

142

(192)

3.6%

Public administration and defense, compulsory social

security

129

(4)

3.5%

Education

665

(43)

8.1%

Human health services and social work activities

1,812

(59)

3.7%

Arts, entertainment and recreation

1,131

(65)

4.1%

Other services

3,871

198

(523)

5.1%

Households

151,410

7,106

(5,895)

4.7%

LOANS AND ADVANCES

344,072

14,678

(12,141)

4.3%

P.75

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2019 (Millions of Euros)

Gross

carrying

amount

Impaired loans

and advances

Accumulated

impairment

Impaired

loans and

advances as a

% of the total

Central banks

4,285

—

(9)

—%

General governments

28,281

(60)

0.3%

Credit institutions

13,664

(15)

—%

Other financial corporations

11,239

(31)

0.2%

Non-financial corporations

173,254

8,467

(6,465)

4.9%

Agriculture, forestry and fishing

3,758

154

(124)

4.1%

Mining and quarrying

4,669

100

(86)

2.1%

Manufacturing

39,517

1,711

(1,242)

4.3%

Electricity, gas, steam and air conditioning supply

12,305

684

(575)

5.6%

Water supply

900

(16)

1.6%

Construction

10,945

1,377

(876)

12.6%

Wholesale and retail trade

27,467

1,799

(1,448)

6.6%

Transport and storage

9,638

507

(392)

5.3%

Accommodation and food service activities

8,703

279

(203)

3.2%

Information and communications

6,316

(65)

1.5%

Financial and insurance activities

6,864

191

(140)

2.8%

Real estate activities

19,435

782

(527)

4.0%

Professional, scientific and technical activities

4,375

167

(140)

3.8%

Administrative and support service activities

3,415

118

(134)

3.4%

Public administration and defense, compulsory social

security

282

(6)

1.7%

Education

903

(38)

4.5%

Human health services and social work activities

4,696

(55)

1.4%

Arts, entertainment and recreation

1,396

(39)

3.4%

Other services

7,671

331

(360)

4.3%

Households

181,989

7,381

(5,847)

4.1%

LOANS AND ADVANCES

412,711

15,959

(12,427)

3.9%

The changes during the years 2021, 2020 and 2019 of impaired financial assets and contingent risks are as follows:

Changes in impaired financial assets and guarantees given (Millions of Euros)

2021

2020

2019

Balance at the beginning

15,478

16,770

17,134

Additions

8,556

9,533

9,857

Decreases (*)

(4,555)

(5,024)

(5,874)

Net additions

4,001

4,509

3,983

Amounts written-off

(3,613)

(3,603)

(3,803)

Exchange differences and other

(399)

(968)

(544)

Discontinued operations

—

(1,230)

—

Balance at the end

15,467

15,478

16,770

(*) Reflects the total amount of impaired loans derecognized from the consolidated balance sheet throughout the year as a result of mortgage foreclosures and real estate assets

received in lieu of payment as well as monetary recoveries.

The Group estimates that the update in the definition of credit impairment (default) (see Note 2.2.1) led to an increase of €1,262

million in impaired financial assets. Regarding expected credit losses, the impact of this change is not considered to be significant,

since most of the affected operations were previously classified within stage 2 and, consequently, their credit risk coverage already

corresponded to the expected credit losses throughout the expected lifetime of the operation.

For the year ended December 31, 2021, the impairment charges recognized under the heading “Impairment or reversal of impairment

on financial assets not measured at fair value through profit or loss or net gains by modification" amounted to €3,034 million (€5,179

million for the year ended December 31, 2020) (see Note 47).

During 2021, three factors have contributed to lower impairment charges compared to the previous year:

P.76

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–a favorable demand recovery based on stimuli measures put in place by governments, savings during the pandemic and

vaccination, as well as an upward revision in the forecasted GDP growth, which, although positive, has lost momentum by

the end of the year due to short-term pressures. Such pressures are likely to be temporary and related to the supply chain

and the rise in inflation rates,

–improved performance of the underlying business. In particular, limited additions to stage 3 have been supported by sound

recoveries throughout the year,

–and, to a lower extent, lower management adjustments, aligned with the improvement of the macroeconomic scenario.

The changes during the years 2021, 2020 and 2019 in financial assets derecognized from the accompanying consolidated balance

sheet as their recovery is considered unlikely ("write-offs"), is shown below:

Changes in impaired financial assets written-off from the balance sheet (Millions of Euros)

Notes

2021

2020

2019

Balance at the beginning

22,001

26,245

32,343

Companies held for sale (*)

—

(4,646)

—

Increase

3,709

3,440

4,712

Decrease:

(3,605)

(2,715)

(11,039)

Re-financing or restructuring

(1)

(7)

(2)

Cash recovery

(423)

(339)

(919)

Foreclosed assets

(17)

(479)

(617)

Sales (**)

(2,437)

(1,223)

(8,325)

Debt forgiveness

(599)

(607)

(493)

Time-barred debt and other causes

(129)

(60)

(682)

Net exchange differences

(116)

(323)

230

Balance at the end

21,990

22,001

26,245

(*) The amount in 2020 includes the balance of the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

(**) Includes principal and interest.

As indicated in Note 2.2.1, although they have been derecognized from the consolidated balance sheet, the BBVA Group continues to

attempt to collect on these written-off financial assets, until the rights to receive them are fully extinguished, either because it is a

time-barred financial asset, the financial asset is forgiven, or other reason.

7.2.6Loss allowances

Movements, measured over a 12-month period, in gross accounting balances and accumulated allowances for loan losses during

2021, 2020 and 2019 are recorded on the accompanying consolidated balance sheet as of December 31, 2021, 2020 and 2019, in

order to cover the estimated loss allowances in loans and advances and debt securities measured at amortized cost.

Changes in gross accounting balances of loans and advances at amortized cost. Year 2021 (Millions of Euros)

Stage 1

Stage 2

Stage 3

Total

Balance at the beginning

298,793

30,601

14,678

344,072

Transfers of financial assets:

(10,785)

8,640

2,145

—

Transfers from stage 1 to Stage 2

(14,482)

14,482

—

Transfers from stage 2 to Stage 1

4,905

(4,905)

—

Transfers to Stage 3

(1,772)

(1,945)

3,717

—

Transfers from Stage 3

564

1,009

(1,573)

—

Net annual origination of financial

assets

17,876

(4,729)

1,217

14,364

Becoming write-offs

(74)

(68)

(3,095)

(3,237)

Changes in model / methodology

—

Foreign exchange

(6,054)

(1,902)

(216)

(8,172)

Modifications that do not result in

derecognition

187

1,642

189

2,018

Other

224

(261)

(8)

Balance at the end

300,167

34,213

14,657

349,037

P.77

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Changes in allowances of loans and advances at amortized cost. Year 2021 (Millions of Euros)

Stage 1

Stage 2

Stage 3

Total

Balance at the beginning

(2,037)

(2,289)

(7,815)

(12,141)

Transfers of financial assets:

187

441

(2,521)

(1,893)

Transfers from stage 1 to Stage 2

139

(602)

—

(463)

Transfers from stage 2 to Stage 1

(60)

307

—

247

Transfers to Stage 3

111

802

(2,775)

(1,862)

Transfers from Stage 3

(3)

(66)

254

185

Net annual origination of allowances

(563)

(57)

(314)

(933)

Becoming write-offs

2,694

2,795

Changes in model / methodology

—

Foreign exchange

(270)

719

519

Modifications that do not result in

derecognition

(79)

(122)

(189)

Other

297

106

298

701

Balance at the end

(1,990)

(2,091)

(7,061)

(11,142)

Changes in gross accounting balances of loans and advances at amortized cost. Year 2020 (Millions of Euros)

Stage 1

Stage 2

Stage 3

Total

Balance at the beginning

363,234

33,518

15,959

412,711

Transfers of financial assets:

(11,935)

8,807

3,128

—

Transfers from stage 1 to Stage 2

(15,843)

15,843

—

Transfers from stage 2 to Stage 1

5,107

(5,107)

—

Transfers to Stage 3

(1,701)

(2,659)

4,359

—

Transfers from Stage 3

502

729

(1,231)

—

Net annual origination of financial assets

16,119

(827)

102

15,395

Becoming write-offs

(3)

(2)

(2,944)

(2,949)

Changes in model / methodology

—

Foreign exchange

(21,472)

(2,342)

(1,157)

(24,970)

Modifications that do not result in derecognition

(204)

827

511

1,134

Other

(283)

(190)

270

(204)

Discontinued operations

(46,664)

(9,190)

(1,192)

(57,045)

Balance at the end

298,793

30,601

14,678

344,072

Changes in allowances of loans and advances at amortized cost. Year 2020 (Millions of Euros)

Stage 1

Stage 2

Stage 3

Total

Balance at the beginning

(2,149)

(2,183)

(8,094)

(12,427)

Transfers of financial assets:

184

(511)

(1,806)

(2,133)

Transfers from stage 1 to stage 2

156

(923)

—

(766)

Transfers from stage 2 to stage 1

(50)

253

—

202

Transfers to stage 3

218

(1,950)

(1,652)

Transfers from stage 3

(3)

(59)

144

Net annual origination of allowances

(872)

(795)

(1,329)

(2,996)

Becoming write-offs

—

2,567

2,568

Changes in model / methodology

—

Foreign exchange

227

256

721

1,204

Modifications that do not result in

derecognition

(118)

(177)

(283)

Other

160

618

803

Discontinued operations

401

444

278

1,123

Balance at the end

(2,037)

(2,289)

(7,815)

(12,141)

P.78

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Changes in gross accounting balances of loans and advances at amortized cost. Year 2019 (Millions of Euros)

Stage 1

Stage 2

Stage 3

Total

Balance at the beginning

352,282

30,707

16,359

399,347

Transfers of financial assets:

(9,021)

6,279

2,741

—

Transfers from stage 1 to stage 2

(13,546)

13,546

—

Transfers from stage 2 to stage 1

5,656

(5,656)

—

Transfers to stage 3

(1,571)

(2,698)

4,269

—

Transfers from stage 3

440

1,087

(1,527)

—

Net annual origination of financial assets

20,296

(2,739)

246

17,804

Becoming write-offs

(152)

(349)

(3,407)

(3,908)

Changes in model / methodology

—

Foreign exchange

1,611

1,662

Modifications that do not result in derecognition

(1)

(27)

(13)

Other

(1,782)

(388)

(11)

(2,180)

Balance at the end

363,234

33,518

15,959

412,711

Changes in allowances of loans and advances at amortized cost. Year 2019 (Millions of Euros)

Stage 1

Stage 2

Stage 3

Total

Balance at the beginning

(2,082)

(2,375)

(7,761)

(12,217)

Transfers of financial assets:

176

(227)

(1,574)

(1,626)

Transfers from stage 1 to stage 2

126

(649)

—

(523)

Transfers from stage 2 to stage 1

(38)

273

—

235

Transfers to stage 3

234

(1,810)

(1,487)

Transfers from stage 3

(1)

(86)

236

149

Net annual origination of allowances

(542)

(116)

(1,711)

(2,370)

Becoming write-offs

130

337

2,789

3,256

Changes in model / methodology

—

Foreign exchange

(30)

(18)

Modifications that do not result in

derecognition

(15)

(149)

(89)

(254)

Other

215

366

183

764

Balance at the end

(2,149)

(2,183)

(8,094)

(12,427)

7.2.7Refinancing and restructuring transactions

Group policies and principles with respect to refinancing and restructuring transactions

Refinancing and restructuring transactions (see definition in the Glossary) are carried out with customers who have requested such a

transaction in order to meet their current loan payments if they are expected, or may be expected, to experience financial difficulty in

making the payments in the future.

The basic aim of a refinancing and restructuring transaction is to provide the customer with a situation of financial viability over time

by adapting repayment of the loan incurred with the Group to the customer’s new situation of fund generation. The use of refinancing

and restructuring for other purposes, such as to delay loss recognition, is contrary to BBVA Group policies.

The BBVA Group’s refinancing and restructuring policies are based on the following general principles:

–Refinancing and restructuring is authorized according to the capacity of customers to pay the new installments. This is done

by first identifying the origin of the payment difficulties and then carrying out an analysis of the customers’ viability,

including an updated analysis of their economic and financial situation and capacity to pay and generate funds. If the

customer is a company, the analysis also covers the situation of the industry in which it operates.

–With the aim of increasing the solvency of the transaction, new guarantees and/or guarantors of demonstrable solvency are

obtained where possible. An essential part of this process is an analysis of the effectiveness of both the new and original

guarantees.

–This analysis is carried out from the overall customer or group perspective.

–Refinancing and restructuring transactions do not in general increase the amount of the customer’s loan, except for the

expense inherent to the transaction itself.

–The capacity to refinance and restructure a loan is not delegated to the branches, but decided on by the risk units.

P.79

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–The decisions made are reviewed from time to time with the aim of evaluating full compliance with refinancing and

restructuring policies.

These general principles are adapted in each case according to the conditions and circumstances of each geographical area in which

the Group operates, and to the different types of customers involved.

In the case of retail customers (private individuals), the main aim of the BBVA Group’s policy on refinancing and restructuring a loan is

to avoid default arising from a customer’s temporary liquidity problems by implementing structural solutions that do not increase the

balance of the customer’s loan. The solution required is adapted to each case and the loan repayment is made easier, in accordance

with the following principles:

–Analysis of the viability of transactions based on the customer’s willingness and ability to pay, which may be reduced, but

should nevertheless be present. The customer must therefore repay at least the interest on the transaction in all cases. No

arrangements may be concluded that involve a grace period for both principal and interest.

–Refinancing and restructuring of transactions is only allowed on those loans in which the BBVA Group originally entered

into.

–Customers subject to refinancing and restructuring transactions are excluded from marketing campaigns of any kind.

In the case of non-retail customers (mainly companies, enterprises and corporates), refinancing/restructuring is authorized

according to an economic and financial viability plan based on:

–Forecasted future income, margins and cash flows to allow entities to implement cost adjustment measures (industrial

restructuring) and a business development plan that can help reduce the level of leverage to sustainable levels (capacity to

access the financial markets).

–Where appropriate, the existence of a divestment plan for assets and/or operating segments that can generate cash to

assist the deleveraging process.

–The capacity of shareholders to contribute capital and/or guarantees that can support the viability of the plan.

In accordance with the Group’s policy, the conclusion of a loan refinancing and restructuring transaction does not mean the loan is

reclassified from "impaired" or "significant increase in credit risk" to normal risk. The reclassification to "significant increase in credit

risk" or normal risk categories must be based on the analysis mentioned earlier of the viability, upon completion of the probationary

periods described below.

The Group maintains the policy of including risks related to refinanced and restructured loans as either:

–"Impaired assets", as although the customer is up to date with payments, they are classified as unlikely to pay when there

are significant doubts that the terms of their refinancing may not be met; or

–"Significant increase in credit risk" until the conditions established for their consideration as normal risk are met.

The assets classified as "Impaired assets" should comply with the following conditions in order to be reclassified to "Significant

increase in credit risk":

–The customer has to have paid a significant part of the pending exposure.

–At least one year must have elapsed since its classification as "Impaired asset".

–The customer does not have past due payments and objective criteria, demonstrating the borrower´s ability to pay, have

been verified.

The conditions established for assets classified as “Significant increase in credit risk” to be reclassified out of this category are as

follows:

–The customer must have paid past-due amounts (principal and interest) since the date of the renegotiation or restructuring

of the loan or other objective criteria, demonstrating the borrower´s ability to pay, have been verified; none of its exposures

is more than 30 days past-due.

–At least two years must have elapsed since completion of the renegotiation or restructuring of the loan and regular

payments must have been made during at least half of this probation period; and

–It is unlikely that the customer will have financial difficulties and, therefore, it is expected that the customer will be able to

meet its loan payment obligations (principal and interest) in a timely manner.

The economic impact caused by the COVID-19 pandemic has required the adaptation of the repayment schedule of a large volume of

loans in all geographies and portfolios. In general, this support has been conducted through the granting of deferrals that comply with

the principles established by the EBA, which has allowed for the application of a differential accounting and prudential treatment.

P.80

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Renewals and renegotiations will be classified as normal risk, provided that there is no significant increase in risk. This classification is

applicable at the initial moment, and in the event of any deterioration, the criteria established in the existing governance are followed.

In this sense, the aforementioned conditions are considered, including, among others, no facility with more than 30 days delinquency

and not being identified as 'unlikely to pay'.

The BBVA Group’s refinancing and restructuring policy provides for the possibility of two modifications in a 24 month period for loans

that are not in compliance with the payment schedule.

The internal models used to determine allowances for loan losses consider the restructuring and renegotiation of a loan, as well as re-

defaults on such a loan, by assigning a lower internal rating to restructured and renegotiated loans than the average internal rating

assigned to non-restructured/renegotiated loans. This downgrade results in an increase in the probability of default (PD) assigned to

restructured/renegotiated loans (with the resulting PD being higher than the average PD of the non- renegotiated loans in the same

portfolios).

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

greater than 1% in line with the new management criteria introduced during 2021.

For quantitative information on refinancing and restructuring transactions see Appendix XI.

7.2.8Risk concentration

Policies for preventing excessive risk concentration

In order to prevent the build-up of excessive risk concentrations at the individual, sector, portfolio and geography levels, BBVA Group

maintains updated maximum permitted risk concentration indices which are tied to the various observable variables related to

concentration risk.

Together with the limits for individual concentration, the Group uses the Herfindahl index to measure the concentration of the Group's

portfolio and the banking group's subsidiaries. At the BBVA Group level, the index reached implies a "very low" degree of

concentration.

The limit on the Group’s exposure or financial commitment to a specific customer therefore depends on the customer’s credit rating,

the nature of the risks involved, and the Group’s presence in a given market, based on the following guidelines:

–The aim is, as much as possible, to reconcile the customer's credit needs (commercial/financial, short-term/long-term,

etc.) with the interests of the Group.

–Any legal limits that may exist concerning risk concentration are taken into account (relationship between risks with a

customer and the capital of the shareholder´s entity that assumes them), the markets, the macroeconomic situation, etc.

–The aim is to seek inter and intra-sector diversification in coherence with the metrics defined in the RAF for the Group and

for the banking group's subsidiaries.

Risk concentrations by geography

The breakdown of the main figures in the most significant foreign currencies in the accompanying consolidated balance sheets is set

forth in Appendix XII.

Sovereign risk concentration

Sovereign risk management

The identification, measurement, control and monitoring of risk associated with sovereign risk transactions is carried out by a

centralized unit within the BBVA Group's Risk Area. Its basic functions are preparing reports (called financial programs) on the

countries with which it maintains cross-border risks (i.e. risks taken in a foreign currency from outside the country with borrowers in

the country, whether public or private) and sovereign risks (i.e. risks with the local Sovereign of the country where the risk-taking unit

is located), monitoring those risks, establishing risk limits, assigning ratings to the countries analyzed and, in general, supporting the

Group in any information request regarding this type of transaction. The risk policies established in the financial programs are

approved by the relevant risk committees.

The country risk unit tracks the evolution of the risks associated with the various countries to which the Group are exposed (including

sovereign risk) on an ongoing basis in order to adapt its risk and mitigation policies to any macroeconomic and political changes that

may occur. Moreover, it regularly updates its internal ratings and forecasts for these countries. The methodology is based on the

assessment of quantitative and qualitative parameters which are in line with those used by certain multilateral organizations (the

International Monetary Fund (IMF), the World Bank, etc.) rating agencies and export credit organizations.

For additional information on sovereign risk in Europe see Appendix XII.

P.81

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Risk related to the developer and Real-Estate sector in Spain

The sale of impaired assets concluded in 2018. Currently, there is no risk concentration in the developer and real estate sector, taking

into account that its weight in total wholesale risks in Spain is approximately 10%, while compared with the total risks in the portfolio

(wholesale and retail), the Real Estate risk assumed would be around 3%.

Policies and strategies established by the Group to deal with risks related to the developer and real-estate sector

BBVA Group has teams specializing in the management of the Real Estate Sector risk, given its economic importance and specific

technical component. This specialization is not only in risk teams, but throughout the handling, commercial, problem risks and legal,

etc. It also includes the research department of the BBVA Group (BBVA Research), which helps determine the medium/long-term

vision needed to manage this portfolio.

The policies established to address the risks related to the developer and real-estate sector, aim to accomplish, among others, the

following objectives: to avoid concentration in terms of customers, products and regions; to estimate the risk profile for the portfolio;

and to anticipate possible worsening of the portfolio within a sector is highly cyclical.

Specific policies for analysis and granting of new developer risk transactions

In the analysis of new transactions, the assessment of the commercial operation in terms of the economic and financial viability of the

project has been one of the constant. The monitoring of the work, sales prospects and the legal situation of the project are essential

aspects for the admission and follow-up of new real estate transactions. With regard the participation of the Risk Acceptance teams,

they have a direct link and participate in the committees of areas such as Valuation, Legal, Research and Recoveries. This guarantees

coordination and exchange of information in all the processes.

In this context, and within the current Real Estate cycle, the strategy with clients is subject to an Asset Allocation limit and to an action

framework that allows defining a target portfolio, both in volume and in credit quality.

Risk monitoring policies

The base information for analyzing the real estate portfolios is updated monthly. There is a systematic monitoring of developments

under close monitoring with the evolution of works and sales.

Policies applied in the management of real estate assets in Spain

The internal Rules on Real Estate Financing, which establish recommendations for financing a new housing development business, are

reviewed and updated annually.

The recommendations represent guidelines about how to manage the credit admission activity of BBVA Group entities based on best

practices of markets in which this activity is performed. It is expected that a high percentage of the current transactions will be in

compliance with the latter.

For quantitative information about the risk related to the developer and Real-Estate sector in Spain see Appendix XII.

7.3Structural risk

The structural risks are defined, in general terms, as the possibility of suffering losses due to adverse movements in market risk

factors as a result of mismatches in the financial structure of an entity´s balance sheet.

In the Group, the following types of structural risks are defined, according to the nature and the following market factors: interest rate

risk, credit spread risk, exchange rate risk and equity risk.

The scope of structural risks in the Group is limited to the banking book, excluding market risks in the trading book that are clearly

delimited and separated and make up the Market Risks.

The Assets and Liabilities Committee (ALCO) is the main responsible body for the management of structural risks regarding liquidity/

funding, interest rate, credit spread, currency, equity and solvency. Every month, with the participation of the CEO and

representatives from the areas of Finance, Risks and Business Areas; this committee monitors the structural risks and is presented

with proposals with regard to action plans related with its management for its approval. These management proposals are made by

the Finance area with a forward-looking focus, maintaining the alignment with the risk appetite framework, trying to guarantee the

recurrence of results and financial stability, as well as to preserve the solvency of the entity. All balance sheet management units have

a local ALCO, which is permanently attended by members of the corporate center, and there is a corporate ALCO where management

strategies are monitored and presented in the Group's subsidiaries.

The GRM area acts as an independent unit, ensuring adequate separation between the management and risk control functions, and is

responsible for ensuring that the structural risks in the Group are managed according to the strategy approved by the Board of

Directors.

P.82

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Consequently, GRM deals with the identification, measurement, monitoring and control of those risks and their reporting to the

corresponding corporate bodies. Through the Global Risk Management Committee (GRMC), it performs the function of control and

risk assessment and is responsible for developing the strategies, policies, procedures and infrastructure necessary to identify,

evaluate, measure and manage the significant risks that the BBVA Group faces. To this end, GRM, through the corporate unit of

Structural Risks, proposes a scheme of limits that defines the risk appetite set for each of the relevant structural risk types, both at

Group level and by management units, which will be reviewed annually, reporting the situation periodically to the Group's corporate

bodies as well as to the GRMC.

Additionally, both the management system and the control and measurement system for structural risks are necessarily adjusted to

the Group's internal control model, complying with the evaluation and certification processes that comprise it. In this sense, the tasks

and controls necessary for its scope of action have been identified and documented, supporting a regulatory framework which

includes specific processes and measures for structural risks, from abroad geographical perspective.

Within the three lines of defense scheme in which BBVA's internal control model is based according to the most advanced standards

in terms of internal control, the first line of defense is maintained by the Finance area, which is responsible for managing the structural

risk.

As a second line of defense, GRM is in charge of identifying risks, and establishing policies and control models, periodically evaluating

their effectiveness.

In the second line of defense, there are also the Internal Risk Control units, which independently review the Structural Risk control,

and Internal Financial Control, which carries out a review of the design and effectiveness of the operational controls over structural

risk management.

The third line of defense is represented by the Internal Audit area, an independent unit within BBVA Group, which is responsible for

reviewing specific controls and processes.

7.3.1Structural interest rate risk and credit spread

The structural interest-rate risk (IRRBB) is related to the potential impact that variations in market interest rates have on an entity's

net interest income and equity. In order to properly measure IRRBB, BBVA Group takes into account all the main sources of this risk:

repricing risk, yield curve risk, option risk and basis risk.

The assessment of structural interest rate risk is carried out with an integral vision, combining two complementary points of view: the

effects of interest rate shifts in net interest income (short term) and their impact on the economic value of equity (long term). In

addition, the impact on the market value of the financial instruments of the banking book, as a result of changes in the market interest

rates (IRRBB) or the credit spreads (CSRBB), will be assessed as it may have an impact on the income statement and/or equity due

to their accounting treatment.

The exposure of a financial entity to adverse interest rates movements is a risk inherent to the development of the banking business,

which is also, in turn, an opportunity to create economic value. Therefore, interest rate risk must be effectively managed so that it is

limited in accordance with the entity’s equity and in line with the expected economic result.

In BBVA, the purpose of structural interest rate risk management is to maintain the stability of the net interest income in the event of

interest rate fluctuations. It contributes to a recurrent generation of earnings, limit the capital consumption due to structural interest

rate risk and monitor potential mark-to-market impacts on “held to collect and sell” (HtC&S) portfolios. Likewise, the spread risk

management in banking book portfolios is aimed at limiting the impact on the valuation of fixed income instruments, which are used

for balance sheet liquidity and interest rate risk management purposes in order to increase diversification, and at reducing the

concentration of each issuer, maintaining the spread risk at levels aligned with the total volume of the investment portfolio and the

equity of the Group.

These functions falls to the Global ALM (Asset & Liability Management) unit, within the Finance area, who, through ALCO, aims to

guarantee the recurrence of results and preserve the solvency of the entity, always adhering to the risk profile defined by the

management bodies of the BBVA Group.

Structural interest rate risk management is decentralized, and is carried out independently in each entity included in the structural

balance sheet (banking book) of the BBVA Group, keeping the exposure to interest rates and credit spreads movements aligned with

the strategy and the target risk profile of the Group, and in compliance with the regulatory requirements according to the EBA

guidelines.

Nature of interest rate risk and credit spread risk

Repricing risk arises due to the difference between the repricing or maturity terms of the assets and liabilities, and represents the

most frequent interest rate risk faced by financial entities. However, other sources of risk such as changes in the slope and shape of

the yield curve, the reference to different indexes and the optionality risk embedded in certain banking transactions, are also taken

into account by the risk control system.

Furthermore, the credit spread risk (CSRBB) of fixed-income portfolios in the banking book arises from the potential impact on the

value of fixed-income portfolios and credit derivatives classified as HtC&S produced by a variation in the level of credit spreads

associated with those instruments/issuers and that are not explained by default risk or by movements in market interest rates.

P.83

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

BBVA's structural interest-rate risk management and control process includes a set of metrics and tools that enable the capture of

additional sources to properly monitor the risk profile of the Group, backed-up by assumptions that aim to characterize the behavior

of the balance sheet items with the maximum accuracy.

The IRRBB and CSRBB measurement is carried out on a monthly basis, and includes probabilistic measures based on simulation

methods of interest rate curves and credit spread shocks. The corporate methodology enables to capture additional sources of risk to

the interest rate parallel shifts, such as the changes in slope shape and the basis of yield curves. Additionally, sensitivity analysis to

multiple parallel shocks of different magnitude are also assessed on a regular basis. The process is run separately for each currency

to which the Group is exposed, considering, at a later stage, the diversification effect among currencies and business units.

The risk measurement model is complemented by the assessment of ad-hoc scenarios, stress tests and reverse stress. As stress

testing has become more relevant during the recent years, the evaluation of market rates and behavioral assumptions extreme

scenarios has continued to be enhanced, while assessing, also, BBVA Research market scenarios, and the set of scenarios defined

according to EBA guidelines.

During 2021, the continuous improvement of internal systems and IRRBB management and control models has continued according

to the EBA guidelines. Among others, the developments to improve the data provisioning and the risk management tools are

highlighted, as well as the enhancement of the stress testing and models backtesting procedures.

Key assumptions of the model

In order to measure structural interest rate risk, the setting of assumptions on the evolution and behavior of certain balance sheet

items is particularly relevant, especially those related to products without an explicit or contractual maturity which characteristics are

not established in their contractual terms and must be therefore estimated.

The assumptions that characterize these balance sheet items must be understandable for the areas and bodies involved in risk

management and control and remain duly updated, justified and documented. The modeling of these assumptions must be

conceptually reasonable and consistent with the evidence based on historical experience, reviewed at least once a year and, if any, the

behavior of the customers induced by the business areas. These assumptions are regularly subject to a sensitivity analysis to assess

and understand the impact of the modelling on the risk metrics.

The approval and update of the IRRBB behavioral models is subject to the corporate governance under the scope of GRM analytics.

Thus, all the models must be duly inventoried and catalogued and comply with the requirements for their development, updating and

changes management set out in the internal procedures. They are also subject to the corresponding internal validations and follow-up

requirements established based on their relevance, as well as to backtesting procedures against experience to ratify the validity of the

assumptions applied.

In view of the heterogeneity of the financial markets, customers and products in the multiple jurisdictions, each one of the entities of

the Group is responsible for determining the behavior assumptions to be applied to the balance sheet items, always under the

guidelines and the applicability of the corporate models existing in the Group.

The balance sheet behavioral assumptions stand out those established for the treatment of items without contractual maturity,

mainly for demand customer deposits, and those related to the expectations on the exercise of interest rate options, especially

relating to loans and deposits subject to prepayment risk.

For the modelling of demand deposits, a segmentation of the accounts in several categories is previously carried out depending on

the characteristics of the customer (retail / wholesale) and the product (type of account / transactionality / remuneration), in order

to outline the specific behavior of each segment.

In order to establish the remuneration of each segment, the relationship between the evolution of market interest rates and the

interest rates of managed accounts is analyzed, with the aim of determining the translation dynamic (percentages and lags) of

interest rates variations to the remuneration of the accounts. In this regard, consideration is given to the potential limitations in the

repricing of these accounts in scenarios of low or negative rates, with special attention to retail customers, through the establishment

of floors in the remuneration.

The behavior assigned to each category of accounts is determined by an analysis of the historical evolution of the balances and the

probability of cancellation of the accounts. For this, the volatile part of the balance assigned to a short-term maturity is isolated, thus

avoiding fluctuations in the level of risk caused by specific variations in the balances and promoting stability in the management of the

balance. Once the stable part is identified, a medium / long term maturity model is applied through a decay distribution based on the

average term of the accounts and the conditional cancellation probabilities throughout the life of the product.

The relationship of the evolution of the balance of deposits with the levels of market interest rates is incorporated, where appropriate,

in the behavioral modelling, especially in low interest rates environments, including its effect on the stability of the deposits as well as

the potential migration between the different types of deposits (on demand / time deposits) in the different interest rate scenarios.

Equally relevant is the treatment of early cancellation options embedded in credit loans, mortgage portfolios and customer deposits.

The evolution of market interest rates may condition, along with other variables, the incentive that customers have to prepay loans or

deposits, modifying the future behavior of the balance amounts with respect to the forecasted contractual maturity schedule.

P.84

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The detailed analysis of the historical information related to prepayment data, both partial and total prepayment, combined with other

variables such as interest rates, allows estimating future amortizations and, where appropriate, their behavior linked to the evolution

of such variables through the relationship between the incentive of the customer to prepay and the early cancellation speed.

The table below shows the profile of average structural interest rate risk and credit spread risk of fixed income portfolio in the banking

book classified as HtC&S in terms of sensitivities of the main currencies for the BBVA Group in 2021:

Sensitivity to interest-rate and credit spread analysis. Year 2021

interest rate risk and

credit spread

Impact on net interest income (*)

Impact on economic value (**)

Impact on

economic value

(**)

100 basis-point

increase

100 basis-point

decrease (***)

100 basis-point

increase

100 basis-point

decrease (***)

100 basis-point

increase

EUR

[3.5% , 5.5%]

[-3.5% , -1.5%]

[3.5% , 5.5%]

[-3.5% , -1.5%]

MXN

[0.5% , 1.5%]

[-1.5% , -0.5%]

[0.5% , 1.5%]

[-0.5% , 0.5%]

USD

[0.5% , 1.5%]

[-1.5% , -0.5%]

[0.5% , 1.5%]

[-1.5% , -0.5%]

[-0.5% , 0.5%]

TRY

[-0.5% , 0.5%]

Other

[-0.5% , 0.5%]

BBVA Group

[7.5% , 10.0%]

[-5.5% , -3.5%]

[3.5% , 5.5%]

[-3.5% , -1.5%]

(*) Percentage of "12 months" net interest income for the BBVA Group.

(**) Percentage of CET1 (Fully Loaded) for BBVA Group

(***) In EUR and USD (and GBP included in "Other"), negative interest rates scenarios are allowed up to plausible levels lower than current rates.

During 2021, central banks began withdrawing the expansionary policies implemented during the year 2020, to mitigate the economic

impact caused by the COVID-19 pandemic, with the aim of reducing the inflationary pressures that are occurring in most countries of

the world. In Europe, the end of the PEPP (Pandemic Emergency Purchase Programme) was announced for the month of March

2022.

In Turkey, although it initially showed an upward trend in interest rates, there have been significant drops since September, ending the

year 300 basis points below the level of December 2020.

Regarding Mexico, the Central Bank implemented the last rate cut in February, placing it at a level of 4%. Starting in June, there was a

change in trend, initiating an upward cycle in rates, reaching a level of 5.50% in December. The objective of the Central Bank is to

moderate the rise in inflation and bring it back within its target range.

In South America, the monetary policy was restrictive, with increases in the policy rates in Colombia and Peru, affected by higher

levels of inflation, reaching above the central banks targets. Regarding Argentina it has had a stable monetary policy without changes

during the year.

The BBVA Group, at an aggregate level, continues to maintain a moderate risk profile, in accordance with the established objective,

showing a favorable position to a rise in interest rates on net interest income. Effective management of the balance sheet structural

risk has mitigated the negative impact of the low interest rates derived from the expansive monetary policies implemented by the

different central banks to offset the negative economic effects derived from the COVID-19 pandemic, and is reflected in the strength

and recurrence of the net interest income:

–In Europe, the downward trend in interest rates remains limited by current levels, preventing extremely adverse scenarios

from occurring. The balance sheet is characterized by a high proportion of variable-rate loans (basically mortgages and

corporate lending) and liabilities are composed mainly of customer on demand deposits. The ALCO portfolio acts as a

management lever and hedging for the balance sheet, mitigating its sensitivity to interest rate fluctuations. The balance

sheet´s interest rate profile has remained stable during the year, showing an interest net income sensitivity to 100 basis

points increases by the interest rates slightly above 20%.

On the other hand, the ECB held the marginal deposit facility rate unchanged at -0.50% in 2021 and maintained the

extraordinary support programs created after the outbreak of the COVID-19 crisis. This has created stability in European

benchmark interest rates (EURIBOR).

–In Mexico, a balance has been maintained between balances referenced to fixed and variable interest rates. Among the

assets most sensitive to interest rate movements, the wholesale portfolio stands out, while consumer and mortgages are

mostly at a fixed rate. The ALCO portfolio is mainly invested in fixed-rate sovereign bonds with limited durations. The

sensitivity of the net interest income continues to be limited, stable, and slightly biased towards higher interest rates, which

have increased during 2021 by 125 basis points.

–In Turkey, the sensitivity of loans, mostly fixed-rate but with relatively short maturities, and the ALCO portfolio balance the

sensitivity of deposits on the liability side. In this way, the interest rate risk is limited, both in Turkish lira and in foreign

currency.

P.85

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–In South America, the risk profile on interest rates continues to be low, as most of the countries in the area have a

composition of fixed / variable and very similar maturities between assets and liabilities, showing a sensitivity of the margin

interest rate limited and with slight variations throughout 2021. Likewise, in countries with balances in several currencies,

interest rate risk is also managed for each of the currencies, showing a very low level of risk. The more restrictive measures

promoted by the central banks during 2021 are expected to have a slightly positive impact, given the sensitivity maintained

by the different banks in the region.

7.3.2Structural exchange-rate risk

Structural exchange rate risk, is defined as the possibility of impacts on solvency, equity value and results driven by fluctuations in the

exchange rates due to exposures in foreign currencies.

Structural exchange rate risk is inherent to the business of international banking groups, such as BBVA, that develop their activities in

different geographies and currencies. At a consolidated level, structural exchange-rate risk arises from the consolidation of holdings

in subsidiaries with functional currencies other than the euro. Its management is centralized in order to optimize the joint

management of permanent foreign currency exposures, taking diversification into account.

The purpose of structural exchange rate risk management is protecting solvency by limiting volatility of the consolidated CET1 ratio

and income to consolidate denominated in a currency other the euro in the Group, as well as to limit the capital requirements under

exchange rate fluctuations to which the Group is exposed due to its international diversification. The ALM Global corporate unit,

through the ALCO, is responsible for the management of this risk all through an active hedging policy, deliberately taken for each

objective, and fully aligned with the management strategy.

At the corporate level, the risk monitoring metrics included in the limits framework are aligned with the Risk Appetite Framework, and

are targeted to control the effects on the solvency through the economic capital metric and the fluctuations in the Common Equity

Tier I fully loaded (CET1 fully loaded) consolidated ratio, as well as the maximum deviation in the Group's attributable profit. The

probabilistic metrics make it possible to estimate the joint impact of exposure to different currencies taking into account the different

variability in exchange rates and their correlations. These metrics are supplemented with additional assessment indicators.

The suitability of these risk assessment metrics is reviewed on a regular basis through backtesting exercises. The final element of

structural exchange-rate risk control is the stress and scenario analysis aimed to assess the vulnerabilities of foreign currency

structural exposure not contemplated by the risk metrics and to serve as an additional tool when making management decisions. The

scenarios are based both on historical situations simulated by the risk model and on the risk scenarios provided by BBVA Research.

The purpose of the exchange rate risk management of BBVA's long term investments, which arises mainly from its foreign franchises,

is to preserve the capital ratios of the Group and to maintain the stability of the profits. The U.S. dollar accumulated an appreciation of

8.3% against the euro in 2021, thus reversing much of the movement in favor of the euro in 2020 after the outbreak of the pandemic.

Among the emerging currencies, the sharp depreciation of the Turkish lira in 2021 (-40.2%) stood out, severely penalized by rate cuts

in the recent months. The positive side came from the good performance of the Mexican peso, which has appreciated by 5.5% against

the euro since the end of 2020. With regard to the South American currencies, the Peruvian Sol finally closed the year with a slight

depreciation against Euro (-1.3%) while the Chilean peso (-8.8%) and the Colombian peso (-6.6%) showed a greater depreciation.

The Argentine peso depreciated (-11.3%) but in a more contained manner than in previous years.

BBVA maintains its active management policies of the main investments in emerging countries, which are set, on average, between

30% and 50% of the annual profits and around 70% of the excess of the CET1 capital ratio. The sale of BBVA USA in June modified

the sensitivity against movements in the exchange rates of the ratio CET1 fully-loaded of the Group. USD sensitivity has been the

most affected by this change, reaching +18 basis points in case of a depreciation of -10% in the currency. At the end of December

2021, the sensitivity is estimated as -7 bps for the Mexican Peso and -1 bps for the Turkish lira, both against a depreciation of -10%.

Regarding the hedging of the expected profits for 2022, it stands at around 65% in the case of Mexico, 20% for Turkey and 100% for

Peru and Colombia.

For the years 2021, 2020 and 2019, the estimated sensitivities of the result attributable to the parent company are shown below,

taking into account the coverage, against depreciations and appreciations of 1% of the average rate in the main currencies. To the

extent that hedging positions are periodically modulated, the sensitivity estimate attempts to reflect an average (or effective)

sensitivity in the year:

Sensitivity to 1% change (Millions of Euros)

Currency

2021

2020

2019

Mexican peso

14.0

4.9

12.7

Turkish lira

4.7

4.5

3.1

Peruvian sol

0.3

0.4

1.9

Chilean peso

0.6

0.3

0.5

Colombian peso

1.1

1.4

2.6

Argentine peso

0.6

0.9

1.3

P.86

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

7.3.3Structural equity risk

Structural equity risk refers to the possibility of suffering losses in the value of positions in shares and other equity instruments held in

the banking book with long or medium term investment horizons due to fluctuations in the value of equity indexes or shares.

BBVA Group's exposure to structural equity risk arises largely from minority shareholdings held on industrial and financial companies,

and in new business (innovation). This exposure is modulated in some portfolios with positions held on derivative instruments on the

same underlying assets, in order to adjust the portfolio sensitivity to potential changes in equity prices.

The structural equity risk management is aimed at increasing the income-generating capacity of those shares held by the Group,

limiting the capital requirements for equity risk and narrowing the impact on the solvency level through a proactive management of

the portfolio using hedges. The function of managing the structural equity portfolios is a responsibility of the corporate units of Global

ALM and other Group's units specialized in this area. Their activity is subject to the risk management corporate policy on structural

equity risk management, complying with the defined management principles and Risk Appetite Framework.

The structural equity risk metrics, designed by GRM according to the corporate model, contribute to the effective monitoring of the

risk by estimating the sensitivity and the capital necessary to cover the possible unexpected losses due to changes in the value of the

shareholdings in the Group's investment portfolio, with a level of confidence that corresponds to the objective rating of the entity,

taking into account the liquidity of the positions and the statistical behavior of the assets to be considered

In order to analyze the risk profile in depth, stress tests and scenario analysis of sensitivity to different simulated scenarios are carried

out. They are based on both past crisis situations and forecasts made by BBVA Research. These analyses are carried out regularly to

assess the vulnerabilities of structural equity exposure not contemplated by the risk metrics and to serve as an additional tool when

making management decisions.

Backtesting is carried out on a regular basis on the risk measurement model used.

Equity markets in Europe and the US have rallied significantly in 2021. The excellent performance of listed companies' corporate

earnings and the continuity of central banks' accommodative policies have been behind these revaluations. However, the Spanish

stock market has once again lagged behind the rest of the European stock markets.

Structural equity risk, measured in terms of economic capital, has raised during the last year due to the higher exposure taken. The

aggregate sensitivity of the BBVA Group’s consolidated equity to a 1% fall in the price of shares of the companies making up the

equity portfolio increased to -€27 million as of December 31, 2021, compared to -€20 million as of December 31, 2020. This

estimation takes into account the exposure in shares valued at market prices, or if not applicable, at fair value (excluding the positions

in the Treasury Area portfolios) and the net delta-equivalent positions in derivatives on the same underlyings.

7.4Market risk

Market risk originates from the possibility of experiencing losses in the value of positions held as a result of movements in market

variables that affect the valuation of financial assets and liabilities. Market risk in the Group's trading portfolios stems mainly from the

portfolios originated by Global Markets valued at fair value and held for the purpose of trading and generating short-term results.

Market risk in the field of banking book is clearly and distinctly addressed and can be broken down into structural risks relating to

interest rate, exchange rate and equity (see Note 7.3).

7.4.1Market risk in trading portfolios

The main risks in the trading portfolios can be classified as follows:

–Interest-rate risk: This arises as a result of exposure to movements in the different interest-rate curves involved in trading.

Although the typical products that generate sensitivity to the movements in interest rates are money-market products

(deposits, interest-rate futures, call money swaps, etc.) and traditional interest-rate derivatives (swaps and interest-rate

options such as caps, floors, swaptions, etc.), practically all the financial products are exposed to interest-rate movements

due to the effect that such movements have on the valuation of the financial discount.

–Equity risk: This arises as a result of movements in share prices. This risk is generated in spot positions in shares or any

derivative products whose underlying asset is a share or an equity index. Dividend risk is a sub-risk of equity risk, arising as

an input for any equity option. Its variation may affect the valuation of positions and it is therefore a factor that generates

risk on the books.

–Exchange-rate risk: This is caused by movements in the exchange rates of the different currencies in which a position is

held. As in the case of equity risk, this risk is generated in spot currency positions, and in any derivative product whose

underlying asset is an exchange rate. In addition, the quanto effect (operations where the underlying asset and the

instrument itself are denominated in different currencies) means that in certain transactions in which the underlying asset is

not a currency, an exchange-rate risk is generated that has to be measured and monitored.

–Credit-spread risk: Credit spread is an indicator of an issuer's credit quality. Spread risk occurs due to variations in the

levels of spread of both corporate and government issues, and affects positions in bonds and credit derivatives.

P.87

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–Volatility risk: This occurs as a result of changes in the levels of implied price volatility of the different market instruments on

which derivatives are traded. This risk, unlike the others, is exclusively a component of trading in derivatives and is defined

as a first-order convexity risk that is generated in all possible underlying assets in which there are products with options that

require a volatility input for their valuation.

The metrics developed to control and monitor market risk in the BBVA Group are aligned with market practices and are implemented

consistently across all the local market risk units.

Measurement procedures are established in terms of the possible impact of negative market conditions on the trading portfolio of the

Group's Global Markets units, both under ordinary circumstances and in situations of heightened risk factors.

The standard metric used to measure market risk is Value at Risk (“VaR”), which indicates the maximum loss that may occur in the

portfolios at a given confidence level (99%) and time horizon (one day). This statistic value is widely used in the market and has the

advantage of summing up in a single metric the risks inherent to trading activity, taking into account how they are related and

providing a prediction of the loss that the trading book could sustain as a result of fluctuations in equity prices, interest rates, foreign

exchange rates and credit spreads. The market risk analysis considers various risks, such as credit spread risk, basis risk, as well as

volatility and correlation risk.

With respect to the risk measurement models used by the BBVA Group, the Bank of Spain has authorized the use of the internal

market risk model to determine bank capital requirements deriving from risk positions on the BBVA S.A. and BBVA Mexico trading

book, which jointly accounted for around 77%, 72% and 72% of the Group’s trading-book market risk as of December 31, 2021, 2020

and 2019. For the rest of the geographical areas where the Group operates (applicable mainly to the Group´s South America

subsidiaries and Garanti BBVA), bank capital for the risk positions in the trading book is calculated using the Standardized Approach

defined by the Basel Committee on Banking Supervision (which is referred to herein as the "standard model”).

The current management structure includes the monitoring of market-risk limits, consisting of a scheme of limits based on VaR,

economic capital (based on VaR measurements) and VaR sub-limits, as well as stop-loss limits for each of the Group’s business units.

The model used estimates VaR in accordance with the historical simulation methodology, which involves estimating losses and gains

that would have taken place in the current portfolio if the changes in market conditions that took place over a specific period of time in

the past were repeated. Based on this information, it predicts the maximum expected loss of the current portfolio within a given

confidence level. This model has the advantage of reflecting precisely the historical distribution of the market variables and not

assuming any specific distribution of probability. The historical period used in this model is two years.

VaR figures are estimated with the following methodologies:

–VaR without smoothing, which awards equal weight to the daily information for the previous two years. This is currently the

official methodology for measuring market risks for the purpose of monitoring compliance with risk limits.

–VaR with smoothing, which gives a greater weight to more recent market information. This metric supplements the previous

one.

The use of VaR by historical simulation methodology as a risk metric has many advantages, but also certain limitations, among which

it is worth highlighting:

–The estimate of the maximum daily loss of the Global Markets portfolio positions (with a confidence level of 99%) depends

on the market movements of the last two years, not picking up the impact of large market events if they have not occurred

within that historical window

–The use of the 99% confidence level does not consider potential losses that can occur beyond this level. To mitigate this

limitation, different stress exercises are also performed, as described later.

At the same time, and following the guidelines established by the Spanish and European authorities, BBVA incorporates metrics in

addition to VaR with the aim of meeting the Bank of Spain's regulatory requirements with respect to the calculation of bank capital for

the trading book. Specifically, the measures incorporated in the Group since December 2011 (stipulated by Basel 2.5) are:

–VaR: In regulatory terms, the VaR charge incorporates the stressed VaR charge, and the sum of the two (VaR and stressed

VaR) is calculated. This quantifies the losses associated with the movements of the risk factors inherent to market

operations (including interest-rate risk, exchange-rate risk, equity risk and credit risk, among others). Both VaR and

stressed VaR are rescaled by a regulatory multiplier (between three and four) and by the square root of ten to calculate the

capital charge.

–Specific Risk - Incremental Risk Capital (“IRC”). Quantification of the risks of default and changes of the credit ratings of the

bond and derivative positions and debt funds with daily look-through or significant benchmark (correlation > 90%) in the

trading portfolio. The IRC charge is exclusively applied in entities in respect of which the internal market risk model is used

(i.e. BBVA, S.A. and BBVA Mexico). The IRC charge is determined based on the associated losses (calculated at 99.9%

confidence level over a one year horizon under the hypothesis of constant risk) due to a rating change and/or default of the

issuer with respect to an asset. In addition, the price risk is included in sovereign positions for the specified items.

P.88

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–Specific Risk: Securitization, correlation portfolios and Investment funds without look-through. Capital charges for

securitizations and correlation portfolios are assessed based on the potential losses associated with the occurrence of a

credit event in the underlying exposures. They are calculated by the standard model. The scope of the correlations

portfolios refers to the First To Default (FTD)-type market operation and/or tranches of market CDOs and only for positions

with an active market and hedging capacity. Capital charge for Funds include losses associated with volatility and credit risk

of the underling positions of the fund. All charges are calculated by the standard model.

Validity tests are performed regularly on the risk measurement models used by the Group. They estimate the maximum loss that

could have been incurred in the assessed positions with a certain level of probability (backtesting), as well as measurements of the

impact of extreme market events on risk positions (stress testing). As an additional control measure, backtesting is conducted at a

trading desk level in order to enable more specific monitoring of the validity of the measurement models.

Market risk in 2021

The Group’s market risk related to its trading portfolio remained in 2021 at low levels compared to other risks managed by BBVA,

particularly credit risk. This is due to the nature of the business. In 2021 the average VaR was €29 million, above the figure of 2020,

with a maximum level in the year reached on the day April 7, 2021 of €36 million. The evolution in the BBVA Group’s market risk

during 2021, measured as VaR without smoothing (see Glossary) with a 99% confidence level and a 1-day horizon (shown in Millions

of Euros) is as follows:

By type of market risk assumed by the Group's trading portfolio, the main risk factor for the Group continued to be that linked to

interest rates, with a weight of 57% of the total at December 31, 2021 (this figure includes the spread risk). The relative weight of this

risk has slightly increased compared with the close of 2020 (56%). Exchange-rate risk accounted for 16% of the total risk, decreasing

its weight with respect to December 2020 (22%), while equity, volatility and correlation risk has increased, with a weight of 28% at

the close of 2021 (vs. 22% at the close of 2020).

As of December 31, 2021, 2020 and 2019 the VaR was €31 million, €28 million and €20 million, respectively. The total VaR figures for

2021, 2020 and 2019 can be broken down as follows:

P.89

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

VaR by Risk Factor (Millions of Euros)

Interest/Spread

risk

Currency risk

Stock-market

risk

Vega/Correlation

risk

Diversification

effect(*)

Total

2021

VaR average in the year

(28)

VaR max in the year

(14)

VaR min in the year

(25)

End of period VaR

(29)

2020

VaR average in the year

(28)

VaR max in the year

(14)

VaR min in the year

(39)

End of period VaR

(29)

2019

VaR average in the year

(20)

VaR max in the year

(21)

VaR min in the year

(18)

End of period VaR

(22)

(*) The diversification effect is the difference between the sum of the average individual risk factors and the total VaR figure that includes the implied correlation between all the

variables and scenarios used in the measurement.

Validation of the internal market risk model

The internal market risk model is validated on a regular basis by backtesting in both, BBVA, S.A. and Global Markets Mexico (in BBVA

Mexico). The aim of backtesting is to validate the quality and precision of the internal market risk model used by BBVA Group to

estimate the maximum daily loss of a portfolio, at a 99% level of confidence and a 250-day time horizon, by comparing the Group's

results and the risk measurements generated by the internal market risk model. These tests showed that the internal market risk

model of both, BBVA, S.A. and Global Markets Mexico is adequate and precise.

Two types of backtesting have been carried out in 2021, 2020 and 2019:

–"Hypothetical" backtesting: the daily VaR is compared with the results obtained, not taking into account the intraday results

or the changes in the portfolio positions. This validates the appropriateness of the market risk metrics for the end-of-day

position.

–"Real" backtesting: the daily VaR is compared with the total results, including intraday transactions, but discounting the

possible minimum charges or fees involved. This type of backtesting includes the intraday risk in portfolios.

In addition, each of these two types of backtesting was carried out at a risk factor or business type level, thus making a deeper

comparison of the results with respect to risk measurements.

For the period between the year ended December 31, 2020 and the year ended December 31, 2021, the backtesting of the internal

VaR calculation model was carried out, comparing the daily results obtained to the risk level estimated by the internal VaR calculation

model. In that period, there was one negative exception in BBVA S.A. In BBVA Mexico, there was also a negative exception.

At the end of the year the comparison showed the internal VaR calculation model was working correctly, within the "green" zone (0-4

exceptions), thus validating the internal VaR calculation model, as has been the case each year since the internal market risk model

was approved for the Group.

Stress testing

A number of stress tests are carried out on the BBVA Group's trading portfolios. First, global and local historical scenarios are used

that replicate the behavior of an extreme past event, such as for example the collapse of Lehman Brothers or the "Tequilazo" crisis.

These stress tests are complemented with simulated scenarios, where the aim is to generate scenarios that have a significant impact

on the different portfolios, but without being anchored to any specific historical scenario. Finally, for some portfolios or positions,

fixed stress tests are also carried out that have a significant impact on the market variables affecting these positions.

P.90

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Historical scenarios

The historical benchmark stress scenario for the BBVA Group is Lehman Brothers, whose sudden collapse in September 2008 led to

a significant impact on the behavior of financial markets at a global level. The following are the most relevant effects of this historical

scenario:

–Credit shock: reflected mainly in the increase of credit spreads and downgrades in credit ratings.

–Increased volatility in most of the financial markets (giving rise to a great deal of variation in the prices of different assets

(currency, equity, debt).

–Liquidity shock in the financial systems, reflected by a major movement in interbank curves, particularly in the shortest

sections of the euro and dollar curves.

Simulated scenarios

Unlike the historical scenarios, which are fixed and therefore not suited to the composition of the risk portfolio at all times, the

scenario used for the exercises of economic stress is based on resampling methodology. This methodology is based on the use of

dynamic scenarios that are recalculated periodically depending on the main risks affecting the trading portfolios. On a data window

wide enough to collect different periods of stress (data are taken from January 1, 2008 until the date of the assessment), a simulation

is performed by resampling of historic observations, generating a distribution of losses and gains that serve to analyze the most

extreme of births in the selected historical window. The advantage of this methodology is that the period of stress is not

predetermined, but depends on the portfolio maintained at each time, and making a large number of simulations (10,000 simulations)

allows a greater richness of information for the analysis of expected shortfall than what is available in the scenarios included in the

calculation of VaR.

The main features of this approach are: a) the generated simulations respect the correlation structure of the data, b) there is flexibility

in the inclusion of new risk factors and c) it allows the introduction of a lot of variability in the simulations (desirable for considering

extreme events).

The impact of the stress test under multivariable simulation of the risk factors of the portfolio based on the expected shortfall

(expected shortfall calculated at a 97.5% confidence level, 20 days) as of December 31, 2021 is as follows:

Impact of the stress test (Millions of Euros)

Europe

Mexico

Peru

Venezuela

Argentina

Colombia

Turkey

Expected shortfall

(76)

(75)

(11)

—

(5)

(8)

7.4.2Financial instruments offset

Financial assets and liabilities may be netted in certain cases. In particular, they are presented for a net amount on the consolidated

balance sheet only when the Group's entities satisfy the provisions of IAS 32-Paragraph 42, so they have both the legal right to net

recognized amounts, and the intention of settling the net amount or of realizing the asset and simultaneously paying the liability.

In addition, the Group has presented as gross amounts assets and liabilities on the consolidated balance sheet for which there are

master netting arrangements in place, but for which there is no intention of settling the net amount. The most common types of

events that trigger the netting of reciprocal obligations are bankruptcy of the entity, surpassing certain level of indebtedness

threshold, failure to pay, restructuring and dissolution of the entity.

In the current market context, derivatives are contracted under different framework contracts being the most widespread the ones

developed by the International Swaps and Derivatives Association (“ISDA”) and, for the Spanish market, the Framework Agreement

on Financial Transactions (“CMOF”). Almost all portfolio derivative transactions have been concluded under these framework

contracts, including in them the netting clauses mentioned in the preceding paragraph as "Master Netting Agreement", greatly

reducing the credit exposure on these instruments. Additionally, in contracts signed with counterparties, the collateral agreement

annexes called Credit Support Annex (“CSA”) are included, thereby minimizing exposure to a potential default of the counterparty.

Moreover, many of the transactions involving assets purchased or sold under a repurchase agreement are transacted through

clearing houses that articulate mechanisms to reduce counterparty risk, as well as through the signing of various master agreements

for bilateral transactions, the most widely used being the Global Master Repurchase Agreement (GMRA), published by the

International Capital Market Association (“ICMA”), to which the clauses related to the collateral exchange are usually added within the

text of the master agreement itself.

P.91

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

A summary of the effect of offsetting (via netting and collateral) for derivatives and securities operations is presented below as of

December 31, 2021, 2020 and 2019:

Effect of offsetting for derivatives and securities operation (Millions of Euros)

Gross amounts not offset

in the consolidated balance

sheets (D)

Notes

Gross

amounts

recognized

(A)

Gross

amounts

offset in the

consolidated

balance

sheets (B)

Net amount

presented in

the

consolidated

balance

sheets (C=A-

Financial

instruments

Cash

collateral

received/

pledged

Net amount

(E=C-D)

December 2021

Trading and hedging derivatives

10, 15

36,349

3,611

32,737

22,524

8,758

1,456

Reverse repurchase, securities

borrowing and similar agreements

54,296

—

54,296

55,010

2,213

(2,927)

Total assets

90,645

3,611

87,034

77,534

10,971

(1,471)

Trading and hedging derivatives

10, 15

37,916

3,584

34,331

22,524

10,119

1,688

Repurchase, securities lending and

similar agreements

54,159

—

54,159

58,174

679

(4,694)

Total liabilities

92,074

3,584

88,490

80,698

10,798

(3,006)

December 2020

Trading and hedging derivatives

10, 15

47,862

5,688

42,173

33,842

9,018

(686)

Reverse repurchase, securities

borrowing and similar agreements

32,121

—

32,121

32,762

161

(802)

Total assets

79,983

5,688

74,294

66,604

9,178

(1,488)

Trading and hedging derivatives

10, 15

49,720

5,722

43,998

33,842

9,435

721

Repurchase, securities lending and

similar agreements

41,571

—

41,571

42,298

1,619

(2,346)

Total liabilities

91,291

5,722

85,569

76,140

11,054

(1,624)

December 2019

Trading and hedging derivatives

10, 15

36,349

2,388

33,961

25,020

8,210

731

Reverse repurchase, securities

borrowing and similar agreements

33,539

33,518

33,352

204

(39)

Total assets

69,888

2,409

67,479

58,372

8,415

692

Trading and hedging derivatives

10, 15

38,693

2,394

36,299

25,020

10,613

667

Repurchase, securities lending and

similar agreements

43,712

43,691

42,974

420

297

Total liabilities

82,404

2,414

79,990

67,993

11,033

964

The amount of recognized financial instruments within derivatives includes the effect in case of compensation with counterparties

with which the Group holds netting agreements, while, for repos, it reflects the market value of the collateral associated with the

transaction.

7.5Liquidity and Funding risk

Liquidity and funding risk is defined as the incapacity of a bank in meeting its payment commitments due to lack of funds or that, to

face those commitments, should have to make use of funding under burdensome terms.

7.5.1Liquidity and Funding Strategy and Planning

The BBVA Group is a multinational financial institution whose business is focused mainly on retail and commercial banking activities.

In addition to the retail business model, which forms its core business, the Group engages in corporate and investment banking,

through the global CIB (Corporate & Investment Banking) division.

Liquidity and Funding Risk Management aims to maintain a solid balance sheet structure which allows a sustainable business model.

The Group’s liquidity and funding strategy is based on the following pillars:

P.92

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–The principle of the funding self-sufficiency of its subsidiaries, meaning that each of the Liquidity Management Units (LMU)

must cover its funding needs independently on the markets where it operates. This avoids possible contagion due to a crisis

affecting one or more of the Group’s LMU.

–Stable customer deposits as the main source of funding in all the LMU, in accordance with the Group’s business model.

–Diversification of the sources of wholesale funding, in terms of maturity, market, instruments, counterparties and

currencies, with recurring access to the markets.

–Compliance with regulatory requirements, ensuring the availability of ample liquidity buffers, of high quality, as well as

sufficient instruments as required by regulations with the capacity to absorb losses.

–Compliance with the internal Liquidity Risk and Funding metrics, while adhering to the Risk Appetite level established for

each LMU at any time.

Liquidity and Funding Risk Management aims, in the short term, to prevent an entity from having difficulties in meeting its payment

commitments in due time and form or that, to meet them, it has to resort to obtaining funds in burdensome conditions that

deteriorate the image or reputation of the entity.

In the medium term, its objective is to ensure the suitability of the Group's financial structure and its evolution, within the framework

of the economic situation, the markets and regulatory changes.

This management of structural and liquidity funding is based on the principle of financial self-sufficiency of the entities that comprise

it. This approach helps prevent and limit liquidity risk by reducing the Group’s vulnerability during periods of high risk. This

decentralized management prevents possible contagion from a crisis affecting only one or a few Group entities, which must act

independently to meet their liquidity requirements in the markets where they operate.

Within this strategy, the BBVA Group is organized into eight LMUs composed of the parent company and the bank subsidiaries in

each geography, plus the branches that depend on them.

In addition, the policy for managing liquidity and funding risk is also based on the model’s robustness and on the planning and

integration of risk management into the budgeting process of each LMU, according to the financing risk appetite that it decides to

assume in its business.

Liquidity and funding planning is part of the strategic processes for the Group’s budgetary and business planning. This objective is to

allow a recurrent growth of the banking business with suitable maturities and costs within the established risk tolerance levels by

using a wide range of instruments which allow the diversification of the funding sources and the maintenance of a high volume of

available liquid assets.

7.5.2Governance and monitoring

The responsibility for liquidity and funding management in the development of normal business activity lies with the Finance area as a

first line of defense in managing the risks inherent to this activity, in accordance with the principles established by the European

Banking Authority (EBA) and in line with the most demanding standards, policies, procedures and controls in the framework

established by the governing bodies. Finance, through the Balance-Sheet Management area, plans and executes the funding of the

structural long-term gap of each LMU and proposes to the Assets and Liabilities Committee (ALCO) the actions to be taken on this

matter, in accordance with the policies established by the Risk Committee in line with the metrics of the Risk Appetite Framework

approved by the Board of Directors.

Finance is also responsible for preparing the regulatory reporting of liquidity, coordinating with the responsible areas in each LGU the

necessary processes to cover the requirements at corporate and regulatory level, ensuring the integrity of the information provided.

GRM is responsible for ensuring that the liquidity and financing risk in the Group is managed in accordance with the framework

established by governing bodies. It also deals with the identification, measurement, monitoring and control of such risks and their

communication to the relevant corporate bodies. In order to carry out this task properly, the risk function in the Group has been

configured as a single, global function, independent of the management areas.

Additionally, the Group has, in its second line of defense, an Internal Risk Control unit, which performs an independent review of the

control of Liquidity and Funding Risk, and a Financial Internal Control Unit that reviews the design and effectiveness of the controls

operations on liquidity management and reporting.

As the third line of defense of the Group's internal control model, Internal Audit is in charge of reviewing specific controls and

processes in accordance with a work plan that is drawn up annually.

The Group’s fundamental objectives regarding the liquidity and funding risk are determined through the Liquidity Coverage Ratio

(LCR) and through the Loan-to-Stable Customer Deposits (LtSCD) ratio.

P.93

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The LCR ratio is a regulatory metric that aims to guarantee the resilience of entities in a scenario of liquidity tension within a time

horizon of 30 days. Within its risk appetite framework and system of limits and alerts, BBVA has established a required LCR

compliance level for the entire Group and for each individual LMU. The internal levels required are aimed at efficiently meeting the

regulatory requirement, at a loose level above 100%.

The LtSCD ratio measures the relationship between net lending and stable customer funds. The aim is to preserve a stable funding

structure in the medium term for each of the LMU which make up the BBVA Group, taking into account that maintaining an adequate

volume of stable customer funds is key to achieving a sound liquidity profile. In geographical areas with dual-currency balances, the

indicator is also controlled by currency to manage the mismatches that might occur.

Stable customer funds are considered to be the financing obtained and managed from the LMU among their target customers. Those

funds are characterized by their low sensitivity to market changes and by their less volatile behavior at aggregated level per operation

due to the loyalty of the customer to the entity. The stable resources are calculated by applying to each identified customer segment

a haircut determined by the analysis of the stability if the balances by which different aspects are evaluated (concentration, stability,

level of loyalty). The main source of stable resources arises from wholesale funding and retail customer funds.

In order to establish the target (maximum) levels of LtSCD in each LMU and provide an optimal funding structure reference in terms

of risk appetite, the corporate Structural Risks unit of GRM identifies and assesses the economic and financial variables that condition

the funding structures in the different geographical areas.

Additionally, liquidity and funding risk management aims to achieve a proper diversification of the funding structure, avoiding

excessive dependence on short-term funding by establishing a maximum level for the short-term funds raised, including both

wholesale financing and the least stable proportion of customer funds In relation to long-term financing, the maturity profile does not

present significant concentrations, which makes it possible to adapt the schedule of the planned issuance plan to the best financial

conditions in the markets. Lastly, concentration risk is monitored at LMU level, with the aim of ensuring a correct diversification of

both the counterparty and type of instrument.

One of the fundamental metrics within the general management framework of the liquidity and funding risk is the maintenance of a

liquidity buffer consisting of high quality assets free of charges which can be sold or offered as collateral to obtain funding, either

under normal market conditions or in stress situations.

The Finance area is responsible for the collateral management and determining the liquidity buffer within the BBVA Group. According

to the principle of auto-sufficiency of the Group's subsidiaries, each LMU is responsible for maintaining a buffer of liquid assets which

complies with the regulatory requirements applicable under each jurisdiction. In addition, the liquidity buffer of each LMU must be

aligned with the liquidity and funding risk tolerance as well as the management limits set and approved for each case.

In this context, the short-term resistance of the liquidity risk profile is promoted, ensuring that each LMU has sufficient collateral to

deal with the risk of the closing of wholesale markets. Basic capacity is the internal metric for the management and control of short-

term liquidity risk, which is defined as the relationship between the explicit assets available and the maturities of wholesale liabilities

and volatile resources, at different time periods up to one year, with special relevance at 30 and 90 days, with the objective of

preserving the survival period above 3 months with the available buffer, without considering the balance inflows.

As a fundamental element of the liquidity and financing risk monitoring scheme, stress tests are carried out. They enable to anticipate

deviations from the liquidity targets and the limits set in the appetite, and to establish tolerance ranges in the different management

areas. They also play a major role in the design of the Liquidity Contingency Plan and the definition of specific measures to be adopted

to rectify the risk profile if necessary.

For each scenario, it is checked whether BBVA has a sufficient stock of liquid assets to guarantee its capacity to meet the liquidity

commitments/outflows in the different periods analyzed. The analysis considers four scenarios: one central and three crisis-related

(systemic crisis; unexpected internal crisis with a considerable rating downgrade and/or affecting the ability to issue in wholesale

markets and the perception of business risk by the banking intermediaries and the entity’s clients; and a mixed scenario, as a

combination of the two aforementioned scenarios). Each scenario considers the following factors: existing market liquidity, customer

behavior and sources of funding, the impact of rating downgrades, market values of liquid assets and collateral, and the interaction

between liquidity requirements and the development of BBVA's credit quality.

The stress tests conducted on a regular basis by GRM reveal that BBVA maintains a sufficient buffer of liquid assets to deal with the

estimated liquidity outflows in a scenario resulting from the combination of a systemic crisis and an unexpected internal crisis, during

a period of longer than 3 months in general for the different LMU (including Turkey closing the year above 6 months), including in the

scenario of a significant downgrade of the Bank’s rating by up to three notches.

Together with the results of the stress tests and the risk metrics, the early warning indicators play an important role within the

corporate model and the Liquidity Contingency Plan. They are mainly indicators of the funding structure, in relation to asset

encumbrance, counterparty concentration, flights of customer deposits, unexpected use of credit facilities, and of the market, which

help anticipate possible risks and capture market expectations.

Finance is the area responsible for the elaboration, monitoring, execution and update of the liquidity and funding plan and of the

market access strategy to guarantee and improve the stability and diversification of the wholesale funding sources.

P.94

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

In order to implement and establish management in an anticipated manner, limits are set on an annual basis for the main

management metrics that form part of the budgeting process for the liquidity and funding plan. This framework of limits contributes

to the planning of the joint future performance of:

–The loan book, considering the types of assets and their degree of liquidity, as well as their validity as collateral in

collateralized funding.

–Stable customer funds, based on the application of a methodology for establishing which segments and customer balances

are considered to be stable or volatile funds based on the principle of sustainability and recurrence of these funds.

–Projection of the credit gap, in order to require a degree of self-funding that is defined in terms of the difference between the

loan-book and stable customer funds.

–Incorporating the planning of securities portfolios into the banking book, which include both fixed-interest and equity

securities, and are classified as financial assets at fair value through other comprehensive income and at amortized cost,

and additionally on trading portfolios.

–The structural gap projection, as a result of assessing the funding needs generated both from the credit gap and by the

securities portfolio in the banking book, together with the rest of on-balance-sheet wholesale funding needs, excluding

trading portfolios. This gap therefore needs to be funded with customer funds that are not considered stable or on

wholesale markets.

As a result of these funding needs, the BBVA Group plans the target wholesale funding structure according to the tolerance set in

each LMU target.

Thus, once the structural gap has been identified and after resorting to wholesale markets, the amount and composition of wholesale

structural funding is established in subsequent years, in order to maintain a diversified funding mix and guarantee that there is not a

high reliance on short-term funding (short-term wholesale funding plus volatile customer funds).

In practice, the execution of the principles of planning and self-funding at the different LMU results in the Group’s main source of

funding being customer deposits, which consist mainly of demand deposits, savings deposits and time deposits.

As sources of funding, customer deposits are complemented by access to the interbank market and the domestic and international

capital markets in order to address additional liquidity requirements, implementing domestic and international programs for the

issuance of commercial paper and medium and long-term debt.

The process of analysis and assessment of the liquidity and funding situation and of the inherent risks is a process carried out on an

ongoing basis in the BBVA Group, with the participation of all the Group areas involved in liquidity and funding risk management. This

process is carried out at both local and corporate level. It is incorporated into the decision- making process for liquidity and funding

management, with integration between the risk appetite strategy and establishment and the planning process, the funding plan and

the limits scheme.

7.5.3Liquidity and funding performance

The BBVA Group maintains a robust and dynamic funding structure with a predominantly retail nature, where customer resources

represent the main source of funding.

During 2021, liquidity conditions have remained comfortable in all the countries where the BBVA Group operates. The global crisis

caused by COVID-19 had a significant impact on financial markets. The effects of this crisis on the Group's balance sheets

materialized fundamentally at first, through greater credit line withdrawals by wholesale clients in view of the worsening financing

conditions in the markets, with no significant effect on the retail portfolio. These withdrawals were largely paid off over the following

quarters. Dealing with this situation of initial uncertainty, the different central banks provided a joint response through specific

measures and programs, whose extension, in some cases, has been prolonged during 2021, to facilitate the financing of the real

economy and the provision of liquidity in financial markets, supporting the soundness of liquidity buffers in almost all areas with BBVA

presence.

The performance of the indicators show that the robustness of the funding structure remained steady during 2021, 2020 and 2019, in

the sense that all LMU held self-funding levels with stable customer resources above the requirements.

LtSCD by LMU

2021

2020

2019

Group (average)

95%

108%

BBVA S.A.

98%

97%

108%

BBVA Mexico

93%

98%

116%

Garanti BBVA

81%

95%

99%

Other LMU

93%

86%

103%

P.95

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

With respect to LCR, the Group has maintained a liquidity buffer at both a consolidated and individual level in 2021. As a result, the

ratio has remained comfortably above 100%, with the consolidated ratio as of December 31, 2021 standing at 165%.

Although this requirement is only established at a Group level, for banks in the Eurozone, the minimum level required is comfortably

exceeded in all subsidiaries. It should be noted that the calculation of the Consolidated LCR does not allow the transfer of liquidity

between subsidiaries, so no excess liquidity may be transferred from these entities for the purpose of calculating the consolidated

ratio. If the impact of these highly liquid assets was considered, the LCR would be 213%, or +48 basis points above the required level.

LCR main LMU

2021

2020

2019

Group

165%

149%

129%

BBVA S.A.

190%

173%

147%

BBVA Mexico

245%

196%

147%

Garanti BBVA

211%

183%

206%

One of the key elements in BBVA's Group liquidity and funding management is the maintenance of large high quality liquidity buffers

in all business areas where the group operates.

Each entity maintains a sound liquidity buffer at the individual level for BBVA, S.A. and for each of its subsidiaries, such as BBVA

Mexico, Garanti BBVA and the Latin American subsidiaries. In general, this buffer has been strengthened during 2021 in the LMU.

In this respect, the Group has maintained for the last 12 months an average volume of high quality liquid assets (HQLA) amounting to

€138.2 billion, among which, 93% correspond to maximum quality assets (LCR Level 1).

The table below shows the liquidity available by instrument as of December 31, 2021, 2020 and 2019 for the most significant entities

based on prudential supervisor’s information (Commission Implementing Regulations (EU) 2017/2114 of November 9, 2017):

Liquidity available by instrument (Millions of Euros)

BBVA S.A.

BBVA Mexico

Garanti BBVA

Other

2021

2020

2019

2021

2020

2019

2021

2020

2019

2021

2020

2019 (*)

Cash and withdrawable central

bank reserves

35,258

39,330

14,516

12,146

8,930

6,246

8,179

6,153

6,450

6,469

6,831

11,317

Level 1 tradable assets

37,272

48,858

41,961

13,881

9,205

7,295

5,549

7,019

7,953

6,036

6,237

14,930

Level 2A tradable assets

5,234

5,119

403

106

316

—

344

Level 2B tradable assets

9,492

6,080

5,196

219

—

Other tradable assets

27,870

20,174

22,213

343

421

1,269

722

701

669

934

745

1,538

Non tradable assets eligible for

central banks

—

2,935

Cumulated counterbalancing

capacity

115,127

119,560

84,288

26,472

18,672

15,344

14,449

13,873

15,072

13,440

13,814

31,075

(*) In 2019 it includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).

The Net Stable Funding Ratio (NSFR), defined as the result between the amount of stable funding available and the amount of stable

funding required, requiring banks to maintain a stable financing 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 NSFR ratio of the BBVA Group, calculated by applying the

regulatory criteria established in Regulation (EU) 2019/876 of the European Parliament and of the Council, of May 20, 2019, entered

into force in June 2021, and stood at 135% as of December 31, 2021.

The NSFR of BBVA Group and its main LMU at December 31, 2021, 2020 and 2019, was the following:

NSFR main LMU

2021

2020(*)

2019(*)

Group

135%

127%

120%

BBVA S.A.

126%

121%

113%

BBVA Mexico

149%

138%

130%

Garanti BBVA

162%

154%

151%

(*) Ratio calculated based on the Basel requirements for 2019 and 2020.

P.96

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Below is a matrix of residual maturities by contractual periods based on supervisory prudential reporting as of December 31, 2021,

2020 and 2019:

December 2021. Contractual maturities (Millions of Euros)

Demand

Up to 1

month

1 to 3

months

3 to 6

months

6 to 9

months

9 to 12

months

1 to 2

years

2 to 3

years

3 to 5

years

Over 5

years

Total

ASSETS

Cash, cash balances at

central banks and other

demand deposits

39,761

24,598

—

64,359

Deposits in credit entities

—

3,781

400

790

373

299

211

166

6,056

Deposits in other financial

institutions

901

801

584

727

432

694

470

261

469

5,343

Reverse repo, securities

borrowing and margin

lending

—

33,856

11,611

2,945

1,063

1,692

2,188

2,239

1,118

739

57,451

Loans and advances

174

18,531

23,185

22,141

11,769

13,782

39,656

30,049

44,508

94,780

298,574

Securities' portfolio

settlement

1,779

3,606

3,395

2,333

3,958

18,854

13,135

17,214

47,331

111,614

December 2021. Contractual maturities (Millions of Euros)

Demand

Up to 1

month

1 to 3

months

3 to 6

months

6 to 9

months

9 to 12

months

1 to 2

years

2 to 3

years

3 to 5

years

Over 5

years

Total

LIABILITIES

Wholesale funding

—

3,065

1,077

3,498

2,914

1,885

9,477

4,931

12,332

19,991

59,169

Deposits in financial

institutions

1,936

4,257

415

825

183

924

496

146

579

9,907

Deposits in other financial

institutions and international

agencies

8,894

2,728

1,700

382

289

227

578

231

337

722

16,087

Customer deposits

281,812

28,806

11,814

4,867

1,717

1,520

1,740

578

863

416

334,132

Security pledge funding

—

52,437

6,858

2,485

1,513

8,252

29,954

5,527

4,755

1,490

113,269

Derivatives, net

(33)

(395)

(176)

(326)

(66)

(641)

100

(122)

(155)

(66)

(1,880)

December 2020. Contractual maturities (Millions of Euros) (*)

Demand

Up to 1

month

1 to 3

months

3 to 6

months

6 to 9

months

9 to 12

months

1 to 2

years

2 to 3

years

3 to 5

years

Over 5

years

Total

ASSETS

Cash, cash balances at

central banks and other

demand deposits

42,518

32,741

—

75,258

Deposits in credit entities

—

3,616

677

921

356

461

117

120

6,309

Deposits in other financial

institutions

—

2,202

855

797

734

543

1,251

721

515

500

8,119

Reverse repo, securities

borrowing and margin

lending

—

20,033

4,757

1,351

364

368

3,320

1,849

891

1,089

34,021

Loans and advances

279

16,939

24,280

23,012

15,579

17,032

46,182

38,851

51,709

110,173

344,036

Securities' portfolio

settlement

—

3,896

6,680

6,557

5,084

13,014

9,858

15,494

17,231

50,045

127,859

(*) It includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).

P.97

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2020. Contractual maturities (Millions of Euros) (*)

Demand

Up to 1

month

1 to 3

months

3 to 6

months

6 to 9

months

9 to 12

months

1 to 2

years

2 to 3

years

3 to 5

years

Over 5

years

Total

LIABILITIES

Wholesale funding

—

4,750

2,618

3,963

1,283

1,543

10,573

7,505

12,793

23,839

68,868

Deposits in financial

institutions

8,838

7,859

254

741

152

726

825

189

166

371

20,120

Deposits in other financial

institutions and international

agencies

12,735

4,324

2,694

588

353

272

957

337

459

870

23,589

Customer deposits

308,360

39,978

13,416

6,808

4,526

4,366

3,361

1,213

869

799

383,694

Security pledge funding

—

41,239

5,301

1,643

1,192

368

11,304

28,510

3,740

1,516

94,812

Derivatives, net

—

(722)

(961)

(85)

134

(400)

(157)

(264)

(159)

(2,599)

(*) It includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).

December 2019. Contractual maturities (Millions of Euros) (*)

Demand

Up to 1

month

1 to 3

months

3 to 6

months

6 to 9

months

9 to 12

months

1 to 2

years

2 to 3

years

3 to 5

years

Over 5

years

Total

ASSETS

Cash, cash balances at

central banks and other

demand deposits

20,954

20,654

—

41,608

Deposits in credit entities

—

3,591

283

488

585

503

189

120

432

6,216

Deposits in other financial

institutions

—

1,336

1,120

796

589

991

1,420

1,072

672

2,089

10,084

Reverse repo, securities

borrowing and margin

lending

—

21,612

3,858

2,287

561

808

4,121

1,838

411

803

36,299

Loans and advances

157

22,015

25,056

24,994

15,777

16,404

42,165

35,917

54,772

122,098

359,354

Securities' portfolio

settlement

—

1,622

3,873

6,620

2,017

7,292

21,334

6,115

13,240

46,022

108,136

(*) It includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).

December 2019. Contractual maturities (Millions of Euros) (*)

Demand

Up to 1

month

1 to 3

months

3 to 6

months

6 to 9

months

9 to 12

months

1 to 2

years

2 to 3

years

3 to 5

years

Over 5

years

Total

LIABILITIES

Wholesale funding

1,393

1,714

4,208

1,645

4,386

8,328

10,608

10,803

27,840

70,927

Deposits in financial

institutions

7,377

7,608

493

1,122

172

1,514

386

614

206

510

20,004

Deposits in other financial

institutions and international

agencies

10,177

3,859

867

381

367

257

982

503

499

952

18,843

Customer deposits

271,638

43,577

18,550

10,013

7,266

6,605

3,717

2,062

854

1,039

365,321

Security pledge funding

—

45,135

3,202

15,801

1,456

653

3,393

7,206

759

1,308

78,914

Derivatives, net

—

(66)

(25)

(11)

1,097

(830)

(278)

(333)

(420)

(838)

(*) It includes the balance of the companies in the United States (see Notes 1.3, 3 and 21)

With regard to the financing structure, the loan portfolio is mostly financed by retail deposits. The “demand” maturity bucket mainly

contains the retail customer sight accounts whose behavior historically showed a high level of stability and little concentration.

According to a behavior analysis which is done every year in every entity, this type of account is considered to be stable and for

liquidity risk purposes receive a better treatment.

The most relevant aspects related to the main geographical areas are the following:

–In the Eurozone, BBVA has continued to maintain a sound position with a large high-quality liquidity buffer. During 2021,

commercial activity has drawdown liquidity amounting to approximately €9 billion due to the increase in lending activity,

especially in the last quarter of the year, as well as the decrease in the volume of deposits, mainly wholesale. It should also

be noted that in the second quarter of 2021, the payment of the BBVA USA sale transaction was collected. In addition, in

March 2021, BBVA S.A. took part in the TLTRO III liquidity window program to take advantage of the improved conditions

announced by the European Central Bank (ECB) in December 2020, with an amount drawn of €3.5 billion that, together

with the €34.9 billion available at the end of December 2020 , amount to €38.4 billion at the end of December 2021.

–In BBVA Mexico, commercial activity has provided liquidity between January and December 2021 in the amount of

approximately 73 billion Mexican pesos, derived from a higher growth in customer funds compared to the growth in lending

activity. This increased liquidity is expected to be reduced due to the recovery in lending activity expected in 2022. This

solid liquidity position has contributed to an efficient policy in the cost of funding, in an environment of higher interest rates.

P.98

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

In terms of wholesale issuances, there was no need to refinance any maturities in 2021, having matured in 2021 a

subordinated issue amounting to USD 750 million and a senior issue amounting to 4,500 million Mexican pesos.

–In the fourth quarter, the Central Bank of the Republic of Turkey made a series of cuts in benchmark rates, despite the

increases in the inflation rate, for a total of 400 basis points to 14%, triggering an adverse reaction from the markets and

severe currency depreciation. In order to alleviate the depreciation of the currency, during the month of December, the

Turkish government implemented a new mechanism to encourage local currency deposits. During 2021, the lending gap in

local currency has widened, with a higher increase in loans than in deposits, while the lending gap in foreign currency has

narrowed, due to a decline in loans and an increase in deposits. Garanti BBVA continues to maintain a stable liquidity

position with comfortable ratios.

–In South America, the liquidity situation remains adequate throughout the region, despite the fact that central banks in the

region have started rate hike cycles and withdrawal of stimulus programs that mitigate the impact of the COVID-19 crisis. In

Argentina, liquidity in the system and in BBVA continues to increase due to the higher growth in deposits than in loans in

local currency. In BBVA Colombia, activity picks up accompanied by the growth in deposits. BBVA Peru maintains solid

levels of liquidity, while reducing excess liquidity due to growth in lending activity, combined with a contraction of deposits,

following a costs control strategy.

The main wholesale financing transactions carried out by the companies of the BBVA Group are listed below:

–In March 2021, BBVA S.A. issued a senior preferred debt for an amount of €1 billion, with a maturity of 6 years and an option

for early redemption after five years. In September 2021, BBVA S.A. issued a floating rate senior preferred bond totaling €1

billion and maturing in 2 years, the fifth issue made by BBVA linked to environmental, social and governance (ESG) criteria.

Additionally, in January 2022, BBVA S.A. issued a €1 billion senior non-preferred bond, with a maturity of 7 years and an

option for early redemption in the sixth year, with a coupon of 0.875%.

–In Turkey, there have been no issuances in 2021. The Bank renewed its syndicated loans in June and November, indexed to

sustainability criteria. On June 2, BBVA Garanti renewed 100% of a syndicated loan, formed by two separate tranches,

amounting to USD 279m and €294m, with a 1-year maturity and a cost of Libor +2.50% and Euribor +2.25%, respectively.

In November, the Bank renewed 100% of the second tranche of the mentioned loan, for USD 365m and €247m, at a cost of

Libor + 2.15% and Euribor + 1.75% respectively.

–In South America, BBVA Uruguay issued in February 2021 the first sustainable bond on the Uruguayan financial market for

USD 15m at an initial interest rate of 3.854%.

The liquidity position of the rest of subsidiaries has continued to be sound, maintaining a solid liquidity position in all the jurisdictions

in which the Group operates.

In this context, BBVA has maintained its objective of strengthening the funding structure of the different Group entities based on

growing their self-funding from stable customer funds, while guaranteeing a sufficient buffer of fully available liquid assets,

diversifying the various sources of funding available, and optimizing the generation of collateral available for dealing with stress

situations in the markets.

7.5.4Asset encumbrance

As of December 31, 2021, 2020 and 2019, the encumbered (those provided as collateral for certain liabilities) and unencumbered

assets are broken down as follows:

Encumbered and unencumbered assets (Millions of Euros)

Encumbered assets

Unencumbered assets

Book value

Fair value

Book value

Fair value

2021

2020

2019

2021

2020

2019

2021

2020

2019

2021

2020

2019

Assets

114,336

121,999

101,792

548,548

614,260

596,898

Equity instruments

307

2,134

3,526

307

2,134

3,526

22,280

14,556

12,113

22,280

14,556

12,113

Debt securities

31,557

29,379

29,630

29,527

26,112

29,567

89,307

100,108

95,611

89,307

100,108

95,611

Loans and advances and other

assets

82,472

90,486

68,636

436,962

499,595

489,174

The committed value of "Loans and Advances and other assets" corresponds mainly to loans linked to the issue of covered bonds,

territorial bonds or long-term securitized bonds (see Note 22.4) as well as those used as a guarantee to access certain funding

transactions with central banks. Debt securities and equity instruments correspond to underlying that are delivered in repos with

different types of counterparties, mainly clearing houses or credit institutions, and to a lesser extent central banks. Collateral

provided to guarantee derivative transactions is also included as committed assets.

P.99

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

As of December 31, 2021, 2020 and 2019, collateral pledges received mainly due to repurchase agreements and securities lending,

and those which could be committed in order to obtain funding are provided below:

Collateral received (Millions of Euros)

Fair value of encumbered

collateral received or own debt

securities issued

Fair value of collateral received

or own debt securities issued

available for encumbrance

Fair value of collateral received

or own debt securities issued

not available for encumbrance

2021

2020

2019

2021

2020

2019

2021

2020

2019

Collateral received

40,905

30,723

38,496

17,029

8,652

9,208

1,719

1,071

Equity instruments

289

239

265

204

—

Debt securities

40,616

30,484

38,431

16,764

8,448

9,130

1,719

1,071

Loans and advances and other assets

—

Own debt securities issued other

than own covered bonds or ABSs

—

The guarantees received in the form of reverse repurchase agreements or security lending transactions are committed by their use in

repurchase agreements, as is the case with debt securities.

As of December 31, 2021, 2020 and 2019, financial liabilities issued related to encumbered assets in financial transactions as well as

their book value were as follows:

Sources of encumbrance (Millions of Euros)

Matching liabilities, contingent liabilities or

securities lent

Assets, collateral received and own

debt securities issued other than covered bonds

and ABSs encumbered

2021

2020

2019

2021

2020

2019

Book value of financial liabilities

137,242

131,352

124,252

151,275

147,523

135,500

Derivatives

15,368

16,611

19,066

15,191

16,348

20,004

Deposits

109,311

98,668

87,906

120,957

111,726

94,240

Outstanding subordinated debt

12,563

16,073

17,280

15,127

19,449

21,256

Other sources

620

653

449

3,966

5,202

4,788

8Fair value of financial instruments

Framework and processes control

As part of the process established in the Group for determining the fair value in order to ensure that financial assets and liabilities are

properly following the IFRS 13 principles: Fair value is the price that would be received to sell an asset or paid to transfer a liability in an

orderly transaction between market participants in the principal market or most advantageous market, at the measurement date.

BBVA has established, at a geographic level, a structure of Risk Operational Admission and Product Governance Committees

responsible for validating and approving new products or types of financial assets and liabilities before being contracted. Local

management responsible for valuation, which are independent from the business (see Management Report - Risk) are members of

these committees.

These areas are required to ensure, prior to the approval stage, the existence of not only technical and human resources, but also

adequate informational sources to measure the fair value of these financial assets and liabilities, in accordance with the rules

established by the valuation global area and using models that have been validated and approved by the responsible areas complying

with the governance of BBVA Group's official models.

Fair value hierarchy

All financial instruments, both assets and liabilities are initially recognized at fair value, which at that point is equivalent to the

transaction price, unless there is evidence to the contrary in the market. Subsequently, depending on the type of financial instrument,

it may continue to be recognized at amortized cost or fair value through adjustments in the consolidated income statement or equity.

When possible, the fair value is determined as the market price of a financial instrument. However, for many of the financial assets

and liabilities of the Group, especially in the case of derivatives, there is no market price available, so its fair value is estimated on the

basis of the price established in recent transactions involving similar instruments or, in the absence thereof, by using mathematical

measurement models that are sufficiently tried and trusted by the international financial community. The estimates of the fair value

derived from the use of such models take into consideration the specific features of the asset or liability to be measured and, in

particular, the various types of risk associated with such asset or liability. However, the limitations inherent in the measurement

models and possible inaccuracies in the assumptions and parameters required by these models may mean that the estimated fair

value of an asset or liability does not exactly match the price for which the asset or liability could be exchanged or settled on the date

of its measurement.

P.100

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Additionally, for financial assets and liabilities that show significant uncertainty in inputs or model parameters used for valuation,

criteria is established to measure said uncertainty and activity limits are set based on these. Finally, these measurements are

compared, as much as possible, against other sources such as the measurements obtained by the business teams or those obtained

by other market participants.

The process for determining the fair value requires the classification of the financial assets and liabilities according to the

measurement processes used as set forth below:

–Level 1: Valuation using directly the quotation of the instrument, observable and readily and regularly available from

independent price sources and referenced to active markets that the entity can access at the measurement date. The

instruments classified within this level are fixed-income securities, equity instruments and certain derivatives.

–Level 2: Valuation of financial instruments with commonly accepted techniques that use inputs obtained from observable

data in markets.

–Level 3: Valuation of financial instruments with valuation techniques that use significant unobservable inputs in the market.

As of December 31, 2021, the affected instruments at fair value accounted for approximately 0.74% of financial assets and

0.35% of the Group’s financial liabilities. Model selection and validation is undertaken by control areas outside the business

areas.

8.1Fair value of financial instruments

The fair value of the Group’s financial instruments in the accompanying consolidated balance sheets and its corresponding carrying

amounts, as of December 31, 2021, 2020 and 2019 are presented below:

Fair Value and Carrying Amount (Millions of Euros)

2021

2020

2019

Notes

Carrying

Amount

Fair

Value

Carrying

Amount

Fair

Value

Carrying

Amount

Fair Value

ASSETS

Cash, cash balances at central banks and

other demand deposits

67,799

65,520

44,303

Financial assets held for trading

123,493

105,878

99,469

Non-trading financial assets mandatorily at

fair value through profit or loss

6,086

5,198

5,557

Financial assets designated at fair value

through profit or loss

1,092

1,117

1,214

Financial assets at fair value through other

comprehensive income

60,421

69,440

61,183

Financial assets at amortized cost

372,676

377,451

367,668

374,267

439,162

442,788

Derivatives – Hedge accounting

1,805

1,991

1,990

1,729

LIABILITIES

Financial liabilities held for trading

91,135

84,109

86,414

86,413

Financial liabilities designated at fair value

through profit or loss

9,683

10,050

10,010

Financial liabilities at amortized cost

487,893

488,733

490,606

491,006

516,641

515,910

Derivatives – Hedge accounting

2,626

2,318

2,233

Not all financial assets and liabilities are recorded at fair value, so below we provide the information on financial instruments recorded

at fair value and subsequently the information of those recorded at amortized cost (including their fair value although this value is not

used when accounting for these instruments).

P.101

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

8.1.1Fair value of financial instruments recognized at fair value, according to valuation criteria

Below are the different elements used in the valuation technique of financial instruments.

Active Market

BBVA considers an active market as a market that allows the observation of bid and offer prices representative of the levels to which

the market participants are willing to negotiate an asset, with sufficient frequency and volume.

Furthermore, BBVA would consider as traded in an “Organized Market” quotations for assets or liabilities from Over The Counter

(OTC) markets when they are obtained from independent sources, observable on a daily basis and fulfil certain conditions.

The following table shows the financial instruments carried at fair value in the accompanying consolidated balance sheets, broken

down by level used to determine their fair value as of December 31, 2021, 2020 and 2019:

Fair Value of Financial Instruments by Levels (Millions of Euros)

2021

2020

2019

Level 1

Level 2

Level 3

Level 1

Level 2

Level 3

Level 1

Level 2

Level 3

ASSETS

Financial assets held for trading

32,371

87,736

3,386

32,555

71,938

1,386

31,135

67,262

1,072

Equity instruments

15,925

—

11,367

8,832

—

Debt securities

11,877

13,725

189

12,790

11,123

18,076

8,178

Loans and advances

615

47,279

2,913

2,379

26,741

1,148

697

30,491

849

Derivatives

3,954

26,732

247

6,019

34,043

121

3,530

28,593

109

Non-trading financial assets mandatorily at fair value through

profit or loss

4,378

522

1,186

3,826

381

992

4,305

1,160

Equity instruments

4,158

394

751

3,612

465

4,223

103

Debt securities

—

128

—

324

—

Loans and advances

220

—

435

210

—

499

—

1,038

Financial assets designated at fair value through profit or loss

916

176

—

939

178

—

1,214

—

Equity instruments

—

Debt securities

916

176

—

939

178

—

1,214

—

Loans and advances

—

Financial assets at fair value through other comprehensive

income

52,157

7,545

719

60,976

7,866

598

50,896

9,203

1,084

Equity instruments

1,178

106

961

105

1,794

146

480

Debt securities

50,952

7,509

613

59,982

7,832

493

49,070

9,057

604

Loans and advances

—

Derivatives – Hedge accounting

1,733

120

1,862

1,685

—

LIABILITIES

Financial liabilities held for trading

26,215

64,305

615

27,587

56,127

395

26,266

59,438

710

Trading derivatives

4,755

26,560

389

7,402

34,046

232

4,425

29,466

175

Short positions

15,124

—

11,805

504

12,246

Deposits

6,335

37,733

226

8,381

21,577

159

9,595

29,971

533

Financial liabilities designated at fair value through profit or loss

8,243

1,439

—

8,558

1,492

—

8,629

1,382

Customer deposits

—

809

—

902

—

944

—

Debt certificates

1,956

1,439

—

3,038

1,492

—

3,274

1,382

Other financial liabilities

—

5,479

—

4,617

—

4,410

—

Derivatives – Hedge accounting

2,573

—

2,250

2,192

The following table sets forth the main valuation techniques, hypothesis and inputs used in the estimation of fair value of the financial

instruments classified under Levels 2 and 3, based on the type of financial asset and liability and the corresponding balances as of

December 31, 2021, 2020 and 2019.

P.102

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Level 2

Level 3

Level 2

Level 3

Level 2

Level 3

Valuation technique(s)

Observable inputs

Unobservable inputs

ASSETS

Financial assets held for trading

87,736

3,386

71,938

1,386

69,092

1,508

Equity instruments

—

Comparable pricing (Observable price in a

similar market)

Net asset value

- Brokers quotes

- Market operations

- NAVs published

-NAV provided by the administrator of

the fund

Debt securities

13,725

189

11,123

8,178

Present-value method

(Discounted future cash flows)

Observed prices in non-active markets

- Issuer´s credit risk

- Current market interest rates

- Non active markets prices

- Prepayment rates

- Issuer´s credit risk

- Recovery rates

Loans and advances

47,279

2,913

26,741

1,148

30,491

849

Present-value method

(Discounted future cash flows)

- Issuer´s credit risk

- Current market interest rates

- Funding interest rates observed in the market

or in consensus services

- Exchange rates

- Prepayment rates

- Issuer´s credit risk

- Recovery rates

- Funding interest rates not observed in

the market or in consensus services

Derivatives

26,732

247

34,043

121

28,593

109

Interest rate

Interest rate products (Interest rate Swaps,

Call money Swaps y FRA): Discounted cash

flows

Caps/Floors: Black 76, Hull-White y SABR

Bond options: Black 76

Swaptions: Black, Hull-White y LGM

Other Interest rate Options: Black 76, Hull-

White y LGM

Constant Maturity Swaps: SABR

- Exchange rates

- Market quoted future prices

- Market interest rates

- Underlying assets prices: shares, funds,

commodities

- Market observable volatilities

- Issuer credit spread levels

- Quoted dividends

- Market listed correlations

- Beta

- Implicit correlations between tenors

- interest rates volatility

Equity

Future and Equity Forward: Discounted

future cash flows

Equity Options: Local Volatility, Momentum

adjustment and Heston

- Volatility of volatility

- Implicit assets correlations

- Long term implicit correlations

- Implicit dividends and long term repos

Foreign exchange and gold

Future and Equity Forward: Discounted

future cash flows

Foreign exchange Options: Local volatility,

momentum adjustment

- Volatility of volatility

- Implicit assets correlations

- Long term implicit correlations

Credit

Credit Derivatives: Default model and

Gaussian copula

- Correlation default

- Credit spread

- Recovery rates

- Interest rate yield

- Default volatility

Commodities

Commodities: Momentum adjustment and

discounted cash flows

Non-trading financial assets mandatorily

at fair value through profit or loss

522

1,186

381

992

1,160

Equity instruments

394

751

465

103

Comparable pricing (Observable price in a

similar market)

Net asset value

- Brokers quotes

- Market operations

- NAVs published

- NAV provided by the administrator of

the fund

Debt securities

128

—

324

Present-value method

(Discounted future cash flows)

- Issuer credit risk

- Current market interest rates

- Prepayment rates

- Issuer credit risk

- Recovery rates

Loans and advances

—

435

—

499

—

1,038

Specific liquidation criteria regarding losses

of the EPA proceedings

PD and LGD of the internal models,

valuations and specific criteria of the EPA

proceedings

Discounted future cash flows

- Prepayment rates

- Business plan of the underlying asset,

WACC, macro scenario

- Property valuation

Financial assets designated at fair value

through profit or loss

176

—

178

—

Present-value method

(Discounted future cash flows)

- Issuer credit risk

- Current market interest rates

Debt securities

176

—

178

—

Financial assets at fair value through other

comprehensive income

7,545

719

7,866

598

9,203

1,084

Equity instruments

106

105

146

480

Comparable pricing (Observable price in a

similar market)

Net asset value

- Brokers quotes

- Market operations

- NAVs published

- NAV provided by the administrator of

the fund

Debt securities

7,509

613

7,832

493

9,057

604

Present-value method

(Discounted future cash flows)

Observed prices in non-active markets

- Issuer´s credit risk

- Current market interest rates

- Non active market prices

- Prepayment rates

- Issuer credit risk

- Recovery rates

Hedging derivatives

1,733

1,862

1,685

—

Interest rate

Interest rate products (Interest rate Swaps,

Call money Swaps y FRA): Discounted cash

flows

Caps/Floors: Black, Hull-White y SABR

Bond options: Black 76

Swaptions: Black 76, Hull-White y LGM

Other Interest rate Options: Black 76, Hull-

White y LGM

Constant maturity Swaps: SABR

- Exchange rates

- Market quoted future prices

- Market interest rates

- Underlying assets prices: shares, funds,

commodities

- Market observable volatilities

- Issuer credit spread levels

- Quoted dividends

- Market listed correlations

- Beta

- Implicit correlations between tenors

- interest rates volatility

Equity

Future and Equity Forward: Discounted

future cash flows

Equity Options: Local volatility, Black 76,

Momentum adjustment and Heston

- Volatility of volatility

- Implicit assets correlations

- Long term implicit correlations

- Implicit dividends and long term repos

Foreign exchange and gold

Future and Equity Forward: Discounted

future cash flows

Foreign exchange Options: Local volatility,

momentum adjustment

- Volatility of volatility

- Implicit assets correlations

- Long term implicit correlations

Credit

Credit Derivatives: Default model and

Gaussian copula

- Correlation default

- Credit spread

- Recovery rates

- Interest rate yield

- Default volatility

Commodities

Commodities: Momentum adjustment and

Discounted cash flows

Fair value of Financial Instruments by levels.(Millions of euros)

2021

2020

2019

P.103

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Fair Value of Financial Instruments by Levels.(Millions of Euros)

2021

2020

2019

Level 2

Level 3

Level 2

Level 3

Level 2

Level 3

Valuation technique(s)

Observable inputs

Unobservable inputs

LIABILITIES

Financial liabilities held for

trading

64,305

615

56,127

395

61,588

827

Deposits

37,733

226

21,577

159

29,971

533

Present-value method

(Discounted future cash flows)

- Interest rate yield

- Funding interest rates observed

in the market or in consensus

services

- Exchange rates

- Funding interest rates not observed

in the market or in consensus

services

Derivatives

26,560

389

34,046

232

29,466

175

Interest rate

Interest rate products (Interest rate

Swaps, call money Swaps y FRA):

Discounted cash flows

Caps/Floors: Black 76, Hull-White y

SABR

Bond options: Black 76

Swaptions: Black 76, Hull-White y LGM

Other Interest rate Options: Black 76,

Hull-White, SABR y LGM

Constant Maturity Swaps: SABR

- Exchange rates

- Market quoted future prices

- Market interest rates

- Underlying assets prices:

shares, funds, commodities

- Market observable volatilities

- Issuer credit spread levels

- Quoted dividends

- Market listed correlations

- Beta

- Correlation between tenors

- Interest rates volatility

Equity

Future and Equity forward: Discounted

future cash flows

Equity Options: Local volatility,

momentum adjustment and Heston

- Volatility of volatility

- Assets correlation

Foreign exchange and gold

Future and Equity Forward:

Discounted future cash flows

Foreign exchange Options: Black 76,

Local volatility, momentum

adjustment

- Volatility of volatility

- Assets correlation

Credit

Credit Derivatives: Default model and

Gaussian copula

- Correlation default

- Credit spread

- Recovery rates

- Interest rate yield

- Default volatility

Commodities

Commodities: Momentum adjustment

and discounted cash flows

Short positions

—

504

Present-value method

(Discounted future cash flows)

- Prepayment rates

- Issuer´s credit risk

- Current market interest rates

Financial liabilities designated

at fair value through profit or

loss

8,243

1,439

8,558

1,492

8,629

1,382

Present-value method

(Discounted future cash flows)

- Prepayment rates

- Issuer´s credit risk

- Current market interest

rates

- Prepayment rates

- Issuer´s credit risk

- Current market interest rates

Derivatives – Hedge

accounting

2,573

—

2,250

2,192

Interest rate

Interest rate products (Interest rate

Swaps, Call money Swaps y FRA):

Discounted cash flows

Caps/Floors: Black 76, Hull-White y

SABR

Bond options: Black 76

Swaptions: Black, Hull-White y LGM

Other Interest rate Options: Black 76,

Hull-White, SABR y LGM

Constant Maturity Swaps: SABR

- Exchange rates

- Market quoted future prices

- Market interest rates

- Underlying assets prices:

shares, funds, commodities

- Market observable volatilities

- Issuer credit spread levels

- Quoted dividends

- Market listed correlations

- Beta

- Implicit correlations between tenors

- interest rates volatility

Equity

Future and Equity Forward:

Discounted future cash flows

Equity Options: Local volatility,

momentum adjustment and Heston

- Volatility of volatility

- Implicit assets correlations

- Long term implicit correlations

- Implicit dividends and long term

repos

Foreign exchange and gold

Future and Equity Forward:

Discounted future cash flows

Foreign exchange Options: Black 76,

Local Volatility, momentum

adjustment

- Volatility of volatility

- Implicit assets correlations

- Long term implicit correlations

Credit

Credit Derivatives: Default model and

Gaussian copula

- Correlation default

- Credit spread

- Recovery rates

- Interest rate yield

- Default volatility

Commodities

Commodities: Momentum adjustment

and discounted cash flows

P.104

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Main valuation techniques

The main techniques used for the assessment of the majority of the financial instruments classified in Level 3, and its main

unobservable inputs, are described below:

–The net present value (net present value method): This technique uses the future cash flows of each financial instrument,

which are established in the different contracts, and discounted to their present value. This technique often includes many

observable inputs, but may also include unobservable inputs, as described below:

a.Credit Spread: This input represents the difference in yield of a debt security and the reference rate, reflecting the

additional return that a market participant would require to take the credit risk of that debt security. Therefore,

the credit spread of the debt security is part of the discount rate used to calculate the present value of the future

cash flows.

b.Recovery rate: This input represents the percentage of principal and interest recovered from a debt instrument

that has defaulted.

–Comparable prices (similar asset prices): This input represents the prices of comparable financial instruments and

benchmarks used to calculate a reference yield based on relative movements from the entry price or current market levels.

Further adjustments to account for differences that may exist between financial instrument being valued and the

comparable financial instrument may be added. It can also be assumed that the price of the financial instrument is

equivalent to the comparable instrument.

–Net asset value: This technique utilizes certain assumptions to use net asset value as representative of fair value, which is

equal to the total value of the assets and liabilities of a fund published by the managing entity.

–Gaussian copula: This model is used to integrate default probabilities of credit instruments referenced to more than one

underlying CDS. The joint density function used to value the instrument is constructed by using a Gaussian copula that

relates the marginal densities by a normal distribution, usually extracted from the correlation matrix of events approaching

default by CDS issuers.

–Black 76: variant of Black Scholes model, whose main application is the valuation of bond options, cap floors and swaptions

where the behavior of the Forward and not the Spot itself, is directly modeled.

–Black Scholes: The Black Scholes model postulates log-normal distribution for the prices of securities, so that the expected

return under the risk neutral measure is the risk free interest rate. Under this assumption, the price of vanilla options can be

obtained analytically, so that inverting the Black- Scholes formula, the implied volatility for process of the price can be

calculated.

–Heston: This model, typically applied to equity OTC options, assumes stochastic behavior of volatility. According to which,

the volatility follows a process that reverts to a long-term level and is correlated with the underlying equity instrument. As

opposed to local volatility models, in which the volatility evolves deterministically, the Heston model is more flexible,

allowing it to be similar to that observed in the short term today.

–Libor market model: This model assumes that the dynamics of the interest rate curve can be modeled based on the set of

forward contracts that compose the underlying interest rate. The correlation matrix is parameterized on the assumption

that the correlation between any two forward contracts decreases at a constant rate, beta, to the extent of the difference in

their respective due dates. The input “Credit default volatility” is a volatility input of the credit factor dynamic applied in

rate/credit hybrid operative. The multifactorial frame of this model makes it ideal for the valuation of instruments sensitive

to the slope or curve, including interest rate option.

–Local Volatility: In the local volatility models, the volatility, instead of being static, evolves deterministically over time

according to the level of moneyness (i.e. probability that the option has a positive value on its date of expiration) of the

underlying, capturing the existence of volatility smiles. The volatility smile of an option is the empirical relationship observed

between its implied volatility and its strike price. These models are appropriate for options whose value depends on the

historical evolution of the underlying which use Monte Carlo simulation technique for their valuation.

P.105

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Unobservable inputs

Quantitative information of unobservable inputs used to calculate Level 3 valuations is presented below as of December 31, 2021,

2020 and 2019:

Unobservable inputs. December 2021

Financial instrument

Valuation technique(s)

Significant

unobservable inputs

Min

Average

Max

Units

Debt Securities

Present value method

Credit Spread

2.72

125.41

2,374.39

Recovery Rate

0.00%

37.34%

40.00%

0.10%

96.63%

144.11%

Equity/Fund instruments

(*)

Net Asset Value

Comparable Pricing

Loans and advances

Present value method

Repo funding curve

(2.71)%

1.16%

4.99%

Abs Repo

rate

Credit Derivatives

Gaussian Copula

Correlation Default

34.56%

43.47%

52.78%

Black 76

Price Volatility

—

Vegas

Equity Derivatives

Option models on

equities, baskets of

equity, funds

Dividends (**)

Correlations

(88)%

60%

99%

Volatility

5.57

26.30

62.00

Vegas

FX Derivatives

Option models on FX

underlyings

Volatility

3.96

9.71

16.34

Vegas

IR Derivatives

Option models on IR

underlyings

Beta

0.25

2.00

18.00

Correlation Rate/Credit

(100)

100

Credit Default Volatility

—

Vegas

(*) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.

(**) The range of unobservable dividends is too wide range to be relevant.

Unobservable inputs. December 2020

Financial instrument

Valuation technique(s)

Significant

unobservable inputs

Min

Average

Max

Units

Debt Securities

Present value method

Credit Spread

4.32

47.01

564.22

Recovery Rate

0.00%

37.06%

40.00%

0.10%

99.92%

143.87%

Equity/Fund instruments

(*)

Net Asset Value

Comparable Pricing

Loans and advances

Present value method

Repo funding curve

(1.18)%

(0.25)%

0.74%

Abs Repo

rate

Credit Derivatives

Gaussian Copula

Correlation Default

30.40%

44.87%

60.95%

Black 76

Price Volatility

—

Vegas

Equity Derivatives

Option models on

equities, baskets of

equity, funds

Dividends (**)

Correlations

(77)%

51%

98%

Volatility

6.52

29.90

141.77

Vegas

FX Derivatives

Option models on FX

underlyings

Volatility

4.11

10.00

16.14

Vegas

IR Derivatives

Option models on IR

underlyings

Beta

0.25

2.00

18.00

Correlation Rate/Credit

(100)

100

Credit Default Volatility

—

Vegas

(*) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.

(**) The range of unobservable dividends is too wide range to be relevant.

P.106

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Unobservable inputs. December 2019

Financial instrument

Valuation technique(s)

Significant

unobservable inputs

Min

Average

Max

Units

Loans and advances

Present value method

Repo funding curve

(6)

100

Debt securities

Comparable pricing

Credit spread

504

Recovery rate

0.00%

28.38%

40.00%

0.01%

98.31%

135.94%

Equity instruments (*)

Net asset value

Comparable pricing

Credit option

Gaussian Copula

Correlation default

19.37%

44.33%

61.08%

Corporate Bond option

Black 76

Price volatility

Vegas

Equity OTC option

Heston

Forward volatility skew

35.12

Vegas

Local volatility

Dividends (**)

Volatility

2.49

23.21

60.90

Vegas

FX OTC options

Black Scholes/Local Vol

Volatility

3.70

6.30

10.05

Vegas

Interest rate options

Libor Market Model

Beta

0.25

2.00

18.00

Correlation rate/Credit

(100)

100

Credit default Volatility

—

Vegas

(*) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.

(**) The range of unobservable dividends is too wide range to be relevant.

Adjustments to the valuation

Under IFRS 13, the entity must estimate the value taking into account the assumptions and conditions that market participants would

have when setting the price of the asset or liability on the valuation date.

In order to comply with the fair value requirements, the entity applies adjustments to the fair valuation considering, default criteria,

inherent and from the counterparties, valuation risk from funding and valuation risks due to valuation uncertainty and related to the

prudent valuation criteria. All of the above are aligned with the regulatory requirements (EBA CRR 105.10) and considering model risk,

liquidity risk (Bid / Offer) and price uncertainty risk.

Adjustments to the valuation for risk of default

The fair value of liabilities should reflect the entity's default risk, which includes, among other components, its own credit risk. Taking

this into account, the Group makes valuation adjustments for credit risk in the estimates of the fair value of its assets and liabilities.

These adjustments are calculated by estimating Exposure At Default, Probability of Default and Loss Given Default, which are based

on the recovery levels for all derivative products on any instrument, deposits and repos at the legal entity level (all counterparties

under a same master agreement), in which BBVA has exposure.

Credit Valuation Adjustment (hereinafter “CVA”) and Debit Valuation Adjustments (hereinafter “DVA”) are included in the valuation of

derivatives, both assets and liabilities, to reflect the impact on the fair value of the counterparty credit risk and its own, respectively.

The Group incorporates in its valuation, for all exposures classified in any of the categories valued at fair value, both the counterparty

credit risk and its own. In the trading portfolio, and in the specific case of derivatives, credit risk is recognized through such

adjustments.

As a general rule, the calculation of CVA is the sum of the expected positive exposure in time t, the probability of default between t-1

and t, and the Loss Given Default of the counterparty. Consequently, the DVA is calculated as the sum of the expected negative

exposure in time t, the probability of default of BBVA between t-1 and t, and the Loss Given Default of BBVA. Both calculations are

performed throughout the entire period of potential exposure.

The calculation of the expected positive and negative exposure is done through a Montecarlo simulation of the market variables

involved in all trades’ valuation under the same legal netting set.

The information needed to calculate the probability of default and the loss given default of a counterparty comes from the credit

markets. The counterparty’s Credit Default Swaps are used if liquid quotes are available. If a market price is not available, BBVA has

implemented a mapping process based on the sector, rating and geography of the counterparty to assign probabilities of default and

loss given default calibrated directly to market.

P.107

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

An additional adjustment for Own Credit Adjustment (OCA) is applied to the instruments accounted for by applying the Fair Value

Option permitted by IFRS 9.

The amounts recognized in the consolidated balance sheet as of December 31, 2021, 2020 and 2019 related to the valuation

adjustments to the credit assessment of the derivative asset as Credit Valuation Adjustments (CVA) were €-121 million, €-142 million

and €-106 million respectively, and the valuation adjustments to the derivative liabilities as Debit Valuation Adjustment (DVA) were

€104 million, €124 million and €117 million, respectively. The impact recorded under “Gains (losses) on financial assets and liabilities

held for trading, net” in the consolidated income statement for the year ended December 31, 2021, 2020 and 2019 corresponding to

the mentioned adjustments was a net impact of €0 million, €-29 million and €67 million respectively.

Valuation adjustments for financing risk

The fair value of the positions recorded at fair value must reflect the entity's financing risk. Taking into account the above, the Group

makes adjustments for financing risk valuation (Funding Valuation Adjustment FVA) in the estimates of the fair value of its assets and

liabilities.

The adjustment to the valuation for financing risk incorporates the cost of financing implicit in the valuation of positions at fair value.

This adjustment reflects the cost of funding for non-collateralized or partially collateralized operations.

Additionally, as of December 31, 2021, 2020 and 2019, €-11 million, €-9 million and €-8 million related to the “Funding Valuation

Adjustments” (“FVA”) were recognized in the consolidated balance sheet, being the impact on results €-1 million, €-1 million and €4

million, respectively.

Valuation adjustments for valuation uncertainty

The fair value of the positions recorded at fair value must reflect the valuation risk derived from the uncertainty in the valuation for

concepts of pure uncertainty of prices, liquidity risk and model risks. This adjustment is aligned with the regulatory requirements for

prudent valuation via valuation adjustments with an impact on CET1, and meets the requirements of EBA CRR 105.10 for this purpose.

The adjustment to the valuation for liquidity incorporates an adjustment for Bid / Offer spreads in the valuation of derivatives that do

not meet the necessary conditions to be considered a Market Maker operation.

The adjustment to the valuation for model risk captures the uncertainty in the price associated with the products valued with the use

of a valuation model ("Mark to Model") given the existence of more than one possible model applicable to the valuation of the product

or the calibration of its parameters from the observations of inputs in the market.

The adjustment to the valuation for price uncertainty includes the uncertainty associated with the dispersion in the values observed in

the market for the prices taken in the valuation of assets or as inputs in the valuation models. The impact recorded under “Gains

(losses) on financial assets and liabilities held for trading, net” in the consolidated income statement for the year ended December 31,

2021 corresponding to the mentioned adjustments was a net impact of €-30 million.

Financial assets and liabilities classified as Level 3

The changes in the balance of Level 3 financial assets and liabilities included in the accompanying consolidated balance sheets are as

follows:

Financial assets Level 3: Changes in the year (Millions of Euros)

2021

2020

2019

Assets

Liabilities

Assets

Liabilities

Assets

Liabilities

Balance at the beginning

2,984

1,902

3,316

2,103

3,527

4,115

Changes in fair value recognized in profit and loss (*)

338

143

611

296

112

Changes in fair value not recognized in profit and loss

(47)

(10)

(89)

(4)

—

Acquisitions, disposals and liquidations (**)

2,531

156

(725)

(652)

(432)

479

Net transfers to Level 3

(436)

(80)

549

199

(2,751)

Exchange differences and others

(69)

(56)

(160)

(35)

189

Discontinued operations (***)

—

(518)

(5)

—

Balance at the end

5,301

2,054

2,984

1,902

3,316

2,103

(*)Profit or loss that is attributable to gains or losses relating to those financial assets and liabilities held as of December 31, 2021, 2020 and 2019. Valuation adjustments are

recorded under the heading “Gains (losses) on financial assets and liabilities (net)”.

(**) Of which, in 2021, the assets roll forward is comprised of €2,742 million of acquisitions and €211 million of disposals. The liabilities roll forward is comprised of €213 million of

acquisitions and €57 million of sales.

(***)The balance of 2020 corresponds mainly to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

P.108

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

In 2021 there was an increase in the trading portfolio mainly due to the evolution of loans and advances and their corresponding

funding with deposits. In line with this increase in the activity, there is a higher volume of exposures classified as level 3 which mainly

corresponds to temporary acquisitions of assets, despite having improved throughout the year the observability of the inputs used to

value these assets in the market.

In 2020, a reduction was made in financial assets held for trading and financial liabilities held for trading classified as Level 2 in the fair

value hierarchy for an amount of €1,918 million and a reduction in financial assets held for trading and Financial liabilities held for

trading classified as Level 3 in the fair value hierarchy for an amount of €461 million euros (see Note 1.3).

In 2019, certain interest rate yields were adapted to those observable in the market, which mainly affected the valuation of certain

deposit classes recorded under “Financial liabilities at amortized cost” and certain insurance products recorded under “Financial

liabilities designated at fair value through profit or loss - Other financial liabilities”, and, as a result thereof, their classification changed

from Level 3 to Level 2. Additionally, €1,285 million in assets held for trading and €649 million in liabilities held for trading were

classified in Level 3, mainly due to certain reverse repurchase and repurchase agreements, due to the non-observability and liquidity

in the interest rate yield for the financing of assets applied in the calculation of their fair value.

For the years ended December 31, 2021, 2020 and 2019, the profit/loss on sales of financial instruments classified as Level 3

recognized in the accompanying consolidated income statement was not material.

Transfers among levels

The Global Valuation Area, in collaboration with the Group, has established the rules for an appropriate financial instruments held for

trading classification according to the fair value hierarchy defined by IFRS.

On a monthly basis, any new assets added to the portfolio are classified, according to this criterion, by the subsidiaries. Then, there is

a quarterly review of the portfolio in order to analyze the need for a change in classification of any of these assets.

The financial instruments transferred among the different levels of measurement for the years ended December 31, 2021, 2020 and

2019 are at the following amounts in the accompanying consolidated balance sheets as of December 31, 2021, 2020 and 2019:

Transfers among levels. December 2021 (Millions of Euros)

From:

Level 1

Level 2

Level 3

To:

Level 2

Level 3

Level 1

Level 3

Level 1

Level 2

ASSETS

Financial assets held for trading

924

184

637

Non-trading financial assets mandatorily at fair

value through profit or loss

—

Financial assets designated at fair value

through profit or loss

—

Financial assets at fair value through other

comprehensive income

596

506

—

Derivatives – Hedge accounting

—

Total

1,528

542

234

665

LIABILITIES

Financial liabilities held for trading

562

—

Financial liabilities designated at fair value

through profit or loss

—

Derivatives – Hedge accounting

—

Total

562

—

160

P.109

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Transfer among levels (Millions of Euros)

2020

2019

From:

Level 1

Level 2

Level 3

Level 1

Level 2

Level 3

To:

Level 2

Level 3

Level 1

Level 3

Level 1

Level 2

Level 3

Level 1

Level 3

Level 1

Level 2

ASSETS

Financial assets held for

trading

1,460

203

548

—

1,119

502

160

Non-trading financial assets

mandatorily at fair value

through profit or loss

—

Financial assets designated at

fair value through profit or loss

143

—

Financial assets at fair value

through other comprehensive

income

484

—

135

—

209

—

454

Derivatives – Hedge

accounting

—

Total

2,096

342

652

121

1,145

739

667

LIABILITIES

Financial liabilities held for

trading

—

180

—

Financial liabilities designated

at fair value through profit or

loss

—

2,679

Derivatives – Hedge

accounting

—

125

Total

—

236

—

2,804

The amount of financial instruments that were transferred among levels of valuation during the year ended December 31, 2021 is not

material relative to the total portfolios, and corresponds to the above changes in the classification among levels these financial

instruments modified some of their features, specifically:

–Transfers among Levels 1 and 2 represent mainly derivatives, debt securities and short positions, which are either no longer

listed on an active market (transfer from Level 1 to 2) or have just started to be listed (transfer from Level 2 to 1).

–Transfers from Level 2 to Level 3 are mainly due to transactions of financial assets held for trading, financial assets at fair

value through other comprehensive income, financial liabilities held for trading and financial liabilities designated at fair

value through profit or loss.

–Transfers from Level 3 to Level 2 generally affect derivatives, loans and advances and debt securities transactions, for

which inputs observable in the market have been obtained.

Sensitivity analysis

Sensitivity analysis is performed on financial instruments with significant unobservable inputs (financial instruments included in level

3), in order to obtain a reasonable range of possible alternative valuations. This analysis is carried out on a monthly basis, based on

the criteria defined by the Global Valuation Area taking into account the nature of the methods used for the assessment and the

reliability and availability of inputs and proxies used. In order to establish, with a sufficient degree of certainty, the valuation risk that is

incurred in such assets without applying diversification criteria between them.

As of December 31, 2021, the effect on profit for the year and total equity of changing the main unobservable inputs used for the

measurement of Level 3 financial instruments for other reasonably possible unobservable inputs, taking the highest (most favorable

input) or lowest (least favorable input) value of the range deemed probable, would be as follows:

P.110

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Financial instruments Level 3: sensitivity analysis (Millions of Euros)

Potential impact on consolidated

income statement

Potential impact on

other comprehensive income

Most favorable

hypothesis

Least favorable

hypothesis

Most favorable

hypothesis

Least favorable

hypothesis

ASSETS

Financial assets held for trading

(57)

—

Loans and advances

(4)

—

Debt securities

(24)

—

Equity instruments

(25)

—

Derivatives

(5)

—

Non-trading financial assets mandatorily at fair value

through profit or loss

(36)

—

Loans and advances

(5)

—

Debt securities

(10)

—

Equity instruments

(21)

—

Financial assets designated at fair value through profit or

loss

—

Financial assets at fair value through other

comprehensive income

—

(43)

Total

(93)

(43)

LIABILITIES

Financial liabilities held for trading

(3)

—

Total

(3)

—

8.2Fair value of financial instruments carried at cost, by valuation criteria

The valuation technique used to calculate the fair value of financial assets and liabilities carried at cost are presented below:

Financial assets

–Cash, balances at central banks and other demand deposits / loans to central banks / short-term loans to credit

institutions/ Repurchase agreements: in general, their fair value approximates to their book value, due to the nature of the

counterparty and because they are mainly short-term balances in which the book value is the most reasonable estimation of

the value of the asset.

–Loans to credit institutions which are not short-term and loans to customers: In general, the fair value of these financial

assets is determined by the discount of expected future cash flows, using market interest rates at the time of valuation

adjusted by the credit spread and taking all kind of behavioral hypothesis if it is considered to be relevant (prepayment fees,

optionality, etc.).

–Debt securities: Fair value estimated based on the available market price or by using internal valuation methodologies.

Financial liabilities

–Deposits from central banks: for recurrent liquidity auctions and other monetary policy instruments of central banks /

short-term deposits, from credit institutions / repurchase agreements / short term customer deposits: their book value is

considered to be the best estimation of their fair value.

–Deposits of credit institutions which are not short-term and term customer deposits: these deposits are valued by

discounting future cash flows using the interest rate curve in effect at the time of the adjustment adjusted by the credit

spread and incorporating any behavioral assumptions if this proves relevant (early repayments, optionalities, etc.).

–Debt certificate (Issuances): The fair value estimation of these liabilities depends on the availability of market prices or by

using the present value method: discount of future cash flows, using market interest rates at valuation time and taking into

account the credit spread.

P.111

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The following table presents the fair value of key financial instruments carried at amortized cost in the accompanying consolidated

balance sheets as of December 31, 2021, 2020 and 2019, broken down according to the method of valuation used for the estimation:

Fair value of financial instruments at amortized cost by Levels (Millions of Euros)

2021

2020

2019

Level 1

Level 2

Level 3

Level 1

Level 2

Level 3

Level 1

Level 2

Level 3

ASSETS

Cash, cash balances at central banks

and other demand deposits

67,581

—

218

65,355

—

165

44,111

—

192

Financial assets at amortized cost

33,213

13,033

331,205

35,196

15,066

324,005

29,391

217,279

196,119

LIABILITIES

Financial liabilities at amortized cost

91,870

243,847

153,016

90,839

255,278

144,889

67,229

289,599

159,082

The main valuation techniques and inputs used to estimate the fair value of financial instruments accounted for at cost and classified

in levels 2 and 3 is shown below. These are broken down by type of financial instrument and the balances correspond to those as of

December 31, 2021, 2020 and 2019:

Fair Value of financial Instruments at amortized cost by valuation technique (Millions of Euros)

2021

2020

2019

Valuation

technique(s)

Main inputs used

Level 2

Level 3

Level 2

Level 3

Level 2

Level 3

ASSETS

Financial assets at

amortized cost

13,033

331,205

15,066

324,005

217,279

196,119

Present-value

method

(Discounted future

cash flows)

Loans and advances to

central banks

—

- Credit spread

- Prepayment rates

- Interest rate yield

Loans and advances to

credit institutions

863

12,329

1,883

12,641

9,049

4,628

- Credit spread

- Prepayment rates

- Interest rate yield

Loans and advances to

customers

3,416

318,059

3,904

310,924

194,897

190,144

- Credit spread

- Prepayment rates

- Interest rate yield

Debt securities

8,755

817

9,279

440

13,333

1,345

- Credit spread

- Interest rate yield

LIABILITIES

Financial liabilities at

amortized cost

243,847

153,016

255,278

144,889

289,599

159,082

Deposits from central

banks

—

300

—

207

129

—

Present-value

method

(Discounted future

cash flows)

- Issuer´s credit risk

- Prepayment rates

- Interest rate yield

Deposits from credit

institutions

14,853

4,916

22,914

4,633

21,575

6,831

Deposits from

customers

209,345

137,803

210,097

129,525

245,720

135,514

Debt certificates

10,014

4,391

14,413

4,848

14,194

11,133

Other financial

liabilities

9,636

5,606

7,854

5,676

7,981

5,604

In 2020, the level of significance of the unobservable inputs used to determine the fair value hierarchy of loans and advances to

customers at amortized cost was refined, resulting in a greater exposure classified as Level 3. This revision was carried out in the

context of the availability of new information which was more adjusted to the changes that have occurred both in market conditions

and in the composition of credit investment. The effect on consolidated results and equity resulting from this review did not represent

any change.

P.112

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

9.Cash, cash balances at central banks and other demand deposits

The breakdown of the balance under the heading “Cash, cash balances at central banks and other demand deposits” in the

accompanying consolidated balance sheets is as follows:

Cash, cash balances at central banks and other demand deposits (Millions of Euros)

Notes

2021

2020

2019

Cash on hand

6,877

6,447

7,060

Cash balances at central banks (*)

55,004

53,079

31,756

Other demand deposits

5,918

5,994

5,488

Total

8.1

67,799

65,520

44,303

(*) The variation in 2020 with respect to 2019 is mainly due to an increase in balances of BBVA, S.A. at the Bank of Spain.

10.Financial assets and liabilities held for trading

10.1Breakdown of the balance

The breakdown of the balance under these headings in the accompanying consolidated balance sheets is as follows:

Financial assets and liabilities held for trading (Millions of Euros)

Notes

2021

2020

2019

ASSETS

Derivatives (*)

30,933

40,183

32,232

Equity instruments

7.2.2

15,963

11,458

8,892

Credit institutions

816

633

1,037

Other sectors

15,147

10,824

7,855

Debt securities

7.2.2

25,790

23,970

26,309

Issued by central banks

936

1,011

840

Issued by public administrations

21,946

19,942

23,918

Issued by financial institutions

1,130

1,479

679

Other debt securities

1,778

1,538

872

Loans and advances (**)

7.2.2

50,807

30,268

32,037

Loans and advances to central banks

3,467

535

Reverse repurchase agreement

3,467

535

Loans and advances to credit institutions

31,916

18,317

19,020

Reverse repurchase agreement

31,901

18,310

18,953

Loans and advances to customers

15,424

11,898

12,482

Reverse repurchase agreement

14,916

11,295

12,187

Total assets

8.1

123,493

105,878

99,469

LIABILITIES

Derivatives (*)

31,705

41,680

34,066

Short positions

15,135

12,312

12,249

Deposits (**)

44,294

30,117

40,099

Deposits from central banks

11,248

6,277

7,635

Repurchase agreement

11,248

6,277

7,635

Deposits from credit institutions

16,176

14,377

22,704

Repurchase agreement

15,632

14,035

22,313

Customer deposits

16,870

9,463

9,761

Repurchase agreement

16,824

9,418

9,689

Total liabilities

8.1

91,135

84,109

86,414

(*) The variation in 2021 is mainly due to the evolution of interest rate derivatives at BBVA, S.A.

(**) The variation in 2021 corresponds mainly to the evolution of "Reverse repurchase agreement" of BBVA S.A., partially offset by the evolution of "Repurchase agreement". The

information for 2020 and 2019 has been subject to certain non-significant modifications in order to improve comparability with the figures for financial year 2021 (see Note 1.3).

As of December 31, 2021, 2020 and 2019 “Short positions” include €14,298, €11,696 and €11,649 million, respectively, held with

general governments.

P.113

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

10.2Derivatives

The derivatives portfolio arises from the Group’s need to manage the risks it is exposed to in the normal course of business and also

to market products amongst the Group’s customers. As of December 31, 2021, 2020 and 2019, trading derivatives were mainly

contracted in over-the-counter (OTC) markets, with counterparties, consisting primarily of foreign credit institutions and other

financial corporations, and are related to foreign-exchange, interest-rate and equity risk.

Below is a breakdown of the net positions by transaction type of the fair value and notional amounts of derivatives recognized in the

accompanying consolidated balance sheets, divided into organized and OTC markets:

Derivatives by type of risk and by product or by type of market (Millions of Euros)

2021

2020

2019

Assets

Liabilities

Notional

amount -

Total

Assets

Liabilitie

Notional

amount -

Total

Assets

Liabilitie

Notional

amount -

Total

Interest rate

15,782

15,615

3,902,760

26,451

26,028

3,252,066

21,004

20,378

3,024,794

OTC

15,774

15,610

3,884,561

26,447

26,020

3,233,718

21,004

20,377

2,997,443

Organized market

18,199

18,348

—

27,351

Equity instruments

2,802

4,123

72,656

2,626

4,143

72,176

2,263

3,499

84,140

OTC

775

1,930

48,695

584

1,836

42,351

353

1,435

40,507

Organized market

2,028

2,192

23,962

2,042

2,307

29,825

1,910

2,065

43,633

Foreign exchange and

gold

12,104

11,471

533,395

10,952

11,216

461,898

8,608

9,788

472,194

OTC

12,090

11,445

526,590

10,942

11,216

457,180

8,571

9,782

463,662

Organized market

6,805

—

4,719

8,532

Credit

236

490

19,937

153

292

23,411

353

397

29,077

Credit default swap

236

254

18,121

146

156

21,529

338

283

26,702

Credit spread option

—

150

Total return swap

—

236

1,815

136

1,882

113

2,225

Other

—

Commodities

149

DERIVATIVES

30,933

31,705

4,528,897

40,183

41,680

3,809,577

32,232

34,066

3,610,269

Of which: OTC - credit

institutions

21,069

22,488

1,073,921

24,432

27,244

958,017

19,962

22,973

1,000,243

Of which: OTC - other

financial corporations

3,300

3,075

3,257,382

8,211

8,493

2,663,978

6,028

6,089

2,370,988

Of which: OTC - other

4,514

3,919

148,629

5,484

3,627

134,690

4,294

2,932

159,521

11.Non-trading financial assets mandatorily at fair value through profit or loss

The breakdown of the balance under this heading in the accompanying consolidated balance sheets is as follows:

Non-trading financial assets mandatorily at fair value through profit or loss (Millions of Euros)

Notes

2021

2020

2019

Equity instruments (*)

7.2.2

5,303

4,133

4,327

Debt securities

7.2.2

128

356

110

Loans and advances to customers

7.2.2

655

709

1,120

Total

8.1

6,086

5,198

5,557

(*) The variation in 2021 is mainly due to increased exposure to investment funds in Mexican insurance companies, as a result of increases in the volume of products and the

evolution of investment activity in fintech companies.

P.114

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

12.Financial assets and liabilities designated at fair value through profit or loss

The breakdown of the balance under these headings in the accompanying consolidated balance sheets is as follows:

Financial assets and liabilities designated at fair value through profit or loss (Millions of Euros)

Notes

2021

2020

2019

ASSETS

Debt securities

7.2.2 / 8.1

1,092

1,117

1,214

LIABILITIES

Customer deposits

809

902

944

Debt certificates issued

3,396

4,531

4,656

Other financial liabilities: Unit-linked products

5,479

4,617

4,410

Total liabilities

8.1

9,683

10,050

10,010

Within “Financial liabilities designated at fair value through profit or loss”, liabilities linked to insurance products where the

policyholder bears the risk (unit-link) are recorded. Since the liabilities linked to insurance products in which the policyholder assumes

the risk are valued the same way as the assets associated to these insurance products, there is no credit risk component borne by the

Group in relation to these liabilities.

In addition, the assets and liabilities are included in these headings to reduce inconsistencies (asymmetries) in the valuation of those

operations and those used to manage their risk.

13.Financial assets at fair value through other comprehensive income

13.1Breakdown of the balance

The breakdown of the balance by the main financial instruments in the accompanying consolidated balance sheets is as follows:

Financial assets at fair value through other comprehensive income (Millions of Euros)

Notes

2021

2020

2019

Equity instruments

7.2.2

1,320

1,100

2,420

Debt securities (*)

59,074

68,308

58,731

Loans and advances to credit institutions

7.2.2

Total

8.1

60,421

69,440

61,183

Of which: loss allowances of debt securities

(74)

(97)

(110)

(*) The variation, in the last 3 years, corresponds mainly to changes in the portfolio of financial assets issued by governments in BBVA, S.A.

During financial years 2021, 2020 and 2019, there have been no significant reclassifications from the heading “Financial assets at fair

value through other comprehensive income” to other headings or from other headings to “Financial assets at fair value through other

comprehensive income”.

P.115

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

13.2Equity instruments

The breakdown of the balance under the heading "Equity instruments" of the accompanying consolidated financial statements as of

December 31, 2021, 2020 and 2019 is as follows:

Financial assets at fair value through other comprehensive income. Equity instruments (Millions of Euros)

2021

2020

2019

Cost

Unrealized

gains

Unrealized

losses

Fair

value

Cost

Unrealized

gains

Unrealized

losses

Fair

value

Cost

Unrealized

gains

Unrealized

losses

Fair

value

Listed equity instruments

Spanish companies shares

2,235

—

(1,146)

1,088

2,182

—

(1,309)

873

2,181

—

(507)

1,674

Foreign companies shares

(8)

125

100

(17)

121

136

(11)

213

The United States

—

Mexico

—

Turkey

—

Other countries

(8)

(17)

102

(11)

Subtotal listed equity

instruments

2,333

(1,154)

1,214

2,282

(1,326)

995

2,317

(518)

1,886

Unlisted equity

instruments

Spanish companies shares

—

Foreign companies shares

(1)

100

450

(1)

528

The United States

—

387

—

419

Mexico

—

Turkey

—

Other countries

(1)

Subtotal unlisted equity

instruments

(1)

107

(1)

105

454

(1)

533

Total

2,393

(1,155)

1,320

2,344

(1,327)

1,100

2,772

167

(519)

2,420

P.116

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

13.3Debt securities

The breakdown of the balance under the heading “Debt securities” of the accompanying consolidated financial statements as of

December 31, 2021, 2020 and 2019, broken down by issuers, is as follows:

Financial assets at fair value through other comprehensive income. Debt securities (Millions of Euros)

2021

2020

2019

Amortized

cost

Unrealized

gains

Unrealized

losses

Fair

value

Amortized

cost

Unrealized

gains

Unrealized

losses

Fair

value

Amortized

cost

Unrealized

gains

Unrealized

losses

Fair

value

Domestic debt securities

Government and other

government agency

15,889

656

—

16,544

28,582

801

(16)

29,367

20,740

830

(20)

21,550

Central banks

—

Credit institutions

1,125

—

1,176

1,363

—

1,439

959

—

1,024

Other issuers

612

(1)

635

867

(1)

906

907

—

947

Subtotal

17,625

731

(2)

18,355

30,811

917

(17)

31,712

22,607

935

(21)

23,521

Foreign debt securities

Mexico

11,097

(359)

10,769

9,107

291

(3)

9,395

7,790

(26)

7,786

Government and other

government agency

10,467

(348)

10,141

8,309

271

(1)

8,579

6,869

(19)

6,868

Central banks

—

Credit institutions

120

(6)

118

113

—

118

—

Other issuers

509

(6)

510

685

(2)

698

843

(6)

840

Italy

7,407

213

(12)

7,608

3,897

367

—

4,263

2,325

244

(2)

2,567

Government and other

government agency

7,274

212

(12)

7,474

3,789

366

—

4,154

2,193

244

(2)

2,435

Central banks

—

Credit institutions

—

Other issuers

—

Japan

4,961

—

4,968

4,551

(3)

4,549

2,735

—

2,738

Government and other

government agency

4,906

—

4,913

4,492

—

(3)

4,489

2,691

—

2,694

Central banks

—

Credit institutions

—

Other issuers

—

The United States

3,900

(18)

3,926

4,642

(3)

4,691

11,376

(51)

11,393

Government and other

government agency

1,754

(17)

1,744

2,307

(1)

2,315

8,570

(12)

8,599

Central banks

—

Credit institutions

114

—

116

186

—

188

122

—

124

Other issuers

2,032

(1)

2,065

2,149

(2)

2,187

2,684

(39)

2,670

Turkey

2,888

199

(168)

2,920

3,456

(73)

3,473

3,752

(76)

3,713

Government and other

government agency

2,888

199

(168)

2,920

3,456

(73)

3,473

3,752

(76)

3,713

Central banks

—

Credit institutions

—

Other issuers

—

Other countries

10,298

286

(55)

10,529

9,892

372

(39)

10,225

6,810

307

(104)

7,013

Other foreign governments

and government agency

2,488

115

(29)

2,574

2,177

136

(14)

2,300

2,079

137

(76)

2,140

Central banks

1,698

(5)

1,696

1,599

(8)

1,611

1,005

(4)

1,010

Credit institutions

2,306

(16)

2,382

2,468

116

(8)

2,576

1,743

109

(12)

1,840

Other issuers

3,807

(6)

3,877

3,648

(8)

3,738

1,983

(12)

2,023

Subtotal

40,551

780

(612)

40,719

35,545

1,172

(120)

36,596

34,788

681

(259)

35,210

Total

58,176

1,511

(614)

59,074

66,356

2,089

(137)

68,308

57,395

1,617

(280)

58,731

P.117

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The credit ratings of the issuers of debt securities as of December 31, 2021, 2020 and 2019 are as follows:

Debt securities by rating

2021

2020

2019

Fair value

(Millions of Euros)

Fair value

(Millions of Euros)

Fair value

(Millions of euros)

AAA

2,413

4.1%

4,345

6.4%

3,669

6.2%

AA+

586

1.0%

595

0.9%

7,279

12.4%

646

1.1%

449

0.7%

317

0.5%

AA-

327

0.6%

406

0.6%

265

0.5%

A+

6,179

10.5%

5,912

8.7%

3,367

5.7%

1,676

2.8%

2,112

3.1%

12,895

22.0%

A-

18,760

31.8%

31,614

46.3%

10,947

18.6%

BBB+

11,465

19.4%

8,629

12.6%

9,946

16.9%

BBB

10,961

18.6%

4,054

5.9%

2,966

5.1%

BBB-

1,310

2.2%

5,116

7.5%

1,927

3.3%

BB+ or below

4,379

7.4%

4,731

6.9%

4,712

8.0%

Unclassified

372

0.6%

345

0.5%

441

0.8%

Total

59,074

100.0%

68,308

100.0%

58,731

100.0%

13.4Gains/losses

The changes in the gains/losses (net of taxes) in December 31, 2021, 2020 and 2019 of debt securities recognized under the equity

heading “Accumulated other comprehensive income (loss) – Items that may be reclassified to profit or loss – Fair value changes of

debt instruments measured at fair value through other comprehensive income” and equity instruments recognized under the equity

heading “Accumulated other comprehensive income (loss) – Items that will not be reclassified to profit or loss –Fair value changes of

equity instruments measured at fair value through other comprehensive income” in the accompanying consolidated balance sheets

are as follows:

Other comprehensive income - Changes in gains (losses) (Millions of Euros)

Debt securities

Equity instruments

Notes

2021

2020

2019

2021

2020

2019

Balance at the beginning

2,069

1,760

943

(1,256)

(403)

(155)

Valuation gains and losses

(1,058)

489

1,267

183

(803)

(238)

Amounts transferred to income

(63)

(72)

(119)

—

Amounts transferred to Reserves

—

(73)

—

Income tax and other

325

(107)

(331)

(7)

(10)

Balance at the end

1,274

2,069

1,760

(1,079)

(1,256)

(403)

In 2021, the debt securities presented an impairment amounting to €17 million in the heading “Impairment or reversal of impairment

on financial assets not measured at fair value through profit or loss or net gains by modification– Financial assets at fair value through

other comprehensive income” in the accompanying consolidated income statement (see Note 47).

In 2020, debt securities presented an impairment amounting to €19 million in the heading “Impairment or reversal of impairment on

financial assets not measured at fair value through profit or loss or net gains by modification–Financial assets at fair value through

other comprehensive income” in the accompanying consolidated income statement (see Note 47)

In 2019, debt securities presented an impairment amounting to €82 million in the heading “Impairment or reversal of impairment on

financial assets not measured at fair value through profit or loss or net gains by modification–Financial assets at fair value through

other comprehensive income” in the accompanying consolidated income statement (see Note 47) as a result of the decrease in the

rating of debt securities in Argentina during the last quarter of 2019.

In 2021 and 2020, equity instruments presented an increase of €183 million and a decrease of €803 million, respectively, in the

heading “Gains and losses from valuation - Accumulated other comprehensive income - Items that will not be reclassified to profit and

loss - Fair value changes of equity instruments measured at fair value through other comprehensive income”, mainly due to the

Telefónica quotation.

P.118

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

14.Financial assets at amortized cost

14.1Breakdown of the balance

The breakdown of the balance under this heading in the accompanying consolidated balance sheets, according to the nature of the

financial instrument, is as follows:

Financial assets at amortized cost (Millions of Euros)

Notes

2021

2020

2019

Debt securities

34,781

35,737

38,877

Central banks

—

Government

32,130

28,727

31,526

Credit institutions

817

783

719

Other financial corporations

525

5,027

5,254

Non-financial corporations

1,295

1,200

1,379

Loans and advances to central banks

5,681

6,209

4,275

Loans and advances to credit institutions

13,276

14,575

13,649

Reverse repurchase agreements

2,788

1,914

1,817

Other loans and advances

10,488

12,661

11,832

Loans and advances to customers (*)

7.2.2

318,939

311,147

382,360

Government

19,682

19,391

28,222

Other financial corporations

9,804

9,817

11,207

Non-financial corporations

140,993

136,424

166,789

Other

148,461

145,515

176,142

Total

8.1

372,676

367,668

439,162

Of which: impaired assets of loans and advances to

customers

7.2.2

14,657

14,672

15,954

Of which: loss allowances of loans and advances

7.2.5

(11,142)

(12,141)

(12,427)

Of which: loss allowances of debt securities

(52)

(48)

(52)

(*) The variation in 2020 corresponds mainly to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

During financial years 2021, 2020 and 2019, there have been no significant reclassifications from the heading “Financial assets at

amortized cost” to other headings or from other headings to “Financial assets at amortized cost”.

P.119

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

14.2Debt securities

The breakdown of the balance under the heading “Debt securities” in the accompanying consolidated balance sheets, according to

the issuer of the debt securities, is as follows:

Financial assets at amortized cost. Debt securities. (Millions of Euros)

2021

2020

2019

Amortized

cost

Unrealized

gains

Unrealized

losses

Fair

value

Amortized

cost

Unrealized

gains

Unrealized

losses

Fair

value

Amortized

cost

Unrealized

gains

Unrealized

losses

Fair

value

Domestic debt

securities

Government and other

government agencies

17,693

1,326

(7)

19,013

13,656

1,212

—

14,868

12,755

630

(21)

13,363

Central banks

—

Credit institutions

—

Other issuers

337

(6)

341

4,835

(7)

4,887

4,903

(10)

4,931

Subtotal

18,031

1,336

(13)

19,353

18,492

1,271

(7)

19,756

17,684

668

(31)

18,320

Foreign debt

securities

Mexico

8,464

182

(138)

8,508

7,771

534

(16)

8,289

6,374

168

(18)

6,525

Government and other

government agencies

7,669

170

(131)

7,708

6,963

479

—

7,442

5,576

166

—

5,742

Central banks

—

Credit institutions

614

—

625

632

—

687

526

—

529

Other issuers

181

(7)

175

176

—

(16)

160

272

—

(18)

254

The United States

—

(26)

6,125

111

(20)

6,217

Government and other

government agencies

—

5,690

111

(18)

5,783

Central banks

—

Credit institutions

—

(16)

—

(1)

Other issuers

—

(10)

410

—

(1)

409

Turkey

2,634

143

(95)

2,682

3,628

(25)

3,698

4,113

(65)

4,097

Government and other

government agencies

2,628

143

(95)

2,676

3,621

(25)

3,691

4,105

(65)

4,088

Central banks

—

Credit institutions

—

Other issuers

—

Other countries

5,559

289

(37)

5,812

5,795

505

(1)

6,299

4,581

(26)

4,637

Other foreign

governments and

other government

agency

4,144

257

(28)

4,374

4,473

467

(1)

4,939

3,400

(22)

3,459

Central banks

—

Credit institutions

171

—

171

122

—

122

135

—

135

Other issuers

1,243

(9)

1,267

1,200

—

1,238

1,047

—

(4)

1,043

Subtotal

16,750

614

(270)

17,094

17,245

1,134

(68)

18,311

21,194

409

(129)

21,476

Total

34,781

1,950

(284)

36,447

35,737

2,405

(75)

38,067

38,877

1,077

(160)

39,796

P.120

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

As of December 31, 2021, 2020 and 2019, the distribution according to the credit quality (ratings) of the issuers of debt securities

classified as financial assets at amortized cost, was as follows:

Debt securities by rating

2021

2020

2019

Carrying

amount

(Millions of

Euros)

Carrying

amount

(Millions of

Euros)

Carrying

amount

(Millions of

Euros)

AAA

143

0.4%

151

0.4%

0.1%

AA+

0.2%

6,481

16.7%

0.2%

—%

AA-

0.2%

0.1%

713

1.8%

A+

0.2%

—%

—

—%

619

1.8%

590

1.7%

16,806

43.2%

A-

16,312

46.9%

16,736

46.8%

607

1.6%

BBB+

9,336

26.8%

7,919

22.2%

3,715

9.6%

BBB

3,853

11.1%

942

2.6%

551

1.4%

BBB-

527

1.5%

4,499

12.6%

3,745

9.6%

BB+ or below

3,120

9.0%

3,928

11.0%

5,123

13.2%

Unclassified

587

1.7%

743

2.1%

1,083

2.8%

Total

34,781

100.0%

35,737

100.0%

38,877

100.0%

14.3Loans and advances to customers

The breakdown of the balance under this heading in the accompanying consolidated balance sheets, according to their nature, is as

follows:

Loans and advances to customers (Millions of Euros)

2021

2020

2019

On demand and short notice

3,161

2,835

3,050

Credit card debt

14,030

13,093

16,354

Trade receivables

19,524

15,544

17,276

Finance leases

7,911

7,650

8,711

Reverse repurchase agreements

Other term loans

268,047

267,031

332,160

Advances that are not loans

6,243

4,924

4,784

Total

318,939

311,147

382,360

The heading “Financial assets at amortized cost – Loans and advances to customers” in the accompanying consolidated balance

sheets also includes certain secured loans that, as mentioned in Appendix X and pursuant to the Mortgage Market Act, are linked to

long-term mortgage covered bonds.

The following table sets forth a breakdown of the gross carrying amount "Loans and advances to customers" with maturity greater

than one year by fixed and variable rate as of December 31, 2021, 2020 and 2019:

Loans and advances maturing in more than one year by fixed and variable rate (Millions of Euros)

2021

2020

2019

Domestic

Foreign

Total

Domestic

Foreign

Total

Domestic

Foreign

Total

Fixed rate

56,756

62,228

118,984

46,104

66,444

112,548

55,920

68,915

124,835

Variable rate

75,544

44,237

119,781

86,710

41,452

128,162

79,329

97,765

177,095

Total

132,300

106,465

238,765

132,814

107,895

240,710

135,249

166,680

301,929

As of December 31, 2021, 2020 and 2019, 50%, 47% and 41%, respectively, of "Loans and advances to customers" with maturity

greater than one year have fixed-interest rates and 50%, 53% and 59%, respectively, have variable interest rates.

P.121

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

This heading also includes some loans that have been securitized. The balances recognized in the accompanying consolidated

balance sheets corresponding to these securitized loans are as follows:

Securitized loans (Millions of Euros)

2021

2020

2019

Securitized mortgage assets

23,695

23,953

26,169

Other securitized assets

6,547

6,144

4,249

Total

30,242

30,098

30,418

15.Hedging derivatives and fair value changes of the hedged items in portfolio hedges

of interest rate risk

The balance of these headings in the accompanying consolidated balance sheets is as follows:

Derivatives – Hedge accounting and fair value changes of the hedged items in portfolio hedge of interest rate risk

(Millions of Euros)

2021

2020

2019

ASSETS

Derivatives - Hedge accounting

1,805

1,991

1,729

Fair value changes of the hedged items in portfolio hedges of interest rate risk

LIABILITIES

Derivatives - Hedge accounting

2,626

2,318

2,233

Fair value changes of the hedged items in portfolio hedges of interest rate risk

—

As of December 31, 2021, 2020 and 2019, the main positions hedged by the Group and the derivatives designated to hedge those

positions were:

–Fair value hedging:

a.Fixed-interest debt securities at fair value through other comprehensive income and at amortized cost: The interest

rate risk of these securities is hedged using interest rate derivatives (fixed-variable swaps) and forward sales.

b.Long-term fixed-interest debt securities issued by the Bank: the interest rate risk of these securities is hedged using

interest rate derivatives (fixed-variable swaps).

c.Fixed-interest loans: The equity price risk of these instruments is hedged using interest rate derivatives (fixed-variable

swaps).

d.Fixed-interest and/or embedded derivative deposit portfolio hedges: it covers the interest rate risk through fixed-

variable swaps. The valuation of the borrowed deposits corresponding to the interest rate risk is in the heading "Fair

value changes of the hedged items in portfolio hedges of interest rate risk”.

–Cash-flow hedges: Most of the hedged items are floating interest-rate loans and asset hedges linked to the inflation of the

financial assets at fair value through other comprehensive income portfolio. This risk is hedged using foreign-exchange,

interest-rate swaps, inflation and FRA (Forward Rate Agreement).

–Net foreign-currency investment hedges: These hedged risks are foreign-currency investments in the Group’s foreign

subsidiaries. This risk is hedged mainly with foreign-exchange options and forward currency sales and purchases.

Note 7 analyzes the Group’s main risks that are hedged using these financial instruments.

P.122

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The details of the net positions by hedged risk of the fair value of the hedging derivatives recognized in the accompanying

consolidated balance sheets are as follows:

Derivatives - Hedge accounting. Breakdown by type of risk and type of hedge (Millions of Euros)

2021

2020

2019

Assets

Liabilities

Assets

Liabilities

Assets

Liabilities

Interest rate

697

322

989

525

920

488

OTC

697

322

989

525

920

488

Organized market

—

Equity

—

OTC

—

Organized market

—

Foreign exchange and gold

463

135

435

350

420

316

OTC

463

135

435

350

420

316

Organized market

—

Credit

—

Commodities

—

Other

—

FAIR VALUE HEDGES

1,160

457

1,424

874

1,341

808

Interest rate

228

1,786

154

1,055

224

850

OTC

226

1,786

154

1,041

224

839

Organized market

—

Equity

—

Foreign exchange and gold

180

225

115

OTC

180

225

115

Organized market

—

Credit

—

Commodities

—

Other

—

CASH FLOW HEDGES

408

1,865

379

1,111

339

868

HEDGE OF NET INVESTMENTS IN A

FOREIGN OPERATION

198

196

166

139

242

PORTFOLIO FAIR VALUE HEDGES OF

INTEREST RATE RISK

170

216

PORTFOLIO CASH FLOW HEDGES OF

INTEREST RATE RISK

DERIVATIVES-HEDGE ACCOUNTING

1,805

2,626

1,991

2,318

1,729

2,233

of which: OTC - credit institutions

1,454

2,248

1,718

1,965

1,423

1,787

of which: OTC - other financial corporations

349

378

273

333

306

426

P.123

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Below there is a breakdown of the items covered by fair value hedges:

Hedged items in fair value hedges (Millions of Euros)

Carrying amount

Hedge adjustments

included in the

carrying amount of

assets/liabilities

Remaining

adjustments for

discontinued micro

hedges including

hedges of net

positions

Hedged items in

portfolio hedge of

interest rate risk

2021

2020

2021

2020

2021

2020

2021

2020

ASSETS

Financial assets measured at

fair value through other

comprehensive income

20,333

28,091

(52)

(99)

—

Interest rate

20,285

28,059

Other

Financial assets measured at

amortized cost

8,273

11,177

168

386

1,997

2,500

Interest rate

8,270

11,177

Foreign exchange and gold

—

LIABILITIES

Financial liabilities measured at

amortized costs

24,567

23,546

(690)

(576)

—

Interest rate

24,563

23,543

Foreign exchange and gold

The following is the breakdown, by their notional maturities, of the hedging instruments as of December 31, 2021:

Calendar of the notional maturities of the hedging instruments (Millions of Euros)

Up to 3

months

From 3

months to

1 year

From 1 to 5

years

More than

5 years

Total

FAIR VALUE HEDGES

2,820

8,467

28,506

13,615

53,409

Of which: Interest rate

2,807

8,360

27,239

13,615

52,021

CASH FLOW HEDGES

195

3,346

36,410

4,381

44,332

Of which: Interest rate

—

2,713

34,787

4,381

41,882

HEDGE OF NET INVESTMENTS IN A FOREIGN

OPERATION

2,241

2,617

—

4,857

PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE

RISK

175

647

1,258

1,108

3,187

PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE

RISK

171

428

851

132

1,583

DERIVATIVES-HEDGE ACCOUNTING

5,602

15,505

67,024

19,236

107,368

In 2021, 2020 and 2019, there was no reclassification in the accompanying consolidated income statements of any amount

corresponding to cash flow hedges that was previously recognized in equity (see Note 41).

The amount for derivatives designated as accounting hedges that did not pass the effectiveness test in December 31, 2021, 2020 and

2019 were not material.

IBOR Reform

The transition from IBOR indices to the new risk free rates (RFR) (see Note 2.3) may cause uncertainty about the future of some

references or its impact on the contracts held by an entity, which could cause uncertainty about the term or the amounts of the cash

flows of the hedged instrument or the hedging instrument. Due to such uncertainties, in the period before the benchmark rate reform

actually takes place, some entities may be forced to discontinue hedge accounting, or not be able to designate new hedging

relationships. To avoid this, the IASB made a series of transitory amendments to IFRS 9, IAS 39 and IFRS 7 providing temporary

exceptions to the application of certain specific hedge accounting requirements that are applicable to all hedging relationships that

are affected by the uncertainty derived from the IBOR Reform. These exceptions should end once the uncertainty is resolved (rates to

be modified according to the new RFRs) or the hedge ceases to exist.

P.124

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The nominal amount of the hedging instruments for hedging relationships directly affected by the IBOR reform as of December 31,

2021 is the following:

Hedges affected by the IBOR reform (Millions of Euros)

LIBOR USD

LIBOR GBP

Other

Total

Cash flow hedges

1,056

—

1,056

Fair value hedges

7,939

389

583

8,910

16.Investments in joint ventures and associates

16.1Joint ventures and associates

The breakdown of the balance of “Investments in joint ventures and associates” in the accompanying consolidated balance sheets is

as follows:

Joint ventures and associates. Breakdown by entities (Millions of Euros)

Joint ventures

2021

2020

2019

Altura Markets, S.V., S.A.

RCI Colombia

Desarrollo Metropolitanos del Sur, S.L.

Other

Subtotal

152

149

154

Associates

Divarian Propiedad, S.A.U.

—

567

630

Metrovacesa, S.A.

259

285

443

BBVA Allianz Seguros y Reaseguros, S.A.

254

250

—

ATOM Bank PLC

136

Solarisbank AG

Cofides

Redsys servicios de procesamiento, S.L.

Servicios Electrónicos Globales S.A. de CV

Other

Subtotal

749

1,288

1,334

Total

900

1,437

1,488

Details of the joint ventures and associates as of December 31, 2021 are shown in Appendix II.

The following is a summary of the changes in the years ended December 31, 2021, 2020 and 2019 under this heading in the

accompanying consolidated balance sheets:

Joint ventures and associates. Changes in the year (Millions of Euros)

Notes

2021

2020

2019

Balance at the beginning

1,437

1,488

1,578

Acquisitions and capital increases

257

161

Disposals and capital reductions

(1)

(47)

(149)

Transfers and changes of consolidation method

(559)

(7)

(27)

Share of profit and loss

(39)

(42)

Exchange differences

(27)

Dividends, valuation adjustments and others

(9)

(188)

(43)

Balance at the end

900

1,437

1,488

P.125

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

During the year 2021, the most significant changes in the heading “Investment in joint ventures and associates” correspond to the

reclassification of the 20% stake in Divarian Property, S.A.U. under the heading "Non-current assets and disposal groups classified as

held for sale" in July 2021 and their subsequent sale in October 2021 (see Note 21).

During the year 2020, the most significant changes in the heading “Investments in joint ventures and associates” correspond to

changes in the valuation of Metrovacesa and BBVA Allianz Seguros y Reaseguros, S.A.

During the year 2019, there was no significant change in the heading “Investment in joint ventures and associates”.

Appendix III provides notifications on acquisitions and disposals of holdings in subsidiaries, joint ventures and associates, in

compliance with article 155 of the Corporations Act and article 125 of the Securities Market Act 4/2015.

16.2Other information about associates and joint ventures

If these entities had been consolidated rather than accounted for using the equity method, the change in each of the lines of balance

sheet and the consolidated income statement would not be significant.

As of December 31, 2021, 2020 and 2019 there was no financial support agreement or other contractual commitment to associates

and joint ventures entities from the holding or the subsidiaries that are not recognized in the financial statements (see Note 53.2).

As of December 31, 2021, 2020 and 2019 there was no contingent liability in connection with the investments in joint ventures and

associates (see Note 53.2).

16.3Impairment

As required by IAS 36, the book value of the associates and joint venture entities has been compared with their recoverable amount,

with the latter being calculated as the higher between the value in use and the fair value minus the cost of sale. For the year ended

December 31, 2021, there was no impairment recorded in the Group’s consolidated income statement. For the year ended December

31, 2020, €190 million were recorded due to impairment and for the year ended December 31, 2019, €46 million (see Note 48).

P.126

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

17.Tangible assets

The breakdown and movement of the balance and changes of this heading in the accompanying consolidated balance sheets,

according to the nature of the related items, is as follows:

Tangible assets. Breakdown by type of assets and changes in the year 2021 (Millions of Euros)

Land and

buildings

Work in

progress

Furniture,

fixtures and

vehicles

Right to use asset

Investment

Properties

Assets

leased out

under an

operating

lease

Total

Notes

Own use

Investment

Properties

Cost

Balance at the beginning

4,380

5,515

3,061

123

201

345

13,677

Additions

262

230

—

585

Retirements

(5)

(1)

(281)

(59)

—

(1)

—

(347)

Acquisition of subsidiaries in the year

—

Disposal of entities in the year

—

Transfers

(112)

(8)

(29)

(34)

—

(147)

Exchange difference and other

(7)

(79)

(44)

—

(54)

(78)

(233)

Balance at the end

4,350

5,388

3,154

162

147

267

13,535

Accrued depreciation

Balance at the beginning

833

—

3,859

582

5,371

Additions

—

358

284

—

740

Additions transfer to discontinued

operations

—

Retirements

(19)

—

(259)

(16)

—

(4)

—

(298)

Acquisition of subsidiaries in the year

—

Disposal of entities in the year

—

Transfers

(23)

—

(17)

(5)

—

(39)

Exchange difference and other

—

(108)

(34)

—

(21)

(134)

Balance at the end

900

—

3,833

811

5,641

Impairment

Balance at the beginning

149

—

274

—

483

Additions (*)

—

151

—

161

Additions transfer to discontinued

operations

—

Retirements

—

Acquisition of subsidiaries in the year

—

Disposal of entities in the year

—

Transfers

(24)

—

(5)

Exchange difference and other

(11)

—

(18)

—

(16)

—

(43)

Balance at the end

114

—

427

—

596

Net tangible assets

Balance at the beginning

3,398

1,656

2,205

151

291

7,823

Balance at the end

3,336

1,555

1,916

109

234

7,298

(*) In 2021, it includes allowances on right of use of the rented offices after the agreement with union representatives on the collective layoff procedure proposed for Banco Bilbao

Vizcaya Argentaria, S.A. in Spain (see Notes 24 and 49).

P.127

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Tangible assets: Breakdown by type of assets and changes in the year 2020 (Millions of Euros)

Right to use asset

Investment

properties

Assets

leased out

under an

operating

lease

Total

Notes

Land and

buildings

Work in

progress

Furniture,

fixtures and

vehicles

Own use

Investment

properties

Cost

Balance at the beginning

6,001

6,351

3,516

101

216

337

16,578

Additions

157

255

183

—

651

Retirements

(10)

(23)

(294)

(157)

(3)

(11)

—

(498)

Acquisition of subsidiaries in the year

—

Companies held for sale (*)

(925)

(31)

(366)

(294)

—

(1,616)

Transfers

(248)

(2)

(5)

(60)

—

(272)

Exchange difference and other

(595)

(2)

(426)

(127)

—

(24)

(1,166)

Balance at the end

4,380

5,515

3,061

123

201

345

13,677

Accrued depreciation

Balance at the beginning

1,253

—

4,344

370

6,067

Additions

—

370

312

781

Additions transfer to discontinued

operations (*)

—

Retirements

(2)

—

(248)

(10)

—

(260)

Acquisition of subsidiaries in the year

—

Companies held for sale (*)

(373)

—

(321)

(71)

—

(765)

Transfers

(42)

—

(12)

(9)

—

(58)

Exchange difference and other

(110)

—

(294)

(42)

—

(3)

(21)

(470)

Balance at the end

833

—

3,859

582

5,371

Impairment

Balance at the beginning

212

—

191

—

443

Additions

—

125

Retirements

—

Acquisition of subsidiaries in the year

—

Companies held for sale (*)

(8)

—

(8)

Transfers

(68)

—

(51)

Exchange difference and other

(5)

—

(26)

—

(26)

Balance at the end

149

—

274

—

483

Net tangible assets

Balance at the beginning

4,536

2,007

2,955

175

263

10,068

Balance at the end

3,398

1,656

2,205

151

290

7,823

(*) Amount is mainly due to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

P.128

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Tangible assets. Breakdown by type of assets and changes in the year 2019 (Millions of Euros)

Right to use asset

Total

Notes

Land and

buildings

Work in

progress

Furniture,

fixtures

and

vehicles

Own use

Investment

properties

Investment

properties

Assets leased

out under an

operating lease

Cost

Balance at the beginning

5,939

6,314

—

201

386

12,910

Additions

335

3,574

101

—

4,175

Retirements

(44)

(20)

(302)

(57)

—

(10)

—

(433)

Acquisition of subsidiaries in the year

—

Disposal of entities in the year

—

Transfers

(41)

(51)

(8)

(1)

—

(88)

Exchange difference and other

(6)

—

(49)

Balance at the end

6,001

6,351

3,516

101

216

337

16,578

Accrued depreciation

Balance at the beginning

1,138

—

4,212

—

5,437

Additions

—

431

338

—

876

Additions transfer to discontinued

operations (*)

—

103

Retirements

(38)

—

(255)

(3)

—

(296)

Acquisition of subsidiaries in the year

—

Disposal of entities in the year

—

Transfers

(16)

—

(13)

(1)

—

(30)

Exchange difference and other

—

(57)

(7)

—

(2)

(23)

Balance at the end

1,253

—

4,344

370

6,067

Impairment

Balance at the beginning

217

—

244

Additions

—

Retirements

(3)

—

(3)

Acquisition of subsidiaries in the year

—

Disposal of entities in the year

—

Transfers

(16)

—

127

(4)

—

121

Exchange difference and other

—

(20)

—

(13)

Balance at the end

212

—

191

—

443

Net tangible assets

—

Balance at the beginning

4,584

2,102

—

163

310

7,229

Balance at the end

4,536

2,007

2,955

175

263

10,068

(*) Amount is mainly due to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

The right to use asset consists mainly of the rental of commercial real estate premises for central services and the network branches

located in the countries where the Group operates whose average term is between 5 and 20 years. The clauses included in rental

contracts correspond to a large extent to rental contracts under normal market conditions in the country where the property is

rented.

As of December 31, 2021, 2020 and 2019, the cost of fully amortized tangible assets that remained in use were €2,318, €2,299 and

€2,658 million respectively while its recoverable residual value was not significant.

P.129

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

As of December 31, 2021, 2020 and 2019 the amount of tangible assets under financial lease schemes on which the purchase option

is expected to be exercised was not material. The main activity of the Group is carried out through a network of bank branches located

geographically as shown in the following table:

Branches by geographical location (number of branches)

2021

2020

2019

Spain (*)

1,895

2,482

2,642

Mexico

1,716

1,746

1,860

South America

1,434

1,514

1,530

The United States (**)

—

639

643

Turkey

1,006

1,021

1,038

Rest

Total

6,083

7,432

7,744

(*) In 2021, the variation is mainly due to the closing of rented branches after the agreement with the union representatives on the collective layoff procedure that is being carried

out at Banco Bilbao Vizcaya Argentaria, S.A (see Notes 24 and 49).

(**) In 2021, the variation is mainly due to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

The following table shows the detail of the net carrying amount of the tangible assets corresponding to Spanish and foreign

subsidiaries as of December 31, 2021, 2020 and 2019:

Tangible assets by Spanish and foreign subsidiaries. Net assets values (Millions of euros)

2021 (*)

2020 (**)

2019

BBVA and Spanish subsidiaries

3,873

4,294

4,865

Foreign subsidiaries

3,425

3,529

5,203

Total

7,298

7,823

10,068

(*) The variation in 2021 is mainly due to the reclassification of owned offices and facilities from "Tangible assets" to "Non-current assets and disposal groups classified as held for

sale" (see Notes 21, 24 and 50).

(**) The variation in 2020 is mainly due to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21), whose owned offices and facilities were

reclassified from "Tangible assets" to "Non-current assets and disposal groups classified as held for sale" .

P.130

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

18.Intangible assets

18.1Goodwill

The breakdown of the balance under this heading in the accompanying consolidated balance sheets, according to the CGU to which

goodwill has been allocated, is as follows:

Goodwill. Breakdown by CGU and changes of the year (Millions of Euros)

The United

States (*)

Mexico

Turkey

Colombia

Chile

Other

Total

Balance as of December 31, 2018

5,066

519

382

161

6,180

Additions

—

Exchange difference

(36)

(2)

(1)

Impairment

(1,318)

—

(1,318)

Other

—

Balance as of December 31, 2019

3,846

550

346

164

4,955

Additions

—

Exchange difference

(22)

(72)

(92)

(21)

—

(1)

(208)

Impairment

(2,084)

—

(13)

(2,097)

Companies held for sale

(1,740)

—

(1,740)

Other

—

Balance as of December 31, 2020

—

478

254

143

910

Additions

—

Exchange difference

—

(102)

(9)

(3)

—

(88)

Impairment

—

(4)

Companies held for sale

—

Other

—

Balance as of December 31, 2021

—

504

152

134

818

(*) Since the USA sale agreement, the United States is no longer considered a CGU (see Note 3).

Goodwill in business combinations

There were no significant business combinations during 2021, 2020 and 2019.

Impairment Test

As mentioned in Note 2.2.8, the CGU to which goodwill has been allocated, are periodically tested for impairment by including the

allocated goodwill in their carrying amount. This analysis is performed at least annually and whenever there is any indication of

impairment. Furthermore, it is analyzed whether certain changes in the valuation assumptions used could give rise to differences in

the result of the impairment test.

The BBVA Group performs estimations on the recoverable amount of certain CGU by calculating the value in use through the

discounted value of future cash flows method.

The main hypotheses used for the value in use calculation are the following:

–The forecast cash flows, including net interest margin and cost of risk, estimated by the Group's management, and based

on the latest available budgets for the next 4 to 5 years, considering the macroeconomic variables of each CGU, regarding

the existing balance structure as well as macroeconomic variables such as the evolution of interest rates and the CPI of the

geography where the CGU is located, among others.

–The constant growth rate for extrapolating cash flows, starting in the fourth or fifth year, beyond the period covered by the

budgets or forecasts.

–The discount rate on future cash flows, which coincides with the cost of capital assigned to each CGU, and which consists of

a risk-free rate plus a premium that reflects the inherent risk of each of the businesses evaluated.

P.131

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The focus used by the Group's management to determine the values of the assumptions is based both on its projections and past

experience. These values are verified and use external sources of information, wherever possible. Additionally, the valuation of the

goodwill of the CGU of Turkey has been reviewed by independent experts (not the Group's external auditors).

Goodwill - Mexico CGU

The Group’s most significant goodwill corresponds to the CGU in Mexico, the main significant assumptions used in the impairment

test of this CGU as of December 31, 2021, 2020 and 2019 are as follows:

Impairment test assumptions CGU goodwill in Mexico

2021

2020

2019

Discount rate (*)

14.5%

15.3%

14.8%

Growth rate

5.7%

5.9%

(*) After tax discount rates.

In accordance with paragraph 33.c of IAS 36, as of December 31, 2021, the Group used a growth rate of 5.7% based on the real GDP

growth rate of Mexico, the expected inflation rate and the potential growth of the banking sector in Mexico.

The assumptions with a greater relative weight and whose volatility could have a greater impact in determining the present value of

the cash flows starting on the fourth year are the discount rate and the growth rate. Below, in a simplified way, is shown the increased

(or decreased) amount of the CGU recoverable amount as a result of a reasonable variation (in basis points) of each of the key

assumptions, considered in isolation as of December 31, 2021, where, in each case, the value in use would continue to exceed their

book value:

Sensitivity analysis for main assumptions - Mexico (Millions of Euros)

Increase of 50 basis points (*)

Decrease of 50 basis points (*)

Discount rate

(1,709)

1,913

Growth rate

1,194

(1,067)

(*)The use of very different discount or growth rates would be inconsistent with the macroeconomic assumptions under which the Unit builds its business plan, such as inflation

assumptions or interest rate curves used to determine cash flows.

Goodwill - Turkey CGU

The main significant assumptions used in the impairment test of the CGU of Turkey as of December 31, 2021, 2020 and 2019 are:

Impairment test assumptions CGU goodwill in Turkey

2021

2020

2019

Discount rate (*)

27.7%

21.0%

17.4%

Growth rate

7.0%

(*) After tax discount rates.

Given the potential growth of the sector in Turkey, in accordance with paragraph 33.c of IAS 36, as of December 31, 2021, 2020 and

2019 the Group used a steady growth rate of 7% based on the real GDP growth rate of Turkey and expected inflation.

The assumptions with a greater relative weight and whose volatility could affect more in determining the present value of the cash

flows starting on the fifth year are the discount rate and the growth rate. Below, in a simplified way, is shown the increased (or

decreased) amount of the recoverable amount as a result of a reasonable variation (in basis points) of each of the key assumptions,

considered in isolation as of December 31, 2021, where, in any case, the value in use would continue to exceed their book value:

Sensitivity analysis for main assumptions - Turkey (Millions of Euros)

Impact of an increase of 50

basis points (*)

Impact of a decrease of 50

basis points (*)

Discount rate

(84)

Growth rate

(13)

(*) The use of very different discount or growth rates would be inconsistent with the macroeconomic assumptions under which the Unit builds its business plan, such as inflation

assumptions or interest rate curves used to determine cash flows.

P.132

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Considering the uncertainty caused by the current economic situation, the Group has carried out additional sensitivities on other

variables such as the net interest income, the cost of risk, the efficiency ratio and loans and the advances to customers growth

forecasts. No required modifications to the result of the impairment test on the CGU were identified.

Goodwill - The United States CGU

Since the USA sale, the United States in 2021 is no longer considered a CGU (see Note 3).

As of March 31, 2020, the Group identified an indicator of impairment of goodwill in the United States CGU and as a result of the

goodwill impairment test, the Group estimated impairment in the United States CGU of €2,084 million, which was mainly due to the

negative impact of the update of the macroeconomic scenario following the COVID-19 pandemic and the expected evolution of

interest rates. This recognition did not affect the tangible book value or the liquidity nor the solvency ratio of the BBVA Group.

As of December 31, 2019, the Group estimated impairment losses in the United States CGU of €1,318 million, which was mainly as a

result of the negative evolution of interest rates, especially in the second half of the year, which accompanied by the slowdown of the

economy caused the expected evolution of results to be below the previous estimation. This recognition did not affect the tangible

book value nor the liquidity or the solvency ratio of the BBVA Group.

The main significant assumptions used in the impairment test of this CGU as of March 31, 2020 and December 31, 2019 were as

follows:

Impairment test assumptions CGU goodwill - United States

2020

2019

Discount rate (*)

10.3%

10.0%

Growth rate

3.0%

3.5%

(*) After tax discount rates.

Goodwill - Other CGUs

The impairment tests carried out on the rest of the CGUs have not detected significant impairment. Likewise, the sensitivity analysis

on the main assumptions carried out for the rest of the CGU of the Group indicate that their value in use would continue to exceed

their book value.

18.2Other intangible assets

The breakdown of the balance and changes of this heading in the accompanying consolidated balance sheets, according to the nature

of the related items, is as follows:

Other intangible assets (Millions of Euros)

2021

2020

2019

Computer software acquisition expense

1,239

1,202

1,598

Other intangible assets with an infinite useful life

Other intangible assets with a definite useful life

128

221

401

Total

1,379

1,435

2,010

The changes of this heading during the years ended December 31, 2021, 2020 and 2019, are as follows:

Other intangible assets (Millions of Euros)

Notes

Computer software

Other intangible

assets

Total of intangible assets

2021

2020

2019

2021

2020

2019

2021

2020

2019

Balance at the beginning

1,202

1,598

1,605

233

412

529

1,435

2,010

2,134

Additions

470

452

525

—

470

460

533

Amortization in the year

(446)

(448)

(447)

(48)

(59)

(63)

(494)

(507)

(510)

Amortization transfer to discontinued

operations (*)

—

(77)

(106)

—

(3)

(4)

—

(80)

(110)

Exchange differences and other

(38)

(45)

(91)

(58)

(16)

(129)

(25)

Impairment

(15)

(6)

(11)

—

(1)

(15)

(6)

(12)

Decreases by companies held for sale

(*)

—

(279)

—

(34)

—

(313)

—

Balance at the end

1,239

1,202

1,598

140

233

412

1,379

1,435

2,010

(*) Amount is mainly due to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

As of December 31, 2021, 2020 and 2019, the cost of fully amortized intangible assets that remained in use were €2,992 million,

€2,622 million and €2,702 million respectively, while their recoverable value was not significant.

P.133

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

19.Tax assets and liabilities

19.1Consolidated tax group

Pursuant to current legislation, BBVA consolidated tax group in Spain includes the Bank (as the parent company) and its Spanish

subsidiaries that meet the requirements provided for under Spanish legislation regulating the taxation regime for the consolidated

profit of corporate groups.

The Group’s non-Spanish banks and subsidiaries file tax returns in accordance with the tax legislation in force in each country.

19.2Years open for review by the tax authorities

At the date of preparation of these financial statements, the BBVA consolidated tax group in Spain has 2017 and subsequent years

subject to inspection, with respect to the main taxes applicable to it.

The remainder of the Spanish consolidated entities in general have the last four years open for inspection by the tax authorities for the

main taxes applicable, except for those in which there has been an interruption of the limitation period due to the start of an

inspection.

In relation to the consolidated tax group BBVA in Spain, in the year 2021, as a result of the inspection activities of the tax authorities,

inspection reports have been issued for the years 2014 to 2016, and have been agreed upon, except for those corresponding to the

year 2016 in relation to which a partial disagreement has been expressed. The reports that have been agreed upon have become final

as of the date of preparation of these financial statements.

On the other hand, in relation to the main jurisdictions in which the Group is present and carries out its activity, in the case of Mexico,

BBVA México S.A., is currently under inspection by the Mexican Tax Authorities for the years 2016 and 2017 corresponding to

Corporate Income Tax and Value Added Tax.

In addition, in the case of Turkey, the head entity in this country, Garanti BBVA A.S., is currently under inspection by the Tax

Authorities of that country for all the taxes applicable to it corresponding to the years 2017 and 2018.

The conclusion of the previous inspections did not have a material impact on the Consolidated Financial Statements as a whole.

In view of the varying interpretations that can be made of some applicable tax legislation, the outcome of the tax inspections of the

open years that may be conducted by the tax authorities in the future may give rise to contingent tax liabilities which cannot be

reasonably estimated at the present time. However, the Group considers that the possibility of these contingent liabilities becoming

actual liabilities is remote and, in any case, the tax charge which might arise therefore would not materially affect the Group’s

accompanying consolidated financial statements.

P.134

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

19.3Reconciliation

The reconciliation of the Group’s corporate income tax expense resulting from the application of the Spanish corporation income tax

rate and the income tax expense recognized in the accompanying consolidated income statements is as follows:

Reconciliation of taxation at the Spanish corporation tax rate to the tax expense recorded for the year (Millions of Euros)

2021

2020

2019

Amount

Effective

tax %

Amount

Effective

tax %

Amount

Effective

tax %

Profit or (-) loss before tax

8,399

3,576

6,398

From continuing operations

7,247

5,248

7,046

From discontinued operations

1,152

(1,672)

(648)

Taxation at Spanish corporation tax rate 30%

2,519

1,073

1,920

Lower effective tax rate from foreign entities (*)

(332)

(181)

(381)

Mexico

(109)

27%

(32)

29%

(112)

27%

Chile

(5)

22%

(2)

23%

(2)

27%

Colombia

—

30%

31%

32%

Peru

31%

(7)

28%

(12)

28%

Turkey

(125)

23%

(73)

25%

(86)

23%

USA

(62)

19%

(75)

16%

(97)

17%

Others

(36)

(78)

Revenues with lower tax rate (dividends/capital gains)

(30)

(49)

Equity accounted earnings

—

USA Sale effect

544

—

Other effects (**)

661

545

Income tax

2,781

1,516

2,053

Of which: Continuing operations

1,909

1,459

1,943

Of which: Discontinued operations

872

110

(*) Calculated by applying the difference between the tax rate in force in Spain and the one applied to the Group’s earnings in each jurisdiction.

(**) In 2020 and 2019, related mainly to the impact of the goodwill impairment of the United States' CGU that amounted to €2,084 and €1,318 million respectively. These impacts

did not have associated any Corporate Income Tax (CIT) expense credit (once the 30% tax rate is applied, the effect amounted to €625 and €395 million, respectively)..

The effective income tax rate for the Group in the years ended December 31, 2021, 2020 and 2019 is as follows:

Effective tax rate (Millions of Euros)

2021

2020

2019

Income from:

Consolidated tax group in Spain

655

259

(718)

Other Spanish entities

Foreign entities

6,587

4,982

7,757

Gains (losses) before taxes from continuing operations

7,247

5,248

7,046

Tax expense or income related to profit or loss from continuing operations

1,909

1,459

1,943

Effective tax rate

26.3%

27.8%

27.6%

In the year 2021, the changes in the nominal tax rate, with respect to those existing in the previous year, in the main countries in which

the Group is present, have been as follows: in Turkey (from 22% to 25%), in Argentina (from 30% to 35%) and in Colombia (from

36% to 34%). In 2020, in general terms, there were no changes in the nominal tax rate with respect to those existing in the previous

period, except in the case of Colombia where the applicable tax rate was 36% compared to the 33% which was applicable as of the

end of the previous year.

19.4Income tax recognized in equity

In addition to the income tax expense recognized in the accompanying consolidated income statements, the Group has recognized

the following income tax charges for these items in the consolidated total equity:

Tax recognized in total equity (Millions of Euros)

2021

2020

2019

Charges to total equity

Debt securities and others

(174)

(230)

(130)

Equity instruments

(33)

(43)

(40)

Total

(207)

(273)

(170)

P.135

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

19.5Current and deferred taxes

The balance under the heading "Tax assets" in the accompanying consolidated balance sheets includes current and deferred tax

assets. The balance under the “Tax liabilities” heading includes the Group’s various current and deferred tax liabilities. The details of

the mentioned tax assets and liabilities are as follows:

Tax assets and liabilities (Millions of Euros)

2021

2020

2019

Tax assets

Current tax assets

932

1,199

1,765

Deferred tax assets

14,917

15,327

15,318

Pensions

416

439

456

Financial Instruments

1,408

1,292

1,386

Loss allowances

1,676

1,683

1,636

Other

1,101

1,069

1,045

Secured tax assets

9,304

9,361

9,363

Tax losses

1,012

1,483

1,432

Total

15,850

16,526

17,083

Tax liabilities

Current tax liabilities

644

545

880

Deferred tax liabilities

1,769

1,809

1,928

Financial Instruments

1,124

908

1,014

Other

645

901

914

Total

2,413

2,355

2,808

The most significant variations of the deferred tax assets and liabilities in the years 2021, 2020 and 2019 were derived from the

following items:

Deferred tax assets and liabilities. Annual variations (Millions of Euros)

2021

2020

2019

Deferred

assets

Deferred

liabilities

Deferred

assets

Deferred

liabilities

Deferred

assets

Deferred

liabilities

Balance at the beginning

15,327

1,809

15,318

1,928

15,316

2,046

Pensions

(23)

—

(17)

—

Financials instruments

116

216

(94)

(106)

(15)

(122)

Loss allowances

(7)

—

261

—

Others

(256)

(13)

(247)

Guaranteed tax assets

(57)

—

(2)

—

Tax losses

(471)

—

(48)

—

Balance at the end

14,917

1,769

15,327

1,809

15,318

1,928

With respect to the changes in deferred tax assets and liabilities in 2021 contained in the above table, the following should be pointed

out:

–Guaranteed tax assets decrease because, in fiscal year 2021, the tax Group in Spain generated positive taxable income and,

therefore, offsets guaranteed tax assets. However, the decrease has been partially offset by the increase in guaranteed tax

assets that have been generated as a result of the closing of the inspection process for fiscal years 2014-2016.

–The decrease in tax assets due to tax losses occurred because, in 2021, the tax Group in Spain generated positive taxable

income and, therefore, offsets tax loss carryforwards and deductions.

–The evolution of deferred tax assets (other than those guaranteed and those linked to tax losses) net of deferred tax

liabilities is due to the effect of exchange rates, especially in the case of Mexico and Turkey, and the operation of corporate

income tax, where the differences between accounting and taxation give rise to constant movements in deferred taxes.

On the deferred tax assets and liabilities contained in the table above, those included in section 19.4 above have been recognized

against the entity's equity, and the rest against earnings for the year or reserves.

As of December 31, 2021, 2020 and 2019, the estimated amount of temporary differences associated with investments in

subsidiaries, joint ventures and associates, which were not recognized as deferred tax liabilities in the accompanying consolidated

balance sheets, amounted to €93, €106 and €473 million, respectively.

P.136

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Of the deferred tax assets contained in the above table, the detail of the items and amounts guaranteed by the Spanish government,

broken down by the items that originated those assets is as follows:

Secured tax assets (Millions of Euros)

2021

2020

2019

Pensions

1,759

1,924

Loss allowances

7,545

7,437

7,439

Total

9,304

9,361

9,363

As of December 31, 2021, non-guaranteed net deferred tax assets of the above table amounted to €3,844 million (€4,156 and €4,027

million as of December 31, 2020 and 2019, respectively), which broken down by major geographies is as follows:

–Spain: Net deferred tax assets recognized in Spain totaled €2,342 million as of December 31, 2021 (€2,590 and €2,447

million as of December 31, 2020 and 2019, respectively). €1,010 million of the figure recorded in the year ended December

31, 2021 for net deferred tax assets related to tax credits and tax loss carry forwards and €1,332 million relate to temporary

differences.

–Mexico: Net deferred tax assets recognized in Mexico amounted to €1,121 million as of December 31, 2021 (€1,036 and

€1,083 million as of December 31, 2020 and 2019, respectively). Practically all of deferred tax assets as of December 31,

2021 relate to temporary differences.

–South America: Net deferred tax assets recognized in South America amounted to €65 million as of December 31, 2021

(€126 and €84 million as of December 31, 2020 and 2019, respectively). Practically all the deferred tax assets are related to

temporary differences.

–Turkey: Net deferred tax assets recognized in Turkey amounted to €302 million as of December 31, 2021 (€395 and €278

million as of December 31, 2020 and 2019, respectively). All the deferred tax assets are related to temporary differences.

Based on the information available as of December 31, 2021, including historical levels of benefits and projected results available to

the Group for the coming 15 years, the Group has carried out an analysis of its recovery of deferred tax assets and liabilities taking into

account the impact of COVID-19 pandemic (see Note 1.5). It is considered that there is sufficient positive evidence, in excess of the

negative evidence, that sufficient positive taxable income will be generated for the recovery of the aforementioned unsecured

deferred tax assets when they become deductible in accordance with tax legislation.

On the other hand, the Group has not recognized certain negative tax bases and deductions for which, in general, there is no legal

period for offsetting, amounting to approximately €2,037 million, which are mainly originated by Catalunya Banc.

20.Other assets and liabilities

The composition of the balance of these captions of the accompanying consolidated balance sheets is:

Other assets and liabilities (Millions of Euros)

2021

2020

2019

ASSETS

Inventories

424

572

581

Transactions in progress

131

160

138

Accruals

730

756

804

Other items

649

1,025

2,277

Total

1,934

2,513

3,800

LIABILITIES

Transactions in progress

Accruals

2,137

1,584

2,456

Other items

1,436

1,144

1,247

Total

3,621

2,802

3,742

P.137

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

21.Non-current assets and disposal groups classified as held for sale and liabilities

included in disposal groups classified as held for sale

The composition of the balances under the headings “Non-current assets and disposal groups classified as held for sale” and

“liabilities included in disposal groups classified as held for sale” in the accompanying consolidated balance sheets, broken down by

the origin of the assets, is as follows:

Non-current assets and disposal groups classified as held for sale and liabilities included in disposal groups classified as

held for sale. Breakdown by items (Millions of Euros)

2021

2020

2019

ASSETS

Foreclosures and recoveries

1,218

1,398

1,647

Assets from tangible assets (*)

563

480

310

Companies held for sale (**)

84,792

1,716

Accrued amortization (***)

(112)

(89)

(51)

Impairment losses (*)

(650)

(594)

(543)

Total

1,061

85,987

3,079

LIABILITIES

Companies held for sale (**)

—

75,446

1,554

Total

—

75,446

1,554

(*) In 2021, it includes the reclassification of owned offices and facilities from "tangible assets" to "non-current assets and disposal groups classified as held for sale" and the

adjustments due to the closing of the owned offices and the decommissioning of facilities after the agreement with the union representatives on the collective layoff procedure

proposed for Banco Bilbao Vizcaya Argentaria, S.A. in Spain (see Notes 24 and 50).

(**) It includes mainly BBVA’s stake in BBVA USA in 2020 and BBVA's stake in BBVA Paraguay in 2019 (see Note 3).

(***) Corresponds to the accumulated depreciation of assets before their classification as "Non-current assets and disposal groups classified as held for sale".

Assets and liabilities from discontinued operations

As mentioned in Notes 1.3 and 3, in 2020 the agreement for the sale of the BBVA subsidiary in the United States was announced,

which sale was completed on June 1, 2021. The assets and liabilities corresponding to the 37 companies sold were reclassified to the

headings “Non-current assets and disposal groups classified as held for sale” and “Liabilities included in disposal groups classified as

held for sale” of the consolidated balance sheet as of December 31, 2020, and the earnings from these companies for the first five

months of 2021 and the earnings for the years ended December 31, 2020 and 2019 were classified under the heading "Profit (loss)

after tax from discontinued operations" of the accompanying consolidated income statements (see Note 1.3).

The condensed consolidated balance sheets as of December 31, 2021, 2020 and 2019, and the condensed consolidated income

statements and condensed consolidated statements of cash flow of the companies held for sale in the United States the first five

months of 2021 and for the years 2020 and 2019 are provided below:

P.138

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Condensed consolidated balance sheets of companies sold in the United States

CONDENSED CONSOLIDATED BALANCE SHEETS (Millions of euros)

2021

2020

2019

Cash, cash balances at central banks and other demand deposits

—

11,368

5,678

Financial assets held for trading

—

821

513

Non-trading financial assets mandatorily at fair value through profit or loss

—

Financial assets at fair value through other comprehensive income

—

4,974

6,834

Financial assets at amortized cost

—

61,558

62,860

Derivatives - Hedge accounting

—

Tangible assets

—

799

900

Intangible assets

—

1,949

4,183

Tax assets

—

360

263

Other assets

—

1,390

1,463

Non-current assets and disposal groups classified as held for sale

—

TOTAL ASSETS

—

83,257

82,751

Financial liabilities held for trading

—

Financial liabilities at amortized cost

—

73,132

70,438

Derivatives - Hedge accounting

—

Provisions

—

157

186

Tax liabilities

—

201

Other liabilities

—

492

464

TOTAL LIABILITIES

—

74,082

71,279

Actuarial gains (losses) on defined benefit pension plans

—

(66)

(80)

Hedge of net investments in foreign operations (effective portion)

—

(432)

Foreign currency translation

—

801

1,576

Hedging derivatives. Cash flow hedges (effective portion)

—

250

Fair value changes of debt instruments measured at fair value through other

comprehensive income

—

(11)

ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)

—

622

1,134

P.139

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Condensed consolidated income statements of companies sold in the United States

CONDENSED CONSOLIDATED INCOME STATEMENTS (Millions of Euros)

2021 (*)

2020

2019

Interest and other income

974

2,638

3,221

Interest expense

(53)

(429)

(887)

NET INTEREST INCOME

921

2,209

2,335

Dividend income

Fee and commission income

285

677

736

Fee and commission expense

(86)

(183)

(205)

Gains (losses) on derecognition of financial assets and liabilities not measured

at fair value through profit or loss, net

(4)

Gains (losses) on financial assets and liabilities held for trading, net

Gains (losses) on non-trading financial assets mandatorily at fair value through

profit or loss, net

—

Gains (losses) on financial assets and liabilities designated at fair value through

profit or loss, net

Gains (losses) from hedge accounting, net

(1)

Exchange differences, net

Other operating income

Other operating expense

(30)

(63)

(64)

GROSS INCOME

1,132

2,808

2,941

Administration costs

(661)

(1,462)

(1,534)

Depreciation and amortization

(80)

(205)

(214)

Provisions or reversal of provisions

(3)

Impairment or reversal of impairment on financial assets not measured at fair

value through profit or loss or net gains by modification

(66)

(729)

(521)

NET OPERATING INCOME

330

413

670

Impairment or reversal of impairment on non-financial assets

—

(2,084)

(1,318)

Gains (losses) on derecognition of non-financial assets and subsidiaries, net

(2)

(3)

Gains (losses) from non-current assets and disposal groups classified as held

for sale not qualifying as discontinued operations

(2)

PROFIT (LOSS) BEFORE TAX

330

(1,671)

(648)

Tax expense or income related to profit or loss

(80)

(57)

(110)

PROFIT (LOSS) AFTER TAX

250

(1,729)

(758)

Profit (loss) after tax from the sale

—

PROFIT (LOSS) FOR THE PERIOD

280

(1,729)

(758)

ATTRIBUTABLE TO MINORITY INTEREST (NON-CONTROLLING

INTEREST)

—

ATTRIBUTABLE TO OWNERS OF THE PARENT (**)

280

(1,729)

(758)

(*) Corresponds to the first five months of 2021 (See Notes 1.3 and 3).

(**) Cumulative profit net of taxes earned and recognized by BBVA Group in relation to the sale of BBVA USA Bancshares has been €582 million, corresponding to the results

generated by the entities within the scope of the sale agreement from the date of the agreement to the closing date of the agreement, plus the profit after tax on the sale as of the

closing.

P.140

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Condensed consolidated statements of cash flows of companies sold in the United States

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Millions of Euros)

2021 (*)

2020

2019

A) CASH FLOWS FROM OPERATING ACTIVITIES

6,874

3,888

B) CASH FLOWS FROM INVESTING ACTIVITIES

(34)

(145)

(133)

C) CASH FLOWS FROM FINANCING ACTIVITIES

(26)

(65)

(468)

D) EFFECT OF EXCHANGE RATE CHANGES

(974)

INCREASE (DECREASE) NET CASH AND CASH EQUIVALENTS (A+B+C+D)

5,690

3,352

(*) Corresponds to the first five months of 2021 (See Notes 1.3 and 3).

Effects of disposal on the financial position of the Group

EFFECT OF DISPOSAL ON THE FINANCIAL POSITION OF THE GROUP (Millions of Euros)

June

2021

Cash, cash balances at central banks and other demand deposits

(11,476)

Financial assets held for trading

(638)

Non-trading financial assets mandatorily at fair value through profit or loss

(15)

Financial assets at fair value through other comprehensive income

(4,620)

Financial assets at amortized cost

(61,440)

Derivatives - Hedge accounting

(8)

Tangible assets

(788)

Intangible assets

(1,938)

Tax assets

(349)

Other assets

(1,439)

Non-current assets and disposal groups classified as held for sale

(10)

Total assets

(82,720)

Financial liabilities held for trading

129

Financial liabilities at amortized cost

72,357

Provisions

156

Tax liabilities

207

Other liabilities

491

Total liabilities

73,341

Total net assets/liabilities

(9,378)

EFFECT ON NET CASH OUTFLOWS FROM DISCONTINUED OPERATIONS - USA (Millions of Euros)

June

2021

Consideration received satisfied in cash

9,512

Cash and cash equivalents disposed of

(11,476)

Total net cash outflows from discontinued operations - USA

(1,964)

EFFECT OF THE MOST SIGNIFICANT SALES OF NON-CURRENT ASSETS HELD FOR SALE OF THE BBVA GROUP

REFLECTED IN THE CONSOLIDATED STATEMENT OF CASH FLOWS (Millions of Euros)

December

2021

Consideration received satisfied in cash - USA

9,512

Consideration received satisfied in cash - Divarian

513

Consideration received satisfied in cash - Paraguay

210

Other collections from non-current assets and liabilities for sale

435

Total cash received from non-current assets and liabilities for sale

10,670

P.141

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Non-current assets and disposal groups classified as held for sale

The changes in the balances of “Non-current assets and disposal groups classified as held for sale” in 2021, 2020 and 2019, are as

follows:

Non-current assets and disposal groups classified as held for sale (Millions of Euros)

Notes

Foreclosed assets

Property, Plant and

Equipment (*)

Companies held for sale

(**)

Total

Cost (1)

2021

2020

2019

2021

2020

2019

2021

2020

2019

2021

2020

2019

Balance at the beginning

1,398

1,648

2,211

391

258

389

84,792

1,716

86,581

3,622

2,629

Additions

245

285

665

—

522

83,266

1,676

768

83,551

2,351

Contributions from merger transactions

—

Retirements (sales and other decreases)

(298)

(288)

(1,023)

(39)

(45)

(206)

(83,172)

(190)

—

(83,509

)

(523)

(1,229)

Transfers, other movements and exchange

differences (**)

(127)

(228)

(207)

100

180

(2,100)

—

(2,128)

(48)

(131)

Disposals by companies held for sale

—

(19)

—

(2)

—

(21)

—

Balance at the end

1,218

1,398

1,648

452

391

258

84,792

1,716

1,711

86,581

3,622

Impairment (2)

Balance at the beginning

386

411

504

208

132

124

—

594

543

628

Additions

—

103

Additions transfer to discontinued operations

—

Contributions from merger transactions

—

Retirements (sales and other decreases)

(65)

(56)

(164)

(13)

(22)

—

(78)

(69)

(186)

Other movements and exchange differences

(42)

(1)

—

Disposals by companies held for sale

—

(1)

—

(1)

Balance at the end

381

386

411

269

208

132

—

650

594

543

Balance at the end of net carrying value (1)-(2)

837

1,012

1,237

183

126

84,792

1,716

1,061

85,987

3,079

(*) Net of accumulated amortization until assets were reclassified as “Non-current assets and disposal groups classified as held for sale”.

(** ) In 2020, the variation corresponds mainly to the USA Sale agreement of BBVA USA and in 2019 to the BBVA's stake in BBVA Paraguay (see Note 3).

As indicated in Note 2.2.4, “Non-current assets and disposal groups held for sale” and “Liabilities included in disposal groups

classified as held for sale” are valued at the lower amount between its fair value less costs to sell and its carrying amount. As of

December 31, 2021, 2020 and 2019 practically all of the carrying amount of the assets recorded at fair value on a non-recurring basis

equals their fair value.

Assets from foreclosures or recoveries

As of December 31, 2021, 2020 and 2019, assets from foreclosures and recoveries, net of impairment losses, by nature of the asset,

amounted to €608, €747 and €871 million in assets for residential use; €202, €215 and €259 million in assets for tertiary use

(industrial, commercial or office) and €19, €21 and €28 million in assets for agricultural use, respectively.

As of December 31, 2021, 2020 and 2019, the average sale time of assets from foreclosures or recoveries was between 2 and 3 years.

During the years 2021, 2020 and 2019, some of the sale transactions for these assets were financed by Group companies. The

amount of loans granted to the buyers of these assets in those years amounted to €62, €78 and €79 million, respectively; with an

average financing of 33.7% of the sales price during 2021.

As of December 31, 2021, 2020 and 2019, the amount of the profits arising from the sale of assets financed by Group companies that

are not recognized in the consolidated income statement amounted to €1 million.

P.142

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

22.Financial liabilities at amortized cost

22.1Breakdown of the balance

The breakdown of the balance under these headings in the accompanying consolidated balance sheets is as follows:

Financial liabilities measured at amortized cost (Millions of Euros)

2021

2020

2019

Deposits

416,947

415,467

438,919

Deposits from central banks

47,351

45,177

25,950

Demand deposits

163

Time deposits and other

41,790

38,274

25,101

Repurchase agreements

5,553

6,740

826

Deposits from credit institutions

19,834

27,629

28,751

Demand deposits

7,601

7,196

7,161

Time deposits and other (**)

8,599

16,079

18,896

Repurchase agreements

3,634

4,354

2,693

Customer deposits (*)

349,761

342,661

384,219

Demand deposits

293,015

266,250

280,391

Time deposits and other (**)

55,479

75,666

103,293

Repurchase agreements

1,267

746

535

Debt certificates

55,763

61,780

63,963

Other financial liabilities

15,183

13,358

13,758

Total

487,893

490,606

516,641

(*) Variation in 2020 is mainly due to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

(**) The variation in 2021 is mainly due to the decrease in time deposits at Banco Bilbao Vizcaya Argentaria, S.A. offset by the increase in demand deposits and investment funds

(off-balance) due to the current interest rate environment.

The amount recorded in "Deposits from central banks - Time deposits" includes the provisions of the TLTRO III facilities of the

European Central Bank, mainly BBVA S.A. amounting to €38,692 and €35,032 million as of December 31, 2021 and 2020 respectively

which basically explains the change compared to the previous year 2019 (see Note 7.5).

On April 30, 2020, the European Central Bank modified some of the terms and conditions of the TLTRO III facilities in order to support

the continued access of companies and households to bank credit in the face of interruptions and temporary shortages of funds

associated with the COVID-19 pandemic. Entities whose eligible net lending exceeded 0% between March 1, 2020 and March 31, 2021

paid an interest rate 0.5% lower than the average rate of the deposit facilities during the period from June 24, 2020 to June 23, 2021.

On December 10, 2020, the European Central Bank extended the support via targeted lending operations (TLTRO), extending by

twelve additional months, until June 2022, the period of application of favorable interest rates to credit institutions for which the net

variation of their eligible loans, between October 1, 2020 and December 31, 2021, reaches a given lending performance threshold.

Additionally, the maximum borrowing amount was increased to 55% of the eligible loans (from 50% previously).This means that the

interest rate applicable to the outstanding operations is -1% provided that the lending objectives are met according to the conditions

of the European Central Bank.

As of December 31, 2021, the Group fulfilled these lending objectives. Therefore, the recognition of the favorable interest rate

associated with the COVID-19 pandemic has been recognized for the period from June 24, 2020 to December 31, 2021 and will

continue to be recognized until June 2022.

The positive remuneration currently being generated by the TLTRO III operations is recorded under the heading of "Interest and other

income – other income" in the consolidated income statements and amounts to €384 and €211 million for the years ended December

31, 2021 and 2020 respectively (See Note 37.1).

P.143

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

22.2Deposits from credit institutions

The breakdown by geographical area and the nature of the related instruments of this heading in the accompanying consolidated

balance sheets is as follows:

Deposits from credit institutions (Millions of Euros)

Demand deposits

Time deposits

and other (*)

Repurchase

agreements

Total

December 2021

Spain

1,671

375

—

2,047

Mexico

444

558

—

1,002

Turkey

672

792

South America

532

1,225

—

1,757

Rest of Europe

1,841

3,110

2,549

7,500

Rest of the world

3,030

2,657

1,048

6,736

Total

7,601

8,599

3,634

19,834

December 2020

Spain

345

1,405

1,751

Mexico

689

672

188

1,549

Turkey

580

617

South America

557

1,484

—

2,041

Rest of Europe

2,842

4,531

4,070

11,444

Rest of the world

2,755

7,406

10,228

Total

7,196

16,079

4,354

27,629

December 2019

Spain

2,104

1,113

3,218

The United States

2,082

4,295

—

6,377

Mexico

432

1,033

168

1,634

Turkey

302

617

924

South America

394

2,285

161

2,840

Rest of Europe

1,652

5,180

2,358

9,190

Rest of the world

194

4,374

—

4,568

Total

7,161

18,896

2,693

28,751

(*) Subordinated deposits are included amounting to €14, €12 and €195 million as of December 31, 2021, 2020 and 2019, respectively.

P.144

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

22.3Customer deposits

The breakdown by geographical area of this heading in the accompanying consolidated balance sheets, by type of instrument is as

follows:

Customer deposits (Millions of Euros)

Demand deposits

Time deposits and

other (*)

Repurchase

agreements

Total

December 2021

Spain

181,565

10,407

191,974

Mexico

53,359

10,383

505

64,247

Turkey

19,725

13,644

33,376

South America

28,039

9,822

—

37,861

Rest of Europe

8,933

9,546

754

19,234

Rest of the world

1,393

1,677

—

3,070

Total

293,015

55,479

1,267

349,761

December 2020

Spain

168,690

20,065

188,757

Mexico

43,768

10,514

117

54,398

Turkey

17,906

16,707

34,621

South America

25,730

11,259

—

36,989

Rest of Europe

8,435

12,373

619

21,427

Rest of the world

1,720

4,748

—

6,468

Total

266,250

75,666

746

342,661

December 2019

Spain

146,651

24,958

171,611

The United States

46,372

19,810

—

66,181

Mexico

43,326

12,714

523

56,564

Turkey

13,775

22,257

36,042

South America

22,748

13,913

—

36,661

Rest of Europe

6,610

8,749

—

15,360

Rest of the world

909

892

—

1,801

Total

280,391

103,293

535

384,219

(*) It includes subordinated deposits amounting to €189 million as of December 31, 2019.

P.145

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

22.4Debt certificates

The breakdown of the balance under this heading, by financial instruments and by currency, is as follows:

Debt certificates (Millions of Euros)

2021

2020

2019

In Euros

36,289

42,462

40,185

Promissory bills and notes

319

860

737

Non-convertible bonds and debentures

15,712

14,538

12,248

Covered bonds (*)

9,930

13,274

15,542

Hybrid financial instruments (**)

366

355

518

Securitization bonds

2,302

2,538

1,354

Wholesale funding

438

2,331

1,817

Subordinated liabilities

7,221

8,566

7,968

Convertible perpetual certificates

3,500

4,500

5,000

Non-convertible preferred stock

—

159

Other non-convertible subordinated liabilities

3,721

3,907

2,885

In foreign currencies

19,475

19,318

23,778

Promissory bills and notes

579

1,024

1,210

Non-convertible bonds and debentures

7,885

8,691

10,587

Covered bonds (*)

178

217

362

Hybrid financial instruments (**)

2,843

455

1,156

Securitization bonds

Wholesale funding

412

1,016

780

Subordinated liabilities

7,574

7,911

9,666

Convertible perpetual certificates

1,771

1,633

1,782

Non- convertible preferred stock

—

Other non-convertible subordinated liabilities

5,803

6,243

7,808

Total

55,763

61,780

63,963

(*) Including mortgage-covered bonds (see Appendix X). In 2021 and 2020, several mortgage-covered bonds reached their maturity date.

(**) Corresponds to structured note issuances whose underlying risk is different from the underlying risk of the derivative.

22.4.1Subordinated liabilities

The breakdown of this heading in the accompanying consolidated balance sheets is as follows:

Memorandum item: Subordinated liabilities at amortized cost (Millions of Euros)

2021

2020

2019

Subordinated deposits

384

Subordinated certificates

14,794

16,476

17,635

Preferred stock

—

194

159

Compound convertible financial instruments

5,271

6,133

6,782

Other non-convertible subordinated liabilities

9,523

10,149

10,693

Total

14,808

16,488

18,018

P.146

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The balance variances are mainly due to the following transactions:

Convertible perpetual liabilities

The AGM held on March 17, 2017, resolved, under agenda item five, to confer authority to the Board of Directors to issue securities

convertible into newly issued BBVA shares, on one or several occasions, within the maximum term of five years to be counted from

the approval date of the authorization, up to a maximum overall amount of €8 billion or its equivalent in any other currency. Likewise,

the AGM resolved to confer to the Board of Directors the authority to totally or partially exclude shareholders' pre-emptive

subscription rights within the framework of a specific issue of convertible securities, although this power was limited to ensure the

nominal amount of the capital increases resolved or effectively carried out for conversion of mandatory convertible issuances made

under this authority (without prejudice to anti-dilution adjustments), with exclusion of pre-emptive subscription rights and of those

likewise resolved or carried out with exclusion of pre-emptive subscription rights in use of the authority to increase the share capital

conferred by the AGM held on March 17, 2017, under agenda item four, do not exceed the maximum nominal amount, overall, of 20%

of the share capital of BBVA at the time of the authorization, this limit not being applicable to contingent convertible issues.

Under that delegation, BBVA made the following contingently convertible issuances that qualify as additional tier 1 capital of the Bank

and the Group in accordance with Regulation (EU) 575/2013:

–In May and November 2017, BBVA carried out two issues of perpetual contingent convertible securities (additional Tier 1

capital instruments) excluding shareholders' pre-emptive rights, for a nominal amount of 500 million euros and 1,000

million U.S. dollars, respectively. These issues are listed on the Global Exchange Market of Euronext Dublin of the Irish Stock

Exchange and were directed only to qualified investors and foreign private banking clients, and cannot be placed or

subscribed in Spain or among investors resident in Spain.

–In September 2018 and March 2019, BBVA carried out both issuances of perpetual contingent convertible securities

(additional tier 1 instruments), with exclusion of pre-emptive subscription rights of shareholders, for a total nominal amount

of €1 billion each. These issuances are listed in the AIAF Fixed Income Securities Market and were targeted only at

professional clients and eligible counterparties, not being offered or sold to any retail clients.

–On September 5, 2019, BBVA carried out an issuance of perpetual contingent convertible securities (additional tier 1

instruments), with exclusion of pre-emptive subscription rights of shareholders, for a total nominal amount of $1 billion. This

issuance is listed in the Global Exchange Market of Euronext Dublin and was targeted only at qualified investors, not being

offered to, and not being subscribed for, in Spain or by Spanish residents.

–On July 15, 2020, BBVA carried out an issuance of perpetual contingent convertible securities (additional tier 1

instruments), with exclusion of pre-emptive subscription rights of shareholders, for a total nominal amount of €1 billion.

This issuance is listed in the AIAF Fixed Income Securities Market and was targeted only at professional clients and eligible

counterparties, not being offered or sold to any retail clients.

These perpetual securities will be converted into newly issued ordinary shares of BBVA if the CET 1 ratio of the Bank or the Group is

less than 5.125%, in accordance with their respective terms and conditions.

These issuances may be fully redeemed at BBVA's option only in the cases contemplated in their respective terms and conditions

and, in any case, in accordance with the provisions of the applicable legislation. In particular:

–On February 19, 2019 the Bank early redeemed the issuance of contingently convertible preferred securities (additional tier

1 instruments), carried out by the Bank on February 19, 2014, for a total amount of €1.5 billion and once the prior consent

from the Regulator had been obtained. On February 19, 2019 the Bank early redeemed the issuance of contingently

convertible preferred securities (additional tier 1 instruments), carried out by the Bank on February 19, 2014, for a total

amount of €1.5 billion and once the prior consent from the Regulator had been obtained.

–On February 18, 2020, the Bank early redeemed the issuance of contingently convertible preferred securities (additional tier

1 instruments) carried out by the Bank on February 18, 2015, for an amount of €1.5 billion on the First Reset Date of the

issuance and once the prior consent from the Regulator had been obtained.

–On 14 April 2021, the Bank early redeemed the issuance of contingently convertible preferred securities (additional tier 1

instruments) carried out by the Bank on 14 April 2016, for an amount of €1.0 billion on the First Reset Date of the issuance

and once the prior consent from the Regulator had been obtained.

In addition, the AGM held on April 20, 2021, resolved, under agenda item five, to confer authority to the Board of Directors to issue

perpetual contingent convertible securities, envisaged to meet regulatory requirements for their eligibility as capital instruments,

pursuant to solvency regulations applicable at any time (CoCos), subject to the legal and statutory provisions applicable at any time,

on one or several occasions, within the maximum term of five years to be counted from the approval date of the authorization, up to a

maximum overall amount of €8 billion or its equivalent in any other currency. Likewise, the AGM resolved to confer to the Board of

Directors the authority to totally or partially exclude shareholders' pre-emptive subscription rights, complying at all times with the

requirements and limitations laid down by Law. The AGM also resolved to repeal the powers it conferred on March 17, 2017, under

agenda item five.

P.147

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Preferred securities

The breakdown by issuer of the balance under this heading in the accompanying consolidated balance sheets is as follows:

Preferred securities by issuer (Millions of Euros)

2021

2020

2019

BBVA International Preferred, S.A.U.

—

Unnim Group (*)

—

159

BBVA USA

—

BBVA Colombia

—

Total

—

194

159

(*) Unnim Group: Issuances prior to the acquisition by BBVA.

These issuances were fully subscribed at the moment of the issue by qualified/institutional investors outside the Group and are

redeemable, totally or partially, at the issuer’s option after five years from the issue date, depending on the terms of each issuance

and with the prior consent from the Bank of Spain or the relevant authority.

In connection with the above, once the necessary authorization from the European Central Bank was received and in conformity with

its authority to redeem:

–The Extraordinary and Universal General Meeting of Caixasabadell Preferents, S.A. Unipersonal, at its meeting held on

December 11, 2020, decided to delegate on the company's Board of Directors the authority to agree on the total early

redemption of its only outstanding issuance, subject to the applicable legal provisions and having previously obtained all

necessary authorizations. In use of such delegation, having satisfied all legal and contractual formalities required and having

obtained all relevant authorizations, the company's Board of Directors, on the same date, agreed to carry out the early

redemption of the total nominal amount of the issuance on January 14, 2021. As a result, once all necessary

communications were released, on January 14, 2021 the total early redemption of the issuance took place.

–The Extraordinary and Universal General Meeting of BBVA International Preferred, S.A. Unipersonal, at its meeting held on

December 11, 2020, decided to delegate on the company's Board of Directors the authority to agree on the total early

redemption of its only outstanding issuance, subject to the applicable legal provisions and having previously obtained all

necessary authorizations. In use of such delegation, having satisfied all legal and contractual formalities required and having

obtained all relevant authorizations, the company's Board of Directors, on the same date, agreed to carry out the early

redemption of the total nominal amount of the issuance on January 19, 2021. As a result, once all necessary

communications were released, on January 19, 2021 the total early redemption of the issuance took place.

–The Extraordinary and Universal General Meeting of Caixa Terrassa Societat de Participacions Preferents, S.A. Unipersonal,

at its meeting held on December 11, 2020, decided to delegate on the company's Board of Directors the implementation of

all necessary actions in order to modify its only live issuance so as to include a new clause regarding the early redemption of

the preferred securities. In use of the delegated authority and having obtained all necessary authorizations, the company's

Board of Directors, on the same date, agreed to modify the relevant issuance in order to include a new clause for the total

early redemption of the preferred securities on January 29, 2021, therefore convening the relevant meeting of noteholders

of the issuance to be held in Bilbao, on January 14, 2021, at first call, or on January 15, 2021, at second call. Having satisfied

all applicable legal requirements, the noteholders' meeting was held at first call and passed, with the necessary majority of

votes, among other resolutions, the inclusion of a new total early redemption clause. As a result, on January 29, 2021 the

total early redemption of the issuance took place.

22.5Other financial liabilities

The breakdown of the balance under this heading in the accompanying consolidated balance sheets is as follows:

Other financial liabilities (Millions of Euros)

2021

2020

2019

Lease liabilities

2,560

2,674

3,335

Creditors for other financial liabilities

2,657

2,408

2,623

Collection accounts

3,839

3,275

3,306

Creditors for other payment obligations (*)

6,127

5,000

4,494

Total

15,183

13,358

13,758

(*) In 2021, this heading includes the amount committed for the acquisition of treasury shares under the buyback program (see Notes 2.2.14 and 4).

P.148

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

A breakdown of the maturity of the lease liabilities, due after December 31, 2021 is provided below:

Maturity of future payment obligations (Millions of Euros)

Up to 1 year

1 to 3 years

3 to 5 years

Over 5 years

Total

Leases

218

406

428

1,507

2,560

23.Assets and liabilities under insurance and reinsurance contracts

The Group has insurance subsidiaries mainly in Spain and Latin America (mostly in Mexico). The main product offered by the

insurance subsidiaries is life insurance to cover the risk of death (risk insurance) and life-savings insurance. Within life and accident

insurance, a distinction is made between freely sold products and those offered to customers who have taken mortgage or consumer

loans, which cover the principal of those loans in the event of the customer’s death.

There are two types of savings products: individual insurance, which seeks to provide the customer with savings for retirement or

other events, and group insurance, which is taken out by employers to cover their commitments to their employees.

The insurance business is affected by different risks, including those that are related to the BBVA Group such as credit risk, market

risk, liquidity risk and operational risk and the methodology for risk measurement, control and follow-up applied in the insurance

activity is similar (see Note 7 and Management Report - Risk), although it has a differentiated management due to the particular

characteristics of the insurance business, such as the coverage of contracted obligations and the long term of the commitments.

Additionally, the insurance business generates certain specific risks, of a probabilistic nature:

–Technical risk: arises from deviations in the estimation of the casualty rate of insurances, either in terms of numbers, the

amount of such claims and the timing of its occurrence.

–Biometric risk: depending on the deviations in the expected mortality behavior or the survival of the insured persons.

The insurance industry is highly regulated in each country. In this regard, it should be noted that the insurance industry is undergoing

a gradual regulatory transformation through new risk-based capital regulations, which have already been published in several

countries.

The heading “Assets under reinsurance and insurance contracts” in the accompanying consolidated balance sheets includes the

amounts that the consolidated insurance entities are entitled to receive under the reinsurance contracts entered into by them with

third parties and, more specifically, the share of the reinsurer in the technical provisions recognized by the consolidated insurance

subsidiaries. As of December 31, 2021, 2020 and 2019, the balance under this heading amounted to €269 million, €306 million and

€341 million, respectively.

The most significant provisions recognized by consolidated insurance subsidiaries with respect to insurance policies issued by them

are under the heading “Liabilities under insurance and reinsurance contracts” in the accompanying consolidated balance sheets.

The breakdown of the balance under this heading is as follows:

Technical reserves (Millions of Euros)

2021

2020

2019

Mathematical reserves

9,495

8,731

9,247

Individual life insurance (*)

7,265

6,268

6,731

Group insurance(**)

2,230

2,463

2,517

Provision for unpaid claims reported

706

672

641

Provisions for unexpired risks and other provisions

664

548

718

Total

10,865

9,951

10,606

(*) Provides coverage in the event of death, disability and / or serious illness.

(**) The insurance policies purchased by employers (other than BBVA Group) on behalf of its employees.

The cash flows of those “Liabilities under insurance and reinsurance contracts” are shown below:

Maturity (Millions of euros). Liabilities under insurance and reinsurance contracts

Up to 1 year

1 to 3 years

3 to 5 years

Over 5 years

Total

2021

1,808

290

1,664

7,103

10,865

2020

1,227

950

1,616

6,158

9,951

2019

1,571

1,197

1,806

6,032

10,606

P.149

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The modeling methods and techniques used to calculate the mathematical reserves for the insurance products are actuarial and

financial methods and modelling techniques approved by the respective country’s insurance regulator or supervisor. The most

important insurance entities are located in Spain and Mexico (which together account for approximately 96% of the insurance

revenues), where the modelling methods and techniques are reviewed by the insurance regulator in Spain (General Directorate of

Insurance) and Mexico (National Insurance and Bonding Commission), respectively. The modelling methods and techniques used to

calculate the mathematical reserves for the insurance products are compliant with IFRS and primarily involve the valuation of the

estimated future cash flows, discounted at the technical interest rate for each policy. To ensure this technical interest rate, asset-

liability management is carried out, acquiring a portfolio of securities that generate the cash flows needed to cover the payment

commitments assumed with the customers.

The table below shows the key assumptions as of December 31, 2021, 2020 and 2019 used in the calculation of the mathematical

reserves for insurance products in Spain and Mexico, respectively:

Mathematical reserves

2021

2020

2019

Mortality table

Average technical

interest rate

Mortality table

Average technical

interest rate

Mortality table

Average technical

interest rate

Spain

Mexico

Spain

Mexico

Spain

Mexico

Spain

Mexico

Spain

Mexico

Spain

Mexico

Individual life

insurance (*)

GRMF

80-2,

GKM

80 /

GKMF

95,

PASEM,

GKMF

80/95,

PERFM

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

individual

0.24%-

2,85%

3.60%

GRMF

80-2,

GKM

80 /

GKMF

95,

PASEM,

GKMF

80/95,

PERFM

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

individual

0.25%-

2,87%

2.50%

GRMF

80-2,

GKMF

80/95.

PASEM,

PERMF

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

individual

0.25%-

2.91%

2.50%

Group

insurance

(**)

PERFM

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

grupo

Dependin

g on the

portfolio

5.50%

PERFM

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

grupo

Dependin

g on the

portfolio

5.50%

PERMF

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

grupo

Dependin

g on the

portfolio

5.50%

(*) Provides coverage in the case of one or more of the following events: death and disability.

(**) Insurance policies purchased by companies (other than BBVA Group entities) on behalf of their employees.

P.150

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

24.Provisions

The breakdown of the balance under this heading in the accompanying consolidated balance sheets, based on type of provisions, is as

follows:

Provisions. Breakdown by concepts (Millions of Euros)

Notes

2021

2020

2019

Provisions for pensions and similar obligations

3,576

4,272

4,631

Other long term employee benefits (*)

632

Provisions for taxes and other legal contingencies

623

612

677

Provisions for contingent risks and commitments

691

728

711

Other provisions (**)

366

479

457

Total

5,889

6,141

6,538

(*) The variation is mainly explained by the collective layoff procedure that is being carried out at Banco Bilbao Vizcaya Argentaria, S.A.

(**) Individually insignificant provisions or contingencies, for various concepts in different geographies.

The change in provisions for pensions and similar obligations for the years ended December 31, 2021, 2020 and 2019 is as follows:

Provisions for pensions, other post-employement obligations for defined benefit plans, and other long term employee

benefits. Changes over the year (Millions of Euros)

Notes

2021

2020

2019

Balance at the beginning

4,272

4,631

4,787

Charges to income for the year

141

298

327

Interest expense and similar charges

Personnel expense

44.1

Provision expense

205

215

Charges to equity (*)

(206)

191

329

Transfers and other changes (**)

(21)

(71)

(29)

Benefit payments

(608)

(654)

(718)

Employer contributions

(4)

(124)

(65)

Balance at the end

3,576

4,272

4,631

(*) Correspond to actuarial losses (gains) arising from certain post-employment defined-benefit commitments for pensions recognized in “Equity” (see Note 2.2.11).

(**) In 2020, it includes the amount of the USA Sale (see Notes 1.3, 3 and 21).

Provisions for taxes, legal contingencies and other provisions. Changes over the year (Millions of Euros)

2021

2020

2019

Balance at beginning

1,091

1,134

1,286

Additions (*)

1,175

555

396

Acquisition of subsidiaries

—

Unused amounts reversed during the year

(227)

(215)

(96)

Amount used and other variations (*)

(1,050)

(383)

(453)

Balance at the end

990

1,091

1,134

(*)In 2021, it includes the initial recognition of the estimated cost of the collective layoff procedure that is being carried out at Banco Bilbao Vizcaya Argentaria, S.A., and the

subsequent reclassification from "Other provisions" to "Other long term employee benefits" for the remaining amount at the time of the reclassification.

P.151

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Collective layoff procedure

On June 8, 2021, BBVA reached an agreement with the union representatives on the collective layoff procedure proposed for Banco

Bilbao Vizcaya Argentaria, S.A. in Spain on April 13, 2021, which would affect 2,935 employees. The agreement also included the

closing of 480 offices (most of which had closed as of December 31, 2021). The cost of the process amounts to €994 million before

taxes, of which €754 million correspond to the collective layoff and €240 million to the closing of offices (see Notes 17, 21, 46, 49 and

50). As of December 31, 2021, 2,888 employees had already signed out of BBVA S.A. (some of them effectively departed on January

1, 2022). It is expected that during January and February, additional departures will take place until the agreement is completed,

which could be extended until March 31, 2022,

Ongoing legal proceedings and litigation

The financial sector faces an environment of increased regulatory pressure and litigation. In this environment, the various Group

entities are often sued on lawsuits and are therefore involved in individual or collective legal proceedings and litigation arising from

their activity and operations, including proceedings arising from their lending activity, from their labor relations and from other

commercial, regulatory or tax issues, as well as in arbitration.

On the basis of the information available, the Group considers that, as of December 31, 2021, the provisions made in relation to judicial

proceedings and arbitration, where so required, are adequate and reasonably cover the liabilities that might arise, if any, from such

proceedings. Furthermore, on the basis of the information available and with the exceptions indicated in Note 7.1 "Risk factors", BBVA

considers that the liabilities that may arise from such proceedings will not have, on a case-by-case basis, a significant adverse effect

on the Group's business, financial situation or results of operations.

25.Post-employment and other employee benefit commitments

As stated in Note 2.2.11, the Group has assumed commitments with employees including short-term employee benefits (see Note

44.1), defined contribution and defined benefit plans (see Glossary), healthcare and other long-term employee benefits.

The Group sponsors defined-contribution plans for the majority of its active employees with the plans in Spain and Mexico being the

most significant. Most defined benefit plans are closed to new employees with liabilities relating largely to retired employees, the most

significant being those in Spain, Mexico and Turkey. In Mexico, the Group provides medical benefits to a closed group of employees

and their family members, both active service and in retirees.

The breakdown of the net defined benefit liability recorded on the balance sheet as of December 31, 2021, 2020 and 2019 is provided

below:

Net defined benefit liability (asset) on the consolidated balance sheet (Millions of Euros)

Notes

2021

2020

2019

Pension commitments

4,218

4,539

5,050

Early retirement commitments

952

1,247

1,486

Medical benefits commitments

1,377

1,562

1,580

Other long term employee benefits

632

Total commitments

7,180

7,398

8,177

Pension plan assets

1,494

1,608

1,961

Medical benefit plan assets

1,494

1,484

1,532

Total plan assets (*)

2,988

3,092

3,493

Total net liability / asset

4,193

4,305

4,684

Of which: Net asset on the consolidated balance sheet (**)

(15)

(16)

(8)

Of which: Net liability on the consolidated balance sheet for

provisions for pensions and similar obligations (***)

3,576

4,272

4,631

Of which: Net liability on the consolidated balance sheet for other

long term employee benefits (****)

632

(*) In Turkey, the foundation responsible for managing the benefit commitments holds an additional asset of €165 million as of December 31, 2021 which, in accordance with IFRS

regarding the asset ceiling, has not been recognized in the Consolidated Financial Statements, because although it could be used to reduce future pension contributions it could

not be immediately refunded to the employer.

(**) Recorded under the heading “Other Assets - Other” of the consolidated balance sheet (see Note 20).

(***) Recorded under the heading “Provisions - Provisions for pensions and similar obligations” of the consolidated balance sheet.

(****) Recorded under the heading “Provisions – Other long-term employee benefits” of the consolidated balance sheet. The variation is mainly explained by the collective layoff

procedure that is being carried out at Banco Bilbao Vizcaya Argentaria, S.A.

P.152

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The impact relating to benefit commitments charged to consolidated income statement for the years 2021, 2020 and 2019 is as

follows:

Consolidated income statement impact (Millions of Euros)

Notes

2021

2020

2019

Interest and other expense

Interest expense

257

265

293

Interest income

(220)

(230)

Personnel expense

120

121

143

Defined contribution plan expense

44.1

Defined benefit plan expense

44.1

Provisions or (reversal) of provisions

210

213

Early retirement expense

100

224

190

Past service cost expense

(28)

(8)

Remeasurements (*)

(16)

(11)

Other provision expense

(1)

Total impact on consolidated income statement: expense

(income)

218

375

419

(*) Actuarial losses (gains) on remeasurement of the net defined benefit liability relating to early retirements in Spain and other long-term employee benefits that are charged to

the income statements (see Note 2.2.12).

The amounts relating to post-employment benefits charged to the consolidated balance sheet correspond to the actuarial gains

(losses) on remeasurement of the net defined benefit liability relating to pension and medical commitments before income taxes as of

December 31, 2021, 2020 and 2019 are as follows:

Equity impact (Millions of Euros)

2021

2020

2019

Defined benefit plans

161

254

Post-employment medical benefits

(257)

Total impact on equity: debit (credit)

(206)

191

329

In 2021, the aggregate impact of this heading amounted to a credit of €206 million driven by the variation in financial assumptions,

gains of €171 million for the commitments in Mexico, and gains of €55 million for the commitments in Spain. These amounts are

offset by other geographies and demographic and experience effects. In 2020, the aggregate impact of this heading amounted to

€191 million, driven mainly by the variation in interest rates and losses on commitments (€91 million in Mexico and €68 million in

Spain) and, to a lesser extent, the updating of the mortality tables in Spain (€49 million losses). These amounts are partially offset by

the effect in other geographies and experience. In 2019, this heading amounted to €329 million mainly due to the variation in two

geographies. Firstly, as a consequence of the €231 million euros increase in actuarial losses on commitments in Spain, due to the

variation in discount rates from 1.75% to 1%. Secondly, driven by the €83 million increase in actuarial losses on commitments in

Mexico, due to the decrease in discount rates from 10.45% to 9.04%.

P.153

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

25.1Defined benefit plans

Defined benefit commitments relate mainly to employees who have already retired or taken early retirement, certain closed groups of

active employees still accruing defined benefit pensions, and in-service death and disability benefits provided to most active

employees. For the latter, the Group pays the required premiums to fully insure the related liability. The change in these pension

commitments during the years ended December 31, 2021, 2020 and 2019 is presented below:

Defined benefits (Millions of Euros)

2021

2020

2019

Defined

benefit

obligation

Plan

assets

Net liability

(asset)

Defined

benefit

obligation

Plan

assets

Net

liability

(asset)

Defined

benefit

obligation

Plan

assets

Net

liability

(asset)

Balance at the beginning

7,348

3,092

4,256

8,116

3,493

4,622

7,585

2,839

4,746

Current service cost

—

Interest income/expense

253

220

261

219

290

230

Contributions by plan

participants

—

Employer contributions

—

(4)

—

124

(124)

—

(65)

Past service costs (*)

—

219

—

219

210

—

210

Remeasurements:

(406)

(184)

(223)

364

176

187

783

454

329

Return on plan assets (**)

—

(184)

184

—

176

(176)

—

454

(454)

From changes in

demographic assumptions

(121)

—

(121)

—

(15)

—

(15)

From changes in financial

assumptions

(259)

—

(259)

276

—

276

688

—

688

Other actuarial gains and

losses

(27)

—

(27)

—

110

—

110

Benefit payments

(765)

(158)

(608)

(839)

(185)

(654)

(905)

(187)

(718)

Settlement payments

(1)

—

Business combinations and

disposals (***)

(2)

(3)

(371)

(327)

(44)

Effect on changes in foreign

exchange rates

(24)

(32)

(459)

(409)

(50)

(6)

Conversions to defined

contributions

—

Other effects

—

(3)

Balance at the end

6,547

2,988

3,560

7,348

3,092

4,256

8,116

3,493

4,623

Of which: Spain

3,670

206

3,464

4,288

249

4,039

4,592

266

4,326

Of which: Mexico

2,150

2,149

2,219

2,122

2,231

2,124

107

Of which: The United States

—

375

323

Of which: Turkey

272

209

367

282

444

359

(*) Including gains and losses arising from settlements.

(**) Excluding interest, which is recorded under "Interest income or expense".

(***) The amount in 2020 in mainly due to the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).

The balance under the heading “Provisions - Pensions and other post-employment defined benefit obligations” of the accompanying

consolidated balance sheet as of December 31, 2021 includes €311 million relating to post-employment benefit commitments to

former members of the Board of Directors and the Bank’s Management (see Note 54).

The most significant commitments are those in Spain and Mexico and, to a lesser extent, in Turkey. The remaining commitments are

located mostly in Portugal and South America. Unless otherwise required by local regulation, all defined benefit plans have been

closed to new entrants, who instead are able to participate in the Group´s defined contribution plans.

Both the costs and the present value of the commitments are determined by independent qualified actuaries using the “projected unit

credit” method. In order to guarantee the good governance of these plans, the Group has established specific benefits committees.

These benefit committees include members from the different areas of the business to ensure that all decisions are made taking into

consideration all of the associated impacts.

P.154

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The following table sets out the key actuarial assumptions used in the valuation of these commitments as of December 31, 2021, 2020

and 2019:

Actuarial assumptions (%)

2021

2020

2019

Spain

Mexico

Turkey

Spain

Mexico

Turkey

Spain

Mexico

Turkey

Discount rate

0.74%

9.68%

19.10%

0.53%

8.37%

13.00%

0.68%

9.04%

12.50%

Rate of salary increase

—

4.00%

16.60%

—

4.00%

11.20%

—

4.75%

9.70%

Rate of pension increase

—

2.95%

15.10%

—

1.94%

9.70%

—

2.47%

8.20%

Medical cost trend rate

—

7.00%

19.30%

—

7.00%

13.90%

—

7.00%

12.40%

Mortality tables

PER 2020

EMSSA09

CSO2001

PER 2020

EMSSA09

CSO2001

PERM/F

2000P

EMSSA09

CSO2001

In Spain, the discount rate shown as of December 31, 2021, corresponds to the weighted average rate, the actual discount rates used

are 0% and 1% depending on the type of commitment.

Discount rates used to value future benefit cash flows have been determined by reference to high quality corporate bonds (Note

2.2.12) denominated in Euro in the case of Spain and Mexican peso for Mexico, and government bonds denominated in Turkish Lira

for Turkey.

The expected return on plan assets has been set in line with the adopted discount rate.

Assumed retirement ages have been set by reference to the earliest age at which employees are entitled to retire, the contractually

agreed age in the case of early retirements in Spain or by using retirement rates.

Changes in the main actuarial assumptions may affect the valuation of the commitments. The table below shows the sensitivity of the

benefit obligations to changes in the key assumptions:

Sensitivity analysis (Millions of Euros)

Basis points

change

2021

2020

2019

Increase

Decrease

Increase

Decrease

Increase

Decrease

Discount rate

(282)

307

(354)

390

(367)

405

Rate of salary increase

(2)

(4)

(3)

Rate of pension increase

(26)

(27)

(26)

Medical cost trend rate

109

(98)

145

(129)

169

(133)

Change in obligation from each

additional year of longevity

170

—

211

—

137

—

The sensitivities provided above have been determined at the date of these consolidated financial statements, and reflect solely the

impact of changing one individual assumption at a time, keeping the rest of the assumptions unchanged, thereby excluding the

effects which may result from combined assumption changes.

In addition to the commitments to employees shown above, the Group has other less material long-term employee benefits. These

include long-service awards, which consist of either an established monetary award or some vacation days granted to certain groups

of employees when they complete a given number of years of service. Additionally, this heading includes a fund related to the

collective layoff procedure that has been carried out in Banco Bilbao Vizcaya Argentaria, S.A. in 2021. As of December 31, 2021, 2020

and 2019, the actuarial liabilities for the outstanding awards amounted to €632 million, €50 million and €61 million, respectively.

These commitments are recorded under the heading "Provisions - Other long-term employee benefits" of the accompanying

consolidated balance sheet (see Note 24).

25.1.1Post-employment commitments and similar obligations

These commitments relate mostly to pension payments, and which have been determined based on salary and years of service. For

most plans, pension payments are due on retirement, death and long term disability.

In addition, during the year 2021, Group entities in Spain offered certain employees the option to take retirement or early retirement

(that is, earlier than the age stipulated in the collective labor agreement in force). This offer was accepted by 432 employees (781 and

616 during years 2020 and 2019, respectively). These commitments include the compensation and indemnities due as well as the

contributions payable to external pension funds during the early retirement period. As of December 31, 2021, 2020 and 2019, the

value of these commitments amounted to €952 million, €1,247 million and €1,486 million, respectively.

P.155

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The change in the benefit plan obligations and plan assets during the year ended December 31, 2021 was as follows:

Post-employment commitments 2021 (Millions of Euros)

Spain

Mexico

Turkey

Rest of the

world

Defined benefit obligation

Balance at the beginning

4,287

666

367

465

Current service cost

Interest income or expense

Contributions by plan participants

—

Employer contributions

—

Past service costs (*)

—

Remeasurements:

(106)

(24)

Return on plan assets (**)

—

From changes in demographic assumptions

—

(4)

—

(2)

From changes in financial assumptions

(61)

(18)

(7)

Other actuarial gains and losses

(45)

(2)

(15)

Benefit payments

(625)

(67)

(13)

(12)

Settlement payments

—

(1)

Business combinations and disposals

—

(2)

Effect on changes in foreign exchange rates

—

(166)

Conversions to defined contributions

—

Other effects

—

Balance at the end

3,670

779

272

449

Of which: Vested benefit obligation relating to current

employees

3,596

Of which: Vested benefit obligation relating to retired

employees

Plan Assets

Balance at the beginning

249

638

282

439

Current service cost

—

Interest income or expense

Contributions by plan participants

—

Employer contributions

(11)

Past service costs (*)

—

Remeasurements:

(8)

(49)

(19)

Return on plan assets (**)

(8)

(49)

(19)

From changes in demographic assumptions

—

From changes in financial assumptions

—

Other actuarial gains and losses

—

Benefit payments

(26)

(65)

(7)

(11)

Settlement payments

—

(1)

Business combinations and disposals

—

Effect on changes in foreign exchange rates

—

(123)

Conversions to defined contributions

—

Other effects

—

Balance at the end

206

655

209

424

Net liability (asset)

Balance at the beginning

4,038

Current service cost

Interest income or expense

Contributions by plan participants

—

Employer contributions

(2)

(11)

(1)

Past service costs (*)

—

Remeasurements:

(98)

128

(5)

Return on plan assets (**)

(11)

From changes in demographic assumptions

—

(4)

—

(2)

From changes in financial assumptions

(61)

(18)

(7)

Other actuarial gains and losses

(45)

(2)

(15)

Benefit payments

(599)

(1)

(6)

(1)

Settlement payments

—

Business combinations and disposals

—

(40)

—

(2)

Effect on changes in foreign exchange rates

—

(43)

Conversions to defined contributions

—

Other effects

—

Balance at the end

3,464

124

(*) Including gains and losses arising from settlements.

(**) Excluding interest, which is recorded under "Interest income or expense".

P.156

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The change in net liabilities (assets) during the years ended 2020 and 2019 was as follows:

Post-employment commitments (Millions of Euros)

2020: Net liability (assets)

2019: Net liability (assets)

Spain

Mexico

The

United

States

Turkey

Rest of

the

world

Spain

Mexico

The

United

States

Turkey

Rest of

the

world

Balance at the beginning

4,326

4,547

Current service cost

—

Interest income or expense

—

Contributions by plan participants

—

Employer contributions

—

(86)

—

(14)

(1)

—

(47)

(3)

(14)

(1)

Past service costs (*)

224

(1)

—

190

—

Remeasurements:

(4)

(14)

231

(1)

Return on plan assets (**)

(41)

(31)

(35)

(26)

(67)

(90)

(28)

(50)

From changes in demographic assumptions

—

(3)

—

(13)

(2)

From changes in financial assumptions

(19)

239

(41)

Other actuarial gains and losses

(3)

112

—

(59)

(5)

(1)

Benefit payments

(643)

(1)

(2)

(6)

(1)

(702)

(1)

(2)

(11)

(3)

Settlement payments

—

Business combinations and disposals

—

(19)

(44)

—

Effect on changes in foreign exchange rates

—

(10)

(5)

(26)

(4)

—

(9)

Conversions to defined contributions

—

Other effects

—

(1)

—

Balance at the end

4,039

—

4,326

(*) Includes gains and losses from settlements.

(**) Excludes interest which is reflected in the line item “Interest income and expense”.

In Spain, local regulation requires that pension and death benefit commitments must be funded, either through a qualified pension

plan or an insurance contract.

In the Spanish entities these commitments are covered by insurance contracts which meet the requirements of the accounting

standard regarding the non-recoverability of contributions. However, a significant number of the insurance contracts are with BBVA

Seguros, S.A. – a consolidated subsidiary and related party – and consequently these policies cannot be considered plan assets

under IAS 19. For this reason, the liabilities insured under these policies are fully recognized under the heading "Provisions – Pensions

and other post-employment defined benefit obligations" of the accompanying consolidated balance sheet (see Note 24), while the

related assets held by the insurance company are included within the Group´s consolidated assets (recorded according to the

classification of the corresponding financial instruments). As of December 31, 2021 the value of these separate assets was €2,326

million, (€2,572 and €2,620 million as of December 31, 2021, 2020 and 2019, respectively) representing direct rights of the insured

employees held in the consolidated balance sheet, hence these benefits are effectively fully funded.

On the other hand, some pension commitments have been funded through insurance contracts with insurance companies not related

to the Group. In this case the accompanying consolidated balance sheet reflects the value of the obligations net of the fair value of the

qualifying insurance policies. As of December 31, 2021, 2020 and 2019, the value of the aforementioned insurance policies (€206,

€249 and €266 million, respectively) exactly match the value of the corresponding obligations and therefore no amount for this item

has been recorded in the accompanying consolidated balance sheet.

Pension benefits are paid by the insurance companies with whom BBVA has insurance contracts and to whom all insurance premiums

have been paid. The premiums are determined by the insurance companies using cash flow matching techniques to ensure that

benefits can be met when due, guaranteeing both the actuarial and interest rate risk.

In Mexico, there is a defined benefit plan for employees hired prior to 2001. Other employees participate in a defined contribution

plan. External funds/trusts have been constituted locally to meet benefit payments as required by local regulation.

In 2008, the Turkish government passed a law to unify the different existing pension systems under a single umbrella Social Security

system. Such system provides for the transfer of the various previously established funds.

The financial sector is in this stage at present, maintaining these pension commitments managed by external pension funds

(foundations) established for that purpose.

The foundation that maintains the assets and liabilities relating to employees of Garanti BBVA in Turkey, as per the local regulatory

requirements, has registered an obligation amounting to €243 million as of December 31, 2021 pending future transfer to the Social

Security system. Furthermore, Garanti BBVA has set up a defined benefit pension plan for employees, additional to the social security

benefits, reflected in the consolidated balance sheet.

P.157

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

25.1.2Medical benefit commitments

The change in defined benefit obligations and plan assets during the years 2021, 2020 and 2019 was as follows:

Medical benefits commitments (Millions of Euros)

2021

2020

2019

Defined

benefit

obligation

Plan

assets

Net liability

(asset)

Defined

benefit

obligation

Plan

assets

Net

liability

(asset)

Defined

benefit

obligation

Plan

assets

Net

liability

(asset)

Balance at the beginning

1,562

1,484

1,580

1,532

1,114

1,146

(32)

Current service cost

—

Interest income or expense

131

129

117

120

(3)

119

123

(4)

Contributions by plan participants

—

Employer contributions

—

(1)

—

(22)

—

Past service costs (*)

(5)

—

(5)

(8)

—

(8)

—

Remeasurements:

(377)

(119)

(257)

298

224

Return on plan assets (**)

—

(119)

119

—

(66)

—

224

(224)

From changes in demographic

assumptions

(115)

—

(115)

—

From changes in financial

assumptions

(257)

—

(257)

110

—

110

311

—

311

Other actuarial gain and losses

(4)

—

(4)

(15)

—

(15)

(13)

—

(13)

Benefit payments

(49)

(48)

—

(37)

—

(39)

(1)

Settlement payments

—

Business combinations and disposals

—

(39)

—

(19)

—

(7)

Effect on changes in foreign exchange

rates

(207)

(201)

(6)

(2)

Other effects

—

(1)

—

Balance at the end

1,377

1,494

(116)

1,562

1,484

1,580

1,532

(*) Including gains and losses arising from settlements.

(**) Excluding interest, which is recorded under "Interest income or expense".

In Mexico, there is a medical benefit plan for employees hired prior to 2007. New employees from 2007 are covered by a medical

insurance policy. An external trust has been constituted locally to fund the plan, in accordance with local legislation and Group policy.

In Turkey, employees are currently provided with medical benefits through a foundation in collaboration with the Social Security

system, although local legislation prescribes the future unification of this and similar systems into the general Social Security system

itself.

The valuation of these benefits and their accounting treatment follow the same methodology as that employed in the valuation of

pension commitments.

25.1.3Estimated benefit payments

As of December 31, 2021, the estimated benefit payments over the next ten years for all the entities in Spain, Mexico and Turkey are

as follows:

Estimated benefit payments (Millions of Euros)

2022

2023

2024

2025

2026

2027-2031

Commitments in Spain

625

477

395

332

284

920

Commitments in Mexico

133

139

146

155

164

941

Commitments in Turkey

206

Total

774

627

556

505

471

2,066

P.158

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

25.1.4Plan assets

The majority of the Group´s defined benefit plans are funded by plan assets held in external funds/trusts legally separate from the

Group sponsoring entity. However, in accordance with local regulation, some commitments are not externally funded and covered

through internally held provisions, principally those relating to early retirements.

Plan assets are those assets which will be used to directly settle the assumed commitments and which meet the following conditions:

they are not part of the Group sponsoring entities assets, they are available only to pay post-employment benefits and they cannot be

returned to the Group sponsoring entity.

To manage the assets associated with defined benefit plans, BBVA Group has established investment policies designed according to

criteria of prudence and minimizing the financial risks associated with plan assets.

The investment policy consists of investing in a low risk and diversified portfolio of assets with maturities consistent with the term of

the benefit obligation and which, together with contributions made to the plan, will be sufficient to meet benefit payments when due,

thus mitigating the plans‘ risks.

In those countries where plan assets are held in pension funds or trusts, the investment policy is developed consistently with local

regulation. When selecting specific assets, current market conditions, the risk profile of the assets and their future market outlook are

all taken into consideration. In all the cases, the selection of assets takes into consideration the term of the benefit obligations as well

as short-term liquidity requirements.

The risks associated with these commitments are those which give rise to a deficit in the plan assets. A deficit could arise from factors

such as a fall in the market value of plan assets, an increase in long-term interest rates leading to a decrease in the fair value of fixed

income securities, or a deterioration of the economy resulting in more write-downs and credit rating downgrades.

The table below shows the allocation of plan assets of the main companies of the BBVA Group as of December 31, 2021, 2020 and

2019:

Plan assets breakdown (Millions of Euros)

2021

2020

2019

Cash or cash equivalents

Debt securities (government bonds)

2,394

2,707

2,668

Mutual funds

Insurance contracts

148

140

142

Total

2,566

2,887

2,869

Of which: Bank account in BBVA

Of which: Debt securities issued by BBVA

—

Of which: Property occupied by BBVA

—

In addition to the above there are plan assets relating to the previously mentioned insurance contracts in Spain and the foundation in

Turkey.

The following table provides details of investments in listed securities (Level 1) as of December 31, 2021, 2020 and 2019:

Investments in listed markets (Millions of Euros)

2021

2020

2019

Cash or cash equivalents

Debt securities (Government bonds)

2,394

2,707

2,668

Mutual funds

Total

2,418

2,747

2,727

Of which: Bank account in BBVA

Of which: Debt securities issued by BBVA

—

Of which: Property occupied by BBVA

—

The remainder of the assets are mainly invested in Level 2 assets in in accordance with the classification established under IFRS 13

(mainly insurance contracts). As of December 31, 2021, almost all of the assets related to employee commitments corresponded to

fixed income securities.

P.159

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

25.2Defined contribution plans

Certain Group entities sponsor defined contribution plans. Some of these plans allow employees to make contributions which are

then matched by the employer.

Contributions are recognized as and when they are accrued, with a charge to the consolidated income statement in the corresponding

year. No liability is therefore recognized in the accompanying consolidated balance sheet (see Note 44.1).

26.Common stock

As of December 31, 2021, 2020 and 2019, BBVA’s common stock amounted to €3,267,264,424.20 divided into 6,667,886,580 fully

subscribed and paid-up registered shares, all of the same class and series, at €0.49 par value each, represented through book-

entries. All of the Bank shares carry the same voting and dividend rights, and no single stockholder enjoys special voting rights. Each

and every share is part of the Bank’s common stock.

The Bank’s shares are traded on the stock markets of Madrid, Barcelona, Bilbao and Valencia through the Sistema de Interconexión

Bursátil Español (Mercado Continuo), as well as on the London and Mexico stock markets. BBVA American Depositary Shares (ADSs)

traded on the New York Stock Exchange under the ticker “BBVA”.

Additionally, as of December 31, 2021, the shares of Banco BBVA Peru, S.A., BBVA Banco Provincial, S.A., Banco BBVA Colombia,

S.A., Banco BBVA Argentina, S.A., and Garanti BBVA A.S., were listed on their respective local stock markets. Banco BBVA Argentina,

S.A. was also quoted in the Latin American market (Latibex) of the Madrid Stock Exchange and the New York Stock Exchange. Also,

the Depositary Receipts (“DR”) of Garanti BBVA, A.S. are listed in the London Stock Exchange. BBVA is also currently included,

amongst other indexes, in the IBEX 35® Index, which is made up by the 35 most liquid securities traded on the Spanish Market and,

technically, it is a price index that is weighted by capitalization and adjusted according to the free float of each company comprised in

the index.

As of December 31, 2021, State Street Bank and Trust Co., The Bank of New York Mellon SA NV and Chase Nominees Ltd in their

capacity as international custodian/depositary banks, held 14.26%, 2.45%, and 7.69% of BBVA common stock, respectively. Of said

positions held by the custodian banks, BBVA is not aware of any individual shareholders with direct or indirect holdings greater than

or equal to 3% of BBVA common stock outstanding.

On April 18, 2019, Blackrock, Inc. reported to the Spanish Securities and Exchange Commission (CNMV) that, it had an indirect

holding of BBVA common stock totaling 5.917%, of which 5.480% are voting rights attributed to shares and 0.437% are voting rights

through financial instruments.

GQG Partners LLC, on February 11, 2021, notified the Spanish National Securities Market Commission (CNMV) that it now has a direct

interest in BBVA's capital stock, totaling 3.090%, through voting rights attributed to the shares.

On the other hand, BBVA is not aware of any direct or indirect interests through which control of the Bank may be exercised.

Furthermore, BBVA has not received any information on stockholder agreements including the regulation of the exercise of voting

rights at its annual general meetings or restricting or placing conditions on the free transferability of BBVA shares. No agreement is

known that could give rise to changes in the control of the Bank.

BBVA banking subsidiaries, associates and joint ventures worldwide, are subject to supervision and regulation from a variety of

regulatory bodies in relation to, among other aspects, the satisfaction of minimum capital requirements. The obligation to satisfy such

capital requirements may affect the ability of such entities to transfer funds in the form of cash dividends, loans or advances. In

addition, under the laws of the various jurisdictions where such entities are incorporated, dividends may only be paid out through

funds legally available for such purpose. Even when the minimum capital requirements are met and funds are legally available, the

relevant regulators or other public administrations could discourage or delay the transfer of funds to the Group in the form of cash,

dividends, loans or advances for prudential reasons.

Resolutions adopted by the Annual General Meeting

Capital increase

BBVA's AGM held on March 17, 2017 resolved, under agenda item four, to confer authority on the Board of Directors to increase

Bank's share capital, on one or several occasions, within the legal term of five years of the approval date of the authorization, up to the

maximum amount corresponding to 50% of Bank's share capital at the time on which the resolution was adopted, likewise conferring

authority to the Board of Directors to totally or partially exclude shareholders' pre-emptive subscription rights over any specific issue

that may be made under such authority.

However, the power to exclude pre-emptive subscription rights was limited, such that the nominal amount of the capital increases

resolved or effectively carried out with the exclusion of pre-emptive subscription rights in use of the referred authority and those that

may be resolved or carried out to cover the conversion of mandatory convertible issues that may also be made with the exclusion of

pre-emptive subscription rights in use of the authority to issue convertible securities conferred by the AGM held on March 17, 2017,

under agenda item five (without prejudice to the anti-dilution adjustments and this limit not being applicable to contingent convertible

issues) shall not exceed the nominal maximum overall amount of 20% of the share capital of BBVA at the time of the authorization.

P.160

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

As of the date of this document, the Bank's Board of Directors has not exercised the authority conferred by the AGM.

Convertible and/or exchangeable securities:

Note 22.4 introduces the details of the convertible and/or exchangeable securities.

27.Share premium

As of December 31, 2021, the balance under this heading in the accompanying consolidated balance sheets was €23,599 million. As

of December 31, 2020 and 2019, the balance under this heading was €23,992 million (see Note 4).

The amended Spanish Corporation Act expressly permits the use of the share premium balance to increase capital and establishes no

specific restrictions as to its use (see Note 26).

28.Retained earnings, revaluation reserves and other reserves

28.1Breakdown of the balance

The breakdown of the balance under this heading in the accompanying consolidated balance sheets is as follows:

Retained earnings, revaluation reserves and other reserves. Breakdown by concepts (Millions of Euros)

2021

2020

2019

Legal reserve

653

Restricted reserve

761

120

124

Voluntary reserves (*)

3,994

8,117

8,331

Total reserves holding company (**)

5,409

8,890

9,108

Consolidation reserves attributed to the Bank and subsidiary consolidated companies

24,575

21,454

20,161

Total

29,984

30,344

29,269

(*) The variation in 2021 is mainly due to the allocation of earnings of BBVA, S.A. and the share repurchase program (see Note 4).

(**) Total reserves of BBVA, S.A. (See Appendix IX).

28.2Legal reserve

Under the amended Spanish Corporations Act, 10% of any profit made each year must be transferred to the legal reserve. The

transfer must be made until the legal reserve reaches 20% of the common stock.

The legal reserve can be used to increase the common stock provided that the remaining reserve balance does not fall below 10% of

the increased capital. While it does not exceed 20% of the common stock, it can only be allocated to offset losses exclusively in the

case that there are not sufficient reserves available.

28.3Restricted reserves

As of December 31, 2021, 2020 and 2019, the Bank’s restricted reserves are as follows:

Restricted reserves. Breakdown by concepts (Millions of Euros)

2021

2020

2019

Restricted reserve for retired capital

Restricted reserve for Parent Company shares and loans for those shares (*)

672

Restricted reserve for redenomination of capital in euros

Total

761

120

124

(*) The variation in 2021 is mainly due to the share buyback program (see Note 4).

The restricted reserve for retired capital resulted from the reduction of the nominal par value of the BBVA shares made in April 2000.

The second heading corresponds to restricted reserves related to the amount of shares issued by the Bank in its possession at each

date, as well as the amount of customer loans outstanding at those dates that were granted for the purchase of, or are secured by, the

parent company shares.

P.161

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Finally, pursuant to Law 46/1998 on the Introduction of the Euro, a restricted reserve is recognized as a result of the rounding effect

of the redenomination of the parent company common stock in euros.

28.4Retained earnings, Revaluation reserves and Other reserves by entity

The breakdown, by company or corporate group, under the headings “Retained earnings”, “Revaluation reserves” and “other

reserves” in the accompanying consolidated balance sheets is as follows:

Retained earnings, revaluation reserves and other reserves. Breakdown by company or corporate group (Millions of Euros)

2021

2020

2019

Retained earnings (losses), revaluation reserves and other reserves

Holding Company

12,467

15,014

16,623

BBVA Mexico Group

13,894

12,890

10,645

Garanti BBVA Group

3,043

2,509

1,985

BBVA Provincial Group

1,721

1,731

1,736

BBVA Argentina Group

1,423

1,302

1,169

BBVA Colombia Group

1,393

1,287

1,130

BBVA Peru Group

1,031

984

848

Corporación General Financiera, S.A.

322

920

932

Forum Servicios Financieros S.A.

604

619

597

Sociedades inmobiliarias CX

277

251

266

BBV America, S.L.

270

262

247

BBVA Seguros, S.A.

239

(35)

(99)

Pecri Inversión, S.L.

118

114

(50)

BBVA Uruguay Group

106

Bilbao Vizcaya Holding, S.A.

Compañía de Cartera de Inversiones, S.A.

Gran Jorge Juan, S.A.

BBVA USA Group

—

(1,098)

(308)

Anida Grupo Inmobiliario

(556)

(594)

(587)

Sociedades inmobiliarias Unnim

(655)

(617)

(594)

Anida Operaciones Singulares, S.A.

(5,512)

(5,409)

(5,375)

Other

(121)

112

Subtotal (*)

30,231

30,508

29,388

Other reserves or accumulated losses of investments in joint

ventures and associates

ATOM Bank PLC

(158)

(91)

(56)

Metrovacesa, S.A.

(84)

(75)

Other

(5)

Subtotal

(247)

(164)

(119)

Total

29,984

30,344

29,269

(*) In 2021 includes the accounting for shares pending from buyback program (see Note 4) and the reclassification of items not subject to reclassification to income statement to

by results for "Actuarial gains (losses) in defined benefit pension plans".

For the purpose of allocating the reserves and accumulated losses to the consolidated entities and to the parent company, the

transfers of reserves arising from the dividends paid and transactions between these entities are taken into account in the period in

which they took place.

P.162

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

29.Treasury shares

In the years ended December 31, 2021, 2020 and 2019 the Group entities performed the following transactions with shares issued by

the Bank:

Treasury shares (Millions of euros)

2021

2020

2019

Number of

Millions

of Euros

Number of

Millions

of Euros

Number of

Millions

of Euros

Balance at beginning

14,352,832

12,617,189

47,257,691

296

+ Purchases (*)

203,530,570

1,022

234,691,887

807

214,925,699

1,088

- Sales and other changes

(90,250,003)

(417)

(232,956,244)

(830)

(249,566,201)

(1,298)

+/- Derivatives on BBVA shares

—

(4)

—

(23)

+/- Other changes

—

Balance at the end

127,633,399

647

14,352,832

12,617,189

Of which:

Held by BBVA, S.A.(*)

112,733,730

574

592,832

—

Held by Corporación General Financiera, S.A.

14,899,669

13,760,000

12,617,189

Held by other subsidiaries

—

Average purchase price in Euros

5.02

—

3.44

—

5.06

—

Average selling price in Euros

4.89

—

3.63

—

5.20

—

Net gains or losses on transactions

(Shareholders' funds-Reserves)

—

(*) In 2021 includes the share buyback program (see Note 4).

The percentages of treasury shares held by the Group in the years ended December 31, 2021, 2020 and 2019 are as follows:

Treasury Stock

2021

2020

2019

Min

Max

Closing

Min

Max

Closing

Min

Max

Closing

% treasury stock

0.108%

1.922%

1.914%

0.008%

0.464%

0.215%

0.138%

0.746%

0.213%

The number of BBVA shares accepted by the Group in pledge of loans as of December 31, 2021, 2020 and 2019 is as follows:

Shares of BBVA accepted in pledge

2021

2020

2019

Number of shares in pledge

29,372,853

39,407,590

43,018,382

Nominal value

0.49

% of share capital

0.44%

0.59%

0.65%

The number of BBVA shares owned by third parties but under management of a company within the Group as of December 31, 2021,

2020 and 2019 is as follows:

Shares of BBVA owned by third parties but managed by the Group

2021

2020

2019

Number of shares owned by third parties

17,645,506

18,266,509

23,807,398

Nominal value

0.49

% of share capital

0.26%

0.27%

0.36%

P.163

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

30.Accumulated other comprehensive income (loss)

The breakdown of the balance under this heading in the accompanying consolidated balance sheets is as follows

Accumulated other comprehensive income (loss). Breakdown by concepts (Millions of Euros)

Notes

2021

2020

2019

Items that will not be reclassified to profit or loss

(2,075)

(2,815)

(1,875)

Actuarial gains (losses) on defined benefit pension plans

(998)

(1,474)

(1,498)

Non-current assets and disposal groups classified as held for sale

—

(65)

Fair value changes of equity instruments measured at fair value through

other comprehensive income

13.4

(1,079)

(1,256)

(403)

Fair value changes of financial liabilities at fair value through profit or loss

attributable to changes in their credit risk

(21)

Items that may be reclassified to profit or loss

(14,401)

(11,541)

(8,351)

Hedge of net investments in foreign operations (effective portion)

(146)

(62)

(896)

Mexican peso

(681)

(362)

(588)

Turkish lira

555

317

163

Other exchanges

(19)

(18)

(471)

Foreign currency translation

(14,988)

(14,185)

(9,147)

Mexican peso

(4,503)

(5,220)

(3,557)

Turkish lira

(6,607)

(4,960)

(3,750)

Argentine peso

(1,024)

(1,247)

(1,124)

Venezuela Bolívar

(1,858)

(1,860)

(1,854)

Other exchanges

(995)

(898)

1,138

Hedging derivatives. Cash flow hedges (effective portion)

(533)

(44)

Fair value changes of debt instruments measured at fair value through

other comprehensive income

13.4

1,274

2,069

1,760

Non-current assets and disposal groups classified as held for sale (*)

—

644

(18)

Share of other recognized income and expense of investments in joint

ventures and associates

(9)

(17)

(5)

Total

(16,476)

(14,356)

(10,226)

(*) Corresponds mainly to BBVA USA in 2020 (see Notes 1.3, 3 and 21).

The balances recognized under these headings are presented net of tax.

The main changes in 2021 are explained by the depreciation against the euro of some of the currencies of the main geographies where

the Group operates against the euro such as the Turkish lira (40.2%), Peruvian sol (1.3%), Colombian peso (6.6%) and Argentine

peso (11.3%); partially offset by the appreciation against the euro of the Mexican peso (5.5%) and the application of IAS 29 of

Argentina (see Note 2.2.19).

P.164

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

31.Non-controlling interest

The table below is a breakdown by groups of consolidated entities of the balance under the heading “Minority interests (non-

controlling interest)” of total equity in the accompanying consolidated balance sheets is as follows:

Non-controlling interests: breakdown by subgroups (Millions of Euros)

2021

2020

2019

Garanti BBVA

2,851

3,692

4,240

BBVA Peru

1,212

1,171

1,334

BBVA Argentina

557

416

422

BBVA Colombia

BBVA Venezuela

Other entities

Total

4,853

5,471

6,201

These amounts are broken down by groups of consolidated entities under the heading “Attributable to minority interests (non-

controlling interests)” in the accompanying consolidated income statements:

Profit attributable to non-controlling interests (Millions of Euros)

2021

2020

2019

Garanti BBVA

758

579

524

BBVA Peru

143

126

236

BBVA Argentina

BBVA Colombia

BBVA Venezuela

(1)

Other entities

Total

965

756

833

Dividends distributed to non-controlling interest of the Group during the year 2021 are: BBVA Banco Continental Group €76 million,

BBVA Garanti Group €38 million and other Group entities accounted for €5 million.

32.Capital base and capital management

32.1Capital base

As of December 31, 2021, 2020 and 2019, own funds is calculated in accordance to the applicable regulation of each year on minimum

capital requirements for Spanish credit institutions –both as individual entities and as consolidated group– that establish how to

calculate them, as well as the various internal capital adequacy assessment processes they should have in place and the information

they should disclose to the market.

Following the latest SREP (Supervisory Review and Evaluation Process) decision, applicable as from March 1, 2022, the ECB has

informed the Group that the Pillar 2 requirement would remain at 1.5% (0.84% must be CET1 at least). Therefore, BBVA must

maintain a CET1 capital ratio of 8.60% and a total capital ratio of 12.76% at the consolidated level.

The BBVA Group has set the objective of maintaining a fully-loaded CET1 ratio at a consolidated level of between 11.5% -12.0%,

increasing the target distance to the minimum requirement (currently at 8.60%) at 290-340 basis points. At closing of the financial

year 2021, the fully-loaded CET1 ratio is above this target management range.

P.165

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

A reconciliation of the main figures between the accounting and regulatory own funds as of December 31, 2021, 2020 and 2019 is

shown below:

Eligible capital resources (Millions of Euros)

Notes

2021 (*)

2020

2019

Capital

3,267

Share premium

23,599

23,992

Retained earnings, revaluation reserves and other reserves

29,984

30,344

29,269

Other equity instruments, net

Treasury shares

(647)

(46)

(62)

Profit (loss) attributable to the parent company

4,653

1,305

3,512

Interim dividend

(532)

—

(1,084)

Total equity

60,384

58,904

58,950

Accumulated other comprehensive income (loss)

(16,476)

(14,356)

(10,226)

Non-controlling interest

4,853

5,472

6,201

Shareholders' equity

48,760

50,020

54,925

Goodwill and other intangible assets

(1,484)

(3,455)

(6,803)

Deductions

(1,484)

(3,455)

(6,803)

Differences from solvency and accounting perimeter

(131)

(186)

(215)

Equity not eligible at solvency level

(131)

(186)

(215)

Other adjustments and deductions (**)

(7,208)

(3,449)

(4,253)

Common Equity Tier 1 (CET 1)

39,937

42,931

43,653

Additional Tier 1 before Regulatory Adjustments

5,737

6,666

6,048

Total Regulatory Adjustments to Additional Tier 1

—

Tier 1

45,674

49,597

49,701

Tier 2

7,383

8,547

8,304

Total Capital (Total Capital=Tier 1 + Tier 2)

53,057

58,145

58,005

Total Minimum equity required

39,274

45,042

46,540

(*) Provisional data.

(**) Other adjustments and deductions includes, among others, the adjustment of non-eligible minority interests, the amount of repurchase of own shares up to the maximum

limit authorized by the ECB for the BBVA Group (see Note 4) and the amount of shareholders remuneration pending to be distributed.

P.166

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The Group’s own funds in accordance with the aforementioned applicable regulation as of December 31, 2021, 2020 and 2019 are

shown below:

Amount of capital CC1 (Millions of Euros)

2021 (*)

2020

2019

Capital and share premium

26,866

27,259

Retained earnings and equity instruments

30,745

29,974

29,127

Other accumulated income and other reserves

(17,200)

(14,023)

(10,133)

Minority interests

2,800

3,656

4,404

Net interim attributable profit

2,564

860

1,316

Common Equity Tier I (CET1) before other regulatory adjustments

45,775

47,726

51,974

Goodwill and intangible assets

(1,484)

(3,455)

(6,803)

Direct, indirect and synthetic holdings in own Common Equity Tier I instruments (**)

(2,800)

(366)

(484)

Deferred tax assets

(1,009)

(1,478)

(1,420)

Other deductions and filters

(545)

504

386

Total common equity Tier 1 regulatory adjustments

(5,838)

(4,795)

(8,321)

Common equity TIER 1 (CET1)

39,937

42,931

43,653

Capital instruments and share premium accounts classified as liabilities and qualifying as

Additional Tier I

5,265

6,130

5,400

Qualifying Tier 1 capital included in consolidated AT1 capital issued by subsidiaries and

held by third parties

472

536

648

Additional Tier 1 (CET 1) before regulatory adjustments

5,737

6,666

6,048

Transitional CET 1 adjustments

—

Total regulatory adjustments to additional Tier 1

—

Additional Tier 1 (AT1)

5,737

6,666

6,048

Tier 1 (Common equity TIER 1+ additional TIER 1)

45,674

49,597

49,701

Capital instruments and share premium accounted as Tier 2

4,324

4,540

3,242

Qualifying Tier 2 capital included in consolidated T2 capital issued by subsidiaries and

held by third parties

2,516

3,410

4,512

Credit risk adjustments

722

604

631

Tier 2 before regulatory adjustments

7,562

8,554

8,385

Tier 2 regulatory adjustments

(179)

(6)

(82)

Tier 2

7,383

8,547

8,304

Total capital (Total capital=Tier 1 + Tier 2)

53,057

58,145

58,005

Total RWA

307,791

353,273

364,448

CET 1 (phased-in)

12.98%

12.15%

11.98%

Tier 1 (phased-in)

14.84%

14.04%

13.64%

Total capital (phased-in)

17.24%

16.46%

15.92%

(*) Provisional data.

(**) Includes mainly the amount of repurchase of own shares pending to be executed and up to the maximum limit authorized by the ECB for the BBVA Group (see Note 4).

As of December 2021 Common Equity Tier 1 (CET1) fully-loaded ratio stood at 12.75% which represented an increase of 102 basis

points with respect to 2020, with the CET1 phased-in ratio at 12.98%, which represented an increase of 82 basis points with respect

to 2020. The difference is mainly explained by the effect of the transitory adjustments for the treatment in the solvency ratios of the

impacts of IFRS 9.

These fully-loaded ratios include the effect of divestment in BBVA Paraguay in the first quarter and in the United States in the second

quarter (see Note 3). In addition, these ratios include the singular effects of the restructuring process (see Note 24) and the

deduction of the total amount of the share buyback program authorized by the European Central Bank for €3,500 million. Excluding

these impacts, during the period, the high organic generation of profits, net of shareholder remuneration and the payment of the

Contingent Convertible bonds (CoCos) contributed by +81 basis points to the CET1 ratio and covered the negative evolution of market

variables, as well as the supervisory impacts and regulatory changes.

Fully-loaded risk-weighted assets (RWAs) decreased by approximately €-45.400 million, mainly as a result of the sale of BBVA USA

and BBVA Paraguay.

The fully-loaded additional Tier 1 capital ratio (AT1) stood at 1.87% (1.86% phased-in) at December 31, 2021, which included the

reduction of €1.000 million due to the early amortization of a series of CoCos issued in 2016, offset by the positive effect of RWA

reduction.

P.167

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The fully-loaded Tier 2 ratio stood at 2.37%, which represents an increase of +7 basis points compared to December 31, 2020, mainly

explained by the RWA reduction during the year. The phased-in Tier 2 ratio stood at 2.40%. The difference with the fully-loaded Tier 2

ratio relates mainly to the transitional treatment of certain subordinated issuances.

In February 2021, BBVA Uruguay issued the first sustainable bond in the Uruguayan financial market for USD15 million at an initial

interest rate of 3.854%.

As result of the above, the total fully-loaded capital ratio stood at 16.98% as of December 31, 2021, and total phased-in ratio stood at

17.24%.

Regarding MREL (Minimum Requirement for own funds and Eligible Liabilities) requirements, BBVA has received a new

communication from the Bank of Spain regarding its minimum requirement that has been calculated taking into account the financial

and supervisory information as of December 31, 2019.

In accordance with this new MREL communication, BBVA has to reach, by January 1, 2022, an amount of own funds and eligible

liabilities equal to 24.78% (in accordance with the new applicable regulation, the MREL in RWAs and the subordination requirement in

RWAs do not include the combined capital buffer requirement; for these purposes, the applicable combined capital buffer

requirement, 2.5%, without prejudice to any other buffer that may be applicable at any time) of the total RWAs of its resolution group,

on sub-consolidated level (the “MREL in RWAs”). Within this MREL in RWAs, an amount equal to 13.50% of the RWAs shall be met

with subordinated instruments (the "subordination requirement in RWA"). This MREL in RWAs is equal to 10.25% in terms of the total

exposure considered for calculating the leverage ratio (the “MREL in LR”), while the subordination requirement in RWAs is equal to

5.84% in terms of the total exposure considered for calculating the leverage ratio (the "subordination requirement in LR"). For BBVA,

the most restrictive requirement as of today is the one expressed in RWA. The current own funds and eligible liabilities structure of the

resolution group as of June 30, 2021 meets the MREL in RWAs, being the MREL ratio in terms of RWA of 28.34%. Finally, as of

December 31, 2021, the MREL in LR is 11.35% and the subordination ratios in terms of RWA and in terms of LR are 24.65% and 9.87%,

respectively.

32.2Leverage ratio

The leverage ratio (LR) is a regulatory measure complementing capital designed to guarantee the soundness and financial strength of

institutions in terms of indebtedness. This measurement can be used to estimate the percentage of the assets and off-balance sheet

arrangements financed with Tier 1 capital, being the carrying amount of the assets used in this ratio adjusted to reflect the bank’s

current or potential leverage of a given balance-sheet position (Leverage ratio exposure).

Breakdown of leverage ratio as of December 31, 2021, 2020 and 2019, calculated according to CCR, is as follows:

Leverage ratio

2021 (*)

2020

2019

Tier 1 (millions of Euros) (a)

45,674

49,597

49,701

Exposure to leverage ratio (millions of Euros) (b)

673,729

741,095

731,087

Leverage ratio (a)/(b) (percentage)

6.78%

6.69%

6.80%

(*) Provisional data.

Finally, as of December 31, 2021, the phased-in leverage ratio, which includes the transitory treatment of certain capital elements

(mainly the impact of IFRS 9), stood at 6.78%. These figures include the effect of the temporary exclusion of certain positions with

central banks provided for in the "CRR-Quick fix”.

32.3Capital management

The aim of capital management within BBVA and the Group is to ensure that both BBVA and the Group have the necessary capital at

any given time to develop the corporate strategy reflected in the Strategic Plan, in line with the risk profile set out in the Group Risk

Appetite Framework.

In this regard, BBVA's capital management is also part of the most relevant forward-looking strategic decisions in the Group's

management and monitoring, which include the Annual Budget and the Liquidity and Funding Plan, with which it is coordinated — all

with the aim of achieving the Group's overall strategy.

Capital must be allocated optimally in order to meet the need to preserve the solvency of BBVA and the Group at all times. Together

with the Group's solvency risk profile included in the RAF, this optimal allocation serves as a guide for the Group's capital

management and seeks a solid capital position that makes it possible to:

–Anticipate ordinary and extraordinary consumption that may occur, even under stress;

–Promote the development of the Group's business and align it with capital and profitability objectives by allocating

resources appropriately and efficiently;

–Cover all risks—including potential risks—to which it is exposed;

P.168

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–Comply with regulatory and internal management requirements at all times; and

–Remunerate BBVA shareholders in accordance with the Shareholder Remuneration Policy in force at any given time.

The areas involved in capital management in the Group shall follow and respect the following principles in their respective areas of

responsibility:

–Ensuring that capital management is integrated and consistent with the Group's Strategic Plan, RAF, Annual Budget and

other strategic-prospective processes, to help achieve the Group's long-term sustainability.

–Taking into account both the applicable regulatory and supervisory requirements and the risks to which the Group is—or

may be—exposed when conducting its business (economic vision), when establishing a target capital level, all while

adopting a forward-looking vision that takes adverse scenarios into consideration.

–Carrying out efficient capital allocation that promotes good business development, ensuring that expectations for the

evolution of activity meet the strategic objectives of the Group and anticipating the ordinary and extraordinary consumption

that may occur.

–Ensuring compliance with the solvency levels, including the minimum requirement for own funds and eligible liabilities

(MREL), required at any given time.

–Compensating BBVA shareholders in an adequate and sustainable manner.

–Optimizing the cost of all instruments used for the purpose of meeting the target capital level at any given time

To achieve the aforementioned principles, capital management will be based on the following essential elements:

–An adequate governance and management scheme, both at the corporate body level and at the executive level.

–Planning, managing and monitoring capital properly, using the measurement systems, tools, structures, resources and

quality data necessary to do so.

–A set of metrics, which is duly updated, to facilitate the tracking of the capital situation and to identify any relevant

deviations from the target capital level.

–A transparent, correct, consistent and timely communication and dissemination of capital information outside the Group.

–An internal regulatory body, which is duly updated, including the regulations and procedures that, ensure adequate capital

management.

P.169

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

33.Commitments and guarantees given

The breakdown of the balance under these headings in the accompanying consolidated balance sheets is as follows:

Commitments and guarantees given (Millions of Euros)

Notes

2021

2020

2019

Loan commitments given

7.2.2

119,618

132,584

130,923

Of which: impaired

171

265

270

Central banks

—

General governments

3,483

2,919

3,117

Credit institutions

16,085

11,426

11,742

Other financial corporations

4,583

5,862

4,578

Non-financial corporations

59,475

71,011

65,475

Households

35,991

41,366

46,011

Financial guarantees given

7.2.2

11,720

10,665

10,984

Of which: impaired (*)

245

290

224

Central banks

—

General governments

162

132

125

Credit institutions

312

339

995

Other financial corporations

1,026

587

583

Non-financial corporations

10,039

9,376

8,986

Households

181

231

295

Other commitments given

7.2.2

34,604

36,190

39,209

Of which: impaired (*)

541

477

506

Central banks

124

General governments

212

199

521

Credit institutions

4,266

5,285

5,952

Other financial corporations

1,753

2,902

Non-financial corporations

28,224

27,496

29,682

Households

147

182

151

Total

7.2.2

165,941

179,440

181,116

(*) In December 2020, it includes the balance of the Group's businesses in the United States included in the USA Sale (see Notes 1.3, 3 and 21). Non-performing financial

guarantees given amounted to €786, €767 and €731 million, respectively, as of December 31, 2021, 2020 and 2019.

As of December 31, 2021, the provisions for loan commitments, financial guarantees and other commitments, recorded in the

consolidated balance sheet amounted to €272 million, €164 million and €256 million, respectively (see Note 24).

Since a significant portion of the amounts above will expire without any payment being made by the consolidated entities, the

aggregate balance of these commitments cannot be considered to be the actual future requirement for financing or liquidity to be

provided by the BBVA Group to third parties.

In the years 2021, 2020 and 2019, no issuance of debt securities carried out by associates of the BBVA Group, joint venture entities or

non-Group entities have been guaranteed,

34.Other contingent assets and liabilities

As of December 31, 2021, 2020 and 2019 there were no material contingent assets or liabilities other than those disclosed in the

accompanying Notes to the consolidated financial statements.

35.Purchase and sale commitments and future payment obligations

The purchase and sale commitments of the BBVA Group are disclosed in Notes 10, 14 and 22.

Future payment obligations mainly correspond to leases payable derived from operating lease contracts, as detailed in Note 22.5, and

estimated employee benefit payments, as detailed in Note 25.1.3.

P.170

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

36.Transactions on behalf of third parties

The details of the relevant transactions on behalf of third parties are as follows:

Transactions on behalf of third parties. Breakdown by concepts (Millions of Euros)

2021

2020

2019

Financial instruments entrusted to BBVA by third parties

356,985

357,022

693,497

Conditional bills and other securities received for collection

10,795

10,459

13,133

Securities lending

2,605

5,285

7,129

Total

370,385

372,766

713,759

37.Net interest income

37.1Interest and other income

The breakdown of the interest and other income recognized in the accompanying consolidated income statement is as follows:

Interest and other income. Breakdown by origin (Millions of Euros)

2021

2020

2019

Financial assets held for trading

1,084

1,189

2,037

Financial assets designated at fair value through profit or loss

Financial assets at fair value through other comprehensive income

1,880

1,392

1,629

Financial assets at amortized cost

18,364

18,357

22,741

Insurance activity

1,084

1,021

1,079

Adjustments of income as a result of hedging transactions

(84)

(112)

(72)

Other income (*)

675

534

343

Total

23,015

22,389

27,762

(*) Includes accrued interest following TLTRO III transactions (see Note 22.1).

The amounts recognized in consolidated equity in connection with hedging derivatives for the years ended December 31, 2021, 2020

and 2019 and the amounts derecognized from the consolidated equity and taken to the consolidated income statements during those

years are included in the accompanying “Consolidated statements of recognized income and expense”.

37.2Interest expense

The breakdown of the balance under this heading in the accompanying consolidated income statements is as follows:

Interest expense. Breakdown by origin (Millions of Euros)

2021

2020

2019

Financial liabilities held for trading

1,339

742

1,229

Financial liabilities designated at fair value through profit or loss

Financial liabilities at amortized cost

6,130

6,346

9,953

Adjustments of expense as a result of hedging transactions

(360)

(413)

(250)

Insurance activity

773

721

753

Cost attributable to pension funds

Other expense

342

284

196

Total

8,329

7,797

11,972

P.171

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

38.Dividend income

The balances for this heading in the accompanying consolidated income statements correspond to dividends on shares and equity

instruments other than those from shares in entities accounted for using the equity method (see Note 39), as can be seen in the

breakdown below:

Dividend income (Millions of Euros)

2021

2020

2019

Non-trading financial assets mandatorily at fair value through profit or loss

Financial assets at fair value through other comprehensive income

112

122

126

Total

176

137

153

39.Share of profit or loss of entities accounted for using the equity method

Results from “Share of profit or loss of entities accounted for using the equity method” resulted in a positive impact of €1 million as of

December 31, 2021, compared with the negative impact of €39 million and the negative impact of €42 million recorded as of

December 31, 2020 and 2019, respectively.

40.Fee and commission income and expense

The breakdown of the balance under these headings in the accompanying consolidated income statements is as follows:

Fee and commission income. Breakdown by origin (Millions of Euros)

2021

2020

2019

Bills receivables

Demand accounts

425

322

301

Credit and debit cards and OPS

2,628

2,089

2,862

Checks

136

198

Transfers and other payment orders

664

555

623

Insurance product commissions

215

159

158

Loan commitments given

234

185

187

Other commitments and financial guarantees given

364

349

377

Asset management

1,250

1,100

1,026

Securities fees

267

367

294

Custody securities

169

135

123

Other fees and commissions

622

556

599

Total

6,997

5,980

6,786

The breakdown of fee and commission expense under these heading in the accompanying consolidated income statements is as

follows:

Fee and commission expense. Breakdown by origin (Millions of Euros)

2021

2020

2019

Demand accounts

Credit and debit cards

1,427

1,130

1,566

Transfers and other payment orders

120

Commissions for selling insurance

Custody securities

Other fees and commissions

574

519

548

Total

2,232

1,857

2,284

P.172

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

41.Gains (losses) on financial assets and liabilities, hedge accounting and exchange

differences, net

The breakdown of the balance under this heading, by source of the related items, in the accompanying consolidated income

statement is as follows:

Gains (losses) on financial assets and liabilities, hedge accounting and exchange differences, net. Breakdown by heading

(Millions of Euros)

2021

2020

2019

Gains (losses) on derecognition of financial assets and liabilities not measured at fair

value through profit or loss, net

134

139

186

Financial assets at amortized cost

106

Other financial assets and liabilities

106

141

Gains (losses) on financial assets and liabilities held for trading, net

341

777

419

Reclassification of financial assets from fair value through other comprehensive income

—

Reclassification of financial assets from amortized cost

—

Other gains (losses)

341

777

419

Gains (losses) on non-trading financial assets mandatorily at fair value through profit or

loss, net

432

208

143

Reclassification of financial assets from fair value through other comprehensive income

—

Reclassification of financial assets from amortized cost

—

Other gains (losses)

432

208

143

Gains (losses) on financial assets and liabilities designated at fair value through profit or

loss, net

335

(98)

Gains (losses) from hedge accounting, net

(214)

Subtotal gains (losses) on financial assets and liabilities

1,027

1,187

705

Exchange differences, net

883

359

581

Total

1,910

1,546

1,286

The breakdown of the balance (excluding exchange rate differences) under this heading in the accompanying income statements by

the nature of financial instruments is as follows:

Gains (losses) on financial assets and liabilities. Breakdown by nature of the financial instrument (Millions of Euros)

2021

2020

2019

Debt instruments

158

848

945

Equity instruments

2,059

(28)

1,336

Trading derivatives and hedge accounting

(1,866)

277

(1,133)

Loans and advances to customers

100

128

Customer deposits

(79)

(26)

Other

522

(497)

Total

1,027

1,187

705

P.173

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The breakdown of the balance of the impact of the derivatives (trading and hedging) under this heading in the accompanying

consolidated income statements is as follows:

Derivatives - Hedge accounting (Millions of Euros)

2021

2020

2019

Derivatives

Interest rate agreements

269

(85)

Securities agreements

(1,500)

(36)

(1,072)

Commodity agreements

Credit derivative agreements

(255)

(89)

Foreign-exchange agreements

(75)

Other agreements

(12)

(35)

Subtotal

(1,651)

270

(1,187)

Hedging derivatives ineffectiveness

—

Fair value hedges

(235)

Hedging derivative

(151)

(36)

Hedged item

(325)

156

Cash flow hedges

—

Subtotal

(214)

Total

(1,866)

277

(1,133)

In addition, in the years ended December 31, 2021, 2020 and 2019, under the heading “Exchange differences, net" in the

accompanying consolidated income statements negative amounts of € 41 million, €57 million and €225 million, respectively, were

recognized for transactions with foreign exchange trading derivatives.

42.Other operating income and expense

The breakdown of the balance under the heading “Other operating income” in the accompanying consolidated income statements is

as follows:

Other operating income (Millions of Euros)

2021

2020

2019

Gains from sales of non-financial services

301

244

258

Hyperinflation adjustment (*)

177

146

Other operating income

183

154

235

Total

661

492

639

(*) See Note 2.2.19.

The breakdown of the balance under the heading “Other operating expense” in the accompanying consolidated income statements is

as follows:

Other operating expense (Millions of Euros)

2021

2020

2019

Change in inventories

151

124

107

Contributions to guaranteed banks deposits funds

829

800

746

Hyperinflation adjustment (*)

585

348

538

Other operating expense

475

390

551

Total

2,041

1,662

1,943

(*) See Note 2.2.19.

P.174

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

43.Income and expense from insurance and reinsurance contracts

The detail of the headings “Income and expense from insurance and reinsurance contracts” in the accompanying consolidated

income statements is as follows:

Income and expense from insurance and reinsurance contracts (Millions of Euros)

2021

2020

2019

Income from insurance and reinsurance contracts

2,593

2,497

2,890

Expense from insurance and reinsurance contracts

(1,685)

(1,520)

(1,751)

Total

908

977

1,138

The table below shows the contribution of each insurance product to the Group´s income for the years ended December 31, 2021,

2020 and 2019:

Income by type of insurance product (Millions of Euros)

2021

2020

2019

Life insurance

622

497

631

Individual

583

439

477

Group insurance

154

Non-Life insurance

286

480

508

Home insurance

—

Other non-life insurance products

286

389

418

Total

908

977

1,138

44.Administration costs

44.1Personnel expense

The breakdown of the balance under this heading in the accompanying consolidated income statements is as follows:

Personnel expense (Millions of Euros)

Notes

2021

2020

2019

Wages and salaries

3,933

3,610

4,103

Social security costs

668

671

725

Defined contribution plan expense

Defined benefit plan expense

Other personnel expense

325

293

379

Total

5,046

4,695

5,351

44.1.1 Share-based employee remuneration

The amounts recognized under the heading “Administration costs - Personnel expense - Other personnel expense” in the

consolidated income statements for the year ended December 31, 2021, 2020 and 2019, corresponding to the remuneration plans

based on equity instruments in each year, amounted to €33 million, €16 million and €31 million, respectively. These amounts have

been recognized with a corresponding entry under the heading “Shareholders’ funds - Other equity instruments” in the accompanying

consolidated balance sheets, net of tax effect.

The characteristics of the Group's remuneration plans based on equity instruments are described below.

Variable remuneration in shares

BBVA has a specific remuneration scheme applicable to those employees whose professional activities have a material impact on the

risk profile of BBVA and/or its Group (hereinafter “Identified Staff”) involving the delivery of BBVA shares, designed within the

framework of applicable regulations to credit institutions and considering best practices and recommendations at the local and

international levels in this matter.

P.175

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

In 2021, this remuneration scheme is reflected in the following remuneration policies:

–BBVA Group General Remuneration Policy, approved by the Board of Directors on June 30, 2021, that applies to

employees and senior managers at BBVA (excluding BBVA executive directors) and at Group companies with respect to

which BBVA exercises control over management. This policy includes the specific rules applicable to the members of the

Identified Staff, including Senior Management.

–BBVA Directors’ Remuneration Policy, approved by the General Shareholders’ Meeting of BBVA held on April 20, 2021,

that it’s applicable to the members of the Board of Directors of BBVA. The remuneration system for executive directors

corresponds, generally, with the applicable system to the Identified Staff, incorporating some particularities of their own,

derived from their condition of directors.

The variable remuneration for the Identified Staff members is subject to the following rules established in their corresponding

remuneration policies, specifically:

–Annual Variable Remuneration for Identified Staff members for each financial year will be subject to ex ante adjustments, so

that it shall be reduced at the time of their appraisal in the event of a downturn in the Group’s results or other parameters

such as the level of achievement of budgeted targets, and it will not accrue or it will accrue in a reduced amount, should a

certain level of profits and capital ratio not be achieved in accordance with the provisions of applicable regulations at any

given time.

–60% of the Annual Variable Remuneration will be vested and paid, if conditions are met, as a general rule, in the first four

months of the financial year following that to which the Annual Variable Remuneration corresponds (the “Upfront Portion”).

For executive directors, members of the Senior Management and Identified Staff members with particularly high variable

remuneration, the Upfront Portion will be 40% of the Annual Variable Remuneration. The remaining portion will be deferred

in time (hereinafter, the “Deferred Portion”) for a 5 year-period for executive directors and members of the Senior

Management, and 4 years for the remaining members of the Identified Staff.

–50% of the Annual Variable Remuneration, including both the Upfront Portion and the Deferred Portion, shall be established

in BBVA shares or in instruments linked to BBVA shares. As regards executive directors and Senior Management, 60% of

the Deferred Portion shall be established in shares.

–The shares or instruments awarded as Annual Variable Remuneration, both from the Upfront Portion and the Deferred

Portion, shall be withheld for a one-year period after delivery. This will not apply to those shares or instruments the sale of

which would be required to honor the payment of taxes accruing on delivery.

–The Deferred Portion of the Annual Variable Remuneration may be reduced, but never increased, depending on the results

of multi-year performance indicators which are aligned with the Group’s core risk management and control metrics related

to the solvency, liquidity, profitability or value creation.

–The cash amounts of the Deferred Portion of Annual Variable Remuneration finally vested, shall be updated by applying the

Consumer Price Index (CPI), measured as year-on-year change in prices, or any other criteria established for such purposes

by the Board of Directors.

–The entire Annual Variable Remuneration corresponding to each financial year shall be subject to arrangements for the

reduction of variable remuneration ("malus") and arrangements for the recovery of variable remuneration already paid

("clawback") during the whole deferral and withholding period, which will be applicable in the event of the occurrence of any

of the circumstances expressly named in the remuneration policies.

–No personal hedging strategies or insurances shall be used in connection with variable remuneration or liability that may

undermine the effects of alignment with prudent risk management.

–The variable component of the remuneration for a financial year (understood as the sum of all variable components of the

remuneration) shall be limited to a maximum amount of 100% of the fixed component of the total remuneration

(understood as the sum of all fixed components of the remuneration), unless the General Shareholders' Meeting of BBVA

resolves to increase this percentage up to a maximum of 200%.

In this regard, the General Shareholders’ Meeting of BBVA held on April 20, 2021 resolved to increase this limit to a

maximum level of 200% of the fixed component of the total remuneration for a given number of the Identified Staff

members, in the terms indicated in the report issued for this purpose by the Board of Directors dated March 15, 2021.

–Any type of remuneration, other than Annual Variable Remuneration, considered to be variable remuneration shall be

subject to the rules regarding award, vesting and payment applicable in accordance with the type and nature of the

remuneration component itself.

During 2021, in accordance with the applicable remuneration policies, a total amount of 2,945,689 BBVA shares corresponding to the

Upfront Portion of 2020 Annual Variable Remuneration, mostly, and other variable components of remuneration, has been delivered

to the Identified Staff.

P.176

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Additionally, according to the Remuneration Policy applicable in 2017, during 2021 a total amount of 2,965,487 BBVA shares

corresponding to the first payment of the Deferred Portion of 2017 Annual Variable Remuneration of executive directors and Senior

Management and to the full Deferred Portion of the 2017 Annual Variable Remuneration of the rest of the Identified Staff, has been

delivered.

Detailed information on the delivery of shares to executive directors and Senior Management of BBVA who held this position as of

December 31, 2021, is included in Note 54.

Lastly, in line with specific regulation applicable in Portugal and Brazil, BBVA IFIC and BBVA Brazil Banco de Investimento have

identified (on an individual basis, respectively) the staff in these countries whose annual variable remuneration should be subject to a

specific settlement and payment scheme established in their corresponding remuneration policies, more specifically:

–A percentage of the annual variable remuneration is subject to a three years deferral that shall be paid yearly over the

mentioned period.

–50% of the annual variable remuneration, both the upfront portion and deferred portion, shall be established in BBVA

shares.

–In BBVA IFIC, resulting cash portions of the deferred portion of annual variable remuneration and subject to multi-year

performance indicators, finally delivered, shall be updated following the Consumer Price Index (CPI) measured as year-on-

year price variation.

–In BBVA Brasil Banco de Investimento, both the cash amounts and share amounts of the deferred portion may be subject to

update adjustments in cash.

According to this remuneration scheme, during financial year 2021 a total of 15,802 BBVA shares corresponding to the upfront

portion of 2020 annual variable remuneration have been delivered to these staff in Portugal and Brazil.

Additionally, during 2021 there have been delivered to these staff in Portugal and Brazil a total of 4,422 BBVA shares corresponding to

the first third of the deferred portion of 2019 annual variable remuneration, as well as 332 euros as adjustments for updates (for

shares delivered in Brazil). A total of 5,083 BBVA shares corresponding to the second third of the deferred portion of 2018 annual

variable remuneration and 1,097 euros as adjustments for updates (for shares delivered in Brazil); and a total of 9,558 BBVA shares

corresponding to the last third of the deferred portion of 2017 annual variable remuneration and 1,118 euros as adjustments for

updates (for shares delivered in Brazil).

44.2Other administrative expense

The breakdown of the balance under this heading in the accompanying consolidated income statements is as follows:

Other administrative expense. Breakdown by main concepts (Millions of Euros)

2021

2020

2019

Technology and systems

1,176

1,088

1,060

Communications

175

172

181

Advertising

207

186

250

Property, fixtures and materials

380

404

477

Taxes other than income tax

347

344

378

Surveillance and cash courier services

179

161

188

Other expense

786

749

885

Total

3,249

3,105

3,418

45.Depreciation and amortization

The breakdown of the balance under this heading in the accompanying consolidated income statements for the years ended

December 31, 2021, 2020 and 2019 is as follows:

Depreciation and amortization (Millions of Euros)

Notes

2021

2020

2019

Tangible assets

740

781

876

For own use

437

453

523

Right-of-use assets

299

324

349

Investment properties and other

Intangible assets

18.2

494

507

510

Total

1,234

1,288

1,386

P.177

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

46.Provisions or reversal of provisions

For the years ended December 31, 2021, 2020 and 2019, the net provisions recognized in this income statement line item were as

follows:

Provisions or reversal of provisions (Millions of Euros)

Notes

2021

2020

2019

Pensions and other post-employment defined benefit obligations

210

213

Commitments and guarantees given

192

Pending legal issues and tax litigation

135

208

171

Other provisions (*)

814

136

133

Total

1,018

746

614

(*) In 2021, it includes a provision for the agreement with the union representatives on the collective layoff procedure proposed for Banco Bilbao Vizcaya Argentaria, S.A. in Spain

(see Note 24).

47.Impairment or reversal of impairment on financial assets not measured at fair

value through profit or loss or net gains by modification

The breakdown of impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net

gains by modification by the nature of those assets in the accompanying consolidated income statements is as follows:

Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by

modification (Millions of Euros)

Notes

2021

2020

2019

Financial assets at fair value through other comprehensive income -

Debt securities

Financial assets at amortized cost (*)

3,017

5,160

3,470

Of which: Recovery of written-off assets by cash collection

7.2.5

(423)

(339)

(919)

Total

3,034

5,179

3,552

(*) In 2020, the amount included the negative impact of the update of the macroeconomic scenario following the COVID-19 pandemic (see Notes 1.5, 7.1 and 7.2)

48.Impairment or reversal of impairment of investments in joint ventures and

associates

The heading “Impairment or reversal of the impairment of investments in joint ventures or associates" did not include any impairment

or reversal of impairment in the year ended 2021, and resulted in a loss of €190 million and €46 million for the years ended December

31, 2020 and 2019, respectively (see Note 16.3).

49.Impairment or reversal of impairment on non-financial assets

The impairment losses on non-financial assets broken down by the nature of those assets in the accompanying consolidated income

statements are as follows:

Impairment or reversal of impairment on non-financial assets (Millions of Euros)

Notes

2021

2020

2019

Tangible assets (*)

161

125

Intangible assets

Others

Total

221

153

128

(*) In 2021, it includes the impairment due to the closing of rented offices after the agreement with the union representatives on the collective layoff procedure proposed for

Banco Bilbao Vizcaya Argentaria, S.A. in Spain (see Notes 17 and 24).

P.178

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

50.Gains (losses) from non-current assets and disposal groups classified as held for

sale not qualifying as discontinued operations

The main items included in the balance under this heading in the accompanying consolidated income statements are as follows:

Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued

operations (Millions of Euros)

Notes

2021

2020

2019

Gains on sale of real estate

116

Impairment of non-current assets held for sale (*)

(97)

(103)

(72)

Gains (losses) on sale of investments classified as non-current assets held for sale (**)

431

Gains on sale of equity instruments classified as non-current assets held for sale

—

Total

(40)

444

(*) In 2021, it includes the impairment due to the closing of owned offices and the decommissioning of facilities after the agreement with the union representatives on the

collective layoff procedure proposed for Banco Bilbao Vizcaya Argentaria, S.A. in Spain (see Notes 21 and 24).

(**) The variation in year 2020 is mainly due to the transfer of half plus one share in BBVA Allianz Seguros y Reaseguros, S.A. (see Note 3).

51.Consolidated statements of cash flows

The variation between 2021, 2020 and 2019 of the financial liabilities from financing activities is the following:

Liabilities from financing activities. December 2021 (Millions of Euros)

December

31, 2020

Cash

flows

Non-cash changes

December

31, 2021

Acquisition

Disposal

Disposals

companies

held for

sale

Foreign

exchange

movement

Fair value

changes

Liabilities at amortized cost: Debt

certificates

61,780

(5,728)

—

(289)

—

55,763

Of which: Issuances of subordinated

liabilities (*)

17,248

(1,941)

—

(772)

—

259

—

14,794

(*) Additionally, there is €14 million of subordinated deposits as of December 31, 2021 (see Note 22.4 and Appendix VI). The subordinated issuances of BBVA Paraguay and of the

USA Sale perimeter as of December 31, 2020 were recorded in the heading "Liabilities included in disposal groups classified as held for sale" of the consolidated balance and

amounted to €37 and €735 million, respectively. In addition, in 2021 there were coupon payments of subordinated liabilities for 359 million euros.

Liabilities from financing activities. December 2020 (Millions of Euros)

December

31, 2019

Cash

flows

Non-cash changes

December

31, 2020

Acquisition

Disposal

Disposals

companie

s held for

sale (**)

Foreign

exchange

movement

Fair value

changes

Liabilities at amortized cost: Debt

certificates

63,963

3,003

—

(3,160)

(2,026)

—

61,780

Of which: Issuances of

subordinated liabilities (*)

17,675

(8)

—

(419)

—

17,248

(*) Additionally, there were €12 million of subordinated deposits as of December 31, 2020 (see Note 22.4 and Appendix VI). The subordinated issuances of BBVA Paraguay and of

the USA Sale perimeter as of December 31, 2020 were recorded in the heading "Liabilities included in disposal groups classified as held for sale" of the consolidated balance and

amounted to €37 and €735 million, respectively. In addition, in 2020 there were coupon payments of subordinated liabilities for 387 million euros.

(**) Includes mainly the balance of the USA Sale perimeter (see Notes 1.3, 3 and 21).

P.179

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Liabilities from financing activities. December 2019 (Millions of Euros)

December

31, 2018

Cash flows

Non-cash changes

December

31, 2019

Acquisition

Disposal

Foreign

exchange

movement

Fair value

changes

Liabilities at amortized cost: Debt

certificates

61,112

2,643

—

209

—

63,963

Of which: Issuances of subordinated

liabilities (*)

17,635

(190)

—

229

—

17,675

(*)Additionally, there were subordinated deposits for €384 million as of December 31, 2019 (see Note 22.4 and Appendix VI).

Subordinated issuances corresponding to BBVA Paraguay as of December 31, 2019 were recorded in the heading "Liabilities included in disposal groups classified as held for sale"

and amounted to €40 million.

52.Accountant fees and services

The details of the fees for the services contracted by entities of the BBVA Group for the years ended December 31, 2021, 2020 and

2019 with their respective auditors and other audit entities are as follows:

Fees for Audits conducted and other related services (*) (Millions of euros)

2021

2020

2019

Audits of the companies audited by firms belonging to the KPMG

worldwide organization and other reports related with the audit (**)

24.4

27.7

28.1

Other reports required pursuant to applicable legislation and tax

regulations issued by the national supervisory bodies of the countries in

which the Group operates, reviewed by firms belonging to the KPMG

worldwide organization

1.5

1.3

1.5

Fees for audits conducted by other firms

0.2

—

(*) Regardless of the billed year.

(**) Including fees pertaining to annual legal audits (€21.0, €23.6 and €24.1 million as of December 31, 2021, 2020 and 2019, respectively).

In the years ended December 31, 2021, 2020 and 2019, certain entities in the BBVA Group contracted other services (other than

audits) as follows:

Other Services rendered (Millions of Euros)

2021

2020

2019

Firms belonging to the KPMG worldwide organization

0.2

0.4

0.3

This total of contracted services includes the detail of the services provided by KPMG Auditores, S.L. to BBVA, S.A. or its controlled

companies at the date of preparation of these consolidated financial statements as follows:

Fees for audits conducted (*) (Millions of Euros)

2021

2020

2019

Legal audit of BBVA,S.A. or its companies under control

7.2

6.5

Other audit services of BBVA, S.A. or its companies under control

5.2

5.4

5.5

Limited Review of BBVA, S.A. or its companies under control

0.9

Reports related to issuances

0.1

0.3

Assurance services and other required by the regulator

0.8

0.9

0.8

(*) Services provided by KPMG Auditores, S.L. to companies located in Spain, to the branch of BBVA in New York and to the branch of BBVA in London.

The services provided by the auditors meet the independence requirements of the external auditor established under Audit of

Accounts Law (Law 22/2015) and under the Sarbanes-Oxley Act of 2002 adopted by the Securities and Exchange Commission

(SEC).

53.Related-party transactions

As financial institutions, BBVA and other entities in the Group engage in transactions with related parties in the normal course of their

business. These transactions are not significant and are carried out under normal market conditions. As of December 31, 2021, 2020

and 2019, the following are the transactions with related parties:

P.180

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

53.1Transactions with significant shareholders

As of December 31, 2021, 2020 and 2019, there were no shareholders considered significant (see Note 26).

53.2Transactions with BBVA Group entities

The balances of the main captions in the accompanying consolidated balance sheets arising from the transactions carried out by the

BBVA Group with associates and joint venture entities accounted for using the equity method are as follows:

Balances arising from transactions with entities of the Group (Millions of Euros)

2021

2020

2019

Assets

Loans and advances to credit institutions

148

Loans and advances to customers

2,031

1,743

1,682

Liabilities

Deposits from credit institutions

—

Customer deposits

296

791

453

Memorandum accounts

Financial guarantees given

154

132

166

Other contingent commitments given

1,056

1,400

1,042

Loan commitments given

106

The balances of the main captions in the accompanying consolidated income statements resulting from transactions with associates

and joint venture entities that are accounted for under the equity method are as follows:

Balances of consolidated income statement arising from transactions with entities of the Group (Millions of Euros)

2021

2020

2019

Income statement

Interest and other income

Interest expense

—

Fee and commission income

Fee and commission expense

There were no other material effects in the consolidated financial statements arising from dealings with these entities, other than the

effects from using the equity method (see Note 2.1) and from the insurance policies to cover pension or similar commitments (see

Note 25) and the derivatives transactions arranged by BBVA Group with these entities, associates and joint ventures.

In addition, as part of its normal activity, the BBVA Group has entered into agreements and commitments of various types with

shareholders of subsidiaries and associates, which have no material effects on the accompanying consolidated financial statements.

53.3Transactions with members of the Board of Directors and Senior Management

Pursuant to the provisions of the Corporate Enterprises Act, the power to approve transactions that the Company or its subsidiaries

conclude with members of the Board of Directors or Senior Management of the Bank or their related parties rests on the General

Shareholders’ Meeting if the amount or value of the transaction is equal to or exceeds 10% of total asset items according to the last

approved annual balance sheet and, on the Board of Directors, in relation to the rest of related party transactions entered into, which

may not be delegated, except for transactions that comply with the requirements of the Corporate Enterprises Act.

The Regulations of the Board of Directors establish that the Board of Directors will be responsible for approving, where appropriate,

transactions between the Company or companies within its Group and directors or their related parties. In addition, in accordance

with specific sectoral regulations, with regard to transactions with related parties, are governed by Royal Decree 84/2015 of 13

February, implementing Act 10/2014 of 26 June, on the regulation, supervision and solvency of credit institutions, and Bank of Spain

Circular 2/2016 of 2 February, on the supervision and solvency of credit institutions, the Bank has specific internal regulations in this

regard, which specifically govern the process of granting and approving credit risk transactions for members of BBVA Board of

Directors and Senior Management, the approval of which lies with the Bank Board of Directors, and for their related parties.

The transactions entered into between BBVA or its Group companies with members of the Board of Directors and Senior

Management of the Bank or their related parties were within the scope of the ordinary course of business of the Bank and were

immaterial, defined as transactions the disclosure of which is not necessary to present a true and fair view of the Bank's equity,

financial position and results, and were concluded on normal markets terms or on terms applicable to the rest of employees.

The amount and nature of the main transactions carried out with members of the Board of Directors and Senior Management of the

Bank, or their respective related parties, are shown below.

P.181

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Balance at 31st December of each year (EUR thousand)

2021

2020

2019

Directors

parties of

Directors

Senior

Management*

parties of

Senior

Management

Directors

parties of

Directors

Senior

Management*

parties of

Senior

Management

Directors

parties of

Directors

Senior

Management*

parties of

Senior

Management

Loans and

credits

765

207

5,419

573

—

5,349

580

607

—

4,414

Bank

guarantees

—

Business

credit

—

*Excluding executive directors

Information on remuneration paid and other benefits granted to members of the Board of Directors and Senior Management of BBVA

is provided in Note 54.

53.4Transactions with other related parties

As of December 31, 2021, 2020 and 2019 the Group has not carried out operations with other related parties that do not belong to the

line of business or ordinary traffic of its activity, that are not carried out under normal market conditions and that are not of low

relevance; understanding by such those whose information is not necessary to give the true image of the assets, the financial

situation and the results, consolidated, of the BBVA Group.

54.Remuneration and other benefits for the Board of Directors and members of the

Bank's Senior Management

Remuneration received by non-executive directors in 2021

The remuneration paid to non-executive members of the Board of Directors during the 2021 financial year is indicated below,

individualized and itemized:

Remuneration for non-executive directors (thousands of Euros)

Board of

Directors

Executive

Committee

Audit

Committee

Risk and

Compliance

Committee

Remuneration

Committee

Appointments

and Corporate

Governance

Committee

Technology

and

Cybersecurity

Committee

Other

positions

(1)

Total

José Miguel Andrés Torrecillas

129

167

115

527

Jaime Caruana Lacorte

129

167

165

107

567

Raúl Galamba de Oliveira

129

107

278

Belén Garijo López

129

107

349

Sunir Kumar Kapoor

129

172

Lourdes Máiz Carro

129

238

José Maldonado Ramos

129

167

342

Ana Peralta Moreno

129

238

Juan Pi Llorens

129

214

512

Ana Revenga Shanklin

129

107

236

Susana Rodríguez Vidarte

129

167

107

449

Carlos Salazar Lomelín

129

172

Jan Verplancke

129

214

Total (2)

1,673

667

431

642

278

301

171

130

4,293

(1) Amounts received during the 2021 financial year by José Miguel Andrés Torrecillas, in his capacity as Deputy Chair of the Board of Directors, and by Juan Pi Llorens, in his

capacity as Lead Director.

(2) Includes amounts corresponding to membership on the Board and its various committees during the 2021 financial year..

Also, during the 2021 financial year, €102 thousand was paid out in casualty and healthcare insurance premiums for non-executive

directors.

Remuneration received by executive directors in 2021

During the 2021 financial year, the executive directors received the amount of Annual Fixed Remuneration corresponding to that

financial year, established for each director in the BBVA Directors' Remuneration Policy, which was approved by the General Meeting

held on 20 April 2021 .

P.182

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

In view of the exceptional circumstances arising from the COVID-19 crisis, the executive directors voluntarily waived the generation of

all Annual Variable Remuneration (AVR) corresponding to the 2020 financial year, and as such, they did not accrue any remuneration

in this respect.

2021 Annual Fixed Remuneration (thousands of Euros)

Chairman

2,924

Chief Executive Officer

2,179

Total

5,103

In addition, in accordance with the conditions established in the BBVA Directors' Remuneration Policy, during the 2021 financial year,

the Chief Executive Officer received €654 thousand for the cash in lieu of pension item (equivalent to 30% of his Annual Fixed

Remuneration)—given that he does not have a retirement pension (see the "Pension commitments" section of this Note), and €600

thousand for the mobility allowance item.

2020 Annual Variable Remuneration

In cash

(thousands of Euros)

In shares

Chairman

Chief Executive Officer

Total

In accordance with the remuneration policies applicable in 2017 and in application of the settlement and payment system for the

Annual Variable Remuneration for said financial year, in 2021, the executive directors have received, the portion of the Deferred

Annual Variable Remuneration for the 2017 financial year (60% of the total AVR) payable in 2021 (60% of the Deferred Portion in the

case of the Chairman and the entire Deferred Portion in the case of the Chief Executive Officer), after it was determined that no

downward adjustment had to be made, based on the result of the multi-year performance indicators approved for such remuneration.

In the case of the Chairman, 40% of this remuneration was paid in cash and 60% in shares; and in the case of the Chief Executive

Officer, this remuneration was paid in equal parts cash and shares, together, in both cases, with the corresponding update in cash,

thus concluding the payment of the Chief Executive Officer's Annual Variable Remuneration for the 2017 financial year.

Deferred Annual Variable Remuneration for previous financial years (1)

In cash

(thousands of Euros)

In shares

Chairman

411

83,692

Chief Executive Officer

307

39,796

Total

717

123,488

(1) Remuneration corresponding to the Deferred AVR for the 2017 financial year payable in 2021, together with its update in cash. The Deferred AVR of the Chairman and the Chief

Executive Officer for the 2017 financial year is associated with their previous positions as Chief Executive Officer and President & CEO of BBVA USA, respectively.

In addition, the executive directors received remuneration in kind during the 2021 financial year, including insurance premiums and

others, amounting to an aggregate total of €486 thousand, of which €328 thousand corresponds to the Chairman and €158 thousand

to the Chief Executive Officer.

Remuneration received by Senior Management in 2021

During the 2021 financial year, the members of Senior Management, excluding executive directors, received the amount of the Annual

Fixed Remuneration corresponding to that financial year.

As in the case of the executive directors, the members of Senior Management did not accrue any Annual Variable Remuneration for

the 2020 financial year, given that, in view of the exceptional circumstances arising from the COVID-19 crisis, they all voluntarily

waived its accrual.

The remuneration paid during the 2021 financial year to members of Senior Management as a whole, who held that position as at 31

December 2021 (16 members, excluding executive directors), is itemized by remuneration item below:

2021 Annual Fixed Remuneration (thousands of euros)

Senior Management total

16,435

P.183

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

2020 Annual Variable Remuneration

In cash

(thousands of Euros)

In shares

Senior Management total

Even though the members of Senior Management have not accrued any amount corresponding to 2020 Annual Variable

Remuneration as they waived it, two members of Senior Management have received in 2021 variable remunerations corresponding to

retention bonuses derived from their former positions. Therefore, in accordance with the BBVA Group General Remuneration Policy,

which is applicable to the members of Senior Management, retention bonuses are considered variable remuneration and comply with

applicable rules regarding payment in shares, deferral, ex post adjustments and malus and clawback arrangements established in

such Policy for the Annual Variable Remuneration. The variable remunerations received in this regard in 2021 by the members of

Senior Management amount to a total aggregate amount of €862 thousand and 203,834 BBVA shares.

In accordance with the remuneration policy for this group applicable in 2017 and in application of the settlement and payment system

for the Annual Variable Remuneration for said financial year, in 2021, the members of Senior Management who were beneficiaries of

such remuneration received the portion of the Deferred Annual Variable Remuneration for the 2017 financial year payable in 2021,

after it was determined that no downward adjustment had to be made, based on the result of the multi-year performance indicators

approved for such remuneration. In accordance with the remuneration policy applicable in 2017, current members of Senior

Management who held such a position in the 2017 financial year were paid 40% of this remuneration in cash and 60% in shares, while,

in the case of members who did not hold such a position in the 2017 financial year, this remuneration was paid in equal parts cash and

shares. In both cases, the corresponding update in cash was included. This payment concluded the payment of the Annual Variable

Remuneration for the 2017 financial year to the members of Senior Management who, while being members of the Identified Staff,

were not members of Senior Management in that financial year.

Annual Variable Remuneration corresponding to previous financial years (1)

In cash

(thousands of Euros)

In shares

Senior Management total

667

119,313

(1) Remuneration corresponding to the Deferred AVR for the 2017 financial year payable in 2021, in the case of members of Senior Management who were beneficiaries, together

with its update in cash. .

In addition, all members of Senior Management, excluding executive directors, received remuneration in kind during the 2021

financial year, including insurance premiums and others, amounting to a total of €1,409 thousand.

Remuneration of executive directors due in 2022 and subsequent financial years

–Annual Variable Remuneration for executive directors for the 2021 financial year

Following the end of the 2021 financial year, the amount corresponding to the Annual Variable Remuneration of executive directors

for said financial year was determined, applying the calculation rules set out in the BBVA Directors' Remuneration Policy approved by

the General Meeting held on 20 April 2021, in which it is also established that the remuneration will be subject to the following vesting

and payment rules:

•The Upfront Portion (40% of the 2021 Annual Variable Remuneration) will be paid, provided that the applicable conditions

are met, during the first quarter of the 2022 financial year, in equal parts cash and shares, amounting to: €849 thousand

and 159,235 BBVA shares in the case of the Chairman, and €645 thousand and 120,977 BBVA shares in the case of the

Chief Executive Officer.

•The remaining 60% of the 2021 Annual Variable Remuneration will be deferred (40% in cash and 60% in shares) for a

period of five years (Deferred Portion) and paid, provided that the applicable conditions are met, proportionally at the end of

each year for each of the five years of deferral, in an amount equal to 20% of the Deferred Portion each year: 20% in 2023,

20% in 2024, 20% in 2025, 20% in 2026 and 20% in 2027. The Deferred Portion may be reduced, but never increased,

based on the result of the multi-year performance indicators determined by the Board of Directors, on the proposal of the

Remuneration Committee and following analysis by the Risk and Compliance Committee, at the beginning of the 2021

financial year. Following the end of the financial year corresponding to the third year of deferral, the result of the multi-year

performance indicators will determine the application of the ex post adjustments that, if appropriate, should be made to the

outstanding amount of the Deferred Portion. All of this is subject to the vesting and payment rules provided for in the BBVA

Directors' Remuneration Policy.

•Moreover, the rest of the rules set forth in the BBVA Directors’ Remuneration Policy regarding the Annual Variable

Remuneration of executive directors will be applicable to 2021 Annual Variable Remuneration, including: (i) a withholding

period of one year after delivery of the BBVA shares received; (ii) the prohibition of using personal hedging strategies or

insurance that may undermine the effects of alignment with prudent risk management; (iii) update criteria for the Deferred

Portion in cash; (iv) malus and clawback arrangements during the whole deferral and withholding period; and (v) the

limitation of variable remuneration up to a maximum amount of 200% of the fixed component of the total remuneration, as

resolved by the General Meeting held on 2021.

P.184

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

–Deferred Annual Variable Remuneration for executive directors for the 2018 financial year

Following the end of the 2021 financial year, the Deferred Annual Variable Remuneration for the 2018 financial year of executive

directors, due to be delivered in 2022, provided that the applicable conditions are met, to executive directors, in the percentages

applicable in each case in accordance with the payment schedule established in the remuneration policies in effect in the 2018

financial year and applicable to each of them, was determined.

Therefore, the final amount of the Deferred Annual Variable Remuneration for the 2018 financial year was determined, which has been

adjusted downwards based on the result of the multi-year performance indicators set by the Board of Directors in 2018 for its

calculation and in application of the corresponding scales of achievement and their corresponding targets and weightings. In addition,

the amount of the 2018 Deferred Annual Variable Remuneration of executive directors payable in 2022 (60% of the Deferred Portion

of the 2018 AVR in the case of the Chairman and the entire 2018 Deferred AVR in the case of the Chief Executive Officer) was

determined in the amount of €364 thousand and 107,386 BBVA shares in the case of the Chairman, and €332 thousand and 61,282

BBVA shares in the case of the Chief Executive Officer. In both cases, this includes the corresponding updates in cash.

–Deferred Annual Variable Remuneration for the Chairman for the 2017 financial year

Following the close of the 2020 financial year, the Deferred Annual Variable Remuneration for the 2017 financial year of executive

directors, due to be delivered in 2021, provided that the applicable conditions were met, to executive directors, in the percentages

applicable in each case in accordance with the payment schedule established in the remuneration policies in effect in the 2017

financial year and applicable to each of them, was determined.

Thus, based on the result of each of the multi-year performance indicators set by the Board of Directors in 2017 to calculate the

Deferred Portion of this remuneration, and in application of the corresponding scales of achievement and their corresponding targets

and weightings, the final amount of the Deferred Annual Variable Remuneration for the 2017 financial year for executive directors was

determined and the amounts due to be paid in 2021 were paid (60% of his Deferred Annual Variable Remuneration for the 2017

financial year in the case of the Chairman, and the whole of it in the case of the Chief Executive Officer); all of which was reported in

that financial year.

In 2022, the second payment (20%) of the 2017 Deferred AVR, which was determined to amount to €146 thousand and 27,898 BBVA

shares, is due to the Chairman, including the corresponding update.

–Outstanding deferred Annual Variable Remuneration for executive directors

As of the end of the 2021 financial year, in accordance with the conditions established in the remuneration policies applicable in

previous years, in addition to the third payment (20%) of the 2017 Deferred AVR (due to be paid in 2023) and 40% of the 2018

Deferred AVR of the Chairman (due to be paid in 2023 and 2024), 60% of the 2019 and 2021 Annual Variable Remuneration for both

executive directors remains deferred and will be received in future years, provided that the applicable conditions are met.

Remunerations of Senior Management due in 2022 and subsequent financial years

–Annual Variable Remuneration for Senior Management for the 2021 financial year

Following the end of the 2021 financial year, the Annual Variable Remuneration of members of Senior Management corresponding to

said financial year was determined (16 members as at 31 December 2021, excluding executive directors). For all members of Senior

Management in aggregate, excluding executive directors, this Annual Variable Remuneration amounted to a total of €9,151 thousand,

applying the rules established in the BBVA Group General Remuneration Policy, in which the following applicable vesting and payment

rules are established:

•The Upfront Portion (40% of the 2021 Annual Variable Remuneration) will be paid, provided that the applicable conditions

are met, during the first four months of the 2022 financial year, in equal parts cash and shares, which represents a total

aggregate amount of €1,830 thousand and 346,106 BBVA shares.

•The remaining 60% of the 2021 Annual Variable Remuneration will be deferred (40% in cash and 60% in shares) for a

period of five years (Deferred Portion) and paid, provided that the applicable conditions are met, proportionally at the end of

each year for each of the 5 years of deferral, in an amount equal to 20% of the Deferred Portion each year: 20% in 2023,

20% in 2024, 20% in 2025, 20% in 2026 and 20% in 2027. The Deferred Portion may be reduced, but never increased,

based on the result of the multi-year performance indicators determined by the Board of Directors, on the proposal of the

Remuneration Committee and following analysis by the Risk and Compliance Committee, at the beginning of the 2021

financial year. Following the end of the financial year corresponding to the third year of deferral, the result of the multi-year

performance indicators will determine the application of the ex post adjustments that, if appropriate, should be made to the

outstanding amount of the Deferred Portion. All of this is subject to the vesting and payment rules provided for in the BBVA

Group General Remuneration Policy.

•Moreover, the rest of the rules set forth in the BBVA Group General Remuneration Policy regarding the Annual Variable

Remuneration of members of Senior Management will be applicable to 2021 Annual Variable Remuneration, including: (i) a

withholding period of one year after delivery of the BBVA shares received; (ii) the prohibition of using personal hedging

strategies or insurance that may undermine the effects of alignment with prudent risk management; (iii) update criteria for

P.185

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

the Deferred Portion in cash; (iv) malus and clawback arrangements during the whole deferral and withholding period; and

(v) the limitation of variable remuneration up to a maximum amount of 200% of the fixed component of the total

remuneration, as agreed by the General Meeting held on 2021.

–Deferred Annual Variable Remuneration for Senior Management for the 2018 financial year.

Following the end of the 2021 financial year, the Deferred Annual Variable Remuneration for members of Senior Management (16

members as at 31 December 2021, excluding executive directors) for the 2018 financial year due to be delivered in 2022, provided

that the applicable conditions are met, to members of Senior Management who were beneficiaries of said remuneration, in the

percentages applicable in each case in accordance with the payment schedule established in the remuneration policies in effect in the

2018 financial year and applicable to each of them, was determined.

Thus, the final amount of the Deferred Annual Variable Remuneration for the 2018 financial year, which has been adjusted downwards

based on the result of the multi-year performance indicators set by the Board of Directors in 2018 for its calculation and in application

of the corresponding scales of achievement and their corresponding objectives and weightings, was determined. Thus, the amount of

the Deferred Portion of the Annual Variable Remuneration for the 2018 financial year due for delivery in 2022 to those members of

Senior Management who were beneficiaries thereof, excluding executive directors, was determined to amount to an aggregate total

amount of €691 thousand and 177,104 BBVA shares, including the corresponding updates.

–Deferred Annual Variable Remuneration for Senior Management for the 2017 financial year

Following the end of the 2020 financial year, the Deferred Annual Variable Remuneration for the 2017 financial year for members of

Senior Management, excluding executive directors, payable in 2021 to the members of Senior Management who were beneficiaries

thereof, provided that the applicable conditions were met, in the corresponding amounts in each case in accordance with the

percentages applicable per the payment schedule established in the remuneration policies in effect in the 2017 financial year and

applicable to each of them, was determined.

Thus, based on the result of each of the multi-year performance indicators set by the Board of Directors in 2017 to calculate the

Deferred Portion of this remuneration, and in application of the corresponding scales of achievement and their corresponding targets

and weightings, the final amount of the Deferred Annual Variable Remuneration for the 2017 financial year for members of Senior

Management, excluding executive directors, was determined and the amounts payable in 2021 in each case were paid, all of which

was reported in that financial year.

In 2022, provided that the applicable conditions are met, an aggregate total amount of €156 thousand euros and 29,267 BBVA

shares, including the corresponding updates, is due to be paid to members of Senior Management (16 members as at 31 December

2021, excluding executive directors) as Deferred Annual Variable Remuneration for the 2017 financial year.

–Outstanding deferred Annual Variable Remuneration for Senior Management

As of the end of the 2021 financial year, in accordance with the conditions established in the remuneration policies applicable in

previous years, in addition to the third payment (20%) of the 2017 Deferred AVR (due to be paid in 2023), 40% of the 2018 Deferred

AVR (due to be paid in 2023 and 2024), and 60% of the 2019 Deferred AVR (due to be paid in 2023, 2024 and 2025) in the case of

some members of Senior Management, 60% of the Annual Variable Remuneration for the 2021 financial year remains deferred and

will be received in future years, if the applicable conditions are met.

Fixed remuneration system with deferred delivery of shares for non-executive directors

BBVA has a fixed remuneration system with BBVA shares with deferred delivery for its non-executive directors, which was approved

by the General Meeting held on 18 March 2006 and extended by resolutions of the General Meetings held on 11 March 2011 and 11

March 2016 for a further five-year period in each case, and by the General Meeting held on 20 April 2021 for a further three-year

period.

This system is based on the annual allocation to non-executive directors of a number of "theoretical shares" of BBVA equivalent to

20% of the total annual fixed allowance in cash received by each director in the previous financial year, calculated according to the

average closing price of the BBVA share during the 60 trading sessions prior to the dates of the Annual General Meetings approving

the corresponding financial statements for each financial year.

These shares will be delivered to each beneficiary, where applicable, after they leave their positions as directors for any reason other

than serious dereliction of their duties.

The "theoretical shares" allocated to non-executive directors who are beneficiaries of the fixed remuneration system with shares with

deferred delivery in the 2021 financial year, corresponding to 20% of the total annual fixed allowance in cash received by each of them

in the 2020 financial year, were as follows:

P.186

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Theoretical shares

allocated in 2021 (1)

Theoretical shares

accumulated as at 31

December 2021

José Miguel Andrés Torrecillas

22,860

98,772

Jaime Félix Caruana Lacorte

25,585

56,972

Raúl Galamba de Oliveira

9,500

Belén Garijo López

15,722

77,848

Sunir Kumar Kapoor

7,737

30,652

Lourdes Máiz Carro

10,731

55,660

José Maldonado Ramos

15,416

123,984

Ana Peralta Moreno

10,731

26,396

Juan Pi Llorens

23,079

115,896

Ana Revenga Shanklin

7,568

Susana Rodríguez Vidarte

20,237

161,375

Carlos Salazar Lomelín

5,642

Jan Verplancke

9,024

21,416

Total

183,832

791,681

(1)The number of "theoretical shares" allocated to each non-executive director is equal to 20% of the total annual fixed allowance in cash received by each such director in 2020

based on the average closing price of the BBVA share during the 60 trading sessions prior to the General Meeting of 20 April 2021, which was €4.44 per share.

Pension commitments with executive directors and Senior Management

The Bank has not assumed pension commitments with non-executive directors.

With regard to the Chairman, the BBVA Directors' Remuneration Policy establishes a pension framework whereby he is eligible,

provided that he does not leave his position as a result of serious dereliction of his duties, to receive a retirement pension, paid in

either income or capital, when he reaches the legally established retirement age. The amount of this pension will be determined by the

annual contributions made by the Bank, together with their corresponding accumulated yields at that date.

The annual contribution to cover the retirement contingency for the Chairman's defined-contribution system, as established in the

BBVA Directors' Remuneration Policy approved by the General Meeting in 2021, amounts to €439 thousand. The Board of Directors

may update this amount during the term of the Policy, in the same way and under the same terms as it may update the Annual Fixed

Remuneration.

15% of the agreed annual contribution will be based on variable components and considered “discretionary pension benefits” and will,

therefore, be subject to the conditions regarding delivery in shares, withholding and clawback established in the applicable

regulations, as well as any other conditions concerning variable remuneration that may be applicable in accordance with the BBVA

Directors' Remuneration Policy.

In the event that the Chairman's contract is terminated before he reaches retirement age for reasons other than serious dereliction of

duties, the retirement pension due to the Chairman upon him reaching the legally established retirement age will be calculated based

on the funds accumulated through the contributions made by the Bank, under the terms set out, up to that date, plus the

corresponding accumulated yield, with no additional contributions to be made by the Bank from the time of termination.

With respect to the commitments in favour of the Chairman to cover the contingencies of death and disability, the Bank will pay the

corresponding annual insurance premiums in order to top up this coverage.

In line with the above, during the 2021 financial year, the following amounts were recorded to meet the pension commitments for the

Chairman: an amount of €340 thousand with regard to the retirement contingency, which corresponds to the annual contribution

agreed to cover the retirement contingency reduced in an amount of €98 thousand corresponding to the downwards adjustment of

the “discretionary pension benefits” of 2020 financial year, which were declared at the close of said financial year and had to be

registered in the accumulated fund in 2021. Likewise, an amount of €574 thousand has been recorded for the payment of premiums

for the death and disability contingencies.

As at 31 December 2021, the total accumulated amount of the fund to meet the retirement commitments for the e Chairman

amounted to €24,546 thousand.

With regard to the agreed annual contribution for the retirement contingency corresponding to the 2021 financial year, 15% (€66

thousand) was recorded in said financial year as “discretionary pension benefits”. Following the end of the financial year, this amount

was adjusted by applying the same criteria used to determine the Chairman's Annual Variable Remuneration for the 2021 financial

year and was determined to amount to €78 thousand, which represents an upwards adjustment of €12 thousand. These

“discretionary pension benefits” will be included in the accumulated fund in the 2022 financial year and will be subject to the

conditions established for them in the BBVA Directors' Remuneration Policy.

With regard to the Chief Executive Officer, in accordance with the provisions of the BBVA Directors' Remuneration Policy approved by

the General Meeting and those of his contract, the Bank is not required to make any contributions to a retirement pension, although

P.187

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

he is entitled to an annual cash sum instead of a retirement pension (cash in lieu of pension) equal to 30% of his Annual Fixed

Remuneration. However, the Bank does have pension commitments to cover the death and disability contingencies, for which

purpose the corresponding annual insurance premiums are paid.

In accordance with the above, in the 2021 financial year, the Bank paid the Chief Executive Officer the fixed-remuneration amount set

out for cash in lieu of pension in the "Remuneration received by executive directors in 2021" section of this Note and, likewise, €295

thousand was recorded for the payment of the annual insurance premiums to cover the death and disability contingencies.

Furthermore, in the 2021 financial year, to meet the pension commitments for members of Senior Management (16 members holding

that position as at 31 December 2021, excluding executive directors), the following was recorded: an amount of €3,222 thousand for

contribution to the retirement contingency and an amount of €1,333 thousand for premiums to cover the death and disability

contingencies, as well as a downwards adjustment of €167 thousand for “discretionary pension benefits” corresponding to the 2020

financial year, which were declared at the end of that financial year and had to be registered in the accumulated fund in 2021.

As at 31 December 2021, the total accumulated amount of the fund to meet the retirement commitments for members of Senior

Management amounts to €27,472 thousand.

As for the executive directors, 15% of the agreed annual contributions for members of Senior Management to cover the retirement

contingency will be based on variable components and considered “discretionary pension benefits”, and are therefore subject to the

conditions regarding delivery in shares, withholding and clawback established in the applicable regulations, as well as any other

conditions concerning variable remuneration that may be applicable in accordance with the remuneration policy applicable to

members of Senior Management.

As such, with regard to the annual contribution for the retirement contingency registered in the 2021 financial year, an amount of

€482 thousand was registered in the 2021 financial year as “discretionary pension benefits” and, following the end of the financial

year, as in the case of the Chairman, this amount was adjusted by applying the same criteria used to determine the 2021 Annual

Variable Remuneration for members of Senior Management. Accordingly, the "discretionary pension benefits" for the financial year,

corresponding to all members of Senior Management, were determined to amount to a total of €591 thousand, representing an

upwards adjustment of €109 thousand. These “discretionary pension benefits” will be included in the accumulated fund for the 2022

financial year, and will be subject to the conditions established for them in the remuneration policy applicable to members of Senior

Management, in accordance with the regulations applicable to the Bank on this matter.

Payments for the termination of the contractual relationship

In accordance with the BBVA Directors' Remuneration Policy, the Bank has no commitments to pay severance indemnity to executive

directors.

With regard to Senior Management, excluding executive directors, the Bank did not make any payments arising from the termination

of contractual relationships in 2021.

P.188

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

55.Other information

55.1Environmental impact

Given the activities BBVA Group entities engage in, the Group has no environmental liabilities, expenses, assets, provisions or

contingencies that could have a significant effect on its consolidated equity, financial situation and profits. Consequently, as of

December 31, 2021, there is no item included that requires disclosure in an environmental information report pursuant to Ministry

JUS/794/2021, of July 22, by which the new model for the presentation in the Commercial Register of the consolidated annual

accounts of the subjects obliged to its publication is approved.

The attached Consolidated Management Report presents in more detail the BBVA Group's management of environmental impacts

and risks.

55.2Reporting requirements of the Spanish National Securities Market Commission (CNMV)

Dividends paid

The table below presents the dividends per share paid in cash during 2021, 2020 and 2019 (cash basis dividend, regardless of the

year in which they were accrued). For a complete analysis of all remuneration awarded to the shareholders in 2021, 2020 and 2019

(see Note 4).

Paid Dividends

2021

2020

2019

% Over

nominal

Euros per

Amount

(Millions

of Euros)

% Over

nominal

Euros per

Amount

(Millions

of Euros)

% Over

nominal

Euros per

Amount

(Millions

of Euros)

Ordinary shares

16.33%

0.08

533

32.65%

0.16

1,067

53.06%

0.26

1,734

Rest of shares

—

Total dividends paid in cash

16.33%

0.08

533

32.65%

0.16

1,067

53.06%

0.26

1,734

Dividends with charge to income

16.33%

0.08

533

32.65%

0.16

1,067

53.06%

0.26

1,734

Dividends with charge to reserve or

share premium

—

Dividends in kind

—

Flexible payment

—

Ordinary income and attributable profit by operating segment

The detail of the consolidated ordinary income and profit for each operating segment is as follows as of December 31, 2021, 2020 and

2019:

Ordinary income and attributable profit by operating segment (Millions of Euros)

Income from ordinary activities (**)

Profit/ (loss) (***)

2021

2020 (*)

2019 (*)

2021

2020 (*)

2019 (*)

Spain

8,266

8,579

9,300

1,581

652

1,436

Mexico

11,685

11,048

13,155

2,568

1,761

2,698

Turkey

7,388

6,594

8,868

740

563

506

South America

5,961

5,621

6,782

491

446

721

Rest of Business

884

1,128

1,134

254

222

184

Subtotal operating segments

34,184

32,970

39,238

5,633

3,644

5,544

Corporate Center

284

(287)

(303)

(980)

(2,339)

(2,032)

Total

34,468

32,683

38,935

4,653

1,305

3,512

(*) The figures corresponding to 2020 and 2019 have been restated.

(**) The line comprises interest income; dividend income; fee and commission income; gains (losses) on derecognition of financial assets and liabilities not measured at fair value

through profit or loss, net; gains (losses) on financial assets and liabilities held for trading, net; gains (losses) on non-trading financial assets mandatorily at fair value through

profit or loss, net; gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net; gains (losses) from hedge accounting, net; other operating

income; and income from insurance and reinsurance contracts.

(***) See Note 6.

P.189

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Interest income by geographical area

The breakdown of the balance of “Interest income and similar income” in the accompanying consolidated income statements by

geographical area is as follows:

Interest income. Breakdown by geographical area (Millions of Euros)

Notes

2021

2020

2019

Domestic

4,311

4,677

4,884

Foreign

18,704

17,712

22,878

European Union

315

400

470

Eurozone

204

243

304

Not Eurozone

112

157

166

Other countries

18,388

17,312

22,408

Total

37.1

23,015

22,389

27,762

Number of employees

The detail of the average number of employees is as follows as of December 31, 2021, 2020 and 2019:

Average number of employees

2021

2020

2019

Men

54,116

57,814

58,365

Women

62,169

67,076

67,778

Total

116,285

124,891

126,143

The breakdown of the average number of employees in the BBVA Group as of December 31, 2021, 2020 and 2019 is as follows:

Average number of employees

2021

2020

2019

Spanish banks

Management Team

984

1,013

1,049

Other line personnel

19,706

20,955

21,438

Clerical staff

1,862

2,192

2,626

Branches abroad

981

979

1,000

Subtotal

23,533

25,138

26,114

Banks abroad

Mexico

35,845

33,753

33,377

The United States

4,032

9,758

9,712

Turkey

21,791

21,946

22,026

Venezuela

1,875

2,227

2,806

Argentina

5,773

6,048

6,193

Colombia

5,130

5,326

5,301

Peru

6,077

6,149

5,976

Other

831

1,612

1,605

Subtotal

81,354

86,819

86,995

Pension fund managers

469

435

396

Other non-banking companies

10,929

12,499

12,638

Total

116,285

124,891

126,143

P.190

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The breakdown of the number of employees in the BBVA Group as of December 31, 2021, 2020 and 2019 by category and gender is

as follows:

Number of employees at the year end. Professional category and gender

2021

2020

2019

Male

Female

Male

Female

Male

Female

Management team

2,089

1,005

2,195

1,015

2,200

989

Other line personnel

31,875

31,658

34,518

34,240

37,337

39,108

Clerical staff

17,945

25,860

20,268

30,938

19,194

28,145

Total

51,909

58,523

56,981

66,193

58,731

68,242

In 2021, the agreement with the legal representation of the workers on the collective layoff procedure proposed for Banco Bilbao

Vizcaya Argentaria, S.A. in Spain is considered in the figures (see Note 24). Employees of companies sold in the USA Sale in 2021 are

included in the figures as of December 31, 2020 and 2019 (see Note 3).

55.3Mortgage market policies and procedures

The information on “Mortgage market policies and procedures” (for the granting of mortgage loans and for debt issues secured by

such mortgage loans) required by Bank of Spain Circular 5/2011, applying Royal Decree 716/2009, dated April 24, on the regulation

of the mortgage market and other mortgage and financial market regulations and Royal Decree 24/2021, dated November 2, on

transposition of European Union directives in matters of covered bonds and cross-border distribution of undertakings for collective

investment, can be found in Appendix X.

56.Subsequent events

Between January 1 and February 3, 2022, J.P. Morgan AG, as manager of the first tranche, has acquired 65,272,189 BBVA shares as

part of its share buyback program (see Note 4).

On February 3, 2022, BBVA announced that its Board of Directors agreed, within the Framework Program, to carry out a second

buyback program (the “Second Tranche”) aimed at reducing BBVA’s share capital, for a maximum amount of €2,000 million and a

maximum number of shares to be acquired equal to the result of subtracting from 637,770,016 own shares (9.6% of BBVA’s share

capital at that date) the number of own shares finally acquired in execution of the First Tranche. The implementation of the Second

Tranche, which will also be executed externally through a lead-manager, will begin after the end of the implementation of the First

Tranche and shall end no later than October 15, 2022 (see Note 4).

On January 3, 2022, it was announced that a cash distribution in the amount of €0.23 gross per share as shareholder remuneration in

relation to the Group's result in the 2021 financial year was expected to be submitted to the relevant governing bodies of BBVA for

consideration (see Note 4).

From January 1, 2022 to the date of preparation of these Consolidated Financial Statements, no other subsequent events not

mentioned above in these financial statements have taken place that could significantly affect the Group’s earnings or its equity

position.

57.Explanation added for translation into English

These accompanying consolidated financial statements are presented on the basis of IFRS, as adopted by the European Union.

Certain accounting practices applied by the Group that conform to EU-IFRS may not conform to other generally accepted accounting

principles.

P.191

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Appendices

P.192

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX I. Additional information on subsidiaries and structured entities composing

the BBVA Group as of December 31, 2021

% share of participation (**)

Millions of Euros (*)

Affiliate entity data

Company

Location

Activity

Direct

Indirect

Total

Net carrying

amount

Equity

excluding

profit (loss)

31.12.21

Profit (loss)

31.12.21

ACTIVOS MACORP SL

SPAIN

REAL ESTATE

50.63

49.37

100.00

ADQUIRA MEXICO SA DE CV

MEXICO

SERVICES

—

100.00

ALCALA 120 PROMOC. Y GEST.IMMOB. S.L.

SPAIN

REAL ESTATE

—

100.00

ANIDA GRUPO INMOBILIARIO SL

SPAIN

INVESTMENT COMPANY

100.00

—

100.00

1,456

1,451

(15)

ANIDA INMOBILIARIA, S.A. DE C.V.

MEXICO

INVESTMENT COMPANY

—

100.00

ANIDA OPERACIONES SINGULARES, S.A.

SPAIN

REAL ESTATE

—

100.00

1,321

1,341

(20)

ANIDA PROYECTOS INMOBILIARIOS, S.A. DE C.V.

MEXICO

REAL ESTATE

—

100.00

ANIDAPORT INVESTIMENTOS IMOBILIARIOS,

UNIPESSOAL, LTDA

PORTUGAL

REAL ESTATE

—

100.00

—

ANTHEMIS BBVA VENTURE PARTNERSHIP LLP

UNITED KINGDOM

INVESTMENT COMPANY

—

100.00

—

APLICA NEXTGEN OPERADORA S.A. DE C.V.

MEXICO

SERVICES

—

100.00

—

APLICA NEXTGEN SERVICIOS S.A. DE C.V

MEXICO

SERVICES

—

100.00

—

APLICA TECNOLOGIA AVANZADA SA DE CV

MEXICO

SERVICES

100.00

—

100.00

203

221

ARRAHONA IMMO, S.L.

SPAIN

REAL ESTATE

—

100.00

114

—

ARRAHONA NEXUS, S.L.

SPAIN

REAL ESTATE

—

100.00

—

ARRELS CT FINSOL, S.A.

SPAIN

REAL ESTATE

—

100.00

—

ARRELS CT PATRIMONI I PROJECTES, S.A.

SPAIN

REAL ESTATE

—

100.00

—

ARRELS CT PROMOU SA

SPAIN

REAL ESTATE

—

100.00

BAHIA SUR RESORT S.C.

SPAIN

INACTIVE

99.95

—

99.95

—

BANCO BBVA ARGENTINA S.A.

ARGENTINA

BANKING

39.97

26.59

66.55

157

606

536

BANCO BILBAO VIZCAYA ARGENTARIA URUGUAY

URUGUAY

BANKING

100.00

—

100.00

110

180

BANCO INDUSTRIAL DE BILBAO SA

SPAIN

BANKING

—

99.93

BANCO OCCIDENTAL SA

SPAIN

BANKING

49.43

50.57

100.00

—

BANCO PROVINCIAL OVERSEAS NV

CURAÇAO

BANKING

—

100.00

BANCO PROVINCIAL SA - BANCO UNIVERSAL

VENEZUELA

BANKING

1.46

53.75

55.21

127

BBV AMERICA SL

SPAIN

INVESTMENT COMPANY

99.80

0.20

100.00

640

BBVA (SUIZA) SA

SWITZERLAND

BANKING

100.00

—

100.00

110

129

BBVA AGENCIA DE SEGUROS COLOMBIA LTDA

COLOMBIA

INSURANCES SERVICES

—

100.00

—

BBVA AI FACTORY SL

SPAIN

SERVICES

—

100.00

—

BBVA ASSET MANAGEMENT ARGENTINA S.A,

SOCIEDAD GERENTE DE FONDOS COMUNES DE

INVERSIÓN

ARGENTINA

INVESTMENT FUND

MANAGEMENT

—

100.00

BBVA ASSET MANAGEMENT MEXICO SA DE CV,

SOC.OPERADORA DE FONDOS DE INVERSION,

GRUPO FRO. BBVA MEXICO

MEXICO

INVESTMENT FUND

MANAGEMENT

—

100.00

BBVA ASSET MANAGEMENT SA SAF

PERU

INVESTMENT FUND

MANAGEMENT

—

100.00

BBVA ASSET MANAGEMENT SA SGIIC

SPAIN

INVESTMENT FUND

MANAGEMENT

100.00

—

100.00

(98)

164

BBVA ASSET MANAGEMENT SA SOCIEDAD

FIDUCIARIA (BBVA FIDUCIARIA)

COLOMBIA

INVESTMENT FUND

MANAGEMENT

—

100.00

BBVA BANCO CONTINENTAL SA (1)

PERU

BANKING

—

46.12

1,042

1,920

340

BBVA BOLSA SOCIEDAD AGENTE DE BOLSA S.A.

PERU

SECURITIES DEALER

—

100.00

BBVA BRASIL BANCO DE INVESTIMENTO SA

BRAZIL

BANKING

100.00

—

100.00

—

BBVA BROKER ARGENTINA SA

ARGENTINA

INSURANCES SERVICES

—

99.96

—

(*) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2021. In the

carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill.

Information on foreign companies at exchange rate as of December 31, 2021.

(**) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting

power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary

holding a direct ownership interest.

(1) Full consolidation method is used according to accounting rules (see Glossary).

P.193

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Additional information on subsidiaries and structured entities composing the BBVA Group

(Continued)

% share of participation (**)

Millions of Euros (*)

Affiliate entity data

Company

Location

Activity

Direct

Indirect

Total

Net

carrying

amount

Equity

excluding profit

(loss)

31.12.21

Profit (loss)

31.12.21

BBVA BROKER CORREDURIA DE SEGUROS Y REASEGUROS

SPAIN

FINANCIAL SERVICES

99.94

0.06

100.00

—

BBVA COLOMBIA SA

COLOMBIA

BANKING

77.41

18.06

95.47

348

1,135

202

BBVA CONSUMER FINANCE ENTIDAD DE DESARROLLO A

LA PEQUEÑA Y MICRO EMPRESA EDPYME SA (BBVA

CONSUMER FINANCE - EDPYME)

PERU

IN LIQUIDATION

—

100.00

BBVA DISTRIBUIDORA DE SEGUROS S.R.L.

URUGUAY

FINANCIAL SERVICES

—

100.00

BBVA FINANZIA SPA

ITALY

IN LIQUIDATION

100.00

—

100.00

—

BBVA FUNDOS S.GESTORA FUNDOS PENSOES SA

PORTUGAL

PENSION FUND

MANAGEMENT

100.00

—

100.00

BBVA GLOBAL FINANCE LTD

CAYMAN

ISLANDS

OTHER ISSUANCE

COMPANIES

100.00

—

100.00

—

BBVA GLOBAL MARKETS BV

NETHERLANDS

OTHER ISSUANCE

COMPANIES

100.00

—

100.00

—

BBVA GLOBAL SECURITIES, B.V.

NETHERLANDS

OTHER ISSUANCE

COMPANIES

100.00

—

100.00

—

BBVA HOLDING CHILE SA

CHILE

INVESTMENT COMPANY

61.22

38.78

100.00

158

251

BBVA INFORMATION TECHNOLOGY ESPAÑA SL

SPAIN

SERVICES

76.00

—

76.00

BBVA INSTITUIÇAO FINANCEIRA DE CREDITO SA

PORTUGAL

FINANCIAL SERVICES

49.90

50.10

100.00

BBVA LEASING MEXICO SA DE CV

MEXICO

FINANCIAL SERVICES

—

100.00

155

BBVA MEDIACION OPERADOR DE BANCA-SEGUROS

VINCULADO, S.A.

SPAIN

FINANCIAL SERVICES

99.99

0.01

100.00

(15)

BBVA MEXICO SA INSTITUCION DE BANCA MULTIPLE

GRUPO FINANCIERO BBVA MEXICO

MEXICO

BANKING

—

100.00

12,211

9,698

2,512

BBVA NEXT TECHNOLOGIES OPERADORA, S.A. DE C.V.

MEXICO

SERVICES

—

100.00

—

BBVA NEXT TECHNOLOGIES SLU

SPAIN

INVESTMENT COMPANY

100.00

—

100.00

BBVA NEXT TECHNOLOGIES, S.A. DE C.V.

MEXICO

SERVICES

—

100.00

—

BBVA OP3N S.L.

SPAIN

SERVICES

—

100.00

—

BBVA OPERADORA MEXICO SA DE CV

MEXICO

SERVICES

—

100.00

(21)

BBVA PENSIONES MEXICO, S.A. DE C.V., GRUPO

FINANCIERO BBVA MEXICO

MEXICO

INSURANCES SERVICES

—

100.00

313

247

BBVA PENSIONES SA ENTIDAD GESTORA DE FONDOS DE

PENSIONES

SPAIN

PENSION FUND

MANAGEMENT

100.00

—

100.00

BBVA PERU HOLDING SAC

PERU

INVESTMENT COMPANY

100.00

—

100.00

110

892

157

BBVA PLANIFICACION PATRIMONIAL SL

SPAIN

IN LIQUIDATION

80.00

20.00

100.00

—

BBVA PREVISION AFP SA ADM.DE FONDOS DE PENSIONES

BOLIVIA

PENSION FUND

MANAGEMENT

75.00

5.00

80.00

BBVA PROCESSING SERVICES INC.

UNITED STATES

FINANCIAL SERVICES

100.00

—

100.00

—

BBVA RE INHOUSE COMPAÑIA DE REASEGUROS, S.E.

SPAIN

INSURANCES SERVICES

—

100.00

BBVA SECURITIES INC

UNITED STATES

FINANCIAL SERVICES

100.00

—

100.00

233

242

BBVA SEGUROS ARGENTINA SA

ARGENTINA

INSURANCES SERVICES

87.78

12.22

100.00

BBVA SEGUROS COLOMBIA SA

COLOMBIA

INSURANCES SERVICES

94.00

6.00

100.00

BBVA SEGUROS DE VIDA COLOMBIA SA

COLOMBIA

INSURANCES SERVICES

94.00

6.00

100.00

101

BBVA SEGUROS MÉXICO SA DE CV GRUPO FINANCIERO

BBVA MEXICO

MEXICO

INSURANCES SERVICES

—

100.00

559

386

174

BBVA SEGUROS SA DE SEGUROS Y REASEGUROS

SPAIN

INSURANCES SERVICES

99.96

—

99.96

713

782

238

BBVA SEGUROS SALUD MEXICO SA DE CV GRUPO FRO.

BBVA MEXICO.

MEXICO

INSURANCES SERVICES

—

100.00

(1)

BBVA SERVICIOS ADMINISTRATIVOS MEXICO, S.A. DE C.V.

MEXICO

SERVICES

—

100.00

(8)

BBVA SERVICIOS CORPORATIVOS MEXICO, S.A. DE C.V.

MEXICO

SERVICES

—

100.00

—

BBVA SERVICIOS, S.A.

SPAIN

COMMERCIAL

—

100.00

—

(*) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2021. In the

carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill.

Information on foreign companies at exchange rate as of December 31, 2021.

(**) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting

power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary

holding a direct ownership interest.

P.194

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Additional information on subsidiaries and structured entities composing the BBVA Group

(Continued)

% share of participation (**)

Millions of Euros (*)

Affiliate entity data

Company

Location

Activity

Direct

Indirect

Total

Net carrying amount

Equity excluding

profit (loss)

31.12.21

Profit (loss)

31.12.21

BBVA SOCIEDAD TITULIZADORA S.A.

PERU

OTHER ISSUANCE

COMPANIES

—

100.00

—

BBVA TRADE, S.A.

SPAIN

INVESTMENT COMPANY

—

100.00

(3)

BBVA VALORES COLOMBIA SA

COMISIONISTA DE BOLSA

COLOMBIA

SECURITIES DEALER

—

100.00

—

BILBAO VIZCAYA HOLDING SAU

SPAIN

INVESTMENT COMPANY

100.00

—

100.00

120

CAIXA MANRESA IMMOBILIARIA ON

CASA SL

SPAIN

REAL ESTATE

100.00

—

100.00

—

CARTERA E INVERSIONES SA CIA DE

SPAIN

INVESTMENT COMPANY

100.00

—

100.00

125

CASA DE BOLSA BBVA MEXICO SA DE

MEXICO

SECURITIES DEALER

—

100.00

CATALONIA PROMODIS 4, S.A.

SPAIN

REAL ESTATE

—

100.00

—

CATALUNYACAIXA IMMOBILIARIA SA

SPAIN

REAL ESTATE

100.00

—

100.00

295

314

(22)

CATALUNYACAIXA SERVEIS SA

SPAIN

SERVICES

100.00

—

100.00

—

CDD GESTIONI S.R.L.

ITALY

REAL ESTATE

100.00

—

100.00

—

CIDESSA DOS, S.L.

SPAIN

INVESTMENT COMPANY

—

100.00

—

CIERVANA SL

SPAIN

INVESTMENT COMPANY

100.00

—

100.00

—

COMERCIALIZADORA CORPORATIVA

SAC

PERU

FINANCIAL SERVICES

—

50.00

—

COMERCIALIZADORA DE SERVICIOS

FINANCIEROS, S.A.

COLOMBIA

SERVICES

—

100.00

COMPAÑIA CHILENA DE INVERSIONES

SPAIN

INVESTMENT COMPANY

99.97

0.03

100.00

221

259

CONSOLIDAR A.F.J.P SA

ARGENTINA

IN LIQUIDATION

46.11

53.89

100.00

—

CONTENTS AREA, S.L.

SPAIN

SERVICES

—

100.00

—

CONTINENTAL DPR FINANCE COMPANY

CAYMAN ISLANDS

FINANCIAL SERVICES

—

100.00

—

CONTRATACION DE PERSONAL, S.A. DE

C.V.

MEXICO

SERVICES

—

100.00

—

CORPORACION GENERAL FINANCIERA

SPAIN

INVESTMENT COMPANY

100.00

—

100.00

510

855

DATA ARCHITECTURE AND

TECHNOLOGY MEXICO SA DE CV

MEXICO

SERVICES

—

100.00

—

DATA ARCHITECTURE AND

TECHNOLOGY S.L.

SPAIN

SERVICES

—

51.00

—

DATA ARQUITECTURE AND

TECHNOLOGY OPERADORA SA DE CV

MEXICO

SERVICES

—

100.00

—

DEUTSCHE BANK MEXICO SA

FIDEICOMISO F/1859

MEXICO

FINANCIAL SERVICES

—

100.00

—

DEUTSCHE BANK MEXICO SA

FIDEICOMISO F/1860

MEXICO

FINANCIAL SERVICES

—

100.00

—

DISTRITO CASTELLANA NORTE, S.A.

SPAIN

REAL ESTATE

—

75.54

125

169

(3)

ECASA, S.A.

CHILE

FINANCIAL SERVICES

—

100.00

EMPRENDIMIENTOS DE VALOR S.A.

URUGUAY

FINANCIAL SERVICES

—

100.00

—

EUROPEA DE TITULIZACION SA SGFT.

SPAIN

FINANCIAL SERVICES

88.24

—

88.24

F/11395 FIDEICOMISO IRREVOCABLE DE

ADMINISTRACION CON DERECHO DE

REVERSION (1)

MEXICO

REAL ESTATE

—

42.40

—

F/253863 EL DESEO RESIDENCIAL

MEXICO

REAL ESTATE

—

65.00

—

FIDEICOMISO 28991-8 TRADING EN LOS

MCADOS FINANCIEROS

MEXICO

FINANCIAL SERVICES

—

100.00

—

FIDEICOMISO F/29764-8 SOCIO

LIQUIDADOR DE OPERACIONES

FINANCIERAS DERIVADAS

MEXICO

FINANCIAL SERVICES

—

100.00

FIDEICOMISO F/403112-6 DE

ADMINISTRACION DOS LAGOS

MEXICO

REAL ESTATE

—

100.00

—

FIDEICOMISO HARES BBVA BANCOMER

F/ 47997-2

MEXICO

REAL ESTATE

—

100.00

FIDEICOMISO INMUEBLES CONJUNTO

RESIDENCIAL HORIZONTES DE VILLA

CAMPESTRE

COLOMBIA

REAL ESTATE

—

100.00

—

(*) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2021. In the

carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill.

Information on foreign companies at exchange rate as of December 31, 2021.

(**) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting

power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary

holding a direct ownership interest.

(1) Full consolidation method is used according to accounting rules (see Glossary).

P.195

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Additional information on subsidiaries and structured entities composing the BBVA Group

(Continued)

% share of participation (**)

Millions of Euros (*)

Affiliate entity data

Company

Location

Activity

Direct

Indirect

Total

Net carrying

amount

Equity excluding

profit (loss)

31.12.21

Profit (loss)

31.12.21

FIDEICOMISO LOTE 6.1 ZARAGOZA

COLOMBIA

REAL ESTATE

—

59.99

—

FIDEICOMISO SCOTIABANK INVERLAT S A F100322908

MEXICO

REAL ESTATE

—

100.00

—

FINANCIERA AYUDAMOS S.A. DE C.V., SOFOMER

MEXICO

IN LIQUIDATION

—

100.00

—

FOMENTO Y DESARROLLO DE CONJUNTOS

RESIDENCIALES S.L. EN LIQUIDACION

SPAIN

IN LIQUIDATION

—

60.00

—

FORUM COMERCIALIZADORA DEL PERU SA

PERU

SERVICES

—

100.00

—

FORUM DISTRIBUIDORA DEL PERU SA

PERU

FINANCIAL SERVICES

—

100.00

FORUM DISTRIBUIDORA, S.A.

CHILE

FINANCIAL SERVICES

—

100.00

FORUM SERVICIOS FINANCIEROS, S.A.

CHILE

FINANCIAL SERVICES

—

100.00

239

202

FUTURO FAMILIAR, S.A. DE C.V.

MEXICO

IN LIQUIDATION

—

100.00

—

G NETHERLANDS BV

NETHERLANDS

INVESTMENT COMPANY

—

100.00

393

327

(2)

GARANTI BANK SA

ROMANIA

BANKING

—

100.00

254

315

GARANTI BBVA AS (1)

TURKEY

BANKING

49.85

—

49.85

3,124

4,241

1,091

GARANTI BBVA EMEKLILIK AS

TURKEY

INSURANCES SERVICES

—

84.91

GARANTI BBVA FACTORING AS

TURKEY

FINANCIAL SERVICES

—

81.84

GARANTI BBVA FILO AS

TURKEY

SERVICES

—

100.00

GARANTI BBVA LEASING AS

TURKEY

FINANCIAL SERVICES

—

100.00

GARANTI BBVA PORTFOY AS

TURKEY

INVESTMENT FUND

MANAGEMENT

—

100.00

GARANTI BBVA YATIRIM AS

TURKEY

FINANCIAL SERVICES

—

100.00

GARANTI BILISIM TEKNOLOJISI VE TIC TAS

TURKEY

SERVICES

—

100.00

—

GARANTI DIVERSIFIED PAYMENT RIGHTS FINANCE

COMPANY

CAYMAN ISLANDS

OTHER ISSUANCE

COMPANIES

—

100.00

—

(35)

GARANTI FILO SIGORTA ARACILIK HIZMETLERI A.S.

TURKEY

FINANCIAL SERVICES

—

100.00

—

GARANTI HOLDING BV

NETHERLANDS

INVESTMENT COMPANY

—

100.00

526

394

—

GARANTI KONUT FINANSMANI DANISMANLIK

HIZMETLERI AS (GARANTI MORTGAGE)

TURKEY

SERVICES

—

100.00

—

GARANTI KULTUR AS

TURKEY

SERVICES

—

100.00

—

GARANTI ODEME SISTEMLERI AS (GOSAS)

TURKEY

FINANCIAL SERVICES

—

100.00

—

GARANTI YATIRIM ORTAKLIGI AS (1) (2)

TURKEY

INVESTMENT COMPANY

—

3.61

—

GARANTIBANK BBVA INTERNATIONAL N.V.

NETHERLANDS

BANKING

—

100.00

675

591

GESCAT GESTIO DE SOL SL

SPAIN

REAL ESTATE

100.00

—

100.00

(2)

GESCAT LLEVANT, S.L.

SPAIN

REAL ESTATE

—

100.00

—

GESCAT LLOGUERS SL

SPAIN

REAL ESTATE

100.00

—

100.00

—

GESCAT VIVENDES EN COMERCIALITZACIO SL

SPAIN

REAL ESTATE

100.00

—

100.00

(2)

GESTION DE PREVISION Y PENSIONES SA

SPAIN

PENSION FUND

MANAGEMENT

60.00

—

60.00

GESTION Y ADMINISTRACION DE RECIBOS, S.A. -

GARSA

SPAIN

SERVICES

—

100.00

—

GRAN JORGE JUAN SA

SPAIN

REAL ESTATE

100.00

—

100.00

424

437

GRUPO FINANCIERO BBVA MEXICO SA DE CV

MEXICO

FINANCIAL SERVICES

99.98

—

99.98

7,402

11,040

2,731

INMESP DESARROLLADORA, S.A. DE C.V.

MEXICO

REAL ESTATE

—

100.00

INMUEBLES Y RECUPERACIONES CONTINENTAL SA

PERU

REAL ESTATE

—

100.00

(*) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2021. In the

carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill.

Information on foreign companies at exchange rate as of December 31, 2021.

(**) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting

power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary

holding a direct ownership interest.

(1) Full consolidation method is used according to accounting rules (see Glossary).

(2) The percentage of voting rights owned by the Group entities in this company is 99.97%.

P.196

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Additional information on subsidiaries and structured entities composing the BBVA Group

(Continued)

% share of participation (**)

Millions of Euros (*)

Affiliate entity data

Company

Location

Activity

Direct

Indirect

Total

Net carrying

amount

Equity excluding

profit (loss)

31.12.21

Profit (loss)

31.12.21

INVERAHORRO SL

SPAIN

INVESTMENT

COMPANY

100.00

—

100.00

112

115

(3)

INVERSIONES ALDAMA, C.A.

VENEZUELA

IN LIQUIDATION

—

100.00

—

INVERSIONES BANPRO INTERNATIONAL INC

NV (1)

CURAÇAO

INVESTMENT

COMPANY

48.00

—

48.01

INVERSIONES BAPROBA CA

VENEZUELA

FINANCIAL

SERVICES

100.00

—

100.00

—

INVERSIONES P.H.R.4, C.A.

VENEZUELA

INACTIVE

—

60.46

—

JALE PROCAM, S.L. (EN LIQUIDACIÓN)

SPAIN

IN LIQUIDATION

—

50.00

—

(60)

(3)

MADIVA SOLUCIONES, S.L.

SPAIN

SERVICES

—

100.00

—

MISAPRE, S.A. DE C.V.

MEXICO

IN LIQUIDATION

—

100.00

—

MOMENTUM SOCIAL INVESTMENT HOLDING,

S.L.

SPAIN

INVESTMENT

COMPANY

—

100.00

—

MOTORACTIVE IFN SA

ROMANIA

FINANCIAL

SERVICES

—

100.00

MOTORACTIVE MULTISERVICES SRL

ROMANIA

SERVICES

—

100.00

—

MOVISTAR CONSUMER FINANCE COLOMBIA

SAS

COLOMBIA

FINANCIAL

SERVICES

—

50.00

(2)

MULTIASISTENCIA OPERADORA S.A. DE C.V.

MEXICO

INSURANCES

SERVICES

—

100.00

—

MULTIASISTENCIA SERVICIOS S.A. DE C.V.

MEXICO

INSURANCES

SERVICES

—

100.00

—

MULTIASISTENCIA, S.A. DE C.V.

MEXICO

INSURANCES

SERVICES

—

100.00

OPCION VOLCAN, S.A.

MEXICO

REAL ESTATE

—

100.00

—

OPENPAY ARGENTINA SA

ARGENTINA

PAYMENT

ENTITIES

—

100.00

—

OPENPAY COLOMBIA SAS

COLOMBIA

PAYMENT

ENTITIES

—

100.00

(1)

OPENPAY PERÚ SA

PERU

PAYMENT

ENTITIES

—

100.00

(1)

OPENPAY S.A. DE C.V.

MEXICO

PAYMENT

ENTITIES

—

100.00

OPENPAY SERVICIOS S.A. DE C.V.

MEXICO

SERVICES

—

100.00

—

OPERADORA DOS LAGOS S.A. DE C.V.

MEXICO

SERVICES

—

100.00

—

OPPLUS OPERACIONES Y SERVICIOS SA

SPAIN

SERVICES

100.00

—

100.00

PECRI INVERSION SL

SPAIN

INVESTMENT

COMPANY

100.00

—

100.00

265

263

PORTICO PROCAM, S.L.

SPAIN

REAL ESTATE

—

100.00

—

PROMOTORA DEL VALLES, S.L.

SPAIN

REAL ESTATE

—

100.00

PROMOU CT GEBIRA, S.L.

SPAIN

REAL ESTATE

—

100.00

—

PROMOU CT OPENSEGRE, S.L.

SPAIN

REAL ESTATE

—

100.00

—

PRONORTE UNO PROCAM, S.A.

SPAIN

REAL ESTATE

—

100.00

—

PROPEL EXPLORER FUND I SL

SPAIN

INVESTMENT

COMPANY

—

99.50

(1)

PROPEL VENTURE PARTNERS BRAZIL S.L.

SPAIN

INVESTMENT

COMPANY

—

99.80

PROPEL VENTURE PARTNERS GLOBAL, S.L

SPAIN

FINANCIAL

SERVICES

—

99.50

PROPEL VENTURE PARTNERS US FUND I, L.P.

UNITED STATES

FINANCIAL

SERVICES

99.50

—

99.50

235

175

PRO-SALUD, C.A.

VENEZUELA

INACTIVE

—

58.86

—

PROVINCIAL DE VALORES CASA DE BOLSA CA

VENEZUELA

SECURITIES

DEALER

—

90.00

—

PROVINCIAL SDAD.ADMIN.DE ENTIDADES DE

INV.COLECTIVA CA

VENEZUELA

INVESTMENT

FUND

MANAGEMENT

—

100.00

—

PROVIVIENDA ENTIDAD RECAUDADORA Y

ADMIN.DE APORTES, S.A.

BOLIVIA

PENSION FUND

MANAGEMENT

—

100.00

—

(*) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2021. In the

carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill.

Information on foreign companies at exchange rate as of December 31, 2021.

(**) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting

power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary

holding a direct ownership interest.

(1) Full consolidation method is used according to accounting rules (see Glossary).

P.197

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Additional information on subsidiaries and structured entities composing the BBVA Group

(Continued)

% share of participation (**)

Millions of Euros (*)

Affiliate entity data

Company

Location

Activity

Direct

Indirect

Total

Net carrying

amount

Equity excluding

profit (loss)

31.12.21

Profit (loss)

31.12.21

PSA FINANCE ARGENTINA COMPAÑIA

FINANCIERA SA

ARGENTINA

BANKING

—

50.00

RALFI IFN SA

ROMANIA

FINANCIAL

SERVICES

—

100.00

RPV COMPANY

CAYMAN

ISLANDS

OTHER

ISSUANCE

COMPANIES

—

100.00

—

(1)

SATICEM GESTIO SL

SPAIN

REAL ESTATE

100.00

—

100.00

—

SATICEM HOLDING SL

SPAIN

REAL ESTATE

100.00

—

100.00

—

SATICEM IMMOBILIARIA SL

SPAIN

REAL ESTATE

100.00

—

100.00

SATICEM IMMOBLES EN ARRENDAMENT SL

SPAIN

REAL ESTATE

100.00

—

100.00

—

SEGUROS PROVINCIAL CA

VENEZUELA

INSURANCES

SERVICES

—

100.00

SERVICIOS CORPORATIVOS DE SEGUROS, S.A.

DE C.V.

MEXICO

SERVICES

—

100.00

(2)

SERVICIOS EXTERNOS DE APOYO

EMPRESARIAL, S.A DE C.V.

MEXICO

SERVICES

—

100.00

(1)

SOCIEDAD DE ESTUDIOS Y ANALISIS

FINANCIERO SA

SPAIN

SERVICES

100.00

—

100.00

SOCIEDAD GESTORA DEL FONDO PUBLICO DE

REGULACION DEL MERCADO HIPOTECARIO SA

SPAIN

INACTIVE

77.20

—

77.20

—

SPORT CLUB 18 SA

SPAIN

INVESTMENT

COMPANY

100.00

—

100.00

TRIFOI REAL ESTATE SRL

ROMANIA

REAL ESTATE

—

100.00

—

UNIVERSALIDAD TIPS PESOS E-9

COLOMBIA

FINANCIAL

SERVICES

—

100.00

—

UNNIM SOCIEDAD PARA LA GESTION DE

ACTIVOS INMOBILIARIOS SA

SPAIN

REAL ESTATE

100.00

—

100.00

619

508

(4)

URBANIZADORA SANT LLORENC SA

SPAIN

INACTIVE

60.60

—

60.60

—

VERIDAS DIGITAL AUTHENTICATION

SOLUTIONS S.L.

SPAIN

SERVICES

—

51.00

—

VOLKSWAGEN FINANCIAL SERVICES

COMPAÑIA FINANCIERA SA

ARGENTINA

BANKING

—

51.00

(*) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2021. In the

carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill.

Information on foreign companies at exchange rate as of December 31, 2021.

(**) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting

power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary

holding a direct ownership interest. .

This Appendix is an integral part of Note 3 of the consolidated financial statements for the year ended December 31, 2021.

P.198

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX II. Additional information on investments joint ventures and associates in the

BBVA Group as of December 31, 2021

Most significant companies are included, which together represent 99.9% of the total investment in this group.

% Legal share of participation

Millions of Euros (*)

Affiliate entity data

Company

Location

Activity

Direct

Indirect

Total

Net

carrying

amount

Assets

31.12.21

Liabilitie

31.12.21

Equity

excluding

profit

(loss)

31.12.21

Profit

(loss)

31.12.21

ASSOCIATES

ADQUIRA ESPAÑA, S.A.

SPAIN

SERVICES

—

44.44

ATOM BANK PLC

UNITED

KINGDOM

BANKING

38.97

—

38.97

4,765

4,568

226

(29)

AUREA, S.A. (CUBA)

CUBA

REAL ESTATE

—

49.00

—

BBVA ALLIANZ SEGUROS Y REASEGUROS, S.A.

SPAIN

INSURANCES SERVICES

—

50.00

254

805

253

547

COMPAÑIA ESPAÑOLA DE FINANCIACION DEL DESARROLLO

SPAIN

PUBLIC COMPANIES AND

INSTITUTIONS

16.67

—

16.67

174

149

COMPAÑIA PERUANA DE MEDIOS DE PAGO SAC (VISANET

PERU)

PERU

ELECTRONIC MONEY

ENTITIES

—

21.15

184

176

FIDEICOMISO F/00185 FIMPE - FIDEICOMISO F/00185 PARA

EXTENDER A LA SOCIEDAD LOS BENEFICIOS DEL ACCESO A LA

INFRAESTRUCTURA DE LOS MEDIOS DE PAGO ELECTRONICOS

MEXICO

FINANCIAL SERVICES

—

28.50

—

(1)

METROVACESA SA

SPAIN

REAL ESTATE

9.44

11.41

20.85

259

2,790

720

2,060

PLAY DIGITAL SA

ARGENTINA

PAYMENT ENTITIES

—

10.83

(8)

REDSYS SERVICIOS DE PROCESAMIENTO SL

SPAIN

FINANCIAL SERVICES

24.90

—

24.90

108

ROMBO COMPAÑIA FINANCIERA SA

ARGENTINA

BANKING

—

40.00

121

104

SBD CREIXENT, S.A.

SPAIN

REAL ESTATE

—

23.05

—

SEGURIDAD Y PROTECCION BANCARIAS SA DE CV

MEXICO

SERVICES

—

26.14

—

SERVICIOS ELECTRONICOS GLOBALES SA DE CV

MEXICO

SERVICES

—

46.14

—

SERVIRED SOCIEDAD ESPAÑOLA DE MEDIOS DE PAGO SA

SPAIN

FINANCIAL SERVICES

28.72

—

28.72

110

(1)

SISTEMAS DE TARJETAS Y MEDIOS DE PAGO SA

SPAIN

PAYMENT ENTITIES

20.61

—

20.61

1,925

1,920

—

SOLARISBANK AG (1)

GERMANY

BANKING

—

15.40

3,450

3,218

259

(27)

TELEFONICA FACTORING COLOMBIA, S.A.

COLOMBIA

FINANCIAL SERVICES

—

24.30

TELEFONICA FACTORING ESPAÑA SA (2)

SPAIN

FINANCIAL SERVICES

30.00

—

30.00

TELEFONICA FACTORING MEXICO SA DE CV

MEXICO

IN LIQUIDATION

24.30

—

24.30

—

TF PERU SAC

PERU

FINANCIAL SERVICES

—

24.30

JOINT VENTURES

ALTURA MARKETS SOCIEDAD DE VALORES SA

SPAIN

SECURITIES DEALER

50.00

—

50.00

3,317

3,165

144

COMPAÑIA MEXICANA DE PROCESAMIENTO SA DE CV

MEXICO

SERVICES

—

50.00

—

CORPORACION IBV PARTICIPACIONES EMPRESARIALES, S.A.

(3)

SPAIN

INVESTMENT COMPANY

—

50.00

—

DESARROLLOS METROPOLITANOS DEL SUR, S.L.

SPAIN

REAL ESTATE

—

50.00

FIDEICOMISO 1729 INVEX ENAJENACION DE CARTERA (3)

MEXICO

REAL ESTATE

—

44.09

167

—

167

—

FIDEICOMISO F/402770-2 ALAMAR

MEXICO

REAL ESTATE

—

42.40

—

INVERSIONES PLATCO CA

VENEZUELA

FINANCIAL SERVICES

—

50.00

—

PROMOCIONS TERRES CAVADES, S.A.

SPAIN

REAL ESTATE

—

39.11

—

(12)

RCI COLOMBIA SA COMPAÑIA DE FINANCIAMIENTO

COLOMBIA

FINANCIAL SERVICES

—

49.00

630

549

(*) In foreign companies the exchange rate of December 31, 2021 is applied.

(1) The percentage of voting rights owned by the Group entities in this company is 22.22%.

(2) Financial Statements as of December 31, 2020.

(3) Classified as Non-current asset in sell.

This Appendix is an integral part of Notes 3 and 16.1 of the consolidated financial statements for the year ended December 31, 2021.

P.199

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX III. Changes and notifications of participations in the BBVA Group in 2021

Acquisitions or increases of interest ownership in consolidated subsidiaries

Company (*)

Type of transaction

Total voting rights

controlled after the

disposal

Effective Date for the

Transaction (or

Notification Date)

OPENPAY PERÚ SA

FOUNDING

100.00

08-Mar-21

MOVISTAR CONSUMER FINANCE COLOMBIA SAS

FOUNDING

50.00

31-Mar-21

PROPEL EXPLORER FUND I SL

FOUNDING

99.50

01-Jun-21

OPENPAY ARGENTINA SA

FOUNDING

100.00

01-Jul-21

(*) Variations of less than 0.1% have not been considered due to immateriality.

Changes and notifications of participations in the BBVA Group in 2021 (continued)

Disposals or reduction of interest ownership in consolidated subsidiaries

Company (*)

Type of

transaction

Total voting rights

controlled after the

disposal

Effective date

for the

transaction (or

notification

date)

BBVA AUTOMERCANTIL COMERCIO E ALUGER DE VEICULOS AUTOMOVEIS LDA.

LIQUIDATION

—

21-Jan-21

BBVA PARAGUAY SA

DISPOSAL

—

22-Jan-21

HOLVI PAYMENT SERVICE OY

DISPOSAL

—

01-Feb-21

CAIXASABADELL PREFERENTS SA

LIQUIDATION

—

04-Mar-21

BBVA INTERNATIONAL PREFERRED SOCIEDAD ANONIMA

LIQUIDATION

—

12-Mar-21

CAIXA TERRASSA SOCIETAT DE PARTICIPACIONS PREFERENTS SAU

LIQUIDATION

—

25-Mar-21

DENIZEN FINANCIAL, INC

MERGER

—

27-Apr-21

COVAULT, INC

MERGER

—

11-May-21

ENTRE2 SERVICIOS FINANCIEROS E.F.C SA

LIQUIDATION

—

21-May-21

BBVA TRANSFER SERVICES INC

DISPOSAL

—

01-Jun-21

BBVA FOREIGN EXCHANGE INC.

DISPOSAL

—

01-Jun-21

BBVA REAL ESTATE MEXICO, S.A. DE C.V.

LIQUIDATION

—

01-Jun-21

BBVA USA BANCSHARES, INC.

DISPOSAL

—

01-Jun-21

BBVA USA

DISPOSAL

—

01-Jun-21

SIMPLE FINANCE TECHNOLOGY CORP.

DISPOSAL

—

01-Jun-21

BBVA INSURANCE AGENCY, INC.

DISPOSAL

—

01-Jun-21

BBVA FINANCIAL CORPORATION

DISPOSAL

—

01-Jun-21

BBVA WEALTH SOLUTIONS, INC.

DISPOSAL

—

01-Jun-21

BBVA MORTGAGE CORPORATION

DISPOSAL

—

01-Jun-21

HUMAN RESOURCES PROVIDER, INC

DISPOSAL

—

01-Jun-21

HUMAN RESOURCES SUPPORT, INC

DISPOSAL

—

01-Jun-21

TUCSON LOAN HOLDINGS, INC.

DISPOSAL

—

01-Jun-21

COMPASS TEXAS MORTGAGE FINANCING, INC

DISPOSAL

—

01-Jun-21

PHOENIX LOAN HOLDINGS, INC.

DISPOSAL

—

01-Jun-21

COMPASS MORTGAGE FINANCING, INC.

DISPOSAL

—

01-Jun-21

COMPASS LOAN HOLDINGS TRS, INC.

DISPOSAL

—

01-Jun-21

PI HOLDINGS NO. 1, INC.

DISPOSAL

—

01-Jun-21

P.I. HOLDINGS NO. 3, INC.

DISPOSAL

—

01-Jun-21

COMPASS CAPITAL MARKETS, INC.

DISPOSAL

—

01-Jun-21

ARIZONA FINANCIAL PRODUCTS, INC

DISPOSAL

—

01-Jun-21

COMPASS LIMITED PARTNER, INC.

DISPOSAL

—

01-Jun-21

COMPASS GP, INC.

DISPOSAL

—

01-Jun-21

COMPASS SOUTHWEST, LP

DISPOSAL

—

01-Jun-21

TEXAS LOAN SERVICES LP

DISPOSAL

—

01-Jun-21

LIQUIDITY ADVISORS LP

DISPOSAL

—

01-Jun-21

COMPASS INSURANCE TRUST

DISPOSAL

—

01-Jun-21

GUARANTY BUSINESS CREDIT CORPORATION

DISPOSAL

—

01-Jun-21

TMF HOLDING INC.

DISPOSAL

—

01-Jun-21

(*) Variations of less than 0.1% have not been considered due to immateriality.

P.200

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Company (*)

Type of

transaction

Total voting rights

controlled after the

disposal

Effective date

for the

transaction (or

notification

date)

GUARANTY PLUS HOLDING COMPANY

DISPOSAL

—

01-Jun-21

RWHC, INC

DISPOSAL

—

01-Jun-21

SAGE OG I, INC

DISPOSAL

—

01-Jun-21

SAGE OG2, LLC

DISPOSAL

—

01-Jun-21

BBVA TRANSFER HOLDING INC

DISPOSAL

—

01-Jun-21

BBVA OPEN PLATFORM INC

DISPOSAL

—

01-Jun-21

DALLAS CREATION CENTER, INC

DISPOSAL

—

01-Jun-21

AZLO BUSINESS, INC

DISPOSAL

—

01-Jun-21

UPTURN FINANCIAL INC

DISPOSAL

—

01-Jun-21

ARRAHONA AMBIT, S.L.

LIQUIDATION

—

01-Jun-21

ARRELS CT LLOGUER, S.A.

LIQUIDATION

—

01-Jun-21

GARRAF MEDITERRANIA, S.A.

LIQUIDATION

—

01-Jun-21

PROMOU CT 3AG DELTA, S.L.

LIQUIDATION

—

01-Jun-21

PROMOU CT EIX MACIA, S.L.

LIQUIDATION

—

01-Jun-21

PROMOU CT VALLES, S.L.

LIQUIDATION

—

01-Jun-21

PROMOCIONES Y CONSTRUCCIONES CERBAT, S.L.U.

LIQUIDATION

—

01-Jun-21

CETACTIUS SL

LIQUIDATION

—

01-Jun-21

PROV-INFI-ARRAHONA, S.L.

LIQUIDATION

—

03-Jun-21

BBVA PROCUREMENT SERVICES AMERICA DEL SUR SPA, EN LIQUIDACION

LIQUIDATION

—

01-Sep-21

BBVA IRELAND PLC ( En liquidación)

LIQUIDATION

—

28-Oct-21

PUERTO CIUDAD LAS PALMAS, S.A.

LIQUIDATION

—

17-Nov-21

PARCSUD PLANNER, S.L.

LIQUIDATION

—

14-Dec-21

PROMOU GLOBAL, S.L.

LIQUIDATION

—

14-Dec-21

NOVA TERRASSA 3, S.L.

LIQUIDATION

—

14-Dec-21

OPPLUS SAC (En liquidación)

LIQUIDATION

—

15-Dec-21

IRIDION SOLUCIONS IMMOBILIARIES SL

LIQUIDATION

—

16-Dec-21

QIPRO SOLUCIONES S.L.

DISPOSAL

—

22-Dec-21

CATALONIA GEBIRA, S.L. (EN LIQUIDACION)

LIQUIDATION

—

22-Dec-21

INVERPRO DESENVOLUPAMENT, S.L.

LIQUIDATION

—

22-Dec-21

INPAU, S.A.

LIQUIDATION

—

31-Dec-21

(*) Variations of less than 0.1% have not been considered due to immateriality.

Changes and notifications of participations in the BBVA Group in 2021 (continued)

Business combinations and other acquisitions or increases of interest ownership in associates and

joint-ventures accounted for under the equity method

Company (*)

Type of transaction

Total voting rights

controlled after the

disposal

Effective date for the

transaction (or

notification date)

PLAY DIGITAL SA

SHAREHOLDERS

AGREEMENT

10.83

01-Mar-21

REDSYS SERVICIOS DE PROCESAMIENTO SL

DISPOSAL

24.90

02-Sep-21

COMPAÑIA PERUANA DE MEDIOS DE PAGO SAC (VISANET PERU)

DISPOSAL

21.15

01-Oct-21

SISTEMAS DE TARJETAS Y MEDIOS DE PAGO SA

DISPOSAL

20.61

14-Oct-21

(*) Variations of less than 0.1% have not been considered due to immateriality.

P.201

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Changes and notifications of participations in the BBVA Group in 2021 (continued)

Disposal or reduction of interest ownership in associates and joint-ventures companies accounted

for under the equity method

Company (*)

Type of transaction

Total voting rights

controlled after the

disposal

Effective date for the

transaction (or

notification date)

DIVARIAN PROPIEDAD, S.A.U.

DISPOSAL

—

15-Oct-21

SOLARISBANK AG (1)

CAPITAL INCREASE

DILUTION

15.40

16-Dec-21

CORPORATIVO VITAMEDICA, S.A. DE C.V.

DISPOSAL

—

22-Jan-21

SERVICIOS VITAMEDICA, S.A. DE C.V.

DISPOSAL

—

22-Jan-21

VITAMEDICA ADMINISTRADORA, S.A. DE C.V

DISPOSAL

—

22-Jan-21

(*) Variations of less than 0.1% have not been considered due to immateriality.

(1) The percentage of voting rights owned by the Group entities in this company is 22.22%.

This Appendix is an integral part of Notes 3 and 16.1 of the consolidated financial statements for the year ended December 31, 2021.

P.202

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX IV. Fully consolidated subsidiaries with more than 10% owned by non-Group

shareholders as of December 31, 2021

% of voting rights controlled by the

Bank

Company

Activity

Direct

Indirect

Total

BBVA BANCO CONTINENTAL SA

BANKING

—

46.12

BANCO PROVINCIAL SA - BANCO UNIVERSAL

BANKING

1.46

53.75

55.21

INVERSIONES BANPRO INTERNATIONAL INC NV

INVESTMENT COMPANY

48.00

—

48.01

PRO-SALUD, C.A.

INACTIVE

—

58.86

INVERSIONES P.H.R.4, C.A.

INACTIVE

—

60.46

BBVA PREVISION AFP SA ADM.DE FONDOS DE PENSIONES

PENSION FUND MANAGEMENT

75.00

5.00

80.00

COMERCIALIZADORA CORPORATIVA SAC

FINANCIAL SERVICES

—

50.00

DISTRITO CASTELLANA NORTE, S.A.

REAL ESTATE

—

75.54

GESTION DE PREVISION Y PENSIONES SA

PENSION FUND MANAGEMENT

60.00

—

60.00

F/253863 EL DESEO RESIDENCIAL

REAL ESTATE

—

65.00

DATA ARCHITECTURE AND TECHNOLOGY S.L.

SERVICES

—

51.00

VOLKSWAGEN FINANCIAL SERVICES COMPAÑIA FINANCIERA SA

BANKING

—

51.00

FIDEICOMISO LOTE 6.1 ZARAGOZA

REAL ESTATE

—

59.99

F/11395 FIDEICOMISO IRREVOCABLE DE ADMINISTRACION CON

DERECHO DE REVERSION

REAL ESTATE

—

42.40

VERIDAS DIGITAL AUTHENTICATION SOLUTIONS S.L.

SERVICES

—

51.00

MOVISTAR CONSUMER FINANCE COLOMBIA SAS

FINANCIAL SERVICES

—

50.00

GARANTI BBVA EMEKLILIK AS

INSURANCES SERVICES

—

84.91

FOMENTO Y DESARROLLO DE CONJUNTOS RESIDENCIALES S.L. EN

LIQUIDACION

IN LIQUIDATION

—

60.00

BBVA INFORMATION TECHNOLOGY ESPAÑA SL

SERVICES

76.00

—

76.00

JALE PROCAM, S.L. (EN LIQUIDACIÓN)

IN LIQUIDATION

—

50.00

PSA FINANCE ARGENTINA COMPAÑIA FINANCIERA SA

BANKING

—

50.00

This Appendix is an integral part of Note 3 of the consolidated financial statements for the year ended December 31, 2021.

P.203

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX V. BBVA Group’s structured entities as of December 31, 2021. Securitization

funds

Millions of Euros

Securitization fund

(consolidated)

Company

Origination

date

Total securitized

exposures at the

origination date

Total securitized

exposures as of

December 31, 2021

TDA 18 MIXTO, FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

20-Nov-03

TDA 22 Mixto, FTA (Unnim)

BANCO BILBAO VIZCAYA ARGENTARIA SA

09-Dec-04

592

AYT Hipotecario Mixto IV, FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

27-Jun-05

100

AYT HIP MIXTO V

BANCO BILBAO VIZCAYA ARGENTARIA SA

21-Jul-06

120

TDA 27 Mixto, FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

22-Dec-06

275

TDA 28 Mixto, FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

23-Jul-07

250

HIPOCAT 6 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

17-Sep-03

850

HIPOCAT 7 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

08-Jun-04

1,400

166

HIPOCAT 8 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

06-May-05

1,500

179

HIPOCAT 9 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

25-Nov-05

1,016

149

HIPOCAT 10 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

05-Jul-06

1,526

236

HIPOCAT 11 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

09-Mar-07

1,628

307

TDA 19 MIXTO, FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

27-Feb-04

600

TDA 23 MIXTO, FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

18-Mar-05

860

TDA TARRAGONA 1 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

30-Nov-07

397

GAT VPO (UNNIM)

BANCO BILBAO VIZCAYA ARGENTARIA SA

25-Jun-09

780

BBVA CONSUMO 10 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

08-Jul-19

2,000

1,364

BBVA CONSUMO 11 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

12-Mar-21

2,500

2,053

BBVA CONSUMO 9 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

27-Mar-17

1,375

405

BBVA CONSUMER AUTO 2018-1

BANCO BILBAO VIZCAYA ARGENTARIA SA

18-Jun-18

800

379

BBVA CONSUMER AUTO 2020-1

BANCO BILBAO VIZCAYA ARGENTARIA SA

15-Jun-20

1,100

BBVA RMBS 1 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

19-Feb-07

2,500

743

BBVA RMBS 2 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

26-Mar-07

5,000

1,355

BBVA RMBS 3 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

22-Jul-07

3,000

1,300

BBVA RMBS 5 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

24-May-08

5,000

2,312

BBVA RMBS 9 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

18-Apr-10

1,295

734

BBVA RMBS 10 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

19-Jun-11

1,600

1,011

BBVA RMBS 11 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

09-Jun-12

1,400

892

BBVA RMBS 12 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

09-Dec-13

4,350

2,763

BBVA RMBS 13 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

14-Jul-14

4,100

2,730

BBVA RMBS 14 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

24-Nov-14

700

397

BBVA RMBS15 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

11-May-15

4,000

2,681

BBVA RMBS 16 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

09-May-16

1,600

1,129

BBVA RMBS 17 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

21-Nov-16

1,800

1,309

BBVA RMBS 18 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

20-Nov-17

1,800

1,484

BBVA RMBS 19 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

25-Nov-19

2,000

1,807

BBVA RMBS 20 FT

BANCO BILBAO VIZCAYA ARGENTARIA SA

14-Jun-21

2,500

BBVA LEASING 1 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

24-Jun-07

2,500

BBVA LEASING 2 FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

27-Jul-20

2,100

1,353

BBVA-6 FTPYME FTA

BANCO BILBAO VIZCAYA ARGENTARIA SA

10-Jun-07

1,500

P.204

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX VI. Details of the outstanding subordinated debt and preferred securities

issued by the Bank or entities in the Group consolidated as of December 31, 2021, 2020

and 2019

Outstanding as of December 31, 2021, 2020 and 2019 of subordinated issues

Millions of Euros

Issuer entity and issued date

Currency

December

2021

December

2020

December

2019

Prevailing

Interest Rate

as of December

31, 2021

Maturity

Date

Issues in Euros

BANCO BILBAO VIZCAYA ARGENTARIA S.A.

March-08

EUR

125

6.03%

3-Mar-33

July-08

EUR

100

6.20%

4-Jul-23

February-15

EUR

—

1,500

6.75%

Perpetual

April-16

EUR

—

1,000

8.88%

Perpetual

February-17

EUR

1,000

3.50%

10-Feb-27

February-17

EUR

4.00%

24-Feb-32

March-17

EUR

4.00%

24-Feb-32

May-17

EUR

150

2.54%

24-May-27

May-17

EUR

500

5.88%

Perpetual

September-18

EUR

1,000

5.88%

Perpetual

February-19

EUR

750

2.58%

22-Feb-29

March-19

EUR

1,000

6.00%

Perpetual

January-20

EUR

994

—

1.00%

16-Jan-30

July-20

EUR

1,000

—

6.00%

Perpetual

Different issues

EUR

245

330

379

Total issued in Euros

EUR

7,028

8,113

7,668

P.205

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Outstanding as of December 31, 2021, 2020 and 2019 of subordinated issues (continued)

Millions of Euros

Issuer entity and issued date

Currency

December

2021

December

2020

December

2019

Prevailing

Interest Rate

as of December

31, 2021

Maturity

Date

Issues in foreign currency

BANCO BILBAO VIZCAYA ARGENTARIA S.A.

March-17

USD

106

107

5.70%

31-Mar-32

November-17

USD

883

815

890

6.13%

Perpetual

May-18

USD

263

243

265

5.25%

29-May-33

September-19

USD

883

815

890

6.50%

Perpetual

Subtotal

USD

2,135

1,970

2,152

May-17

CHF

1.60%

24-May-27

Subtotal

CHF

July-20

GBP

357

334

—

3.10%

15-Jul-31

Subtotal

GBP

357

334

—

BBVA GLOBAL FINANCE LTD (*)

December-95

USD

176

162

177

7.00%

1-Dec-25

Subtotal

USD

176

162

177

BBVA BANCOMER S.A. INSTITUCION DE

BANCA MULTIPLE GRUPO FINANCIERO

BBVA BANCOMER

April-10

USD

—

667

7.25%

22-Apr-20

March-11

USD

—

612

667

6.50%

10-Mar-21

July-12

USD

1,329

1,223

1,333

6.75%

30-Sep-22

November-14

USD

177

163

178

5.35%

12-Nov-29

January-18

USD

886

815

889

5.13%

18-Jan-33

September-19

USD

665

612

667

5.88%

13-Sep-34

Subtotal

USD

3,057

3,425

4,401

BANCO BILBAO VIZCAYA ARGENTARIA

URUGUAY S.A.

Different issues

USD

—

Subtotal

USD

—

BBVA PARAGUAY S.A. (**)

November-14

USD

—

6.75%

5-Nov-21

November-15

USD

—

6.70%

18-Nov-22

Subtotal

USD

—

BBVA USA (**)

March-05

USD

—

203

5.50%

1-Apr-20

March-06

USD

—

5.90%

1-Apr-26

April-15

USD

—

570

623

3.88%

10-Apr-25

Subtotal

USD

—

628

889

(*) The issuances of BBVA Global Finance, Ltd, are guaranteed (secondary liability) by the Bank.

(**) Companies sold in 2021 (see Note 3).

P.206

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Outstanding as of December 31, 2021, 2020 and 2019 of subordinated issues

Millions of Euros

Issuer entity and issued date (continued)

Currency

December

2021

December

2020

December

2019

Prevailing

Interest Rate

as of December

31, 2021

Maturity

Date

BBVA COLOMBIA S.A.

September-11

COP

—

4.45%

19-Sep-21

September-11

COP

4.70%

19-Sep-26

February-13

COP

3.60%

19-Feb-23

February-13

COP

3.89%

19-Feb-28

November-14

COP

4.38%

26-Nov-29

November-14

COP

4.50%

26-Nov-34

Subtotal

COP

168

200

229

April-15

USD

349

324

333

4.88%

21-Apr-25

Subtotal

USD

349

324

333

BBVA BANCO CONTINENTAL S.A.

June-07

PEN

3.47%

18-Jun-32

November-07

PEN

3.56%

19-Nov-32

July-08

PEN

3.06%

8-Jul-23

September-08

PEN

3.09%

9-Sep-23

December-08

PEN

4.19%

15-Dec-33

Subtotal

PEN

May-07

USD

6.00%

14-May-27

February-08

USD

6.47%

28-Feb-28

October-13

USD

6.53%

2-Oct-28

September-14

USD

272

257

269

5.25%

22-Sep-29

Subtotal

USD

349

327

346

GARANTI BBVA AS

May-17

USD

645

607

664

6.13%

24-May-27

Subtotal

USD

645

607

664

October-19

TRY

16.00%

7-Oct-29

February-20

TRY

—

17.95%

14-Feb-30

Subtotal

TRY

110

Total issues in other currencies

7,398

8,217

9,376

Outstanding as of December 31, 2021, 2020 and 2019 of subordinated issues (Millions of euros)

December 2021

December 2020

December 2019

Issuer entity and issued date

Currency

Amount

Issued

Currency

Amount

Issued

Currency

Amount

Issued

BBVA COLOMBIA S.A.

December-93

COP

—

COP

—

COP

BBVA International Preferred, S.A.U.

July-07

GBP

—

GBP

PHOENIX LOAN HOLDINGS INC.

November-00

USD

—

USD

CAIXA TERRASSA SOCIETAT DE

PARTICIPACIONS PREFERENTS SAU

August-05

EUR

—

EUR

CAIXASABADELL PREFERENTS S.A.

July-06

EUR

—

EUR

P.207

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX VII Consolidated balance sheets held in foreign currency as of December 31,

2021, 2020 and 2019

U.S. Dollar

Mexican

pesos

Turkish

lira

Other foreign

currencies

Total foreign

currencies

December 2021

Assets

Cash, cash balances at central banks and other demand

deposits

19,164

5,816

893

4,245

30,118

Financial assets held for trading

10,699

18,973

1,104

8,840

39,615

Non- trading financial assets mandatorily at fair value

through profit or loss

1,039

4,114

5,239

Financial assets at fair value through comprehensive income

6,455

9,323

2,325

8,697

26,800

Financial assets at amortized cost

46,223

57,580

21,655

38,657

164,115

Joint-ventures and associates

—

263

283

Tangible assets

1,902

558

935

3,408

Other assets

(204)

3,607

1,046

1,248

5,697

Total

83,393

101,331

27,583

62,969

275,276

Liabilities

Financial liabilities held for trading

10,448

13,784

450

1,312

25,994

Financial liabilities at amortized cost

67,306

60,570

14,946

43,859

186,681

Other liabilities

3,261

13,234

779

2,029

19,302

Total

81,015

87,588

16,175

47,200

231,977

December 2020

Assets

Cash, cash balances at central banks and other demand

deposits

16,615

4,847

772

4,130

26,365

Financial assets held for trading

5,114

22,154

359

6,112

33,740

Non- trading financial assets mandatorily at fair value

through profit or loss

883

3,369

291

4,549

Financial assets at fair value through comprehensive income

7,073

7,723

2,489

8,087

25,373

Financial assets at amortized cost

39,841

53,184

26,810

38,036

157,871

Joint-ventures and associates

—

246

265

Tangible assets

1,819

858

852

3,544

Other assets

83,406

2,053

1,191

2,009

88,658

Total

152,953

95,163

32,486

59,764

340,366

Liabilities

Financial liabilities held for trading

4,562

18,489

471

772

24,295

Financial liabilities at amortized cost

67,165

54,429

18,930

43,468

183,993

Other liabilities

78,724

6,662

687

7,393

93,466

Total

150,452

79,580

20,088

51,633

301,753

December 2019

Assets

Cash, cash balances at central banks and other demand

deposits

16,930

4,414

499

5,330

27,173

Financial assets held for trading

5,549

18,543

242

5,257

29,591

Non- trading financial assets mandatorily at fair value

through profit or loss

900

3,509

116

4,529

Financial assets at fair value through comprehensive income

14,269

6,178

2,748

5,541

28,735

Financial assets at amortized cost

107,865

56,963

29,125

35,906

229,859

Joint-ventures and associates

—

252

277

Tangible assets

921

2,214

1,050

1,026

5,211

Other assets

1,946

2,147

1,174

5,508

10,775

Total

148,384

93,989

34,842

58,934

336,149

Liabilities

Financial liabilities held for trading

4,063

16,064

170

2,465

22,762

Financial liabilities at amortized cost

136,661

54,733

20,681

36,758

248,834

Other liabilities

5,555

6,757

881

8,172

21,365

Total

146,280

77,555

21,732

47,394

292,961

This Appendix is an integral part of Notes 2.2.15 of the consolidated financial statements for the year ended December 31, 2021.

P.208

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX VIII. Consolidated income statements for the first and second half of 2021 and

2020

CONSOLIDATED INCOME STATEMENTS (Millions of Euros)

Six months

ended June 30,

2021

Six months

ended

December 31,

2021

Six months

ended June 30,

2020

Six months

ended

December 31,

2020

Interest and other income

10,962

12,053

11,828

10,561

Interest expense

(4,007)

(4,322)

(4,267)

(3,530)

NET INTEREST INCOME

6,955

7,731

7,561

7,031

Dividend income

125

Share of profit or loss of entities accounted for using the equity method

(5)

(17)

(22)

Fee and commission income

3,311

3,686

2,987

2,992

Fee and commission expense

(996)

(1,235)

(929)

(928)

Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through

profit or loss, net

121

202

(63)

Gains (losses) on financial assets and liabilities held for trading, net

463

(122)

270

507

Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net

280

152

129

Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net

239

203

(146)

Gains (losses) from hedge accounting, net

(81)

(133)

(28)

Exchange differences, net

206

677

176

183

Other operating income

340

321

221

271

Other operating expense

(997)

(1,044)

(814)

(848)

Income from insurance and reinsurance contracts

1,350

1,243

1,307

1,190

Expense from insurance and reinsurance contracts

(909)

(776)

(765)

(755)

GROSS INCOME

10,259

10,807

10,639

9,527

Administration costs

(3,983)

(4,313)

(3,999)

(3,801)

Personnel expense

(2,371)

(2,675)

(2,385)

(2,310)

Other administrative expense

(1,612)

(1,638)

(1,614)

(1,491)

Depreciation and amortization

(615)

(619)

(661)

(627)

Provisions or reversal of provisions

(928)

(90)

(518)

(228)

Impairment or reversal of impairment on financial assets not measured at fair value through profit

or loss or net gains by modification

(1,580)

(1,454)

(3,572)

(1,607)

Financial assets measured at amortized cost

(1,587)

(1,430)

(3,502)

(1,658)

Financial assets at fair value through other comprehensive income

(25)

(70)

NET OPERATING INCOME

3,153

4,331

1,889

3,264

Impairment or reversal of impairment of investments in joint ventures and associates

—

(60)

(130)

Impairment or reversal of impairment on non-financial assets

(196)

(26)

(65)

(88)

Tangible assets

(158)

(3)

(62)

(63)

Intangible assets

(5)

(14)

(3)

(16)

Other assets

(33)

(8)

—

(9)

Gains (losses) on derecognition of non-financial assets and subsidiaries, net

(10)

Negative goodwill recognized in profit or loss

—

Gains (losses) from non-current assets and disposal groups classified as held for sale not

qualifying as discontinued operations

(73)

(10)

454

PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS

2,889

4,358

1,757

3,490

Tax expense or income related to profit or loss from continuing operations

(782)

(1,127)

(477)

(982)

PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS

2,107

3,231

1,281

2,508

Profit (loss) after tax from discontinued operations

280

—

(2,104)

375

PROFIT (LOSS)

2,387

3,231

(823)

2,883

ATTRIBUTABLE TO MINORITY INTEREST (NON-CONTROLLING INTEREST)

476

489

333

423

ATTRIBUTABLE TO OWNERS OF THE PARENT

1,911

2,742

(1,157)

2,462

Six months

ended June 30,

2021

Six months

ended

December 31,

2021

Six months

ended June 30,

2020

Six months

ended

December 31,

2020

EARNINGS (LOSSES) PER SHARE (Euros)

0.26

0.41

(0.20)

0.34

Basic earnings (losses) per share from continuing operations

0.21

0.41

0.11

0.29

Diluted earnings (losses) per share from continuing operations

0.21

0.41

0.11

0.29

Basic earnings (losses) per share from discontinued operations

0.04

—

(0.32)

0.06

Diluted earnings (losses) per share from discontinued operations

0.04

—

(0.32)

0.06

P.209

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX IX. Financial Statements of Banco Bilbao Vizcaya Argentaria, S.A.

ASSETS (Millions of Euros)

2021

2020 (*)

CASH, CASH BALANCES AT CENTRAL BANKS AND OTHER DEMAND DEPOSITS

38,821

44,107

FINANCIAL ASSETS HELD FOR TRADING

105,391

85,298

Derivatives

28,389

36,545

Equity instruments

15,146

10,682

Debt securities

11,546

9,983

Loans and advances to central banks

3,467

Loans and advances to credit institutions

31,300

17,291

Loans and advances to customers

15,543

10,743

NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS

437

409

Equity instruments

172

183

Debt securities

125

142

Loans and advances to central banks

—

Loans and advances to credit institutions

—

Loans and advances to customers

140

FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

—

FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

28,205

37,528

Equity instruments

1,103

881

Debt securities

27,102

36,648

FINANCIAL ASSETS AT AMORTIZED COST

231,276

225,914

Debt securities

22,312

23,241

Loans and advances to central banks

254

Loans and advances to credit institutions

8,371

8,762

Loans and advances to customers

200,339

193,903

DERIVATIVES - HEDGE ACCOUNTING

841

1,011

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF INTEREST RATE RISK

INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

17,504

18,380

Subsidiaries

17,226

17,547

Joint ventures

Associates

225

780

TANGIBLE ASSETS

3,482

3,915

Properties, plant and equipment

3,396

3,836

For own use

3,396

3,836

Other assets leased out under an operating lease

—

Investment properties

INTANGIBLE ASSETS

841

840

Goodwill

—

Other intangible assets

841

840

TAX ASSETS

12,294

12,764

Current tax assets

546

633

Deferred tax assets

11,748

12,131

OTHER ASSETS

2,296

2,837

Insurance contracts linked to pensions

1,882

2,074

Inventories

—

Other

414

763

NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

885

9,978

TOTAL ASSETS

442,279

443,032

(*) Presented for comparison purposes only.

P.210

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

LIABILITIES AND EQUITY (Millions of Euros)

2021

2020 (*)

FINANCIAL LIABILITIES HELD FOR TRADING

77,859

67,135

Derivatives

27,054

35,396

Short positions

13,148

9,625

Deposits from central banks

8,946

1,256

Deposits from credit institutions

14,821

13,901

Customer deposits

13,890

6,957

Debt certificates

—

Other financial liabilities

—

FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

2,238

3,267

Deposits from central banks

—

Deposits from credit institutions

—

Customer deposits

2,238

3,267

Debt certificates

—

Other financial liabilities

—

Memorandum item: Subordinated liabilities

—

FINANCIAL LIABILITIES AT AMORTIZED COST

321,848

331,189

Deposits from central banks

40,839

37,903

Deposits from credit institutions

14,936

22,106

Customer deposits

216,452

217,360

Debt certificates

37,866

43,692

Other financial liabilities

11,756

10,127

Memorandum item: Subordinated liabilities

9,912

11,096

DERIVATIVES - HEDGE ACCOUNTING

2,126

1,510

FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF INTEREST RATE

RISK

—

PROVISIONS

4,488

4,449

Pensions and other post-employment defined benefit obligations

3,027

3,544

Other long term employee benefits

600

Provisions for taxes and other legal contingencies

401

439

Commitments and guarantees given

310

270

Other provisions

150

177

TAX LIABILITIES

999

1,071

Current tax liabilities

187

173

Deferred tax liabilities

812

898

OTHER LIABILITIES

1,885

1,543

LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE

—

TOTAL LIABILITIES

411,443

410,164

(*) Presented for comparison purposes only.

P.211

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

LIABILITIES AND EQUITY (Continued) (Millions of Euros)

2021

2020 (*)

STOCKHOLDERS’ FUNDS

32,296

33,992

Capital

3,267

Paid up capital

3,267

Unpaid capital which has been called up

—

Share premium

23,599

23,992

Equity instruments issued other than capital

—

Equity component of compound financial instruments

—

Other equity instruments issued

—

Other equity

Retained earnings

6,436

8,859

Revaluation reserves

—

Other reserves

(1,026)

Less: treasury shares

(574)

(9)

Profit or loss attributable to owners of the parent

1,080

(2,182)

Less: interim dividends

(533)

—

ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)

(1,461)

(1,124)

Items that will not be reclassified to profit or loss

(1,177)

(1,376)

Actuarial gains (losses) on defined benefit pension plans

(52)

(61)

Non-current assets and disposal groups classified as held for sale

—

Fair value changes of equity instruments measured at fair value through other comprehensive income

(1,127)

(1,294)

Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other

comprehensive income

—

Fair value changes of equity instruments measured at fair value through other comprehensive income

(hedged item)

—

Fair value changes of equity instruments measured at fair value through other comprehensive income

(hedging instrument)

—

Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in

their credit risk

(21)

Items that may be reclassified to profit or loss

(284)

252

Hedge of net investments in foreign operations (effective portion)

—

Foreign currency translation

—

Hedging derivatives. Cash flow hedges (effective portion)

(626)

(100)

Fair value changes of debt instruments measured at fair value through other comprehensive income

342

352

Hedging instruments (non-designated items)

—

Non-current assets and disposal groups classified as held for sale

—

TOTAL EQUITY

30,836

32,867

TOTAL EQUITY AND TOTAL LIABILITIES

442,279

443,032

MEMORANDUM ITEM - OFF BALANCE SHEET EXPOSURES (Millions of Euros)

2021

2020 (*)

Loan commitments given

89,353

80,959

Financial guarantees given

11,662

8,745

Other commitments given

24,181

25,711

(*) Presented for comparison purposes only.

P.212

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

INCOME STATEMENTS (Millions of Euros)

2021

2020 (*)

Interest income

4,289

4,629

Financial assets at fair value through other comprehensive income

235

253

Financial assets at amortized cost

3,426

3,839

Other interest income

628

536

Interest expense

(861)

(1,115)

NET INTEREST INCOME

3,428

3,514

Dividend income

1,808

1,360

Fee and commission income

2,515

2,125

Fee and commission expense

(463)

(358)

Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or

loss, net

Financial assets at amortized cost

100

Other financial assets and liabilities

(13)

Gains or (losses) on financial assets and liabilities held for trading, net

295

353

Reclassification of financial assets from fair value through other comprehensive income

—

Reclassification of financial assets from amortized cost

—

Other profit or loss

295

353

Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net

114

Reclassification of financial assets from fair value through other comprehensive income

—

Reclassification of financial assets from amortized cost

—

Other profit or loss

114

Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net

(69)

Gains (losses) from hedge accounting, net

(36)

Exchange differences, net

(29)

Other operating income

170

142

Other operating expense

(546)

(529)

GROSS INCOME

7,470

6,637

Administrative expense

(3,693)

(3,553)

Personnel expense

(2,237)

(2,144)

Other administrative expense

(1,456)

(1,409)

Depreciation and amortization

(639)

(663)

Provisions or reversal of provisions

(950)

(475)

Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or

net gains by modification

(475)

(1,232)

Financial assets measured at amortized cost

(482)

(1,228)

Financial assets at fair value through other comprehensive income

(4)

NET OPERATING INCOME

1,714

715

Impairment or reversal of impairment of investments in subsidiaries, joint ventures and associates

(911)

(319)

Impairment or reversal of impairment on non-financial assets

(167)

(105)

Tangible assets

(164)

(105)

Intangible assets

(4)

—

Other assets

—

Gains (losses) on derecognition of non - financial assets and subsidiaries, net

Negative goodwill recognized in profit or loss

—

Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as

discontinued operations

107

(43)

PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS

746

249

Tax expense or income related to profit or loss from continuing operations

(36)

PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS

803

213

Profit (loss) after tax from discontinued operations

277

(2,396)

PROFIT (LOSS) FOR THE YEAR

1,080

(2,182)

(*) Presented for comparison purposes only.

P.213

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

STATEMENTS OF RECOGNIZED INCOME AND EXPENSE (Millions of Euros)

2021

2020 (*)

PROFIT RECOGNIZED IN INCOME STATEMENT

1,080

(2,182)

OTHER RECOGNIZED INCOME (EXPENSE)

(349)

(643)

ITEMS NOT SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT

186

(756)

Actuarial gains (losses) from defined benefit pension plans

(4)

Non-current assets and disposal groups classified as held for sale

—

Fair value changes of equity instruments measured at fair value through other comprehensive

income

167

(786)

Gains (losses) from hedge accounting of equity instruments at fair value through other

comprehensive income, net

—

Fair value changes of financial liabilities at fair value through profit or loss attributable to changes

in their credit risk

Income tax related to items not subject to reclassification to income statement

(10)

ITEMS SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT

(535)

113

Hedge of net investments in foreign operations [effective portion]

—

Valuation gains (losses) taken to equity

—

Transferred to profit or loss

—

Other reclassifications

—

Cash flow hedges [effective portion]

(705)

Valuation gains (losses) taken to equity

(705)

Transferred to profit or loss

—

Transferred to initial carrying amount of hedged items

—

Other reclassifications

—

Hedging instruments [non-designated elements]

—

Debt securities at fair value through other comprehensive income

(14)

Valuation gains (losses) taken to equity

Transferred to profit or loss

(63)

(61)

Other reclassifications

—

Non-current assets and disposal groups held for sale

—

Income tax relating to items subject to reclassification to income statements

184

(3)

TOTAL RECOGNIZED INCOME/EXPENSE

731

(2,825)

(*) Presented for comparison purposes only.

P.214

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Statement of changes in equity for the year ended December 31, 2021 of BBVA, S.A.

STATEMENT OF CHANGES IN EQUITY (Millions of Euros)

2021

Capital

Premium

Equity

instruments

issued other

than capital

Other

Equity

Retained

earnings

Revaluation

reserves

Other

reserves

(-)

Treasury

Profit or

loss

attributa

ble to

owners

of the

parent

(-) Interim

dividends

Accumulat

ed other

comprehen

sive

income

Total

Balances as of January 1, 2021

3,267

23,992

—

8,859

—

(9)

(2,182)

—

(1,124)

32,867

Total income/expense recognized

—

1,080

—

(349)

731

Other changes in equity

—

(393)

—

(2,423)

—

(1,058)

(565)

2,182

(533)

(2,763)

Issuances of common shares

—

Issuances of preferred shares

—

Issuance of other equity instruments

—

Period or maturity of other issued equity instruments

—

Conversion of debt on equity

—

Common Stock reduction

—

Dividend distribution

—

(393)

—

(533)

—

(927)

Purchase of treasury shares

—

(925)

—

(925)

Sale or cancellation of treasury shares

—

(4)

360

—

356

Reclassification of financial liabilities to other equity

instruments

—

Reclassification of other equity instruments to financial

liabilities

—

Transfers between total equity entries

—

(2)

(2,064)

—

(129)

—

2,182

—

Increase/Reduction of equity due to business combinations

—

Share based payments

—

Other increases or (-) decreases in equity

—

(359)

—

(925)

—

(1,267)

Balances as of December 31, 2021

3,267

23,599

—

6,436

—

(1,026)

(574)

1,080

(533)

(1,461)

30,836

P.215

Spanish-language version prevails

Statement of changes in equity for the year ended December 31, 2020 of BBVA, S.A.

STATEMENT OF CHANGES IN EQUITY (Millions of Euros)

2020 (*)

Capital

Premium

Equity

instruments

issued other

than capital

Other

Equity

Retained

earnings

Revaluation

reserves

Other

reserves

(-)

Treasury

Profit or

loss

attributab

le to

owners of

the parent

(-) Interim

dividends

Accumulat

ed other

comprehen

sive

income

Total

Balances as of January 1, 2020

3,267

23,992

—

9,107

—

2,241

(1,086)

(381)

37,189

Total income/expense recognized

—

(2,182)

—

(643)

(2,825)

Other changes in equity

—

(14)

(248)

—

(9)

(2,241)

1,086

(101)

(1,497)

Issuances of common shares

—

Issuances of preferred shares

—

Issuance of other equity instruments

—

Settlement or maturity of other equity instruments issued

—

Conversion of debt on equity

—

Common Stock reduction

—

Dividend distribution

—

(1,067)

—

(1,067)

Purchase of treasury shares

—

(688)

—

(688)

Sale or cancellation of treasury shares

—

(5)

679

—

674

Reclassification of other equity instruments to financial

liabilities

—

Reclassification of financial liabilities to other equity

instruments

—

Transfers within total equity

—

(2)

1,206

—

(2,241)

1,086

(100)

—

Increase/Reduction of equity due to business combinations

—

Share based payments

—

Other increases or (-) decreases in equity

—

(12)

(387)

—

(16)

—

(415)

Balances as of December 31, 2020

3,267

23,992

—

8,859

—

(9)

(2,182)

—

(1,124)

32,867

(*) Presented for comparison purposes only.

P.216

Spanish-language version prevails

CASH FLOWS STATEMENTS (Millions of Euros)

2021

2020 (*)

A) CASH FLOWS FROM OPERATING ACTIVITIES (1+2+3+4+5)

(12,004)

25,890

1.Profit (loss) for the year

1,080

(2,182)

2.Adjustments to obtain the cash flow from operating activities:

1,313

3,320

Depreciation and amortization

639

663

Other adjustments

674

2,657

3.Net increase/decrease in operating assets

(15,123)

(16,070)

Financial assets held for trading

(20,093)

(3,723)

Non-trading financial assets mandatorily at fair value through profit or loss

(26)

447

Other financial assets designated at fair value through profit or loss

—

Financial assets at fair value through other comprehensive income

9,323

(12,623)

Financial assets at amortized cost

(5,494)

(683)

Other operating assets

1,167

512

4.Net increase/decrease in operating liabilities

928

40,224

Financial liabilities held for trading

10,724

(3,961)

Other financial liabilities designated at fair value through profit or loss

(1,029)

298

Financial liabilities at amortized cost

(9,209)

45,202

Other operating liabilities

443

(1,314)

5.Collection/Payments for income tax

(202)

598

B) CASH FLOWS FROM INVESTING ACTIVITIES (1+2)

10,049

(125)

1.Investment

(502)

(430)

Tangible assets

(56)

(96)

Intangible assets

(319)

(251)

Investments in subsidiaries, joint ventures and associates

(116)

(84)

Other business units

—

Non-current assets and disposal groups classified as held for sale and associated liabilities

(12)

—

Other settlements related to investing activities

—

2.Divestments

10,551

306

Tangible assets

Intangible assets

—

Investments in subsidiaries, joint ventures and associates

Other business units

—

Non-current assets classified as held for sale and associated liabilities

10,453

206

Other collections related to investing activities

—

C) CASH FLOWS FROM FINANCING ACTIVITIES (1 + 2)

(3,028)

(662)

1. Payments

(3,540)

(3,686)

Dividends (shareholders remuneration)

(927)

(1,067)

Subordinated liabilities

(1,684)

(1,937)

Treasury stock amortization

—

Treasury stock acquisition

(929)

(682)

Other items relating to financing activities

—

2. Collections

512

3,024

Subordinated liabilities

—

2,334

Common stock increase

—

Treasury stock disposal

356

674

Other items relating to financing activities

156

D) EFFECT OF EXCHANGE RATE CHANGES

(303)

584

E) NET INCREASE/DECREASE IN CASH OR CASH EQUIVALENTS (A+B+C+D)

(5,286)

25,688

F) CASH AND CASH EQUIVALENTS AT BEGINNING OF THE YEAR

44,107

18,419

G) CASH AND CASH EQUIVALENTS AT END OF THE YEAR (E+F)

38,821

44,107

COMPONENTS OF CASH AND EQUIVALENTS AT END OF THE YEAR (Millions of Euros)

2021

2020 (*)

Cash

830

972

Balance of cash equivalent in central banks

36,566

40,485

Other financial assets

1,424

2,650

Less: Bank overdraft refundable on demand

—

TOTAL CASH AND CASH EQUIVALENTS AT END OF THE YEAR

38,821

44,107

(*) Presented for comparison purposes only.

This Appendix is an integral part of Notes 2.1 of the consolidated financial statements for the year ended December 31, 2021.

P.217

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX X. Information on data derived from the special accounting registry and other

information bonds

The Bank has implemented policies and procedures for its activities in the mortgage market and in the financing of exportation of

goods and services or the process of internationalization of companies, which allow ensuring compliance with the applicable

regulations of the mortgage market and for the issuance of bonds.

a)Mortgage market policies and procedures

Information required pursuant to Circular 5/2011 of the Bank of Spain is indicated as follows.

The mortgage origination policy is based on principles focused on assessing the adequate ratio between the amount of the loan, and

the payments, and the income of the applicant. Applicants must in all cases prove sufficient repayment ability (present and future) to

meet their repayment obligations, for both the mortgage debt and for other debts detected in the financial system. Therefore, the

applicant’s repayment ability is a key aspect within the credit decision-making tools and retail risk acceptance manuals, and has a

high weighting in the final decision.

During the mortgage risk transaction analysis process, documentation supporting the applicant’s income (payroll, etc.) is required,

and the applicant’s position in the financial system is checked through automated database queries (internal and external). This

information is used for calculation purposes in order to determine the level of indebtedness/compliance with the remainder of the

system. This documentation is kept in the transaction’s file.

In addition, the mortgage origination policy assesses the adequate ratio between the amount of the loan and the appraisal value of the

mortgaged asset. The policy also establishes that the property to be mortgaged be appraised by an independent appraisal company

as established by Circular 4/2017. BBVA selects those companies whose reputation, standing in the market and independence

ensure that their appraisals adapt to the market reality in each region. Each appraisal is reviewed and checked before the loan is

granted and, in those cases where the loan is finally granted, it is kept in the transaction’s file.

As for issues related to the mortgage market, the Finance area annually defines the strategy for wholesale finance issues, and

more specifically mortgage bond issues, such as mortgage covered bonds or mortgage securitization. The Assets and Liabilities

Committee tracks the budget monthly. The volume and type of assets in these transactions is determined in accordance with the

wholesale finance plan, the trend of the Bank’s “Loans and advances” outstanding balances and the conditions in the market.

The Board of Directors of the Bank authorizes each of the issues of Mortgage Transfer Certificates and/or Mortgage Participations

issued by BBVA to securitize the credit rights derived from loans and mortgage loans. Likewise, the Board of Directors authorizes the

establishment of a Base Prospectus for the issuance of fixed-income securities through which the mortgage-covered bonds are

implemented.

As established on the applicable regulation, the Bank has set up a series of controls for mortgage covered bonds, which regularly

control the total volume of issued mortgage covered bonds issued and the collateral which serves as guarantee and the eligible

collateral, to avoid exceeding any limit which is applicable in accordance with the applicable regulations at any time. In the case of

securitizations, the preliminary portfolio of loans and mortgage loans to be securitized is checked according to an agreed procedures

engagement, by the Bank’s external auditor as required by the Spanish Securities and Exchange Commission. There is also a series of

filters through which some mortgage loans and credits are excluded in accordance with legal, commercial and risk concentration

criteria.

P.218

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

b)Quantitative information on activities in the mortgage market

The quantitative information on activities in the mortgage market required by Bank of Spain Circular 5/2011 as of December 31, 2021

and 2020 is shown below.

b.1) Ongoing operations

Mortgage loans. Eligibility for the purpose of the mortgage market (Millions of Euros)

2021

2020

Nominal value of outstanding loans and mortgage loans

(A)

86,112

88,753

Minus: Nominal value of all outstanding loans and mortgage loans that form part of the portfolio, but

have been mobilized through mortgage bond holdings or mortgage transfer certificates.

(B)

(27,106)

(27,549)

Nominal value of outstanding loans and mortgage loans, excluding securitized loans

(A)-(B)

59,006

61,204

Of which: Loans and mortgage loans which would be eligible if the calculation limits set forth in

Article 12 of Spanish Royal Decree 716/2009 were not applied.

(C)

45,006

44,854

Of which: Minus: Loans and mortgage loans which would be eligible but, according to the criteria set

forth in Article 12 of Spanish Royal Decree 716/2009, cannot be used to collateralize any issuance of

mortgage bonds.

(D)

(1,043)

(1,169)

Eligible loans and mortgage loans that, according to the criteria set forth in Article 12 of Spanish

Royal Decree 716/2009, can be used as collateral for the issuance of mortgage bonds

(C)-(D)

43,963

43,685

Issuance limit: 80% of eligible loans and mortgage loans that can be used as collateral

(E )

35,170

34,948

Issued Mortgage-covered bonds

(F)

31,899

32,069

Outstanding Mortgage-covered bonds

9,399

12,559

Capacity to issue mortgage-covered bonds

(E)-(F)

3,271

2,879

Memorandum items:

Percentage of overcollateralization across the portfolio

185%

191%

Percentage of overcollateralization across the eligible used portfolio

138%

136%

Nominal value of available sums (committed and unused) from all loans and mortgage loans.

5,765

5,549

Of which: Potentially eligible

4,972

4,885

Of which: Ineligible

793

664

Nominal value of all loans and mortgage loans that are not eligible, as they do not meet the thresholds

set in Article 5.1 of Spanish Royal Decree 716/2009, but do meet the rest of the eligibility requirements

indicated in Article 4 of the Royal Decree.

7,623

9,006

Nominal value of the replacement assets subject to the issue of mortgage-covered bonds.

—

Mortgage loans. Eligibility for the purpose of the mortgage market (Millions of Euros)

2021

2020

Total loans

(1)

86,112

88,753

Issued mortgage participations

(2)

3,703

4,114

Of which: recognized on the balance sheet

2,632

2,928

Issued mortgage transfer certificates

(3)

23,403

23,435

Of which: recognized on the balance sheet

21,530

21,098

Mortgage loans as collateral of mortgages bonds

(4)

—

Loans supporting the issuance of mortgage-covered bonds

1-2-3-4

59,006

61,204

Non eligible loans

14,000

16,350

Comply requirements to be eligible except the limit provided for under the article 5.1 of the

Spanish Royal Decree 716/2009

7,623

9,006

Other

6,377

7,344

Eligible loans

45,006

44,854

That cannot be used as collateral for issuances

1,043

1,169

That can be used as collateral for issuances

43,963

43,685

Loans used to collateralize mortgage bonds

—

Loans used to collateralize mortgage-covered bonds

43,963

43,685

P.219

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Mortgage loans. Classification of the nominal values according to different characteristics (Millions of Euros)

2021

2020

Total

mortgage

loans

Eligible

Loans (*)

Eligibles that

can be used as

collateral for

issuances (**)

Total

mortgage

loans

Eligible

Loans (*)

Eligibles that

can be used as

collateral for

issuances (**)

Total

59,006

45,006

43,963

61,204

44,854

43,685

By source of the operations

Originated by the bank

54,830

41,426

40,413

56,593

40,975

39,846

Subrogated by other institutions

687

549

545

763

589

584

Rest

3,489

3,031

3,005

3,848

3,290

3,255

By Currency

In Euros

58,873

44,908

43,865

61,033

44,742

43,573

In foreign currency

133

171

112

By payment situation

Normal payment

53,002

42,477

41,789

54,197

42,245

41,388

Other situations

6,004

2,529

2,174

7,007

2,609

2,297

By residual maturity

Up to 10 years

11,948

9,776

9,505

13,031

10,037

9,759

10 to 20 years

24,634

21,332

20,653

25,898

22,116

21,359

20 to 30 years

19,513

13,139

13,064

18,713

11,718

11,613

Over 30 years

2,911

759

741

3,562

983

954

By Interest rate

Fixed rate

16,657

12,529

12,462

13,412

9,318

9,260

Floating rate

42,349

32,477

31,501

47,792

35,536

34,425

Mixed rate

—

By target of operations

For business activity

9,494

6,316

5,482

10,699

6,598

5,681

Of which: RE development

2,116

1,415

695

2,215

1,555

757

Household and NPISHs

49,512

38,690

38,481

50,505

38,256

38,004

By type of guarantee

Secured by completed assets/buildings

57,390

44,052

43,275

59,190

43,696

42,868

Residential use

50,941

39,806

39,182

52,145

39,454

38,781

Of which: public housing

3,418

2,851

2,728

3,791

3,078

2,942

Commercial

6,407

4,236

4,083

7,015

4,233

4,078

Other

Secured by assets/buildings under construction

1,132

779

556

1,303

942

660

Residential use

836

619

400

1,004

734

453

Of which: public housing

—

Commercial

296

160

156

299

208

207

Other

—

Secured by land

484

175

132

711

216

157

Urban

178

275

Non-urban

306

102

436

128

123

(*) Not taking into account the thresholds established by article 12 of Spanish Royal Decree 716/2009.

(**) Taking into account the thresholds established by article 12 of Spanish Royal Decree 716/2009.

Nominal value of the total mortgage loans (Millions of Euros)

Loan to Value (Last available appraisal risk)

Less than or

equal to

40%

Over 40%

but less

than or

equal to

60%

Over 60%

but less

than or

equal to

80%

Over 80%

Total

December 2021

Home mortgages

13,612

13,935

13,004

—

40,551

Other mortgages

2,264

2,191

4,455

Total

15,876

16,126

13,004

—

45,006

December 2020

Home mortgages

13,665

14,339

12,211

—

40,215

Other mortgages

2,351

2,288

4,639

Total

16,016

16,627

12,211

—

44,854

P.220

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Eligible and non-eligible mortgage loans. Changes of the nominal values in the period (Millions of Euros)

2021

2020

Eligible (*)

Non eligible

Eligible (*)

Non eligible

Balance at the beginning

44,854

16,350

44,759

17,825

Retirements

6,829

6,033

6,429

4,535

Held-to-maturity cancellations

4,008

1,013

3,918

736

Anticipated cancellations

2,283

971

1,913

930

Subrogations to other institutions

Rest

482

4,029

550

2,850

Additions

6,981

3,684

6,524

3,060

Originated by the bank

5,275

3,138

3,740

2,396

Subrogations to other institutions

Rest

1,682

535

2,781

664

Balance at the end

45,006

14,000

44,854

16,350

(*) Not taking into account the thresholds established by Article 12 of Spanish Royal Decree 716/2009.

Mortgage loans supporting the issuance of mortgage-covered bonds. Nominal value (Millions of Euros)

2021

2020

Potentially eligible

4,972

4,885

Ineligible

793

664

Total

5,765

5,549

P.221

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

b.2)Liabilities operations

Issued Mortgage Bonds (Millions of Euros)

2021

2020

Nominal value

Average

residual

maturity

Nominal value

Average

residual

maturity

Mortgage bonds

—

Mortgage-covered bonds

31,899

32,069

Of which: Non recognized as liabilities on balance

22,500

19,510

Of Which: outstanding

9,399

12,559

Debt securities issued through public offer

7,700

10,450

Residual maturity up to 1 year

1,250

2,750

Residual maturity over 1 year and less than 2 years

2,250

1,250

Residual maturity over 2 years and less than 3 years

1,000

2,250

Residual maturity over 3 years and less than 5 years

3,000

Residual maturity over 5 years and less than 10 years

—

1,000

Residual maturity over 10 years

200

Debt securities issued without public offer

22,610

19,605

Residual maturity up to 1 year

2,000

1,500

Residual maturity over 1 year and less than 2 years

9,000

2,000

Residual maturity over 2 years and less than 3 years

—

9,000

Residual maturity over 3 years and less than 5 years

8,500

4,000

Residual maturity over 5 years and less than 10 years

3,110

3,105

Residual maturity over 10 years

—

Deposits

1,589

2,014

Residual maturity up to 1 year

368

425

Residual maturity over 1 year and less than 2 years

100

368

Residual maturity over 2 years and less than 3 years

—

100

Residual maturity over 3 years and less than 5 years

371

Residual maturity over 5 years and less than 10 years

750

100

Residual maturity over 10 years

—

650

Mortgage participations

2,632

251

2,928

257

Issued through public offer

2,632

251

2,928

257

Issued without public offer

—

Mortgage transfer certificates

21,530

251

21,098

257

Issued through public offer

21,530

251

21,098

257

Issued without public offer

—

Given the characteristics of the type of covered bonds issued by the Bank, there is no substituting collateral related to these issues.

The Bank does not hold any derivative financial instruments relating to mortgage bond issues, as defined in the aforementioned Royal

Decree.

P.222

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

c)Quantitative information on internationalization covered bonds

Below is the quantitative information of BBVA, S.A. internationalization covered bonds required by Bank of Spain Circular 4/2017 as

of December 31, 2021 and 2020:

c.1)Assets operations

Principal outstanding payment of loans (Millions of Euros)

Nominal value

2021

Nominal value

2020

Eligible loans according to article 34.6 y 7 of the Law 14/2013

3,539

3,284

Minos: Loans that support the issuance of internationalization bonds

—

Minos: NPL to be deducted in the calculation of the issuance limit, according to Article 13

del Royal Decree 579/2014

Total Loans included in the base of all issuance limit

3,524

3,276

c.2)Liabilities operations

Internationalization covered bonds (Millions of Euros)

Nominal value

2021

Nominal value

2020

(1) Debt securities issued through public offer (a)

1,500

Of which: Treasury shares

1,500

Residual maturity up to 1 year

1,500

—

Residual maturity over 1 year and less than 2 years

—

1,500

Residual maturity over 2 years and less than 3 years

—

Residual maturity over 3 years and less than 5 years

—

Residual maturity over 5 years and less than 10 years

—

Residual maturity over 10 years

—

(2) Debt securities issued without public offer (a)

—

Of which: Treasury shares

—

Residual maturity up to 1 year

—

Residual maturity over 1 year and less than 2 years

—

Residual maturity over 2 years and less than 3 years

—

Residual maturity over 3 years and less than 5 years

—

Residual maturity over 5 years and less than 10 years

—

Residual maturity over 10 years

—

(3) Deposits (b)

—

Residual maturity up to 1 year

—

Residual maturity over 1 year and less than 2 years

—

Residual maturity over 2 years and less than 3 years

—

Residual maturity over 3 years and less than 5 years

—

Residual maturity over 5 years and less than 10 years

—

Residual maturity over 10 years

—

TOTAL: (1) + (2) + (3)

1,500

Percentage

Coverage ratio of internationalization covered bonds on loans (c)

43%

46%

(a) Balance that includes all internationalization covered bonds issued by the entity pending amortization, although they are not recognized in the liability (because they have not

been placed to third parties or have been repurchased).

(b) Nominative bonds.

(c) Percentage that results from the value of the quotient between the nominal value of the issued and non-overdue bonds, even if they are not recognized in the liability, and the

nominal value balance pending collection of the loans that serve as guarantee.

Given the characteristics of the Bank's internationalization covered bonds, there are no substitute assets assigned to these issuances.

P.223

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

d)Territorial bonds

d.1)Assets operations

Loans that serves as collateral for the territorial bonds

Nominal Value(a)

Total

Spanish Residents

Residents in other

countries of the

European Economic

Area

December 2021

Central Governments

1,435

1,422

Regional Governments

7,756

7,729

Local Governments

3,598

—

Total loans

12,789

12,749

December 2020

Central Governments

1,505

1,396

109

Regional Governments

7,633

7,605

Local Governments

3,665

—

Total loans

12,803

12,666

137

(a) Principal pending payment of loans.

d.2)Liabilities operations

TERRITORIAL BONDS

Nominal value

2021

Nominal value

2020

Territorial bonds issued (a)

6,540

Issued through a public offering

6,540

Of which: Treasury stock

6,040

Residual maturity up to 1 year

840

2,000

Residual maturity over 1 year and less than 2 years

200

840

Residual maturity over 2 years and less than 3 years

500

200

Residual maturity over 3 years and less than 5 years

5,000

3,500

Residual maturity over 5 years and less than 10 years

—

Residual maturity over 10 years

—

Other issuances

—

Of which: Treasury stock

—

Residual maturity over 1 year and less than 2 years

—

Residual maturity over 2 years and less than 3 years

—

Residual maturity over 3 years and less than 5 years

—

Residual maturity over 5 years and less than 10 years

—

Residual maturity over 10 years

—

Coverage ratio of the territorial bonds on loans (b)

Percentage

51%

(a) Includes the nominal value of all loans that serve as collateral for the territorial bonds, regardless of the item in which they are included in the balance sheet. Principal pending

payment of loans. The territorial bonds include all the instruments issued by the entity pending amortization, although they are not recognized in the liability (because they have

not been placed to third parties or have been repurchased).

(b) Percentage that results from the value of the quotient between the nominal value of the issued and non-overdue bonds, even if they are not recognized in the liability, and the

nominal value balance pending collection of the loans that serve as guarantee.

This Appendix is an integral part of Notes 14.3 and 22.4 of the consolidated financial statements for the year ended December 31,

2021.

P.224

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX XI. Quantitative information on refinancing and restructuring operations and

other requirement under Bank of Spain Circular 6/2012

a)Quantitative information on refinancing and restructuring operations

The breakdown of refinancing and restructuring operations as of December 31, 2021, 2020 and 2019 is as follows:

DECEMBER 2021 BALANCE OF FORBEARANCE

(Millions of Euros)

TOTAL

Unsecured loans

Secured loans

Accumulated

impairment or

accumulated losses

in fair value due to

credit risk

Maximum amount of secured

loans that can be considered

Number of

operations

Gross

carrying

amount

Number of

operations

Gross

carrying

amount

Real estate

mortgage

secured

Rest of

secured loans

Credit institutions

—

General Governments

—

(11)

Other financial corporations and individual

entrepreneurs (financial business)

377

—

(6)

Non-financial corporations and individual

entrepreneurs (corporate non-financial activities)

99,852

6,590

11,417

3,552

2,108

(3,196)

Of which: financing the construction and

property (including land)

739

155

1,785

486

322

—

(513)

Other households (*)

275,927

1,813

96,312

5,877

4,473

(1,622)

Total

376,215

8,496

107,786

9,453

6,599

(4,834)

Of which: IMPAIRED

Unsecured loans

Secured loans

Accumulated

impairment or

accumulated losses

in fair value due to

credit risk

Maximum amount of secured

loans that can be considered

Number of

operations

Gross

carrying

amount

Number of

operations

Gross

carrying

amount

Real estate

mortgage

secured

Rest of

secured loans

Credit institutions

—

General Governments

—

(10)

Other financial corporations and individual

entrepreneurs (financial business)

255

—

(5)

Non-financial corporations and individual

entrepreneurs (corporate non-financial activities)

74,054

3,701

7,423

1,799

855

(2,639)

Of which: financing the construction and

property (including land)

592

148

1,229

320

179

—

(464)

Other households (*)

143,791

948

39,962

2,701

1,799

(1,377)

Total

218,129

4,689

47,425

4,512

2,661

(4,031)

(*) Number of operations does not include Garanti BBVA.

Includes mortgage-backed real estate operations with loan to value ratio of greater than 1, and secured operations, other than transactions secured by real estate mortgage

regardless of their loan to value ratio.

P.225

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

DECEMBER 2020 BALANCE OF FORBEARANCE

(Millions of Euros)

TOTAL

Unsecured loans

Secured loans

Accumulated

impairment or

accumulated losses

in fair value due to

credit risk

Maximum amount of

secured loans that can be

considered

Number of

operations

Gross

carrying

amount

Number of

operations

Gross carrying

amount

Real estate

mortgage

secured

Rest of

secured

loans

Credit institutions

—

General Governments

—

(15)

Other financial corporations and individual

entrepreneurs (financial business)

519

—

(4)

Non-financial corporations and individual

entrepreneurs (corporate non-financial activities)

111,648

5,592

11,343

3,182

1,911

(3,128)

Of which: financing the construction and

property (including land)

624

500

1,081

622

370

(420)

Other households (*)

261,097

1,782

86,643

5,992

4,379

(1,712)

Total

373,331

7,460

98,077

9,239

6,337

(4,859)

Of which: IMPAIRED

Unsecured loans

Secured loans

Accumulated

impairment or

accumulated losses

in fair value due to

credit risk

Maximum amount of

secured loans that can be

considered

Number of

operations

Gross

carrying

amount

Number of

operations

Gross carrying

amount

Real estate

mortgage

secured

Rest of

secured

loans

Credit institutions

—

General Governments

—

(12)

Other financial corporations and individual

entrepreneurs (financial business)

283

—

(3)

Non-financial corporations and individual

entrepreneurs (corporate non-financial activities)

67,588

3,470

6,880

1,939

916

(2,727)

Of which: financing the construction and

property (including land)

469

216

674

408

197

(311)

Other households (*)

113,013

765

37,063

2,805

1,820

(1,358)

Total

180,923

4,274

43,983

4,765

2,750

(4,100)

(*) Number of operations does not include Garanti BBVA.

Includes mortgage-backed real estate operations with loan to value ratio of greater than 1, and secured operations, other than transactions secured by real estate mortgage

regardless of their loan to value ratio.

P.226

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

DECEMBER 2019 BALANCE OF FORBEARANCE

(Millions of Euros)

TOTAL

Unsecured loans

Secured loans

Accumulated

impairment or

accumulated

losses in fair value

due to credit risk

Maximum amount of secured

loans that can be considered

Number of

operations

Gross

carrying

amount

Number of

operations

Gross carrying

amount

Real estate

mortgage

secured

Rest of

secured loans

Credit institutions

—

General Governments

—

(11)

Other financial corporations and individual

entrepreneurs (financial business)

387

—

(6)

Non-financial corporations and individual

entrepreneurs (corporate non-financial activities)

68,121

5,085

18,283

3,646

1,810

178

(3,252)

Of which: financing the construction and property

(including land)

1,131

400

1,314

688

393

(428)

Other households (*)

173,403

1,510

67,513

5,827

4,414

(1,519)

Total

241,984

6,696

85,922

9,541

6,276

211

(4,788)

Of which: IMPAIRED

Unsecured loans

Secured loans

Accumulated

impairment or

accumulated

losses in fair value

due to credit risk

Maximum amount of secured

loans that can be considered

Number of

operations

Gross

carrying

amount

Number of

operations

Gross carrying

amount

Real estate

mortgage

secured

Rest of

secured loans

Credit institutions

—

General Governments

—

(7)

Other financial corporations and individual

entrepreneurs (financial business)

241

—

(6)

Non-financial corporations and individual

entrepreneurs (corporate non-financial activities)

3,148

2,466

1,020

(2,923)

Of which: financing the construction and property

(including land)

819

321

790

445

210

(392)

Other households (*)

96,429

758

34,463

2,908

2,096

(1,229)

Total

136,095

3,954

46,229

5,396

3,044

(4,164)

(*) Number of operations does not include Garanti BBVA.

Includes mortgage-backed real estate operations with loan to value ratio of greater than 1, and secured operations, other than transactions secured by real estate mortgage

regardless of their loan to value ratio.

In addition to the restructuring and refinancing transactions mentioned in this section, loans that were not considered impaired or

renegotiated have been modified based on the criteria set out in the accounting regulation that applies. These loans have not been

classified as renegotiated or impaired, since they were modified for commercial or competitive reasons (for instance, to improve

relationships with clients) rather than for economic or legal reasons relating to the borrower's financial situation.

The table below provides a breakdown by segments of the forbearance operations (net of provisions) as of December 31, 2021, 2020

and 2019:

Forbearance operations. Breakdown by segments (Millions of Euros)

2021

2020

2019

Credit institutions

—

Central governments

124

147

Other financial corporations and individual entrepreneurs (financial activity)

Non-financial corporations and individual entrepreneurs (non-financial activity)

6,946

5,645

5,479

Of which: Financing the construction and property development (including land)

128

701

660

Households

6,068

6,062

5,818

Total carrying amount

13,114

11,840

11,450

Financing classified as non-current assets and disposal groups held for sale

—

858

P.227

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

NPL ratio by type of renegotiated loan

The non-performing ratio of the renegotiated portfolio is defined as the impaired balance of renegotiated loans that shows signs of

difficulties as of the closing of the reporting period, divided by the total payment outstanding in that portfolio

As of December 31, 2021 and December 31, 2020, the non-performing ratio for each of the portfolios of renegotiated loans is as

follows:

NPL ratio renegotiated loan portfolio

Ratio of impaired loans -

past due

2021

2020

General governments

45%

40%

Commercial

54%

62%

Of which: Construction and developer

73%

56%

Other consumer

47%

46%

b.Qualitative information on the concentration of risk by activity and guarantees

Loans and advances to customers by activity (carrying amount)

December 2021 (Millions of Euros)

Loans to customers. Loan to value

Total (*)

Mortgage

loans

Secured

loans

Less

than or

equal to

40%

Over

40% but

less than

or equal

to 60%

Over

60% but

less than

or equal

to 80%

Over

80% but

less than

or equal

to 100%

Over

100%

General governments

19,928

324

1,907

472

834

129

783

Other financial institutions and

individual entrepreneurs

20,711

219

14,495

153

575

2,933

10,151

901

Non-financial institutions and

individual entrepreneurs

146,988

22,945

3,842

8,074

6,361

4,679

2,407

5,266

Construction and property

development

5,091

3,594

1,203

1,055

675

278

462

Construction of civil works

6,614

625

259

252

194

291

Other purposes

135,284

18,726

3,504

6,620

5,112

3,908

2,077

4,513

Large companies

84,147

6,208

2,197

2,327

1,420

1,680

632

2,346

SMEs (**) and individual

entrepreneurs

51,137

12,518

1,307

4,292

3,692

2,228

1,445

2,167

Rest of households and NPISHs

(***)

141,007

93,384

1,757

19,716

23,528

29,555

15,339

7,003

Housing

95,199

92,030

132

19,120

23,175

29,258

13,982

6,628

Consumption

41,798

416

1,421

245

172

119

1,176

126

Other purposes

4,010

938

203

352

181

178

181

250

TOTAL

328,635

116,872

22,001

28,415

31,298

37,295

28,679

13,185

MEMORANDUM ITEM:

Forbearance operations (****)

13,114

7,513

1,611

1,460

1,600

1,176

1,765

(*) The amounts included in this table are net of loss allowances.

(**) Small and medium enterprises.

(***) Non-profit institutions serving households.

(****) Net of provisions.

P.228

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2020 (Millions of Euros)

Loans to customers. Loan to value

Total (*)

Mortgage

loans

Secured

loans

Less

than or

equal to

40%

Over

40% but

less than

or equal

to 60%

Over

60% but

less than

or equal

to 80%

Over

80% but

less than

or equal

to 100%

Over

100%

General governments

19,718

372

1,451

390

546

135

714

Other financial institutions and

individual entrepreneurs

17,464

200

9,398

166

1,585

2,610

4,948

289

Non-financial institutions and

individual entrepreneurs

143,693

23,686

4,082

8,294

7,162

4,467

3,200

4,646

Construction and property

development

4,379

3,244

1,048

1,015

678

263

321

Construction of civil works

6,810

641

279

274

194

306

Other purposes

132,504

19,801

3,721

6,972

5,953

3,691

2,888

4,019

Large companies

79,595

6,648

1,920

2,561

1,811

1,242

1,012

1,943

SMEs (**) and individual

entrepreneurs

52,909

13,154

1,801

4,411

4,142

2,449

1,877

2,076

Rest of households and NPISHs

(***)

137,870

92,555

1,836

19,606

24,126

27,130

15,463

8,066

Housing

94,098

90,756

131

18,743

23,719

26,817

13,960

7,648

Consumption

39,442

418

1,521

246

190

139

1,245

118

Other purposes

4,331

1,381

184

617

216

174

257

301

TOTAL

318,745

116,813

16,768

28,456

33,419

34,343

24,324

13,039

MEMORANDUM ITEM:

Forbearance operations (****)

11,840

7,271

1,350

1,408

1,587

1,165

1,834

(*) The amounts included in this table are net of loss allowances.

(**) Small and medium enterprises.

(***) Non-profit institutions serving households.

(****) Net of provisions.

P.229

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2019 (Millions of Euros)

Loans to customers. Loan to value

Total (*)

Mortgage

loans

Secured

loans

Less

than or

equal to

40%

Over

40% but

less than

or equal

to 60%

Over

60% but

less than

or equal

to 80%

Over

80% but

less than

or equal

to 100%

Over

100%

General governments

29,257

1,067

10,886

4,914

1,510

1,077

3,651

801

Other financial institutions and

individual entrepreneurs

23,114

281

13,699

1,856

219

103

11,687

115

Non-financial institutions and

individual entrepreneurs

176,474

26,608

30,313

22,901

10,082

8,478

5,270

10,190

Construction and property

development

15,171

4,497

2,114

2,313

1,765

1,476

457

600

Construction of civil works

7,146

756

468

499

248

152

106

219

Other purposes

154,157

21,355

27,731

20,089

8,069

6,850

4,707

9,371

Large companies

104,661

8,665

19,058

12,647

3,620

3,828

2,727

4,901

SMEs (**) and individual

entrepreneurs

49,496

12,690

8,673

7,442

4,449

3,022

1,980

4,470

Rest of households and NPISHs

(***)

167,117

108,031

5,582

23,057

27,714

32,625

20,529

9,688

Housing

110,178

104,796

2,332

20,831

26,639

31,707

18,701

9,250

Consumption

46,356

507

2,075

450

316

174

1,502

140

Other purposes

10,583

2,728

1,175

1,776

759

744

326

298

TOTAL

395,962

135,987

60,480

52,728

39,525

42,283

41,137

20,794

MEMORANDUM ITEM:

Forbearance operations (****)

11,450

7,396

256

1,547

1,427

1,572

1,247

1,859

(*) The amounts included in this table are net of loss allowances.

(**) Small and medium enterprises.

(***) Non-profit institutions serving households.

(****) Net of provisions.

P.230

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

c.Information on the concentration of risk by activity and geographical areas

December 2021 (Millions of Euros)

TOTAL (*)

Spain

Rest of European

Union

America

Other

Credit institutions

153,178

46,282

35,157

37,840

33,898

General governments

122,518

53,621

15,822

41,510

11,564

Central Administration

101,719

38,601

15,451

36,397

11,269

Other

20,799

15,020

371

5,113

295

Other financial institutions

44,470

9,988

16,039

11,474

6,969

Non-financial institutions and individual

entrepreneurs

211,437

77,227

25,485

64,123

44,602

Construction and property development

8,594

3,029

662

2,050

2,853

Construction of civil works

10,345

5,641

1,210

1,030

2,465

Other purposes

192,498

68,557

23,614

61,044

39,284

Large companies

136,229

42,462

23,133

40,931

29,703

SMEs and individual entrepreneurs

56,269

26,095

481

20,113

9,581

Other households and NPISHs

141,747

89,769

2,715

40,819

8,444

Housing

95,200

73,145

1,645

18,455

1,955

Consumer

41,799

13,431

745

21,399

6,224

Other purposes

4,749

3,193

325

966

265

TOTAL

673,350

276,887

95,218

195,768

105,477

(*) The definition of risk for the purpose of this statement includes the following items on the public balance sheet: “Loans and advances to credit institutions”, “Loans and

advances”, “Debt securities”, “Equity instruments”, “Other equity securities”, “Derivatives and hedging derivatives”, “Investments in subsidiaries, joint ventures and associates”

and “Guarantees given and contingent risks”. The amounts included in this table are net of loss allowances.

December 2020 (Millions of Euros)

TOTAL (*)

Spain

Rest of

European Union

America

Other

Credit institutions

140,294

44,287

29,055

39,897

27,055

General governments

125,311

61,944

12,660

37,756

12,951

Central Administration

103,104

46,614

12,324

31,477

12,689

Other

22,207

15,330

336

6,279

262

Other financial institutions

48,236

14,727

11,575

15,640

6,294

Non-financial institutions and individual entrepreneurs

202,708

74,560

23,783

60,245

44,120

Construction and property development

8,182

3,384

202

1,899

2,697

Construction of civil works

10,385

5,275

1,349

1,183

2,578

Other purposes

184,141

65,901

22,232

57,163

38,845

Large companies

125,847

39,272

21,610

37,904

27,061

SMEs and individual entrepreneurs

58,294

26,629

622

19,259

11,784

Other households and NPISHs

138,544

88,633

2,882

36,690

10,339

Housing

94,098

73,383

1,747

16,262

2,706

Consumer

39,442

12,117

719

19,264

7,342

Other purposes

5,004

3,133

416

1,164

291

TOTAL

655,093

284,151

79,955

190,228

100,759

(*) The definition of risk for the purpose of this statement includes the following items on the public balance sheet: “Loans and advances to credit institutions”, “Loans and

and “Guarantees given and contingent risks”. The amounts included in this table are net of loss allowances.

P.231

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

December 2019 (Millions of Euros)

TOTAL (*)

Spain

Rest of

European Union

America

Other

Credit institutions

106,462

23,050

37,933

31,717

13,762

General governments

134,915

56,464

9,861

57,174

11,416

Central Administration

96,639

39,573

9,505

36,287

11,274

Other

38,276

16,891

356

20,887

142

Other financial institutions

52,281

13,822

19,763

15,736

2,960

Non-financial institutions and individual entrepreneurs

231,964

70,753

25,932

92,178

43,101

Construction and property development

18,915

3,538

361

11,688

3,328

Construction of civil works

10,607

5,403

1,303

1,431

2,470

Other purposes

202,442

61,812

24,268

79,059

37,303

Large companies

147,573

37,393

23,279

61,838

25,063

SMEs and individual entrepreneurs

54,869

24,419

989

17,221

12,240

Other households and NPISHs

167,379

90,829

3,180

62,098

11,272

Housing

110,178

75,754

725

30,557

3,142

Consumer

46,358

11,954

675

25,897

7,832

Other purposes

10,843

3,121

1,780

5,644

298

TOTAL

693,001

254,918

96,669

258,903

82,511

(*) The definition of risk for the purpose of this statement includes the following items on the public balance sheet: “Loans and advances to credit institutions”, “Loans and

and “Guarantees given and contingent risks”. The amounts included in this table are net of loss allowances.

This Appendix is an integral part of Note 7.2.7 of the consolidated financial statements for the year ended December 31, 2021.

P.232

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX XII. Additional information on risk concentration

a.Sovereign risk exposure

The table below provides a breakdown of exposure to financial assets (excluding derivatives and equity instruments), as of December

31, 2021, 2020 and 2019: by type of counterparty and the country of residence of such counterparty. The below figures do not take

into account accumulated other comprehensive income, loss allowances or loan-loss provisions:

Risk exposure by countries (Millions of Euros)

Sovereign risk

2021

2020

2019

Spain

52,927

60,916

55,575

Italy

13,720

10,270

7,810

Turkey

5,868

7,578

7,999

Portugal

697

1,067

924

Germany

212

342

224

France

124

108

Netherlands

—

Romania

461

459

480

Rest of Europe

522

244

185

Subtotal Europe

74,534

80,984

73,291

Mexico

34,872

31,237

32,630

The United States

1,841

14,217

19,802

Colombia

2,676

1,466

1,828

Peru

805

1,539

1,557

Argentina

850

706

582

Venezuela

—

Rest of countries

5,871

5,559

3,726

Subtotal rest of countries

46,915

54,746

60,131

Total exposure to financial instruments

121,449

135,729

133,421

The exposure to sovereign risk set out in the above table includes positions held in government debt securities in countries where the

Group operates. They are used for ALCO’s management of the interest-rate risk on the balance sheets of the Group’s entities in these

countries, as well as for hedging of pension and insurance commitments by insurance entities within the BBVA Group.

P.233

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The table below provides a breakdown of the exposure of the Group’s credit institutions to sovereign risk as of December 31, 2021 by type of financial instrument and the country of residence of the

counterparty, under EBA (European Banking Authority) requirements:

Exposure to Sovereign Risk by European Union Countries. December 2021 (Millions of Euros)

Debt securities

Loans and

advances

Derivatives

Total

Direct exposure

Indirect exposure

Notional

value

Fair value +

Fair value -

Notional

value

Fair value +

Fair value -

Spain

25,596

12,542

288

(19)

3,084

(2,883)

38,626

40%

Italy

9,257

—

(1,146)

747

(1,865)

7,008

Portugal

(304)

128

—

(2)

—

(3)

(180)

—%

Germany

—

(54)

—

—%

France

(1,169)

—

841

1,588

(879)

407

—%

Netherlands

—

—%

Romania

461

—

461

—%

Rest of European Union

(415)

295

(1)

293

316

(1)

578

Total Exposure to Sovereign Counterparties (European Union)

33,495

12,799

583

(20)

(57)

5,782

(5,630)

46,962

48%

Mexico

21,997

5,102

5,550

(206)

(4)

—

32,445

33%

The United States

1,732

—

(4)

1,820

(1,820)

1,728

Turkey

5,591

236

—

(3)

5,827

Rest of other countries

7,611

2,223

—

721

(7)

10,596

11%

Total other countries

36,932

7,560

5,550

(206)

712

1,865

(1,830)

50,594

52%

Total

70,427

20,359

6,134

(225)

656

7,647

(7,460)

97,556

100%

This table shows sovereign risk balances with EBA criteria. Therefore, sovereign risk of European Union countries of the Group’s insurance companies (€10,101 million as of December 31, 2021) is not

included. Includes credit derivatives CDS (Credit Default Swaps) shown at fair value.

This Appendix forms an integral part of Note 7.2.8 of the Consolidated Financial Statements for the year 2021.

P.234

Spanish-language version prevails

b.Concentration of risk on activities in the real-estate market in Spain

Quantitative information on activities in the real-estate market in Spain

Lending for real estate development of the loans as of December 31, 2021, 2020 and 2019 is shown below:

Financing Allocated by credit institutions to Construction and Real Estate Development and lending for house purchase (Millions of

Euros)

Gross amount

Drawn over the guarantee

value

Accumulated impairment

2021

2020

2019

2021

2020

2019

2021

2020

2019

Financing to construction and real estate development

(including land) (Business in Spain)

2,123

2,565

2,649

455

650

688

(197)

(281)

(286)

Of which: Impaired assets

337

473

567

132

213

271

(142)

(230)

(252)

Memorandum item:

Write-offs

2,155

2,288

2,265

Memorandum item:

Total loans and advances to customers, excluding the General Governments

(Business in Spain) (book Value)

168,734

162,600

185,893

Total consolidated assets (total business) (book value)

662,885

733,797

695,471

Impairment and provisions for normal exposures

(4,610)

(4,909)

(4,934)

The following is a description of the real estate credit risk based on the types of associated guarantees:

Financing allocated by credit institutions to construction and real estate development and lending for house purchase

(Millions of Euros)

2021

2020

2019

Without secured loan

248

372

298

With secured loan

1,875

2,193

2,351

Terminated buildings

1,172

1,307

1,461

Homes

936

991

1,088

Other

235

316

373

Buildings under construction

517

614

545

Homes

509

430

348

Other

184

197

Land

186

272

345

Urbanized land

124

143

240

Rest of land

129

105

Total

2,123

2,565

2,649

As of December 31, 2021, 2020 and 2019, 55.2% 51.0% and 55.2%, of loans to developers were guaranteed with buildings (79.9%,

75.8% and 74.5% are homes), and only 8.8%, 10.6%, and 13.0% by land, of which 66.6%, 52.6%, and 69.6% are in urban locations,

respectively.

The table below provides the breakdown of the financial guarantees given as of December 31, 2021, 2020 and 2019:

Financial guarantees given (Millions of Euros)

2021

2020

2019

Houses purchase loans

Without mortgage

P.235

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The information on the retail mortgage portfolio risk (housing mortgage) as of December 31, December 31, 2021, 2020 and 2019 is as

follows:

Financing allocated by credit institutions to construction and Real Estate development and lending for house purchase.

(Millions of Euros)

Gross amount

Of which: impaired loans

2021

2020

2019

2021

2020

2019

Houses purchase loans

74,094

74,689

76,961

2,748

2,841

2,943

Without mortgage

1,631

1,693

1,672

With mortgage

72,463

72,996

75,289

2,735

2,821

2,921

The loan to value (LTV) ratio of the above portfolio is as follows:

LTV breakdown of mortgage to households for the purchase of a home (business in Spain) (Millions of Euros)

Total risk over the amount of the last valuation available (Loan to value-LTV)

Less than

or equal to

40%

Over 40% but

less than or

equal to 60%

Over 60% but

less than or

equal to 80%

Over 80% but

less than or

equal to 100%

Over 100%

Total

Gross amount 2021

15,189

18,107

22,782

9,935

6,449

72,463

Of which: Impaired loans

216

327

462

483

1,246

2,735

Gross amount June 30,2021

15,197

18,891

20,716

10,624

7,568

72,996

Of which: Impaired loans

170

294

426

470

1,461

2,821

Gross amount December 31,

2020

15,105

19,453

20,424

11,827

8,480

75,289

Of which: Impaired loans

182

313

506

544

1,376

2,921

Outstanding home mortgage loans as of December 31, 2021, 2020 and 2019 had an average LTV of 46%, 46% and 47% respectively.

P.236

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

The breakdown of foreclosed, acquired, purchased or exchanged assets from debt from loans relating to business in Spain, as well as

the holdings and financing to non-consolidated entities holding such assets is as follows:

Information about Assets Received in Payment of Debts (Business in Spain) (Millions of euros)

Gross Value

Provisions

Of which: Valuation

adjustments on impaired

assets, from the time of

foreclosure

Carrying amount

2021

2020

2019

2021

2020

2019

2021

2020

2019

2021

2020

2019

Real estate assets from

loans to the

construction and real

estate development

sectors in Spain

654

913

1,048

(407)

(486)

(555)

(214)

(234)

(266)

247

427

493

Terminated buildings

196

363

378

(94)

(144)

(150)

(44)

(60)

(58)

102

219

228

Homes

212

221

(39)

(75)

(81)

(17)

(33)

137

140

Other

109

151

157

(55)

(69)

(27)

(25)

Buildings under

construction

(17)

(21)

(44)

(6)

(10)

(24)

Homes

(16)

(20)

(43)

(6)

(10)

(24)

Other

(1)

—

Land

435

520

591

(296)

(321)

(361)

(164)

(184)

139

199

230

Urbanized land

406

485

547

(281)

(303)

(338)

(153)

(150)

(167)

125

182

209

Rest of land

(15)

(18)

(23)

(11)

(14)

(17)

Real estate assets from

mortgage financing for

households for the

purchase of a home

970

1,128

1,192

(520)

(593)

(612)

(154)

(163)

(153)

450

535

580

Rest of foreclosed real

estate assets

494

481

451

(264)

(259)

(233)

(62)

(48)

(37)

230

222

218

Equity instruments,

investments and

financing to non-

consolidated companies

holding said assets

708

1,310

1,380

(449)

(450)

(293)

(410)

(412)

(255)

259

860

1,087

Total

2,826

3,832

4,071

(1,640)

(1,788)

(1,693)

(840)

(857)

(711)

1,186

2,044

2,378

As of December 31, 2021, 2020 and 2019, the gross book value of the Group’s real-estate assets from corporate financing of real-

estate construction and development was €654, €913 and €1,048 million, respectively, with an average coverage ratio of 62.2%,

53.2%, and 53.0% respectively.

The gross book value of real-estate assets from mortgage lending to households for home purchase as of December 31, 2021, 2020

and 2019, amounted to €970, €1,128 and €1,192 million, respectively, with an average coverage ratio of 53.6%, 52.6%, and 51.3%.

As of December 31, 2021, 2020 and 2019, the gross book value of the BBVA Group’s total real-estate assets (business in Spain),

including other real-estate assets received as debt payment, was €2.118, €2,522 and €2,691 million, respectively. The coverage ratio

was 56.2%, 53.1% and 52.0%, respectively.

This Appendix is an integral part of Note 7 of the consolidated financial statements for the year ended December 31, 2021.

P.237

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

c.Concentration of risk by geography

Below is a breakdown of the balances of financial instruments registered in the accompanying consolidated balance sheets by their concentration in geographical areas and according to the residence of

the customer or counterparty. As of December 31, 2021, 2020 and 2019 it does not take into account loss allowances or loan-loss provisions:

Risks by geographical areas. December 2021 (Millions of Euros)

Spain

Rest of Europe

Mexico

The United

States

Turkey

South America

Other

Total

Derivatives

4,145

15,783

1,511

4,706

945

3,248

594

30,933

Equity instruments (*)

3,682

12,510

3,885

1,273

206

951

22,587

Debt securities

43,336

22,288

32,042

4,418

5,677

6,237

6,993

120,990

Central banks

—

2,527

106

2,648

General governments

40,653

15,608

29,771

1,839

5,669

2,813

5,156

101,508

Credit institutions

1,401

2,341

1,213

142

275

480

5,860

Other financial corporations

619

1,878

270

903

402

132

4,203

Non-financial corporations

662

2,447

788

1,535

—

220

1,118

6,770

Loans and advances

177,851

64,238

60,208

9,319

36,743

42,182

9,984

400,525

Central banks

865

2,832

—

3,991

1,442

9,154

General governments

12,542

256

5,102

—

236

1,733

490

20,359

Credit institutions

7,360

29,901

1,452

361

2,695

1,221

2,247

45,238

Other financial corporations

4,583

14,183

985

1,521

954

1,165

851

24,242

Non-financial corporations

56,643

13,993

24,930

7,403

19,500

19,024

6,250

147,743

Households

95,857

3,072

27,740

9,368

17,596

122

153,789

Total risk in financial assets

229,013

114,819

97,647

19,718

43,445

51,873

18,521

575,035

Loan commitments given

35,604

37,313

17,662

13,239

6,359

7,926

1,516

119,618

Financial guarantees given

2,426

3,363

451

4,163

993

308

11,720

Other commitments given

14,516

6,995

2,127

2,070

3,529

2,402

2,965

34,604

Off-balance sheet exposures

52,546

47,671

19,805

15,760

14,050

11,321

4,789

165,941

Total risks in financial instruments

281,559

162,489

117,451

35,477

57,496

63,194

23,309

740,976

(*) Equity instruments are shown net of valuation adjustment.

P.238

Spanish-language version prevails

Risks by geographical areas. December 2020 (Millions of Euros)

Spain

Rest of Europe

Mexico

The United

States

Turkey

South America

Other

Total

Derivatives

8,419

17,811

2,292

8,350

349

2,162

800

40,183

Equity instruments (*)

2,196

9,627

3,197

925

260

420

16,690

Debt securities

56,552

18,932

29,392

5,097

7,466

5,907

6,287

129,632

Central banks

—

2,535

100

2,635

General governments

48,765

12,320

26,567

2,412

7,449

2,547

4,641

104,701

Credit institutions

1,680

2,383

1,542

214

205

681

6,718

Other financial corporations

5,466

1,804

404

897

439

163

9,175

Non-financial corporations

641

2,426

879

1,574

—

180

702

6,402

Loans and advances

168,849

50,691

57,787

8,335

40,373

39,081

9,964

375,080

Central banks

1,301

235

204

3,408

1,060

6,282

General governments

12,712

328

4,671

—

181

1,401

732

20,026

Credit institutions

644

23,123

2,888

1,477

217

830

3,762

32,940

Other financial corporations

3,742

10,826

2,489

946

1,165

756

723

20,647

Non-financial corporations

55,314

13,078

22,878

5,670

23,963

18,215

4,573

143,691

Households

95,136

3,298

24,626

11,439

16,819

137

151,493

Total risk in financial assets

236,016

97,061

92,667

22,706

48,253

47,410

17,471

561,585

Loan commitments given

35,096

32,327

15,748

33,644

7,691

6,530

1,548

132,584

Financial guarantees given

850

3,302

714

4,415

1,013

348

10,665

Other commitments given

15,474

8,224

1,618

1,922

3,403

2,883

2,666

36,190

Off-balance sheet exposures

51,419

43,853

17,391

36,280

15,508

10,425

4,563

179,440

Total risks in financial instruments

287,436

140,914

110,058

58,986

63,761

57,836

22,034

741,025

(*) Equity instruments are shown net of valuation adjustment.

P.239

Spanish-language version prevails

Risks by geographical areas. December 2019 (Millions of Euros)

Spain

Rest of Europe

Mexico

The United

States

Turkey

South America

Other

Total

Derivatives

5,241

16,603

1,328

6,354

189

1,788

729

32,232

Equity instruments (*)

3,745

6,184

3,829

1,311

268

247

15,639

Debt securities

48,806

13,283

28,053

17,733

7,934

5,383

4,210

125,403

Central banks

—

1,785

1,855

General governments

41,510

9,403

25,852

14,465

7,921

2,732

2,846

104,728

Credit institutions

1,237

1,672

658

150

263

611

4,600

Other financial corporations

5,643

1,001

317

2,085

433

136

9,619

Non-financial corporations

416

1,207

1,226

1,034

170

548

4,602

Loans and advances

171,673

49,757

63,505

65,044

45,874

40,787

9,264

445,903

Central banks

—

3,647

684

475

4,820

General governments

14,477

394

6,820

5,342

111

1,536

637

29,317

Credit institutions

6,626

18,274

2,050

648

1,996

1,012

2,112

32,717

Other financial corporations

3,103

13,351

1,611

2,313

1,248

704

752

23,082

Non-financial corporations

50,718

14,215

24,823

34,960

26,099

17,963

5,130

173,908

Households

96,735

3,523

28,201

21,781

12,773

18,888

158

182,059

Total risk in financial assets

229,465

85,827

96,715

90,442

54,052

48,226

14,450

619,177

Loan commitments given

33,146

26,687

17,361

35,185

8,665

8,060

1,819

130,923

Financial guarantees given

3,182

1,605

656

754

3,170

911

705

10,984

Other commitments given

16,204

9,125

1,534

2,075

5,065

2,808

2,397

39,209

Off-balance sheet exposures

52,532

37,417

19,551

38,014

16,900

11,779

4,922

181,116

Total risks in financial instruments

281,997

123,244

116,266

128,456

70,952

60,005

19,372

800,293

(*) Equity instruments are shown net of valuation adjustment.

The breakdown of the main figures in the most significant foreign currencies in the accompanying consolidated balance sheets is set forth in Appendix VII.

P.240

Spanish-language version prevails

The breakdown of loans and advances in the heading of “Loans and advances”, impaired by geographical area as December 31, 2021,

2020 and 2019 is as follows:

Impaired financial assets by geographic area (Millions of Euros)

2021

2020

2019

Spain

8,143

8,199

8,616

Rest of Europe

104

118

175

Mexico

1,921

1,767

1,478

South America

1,744

1,703

1,769

Turkey

2,746

2,889

3,289

Rest of the world (*)

—

634

IMPAIRED RISKS

14,657

14,678

15,959

(*) In 2019, it includes the balances of the Group's businesses in the United States included within the scope of the USA Sale (see Notes 1.3, 3 and 21).

This Appendix is an integral part of Note 7.2.8 of the consolidated financial statements for the year ended December 31, 2021.

P.241

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

APPENDIX XIII Information in accordance with article 89 of Directive 2013/36/EU of the

European Parliament and its application to Spanish Law through Law 10/2014

December 31, 2021 (Millions of Euros)

Country

CIT payments

cash basis (*)

CIT expense

consol

PBT

consol

Gross

margin

Nº employees

(**)

Activity

Main Entity

Spain (***)

901

1,030

6,161

23,933

Finance, banking and insurance services

BBVA S.A.

Mexico

360

957

3,532

7,448

40,238

Finance, banking and insurance services

BBVA México, S.A.

Turkey

330

437

1,851

3,145

20,063

Finance, banking and insurance services

Garanti BBVA AS

United States

(****)

108

586

1,502

285

Finance and banking services

BBVA, S.A. -New York Branch Office

Peru

173

120

385

1,093

5,780

Finance and banking services

BBVA Banco Continental S.A.

Colombia

101

338

889

6,721

Finance, banking and insurance services

BBVA Colombia S.A.

Argentina

129

816

5,364

Finance, banking and insurance services

Banco BBVA Argentina S.A.

Uruguay

134

579

Finance and banking services

BBVA Uruguay S.A.

Chile

133

714

Financial services

Forum Servicios Financieros, S.A.

United Kingdom

108

117

Banking services

BBVA, S.A. -London Branch Office

Romania

106

1,119

Finance and banking services

Garanti Bank SA

Portugal

440

Finance and banking services

BBVA, S.A. - Portugal Branch Office

Hong Kong

Banking services

BBVA Banco Provincial S.A.

Malta

Banking services

Garanti BBVA AS - La Valeta Branch

Office

Netherlands

—

207

Finance and banking services

Garantibank BBVA International N.V.

Italy

Banking services

BBVA, S.A. -Milan Branch Office

France

Banking services

BBVA, S.A. -Paris Branch Office

Venezuela

1,748

Finance, banking and insurance services

BBVA Banco Provincial S.A.

Germany

Banking services

BBVA, S.A. -Frankfurt Branch Office

Switzerland

117

Finance and banking services

BBVA (Switzerland) S.A.

Bolivia

468

Pensions

BBVA Previsión AFP SA

Cyprus

106

Banking services

Garanti BBVA AS - Nicosia Branch

Office

Singapore

Banking services

BBVA, S.A. -Singapore Branch Office

Taiwan

—

(1)

(2)

Banking services

BBVA, S.A. -Taipei Branch Office

Curaçao

—

Finance and banking services

Banco Provincial Overseas N.V.

China

—

Banking services

BBVA, S.A. -Shanghai Branch Office

Belgium

—

Banking services

BBVA S.A. -Brussels Branch Office

Brazil

—

Financial services

BBVA Brasil Banco de Investimento,

S.A.

Finland

—

Financial services

Holvi Payment Service OY

Japan

—

(1)

—

Banking services

BBVA S.A.-Tokio Branch Office

Paraguay

—

Finance and banking services

BBVA Paraguay S.A.

Total

1,252

2,781

8,399

22,219

108,353

(*) The amounts of "Cash payments of corporate income tax" are highly conditioned and derive fundamentally from the methodology for calculating the instalment payments

provided for in the regulations governing corporate income tax in the different geographical areas, producing differences between the instalment payments made in the current

year and the refund of installments from previous years that may result once the final tax returns have been filed. In this respect, it should also be noted that it is normal for there

to be, differences between the amounts of "Corporate tax cash payments" and "Corporate tax expense", as the tax paid in the year is not necessarily directly related to the pre-tax

profit existing in a jurisdiction, but takes into account the tax payments (and refunds) in respect of profits made in previous years, as well as the instalment payments made in the

current year and the withholding of input tax. However, the "Corporate Income Tax Expense" for the current year is more directly related to the existing Profit before tax for a given

year.

(**) Full time employees. The 21 employees of representative offices are not included in the total number.

(***) In Spain, the balance of "Profit before tax" includes the capital gain generated in 2021 as a result of the sale of the US business, which is classified in the income statement

under "Profit (loss) after tax from discontinued operations". Likewise, the balance of "Corporate income tax expense" in Spain is highly conditioned because it incorporates the tax

effects associated with the sale of the US business, which is classified in the income statement under "Profit (loss) after tax from discontinued operations".

(****) In the US, the balance of "Profit before tax", "Corporate income tax expense" and "Gross margin" includes the profit generated by the US banking business up to the time of

its sale, which is classified in "Profit (loss) after tax from discontinued operations". The number of employees in the US does not include employees who at 31 December no longer

form part of the Group as a result of the sale of the US banking business.

The total gross margin of the Group which appears in the previous table does not tie up with the one existing in the consolidated

income statement since the total gross margin of such table also includes the gross margin generated, up to the moment of its sale,

by the companies included in the USA Sale, whose "Profit before taxes" and "Corporate income tax expense" are classified under

"Profits (losses) after taxes from discontinued operations.

The results of this breakdown of the branches are integrated in the financial statements of the parent companies on which they

depend.

As of December 31, 2021, the return of the Group’s assets calculated by dividing the “Profit” between “Total Assets” is 0.85%.

P.242

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

In 2021 (1), BBVA group has not received public aid for the financial sector which has the aim of promoting the carrying out of banking

activities and which is significant. This statement is made for the purposes of article 89 of Directive 2013/36/EU of the European

Parliament and of the Council of June 26 (on access to the activity of credit institutions and the prudential supervision of credit

institutions and investment firms) and its transposition to Spanish legislation by means of Law 10/2014 on Monitoring, Supervision

and Solvency of Credit Institutions of June 26.

(1) BBVA disclosed by means of public relevant events: (i) on 07/27/2012 the closing of the acquisition of UNNIM Banc, S.A. and (ii) on 04/24/2015 the closing of the acquisition

of Catalunya Banc, S.A.

P.243

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Glossary

Additional Tier 1 Capital

Includes: Preferred stock and convertible perpetual securities and deductions.

Adjusted acquisition cost

The acquisition cost of the securities less accumulated amortizations, plus interest accrued, but not net

of any other valuation adjustments.

Amortized cost

The amortized cost of a financial asset or financial liability is the amount at which the financial asset or

financial liability is measured at initial recognition minus the principal repayments, plus or minus, the

cumulative amortization using the effective interest rate method of any difference between the initial

amount and the maturity amount and, for financial assets, adjusted for any loss allowance.

Associates

Companies in which the Group has a significant influence, without having control. Significant influence is

deemed to exist when the Group owns 20% or more of the voting rights of an investee directly or

indirectly.

Baseline macroeconomic

scenarios

IFRS 9 requires that an entity must evaluate a range of possible outcomes when estimating provisions

and measuring expected credit losses, through macroeconomic scenarios. The baseline macroeconomic

scenario presents the situation of the particular economic cycle.

Basic earnings per share

Calculated by dividing “Profit attributable to Parent Company” corresponding to ordinary shareholders of

the entity by the weighted average number of shares outstanding throughout the year (i.e., excluding the

average number of treasury shares held over the year).

Basis risk

Risk arising from hedging exposure to one interest rate with exposure to a rate that reprices under

slightly different conditions.

Business combination

A business combination is a transaction, or any other event, through which a single entity obtains the

control of one or more businesses.

Business Model

The assessment as to how an asset shall be classified is made on the basis of both the business model for

managing the financial asset and the contractual cash flow characteristic of the financial asset (SPPI

Criterion). Financial assets are classified on the basis of its business model for managing the financial

assets. The Group’s business models shall be determined at a level that reflects how groups of financial

assets are managed together to achieve a particular business objective and generate cash flows.

Cash flow hedges

Those that hedge the exposure to variability in cash flows attributable to a particular risk associated with

a recognized asset or liability or a highly probable forecast transaction and could affect profit or loss.

Commissions

Income and expenses relating to commissions and similar fees are recognized in the income statement

using criteria that vary according to their nature. The most significant income and expense items in this

connection are:

· Fees and commissions relating linked to financial assets and liabilities measured at fair value through

profit or loss, which are recognized when collected.

· Fees and commissions arising from transactions or services that are provided over a period of time,

which are recognized over the life of these transactions or services.

· Fees and commissions generated by a single act are accrued upon execution of that act.

Consolidation method

Method used for the consolidation of the accounts of the Group’s subsidiaries. The assets and liabilities

of the Group entities are incorporated line-by-line on the consolidate balance sheets, after conciliation

and the elimination in full of intragroup balances, including amounts payable and receivable. Group entity

income statement income and expense headings are similarly combined line by line into the consolidated

income statement, having made the following consolidation eliminations: a) income and expenses in

respect of intragroup transactions are eliminated in full. b) profits and losses resulting from intragroup

transactions are similarly eliminated. The carrying amount of the parent's investment and the parent's

share of equity in each subsidiary are eliminated.

Contingencies

Current obligations of the entity arising as a result of past events whose existence depends on the

occurrence or non-occurrence of one or more future events independent of the will of the entity.

Contingent

commitments

Possible obligations of the entity that arise from past events and whose existence depends on the

occurrence or non-occurrence of one or more future events independent of the entity’s will and that

could lead to the recognition of financial assets.

Control

An investor controls an investee when it is exposed, or has rights, to variable returns from its involvement

with the investee and has the ability to affect those returns through its power over the investee. An

investor controls an investee if and only if the investor has all the following:

a) Power; An investor has power over an investee when the investor has existing rights that give it the

current ability to direct the relevant activities, i.e. the activities that significantly affect the investee’s

returns.

b) Returns; An investor is exposed, or has rights, to variable returns from its involvement with the

investee when the investor’s returns from its involvement have the potential to vary as a result of the

investee’s performance. The investor’s returns can be only positive, only negative or both positive and

negative.

c) Link between power and returns; An investor controls an investee if the investor not only has power

over the investee and exposure or rights to variable returns from its involvement with the investee, but

also has the ability to use its power to affect the investor’s returns from its involvement with the investee.

Correlation risk

Correlation risk is related to derivatives whose final value depends on the performance of more than one

underlying asset (primarily, stock baskets) and indicates the existing variability in the correlations

between each pair of assets.

Credit Valuation

Adjustment (CVA)

An adjustment to the valuation of OTC derivative contracts to reflect the creditworthiness of OTC

derivative counterparties.

P.244

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Current service cost

Current service cost is the increase in the present value of a defined benefit obligation resulting from

employee service in the current period.

Current tax assets

Taxes recoverable over the next twelve months.

Current tax liabilities

Corporate income tax payable on taxable profit for the year and other taxes payable in the next twelve

months.

Debit Valuation

Adjustment (DVA)

An adjustment made by an entity to the valuation of OTC derivative liabilities to reflect within fair value

the entity’s own credit risk.

Debt certificates

Obligations and other interest-bearing securities that create or evidence a debt on the part of their issuer,

including debt securities issued for trading among an open group of investors, that accrue interest,

implied or explicit, whose rate, fixed or benchmarked to other rates, is established contractually, and take

the form of securities or book-entries, irrespective of the issuer.

Default

An asset will be considered as defaulted whenever it is more than 90 days past due.

Deferred tax assets

Taxes recoverable in future years, including loss carry forwards or tax credits for deductions and tax

rebates pending application.

Deferred tax liabilities

Income taxes payable in subsequent years.

Defined benefit plans

Post-employment obligation under which the entity, directly or indirectly via the plan, retains the

contractual or implicit obligation to pay remuneration directly to employees when required or to pay

additional amounts if the insurer, or other entity required to pay, does not cover all the benefits relating

to the services rendered by the employees when insurance policies do not cover all of the corresponding

post-employees benefits.

Defined contribution

plans

Defined contribution plans are retirement benefit plans under which amounts to be paid as retirement

benefits are determined by contributions to a fund together with investment earnings thereon. The

employer's obligations in respect of its employees current and prior years' employment service are

discharged by contributions to the fund.

Deposits from central

banks

Deposits of all classes, including loans and money market operations, received from the Bank of Spain

and other central banks.

Deposits from credit

institutions

Deposits of all classes, including loans and money market operations received, from credit entities.

Deposits from customers

Redeemable cash balances received by the entity, with the exception of debt certificates, money market

operations through counterparties and subordinated liabilities, which are not received from either central

banks or credit entities. This category also includes cash deposits and consignments received that can

be readily withdrawn.

Derivatives

The fair value in favor (assets) or again (liabilities) of the entity of derivatives not designated as

accounting hedges.

Derivatives - Hedging

derivatives

Derivatives designated as hedging instruments in an accounting hedge. The fair value or future cash

flows of those derivatives is expected to offset the differences in the fair value or cash flows of the items

hedged.

Diluted earnings per

Calculated by using a method similar to that used to calculate basic earnings per share; the weighted

average number of shares outstanding, and the profit attributable to the parent company corresponding

to ordinary shareholders of the entity, if appropriate, is adjusted to take into account the potential dilutive

effect of certain financial instruments that could generate the issue of new Bank shares (share option

commitments with employees, warrants on parent company shares, convertible debt instruments, etc.).

Dividends and

retributions

Dividend income collected announced during the year, corresponding to profits generated by investees

after the acquisition of the stake.

Domestic activity

Domestic balances are those of BBVA´s Group entities domiciled in Spain, which reflect BBVA´s

domestic activities, being the allocation of assets and liabilities based on the domicile of the Group entity

at which the relevant asset or liability is accounted for.

Early retirements

Employees that no longer render their services to the entity but which, without being legally retired,

remain entitled to make economic claims on the entity until they formally retire.

Economic capital

Methods or practices that allow banks to consistently assess risk and attribute capital to cover the

economic effects of risk-taking activities.

Effective interest rate

(EIR)

Discount rate that exactly equals the value of a financial instrument with the cash flows estimated over

the expected life of the instrument based on its contractual period as well as its anticipated amortization,

but without taking the future losses of credit risk into consideration.

Employee expenses

All compensation accrued during the year in respect of personnel on the payroll, under permanent or

temporary contracts, irrespective of their jobs or functions, irrespective of the concept, including the

current costs of servicing pension plans, own share based compensation schemes and capitalized

personnel expenses. Amounts reimbursed by the state Social Security or other welfare entities in respect

of employee illness are deducted from personnel expenses.

Equity

The residual interest in an entity's assets after deducting its liabilities. It includes owner or venturer

contributions to the entity, at incorporation and subsequently, unless they meet the definition of

liabilities, and accumulated net profits or losses, fair value adjustments affecting equity and, if warranted,

non-controlling interests.

Equity instruments

An equity instrument that evidences a residual interest in the assets of an entity, that is after deducting

all of its liabilities.

Equity instruments

issued other than capital

Includes equity instruments that are financial instruments other than “Capital” and “Equity component of

compound financial instruments”.

P.245

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Equity Method

Is a method of accounting whereby the investment is initially recognized at cost and adjusted thereafter

for the post-acquisition change in the investor’s share of the investee’s net assets. The investor’s profit

or loss includes its share of the investee’s profit or loss and the investor’s other comprehensive income

includes its share of the investee’s other comprehensive income.

Exchange/translation

differences

Exchange differences (P&L): Includes the earnings obtained in currency trading and the differences

arising on translating monetary items denominated in foreign currency to the functional currency.

Exchange differences (valuation adjustments): those recorded due to the translation of the financial

statements in foreign currency to the functional currency of the Group and others recorded against

equity.

Expected Credit Loss

(ECL)

Expected credit losses are a probability-weighted estimate of credit losses over the expected life of the

financial instrument. Hence, credit losses are the present value of expected cash shortfalls. The

measurement and estimate of these expected credit losses should reflect:

1. An unbiased and probability-weighted amount.

2. The time value of money by discounting this amount to the reporting date using a rate that

approximates the EIR of the asset, and

3. Reasonable and supportable information that is available without undue cost or effort.

The expected credit losses must be measured as the difference between the asset’s gross carrying

amount and the present value of estimated future cash flows discounted at the financial asset’s original

effective interest rate or an approximation thereof (forward looking).

Exposure at default

EAD is the amount of risk exposure at the date of default by the counterparty.

Fair value

The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction

between market participants at the measurement date.

Fair value hedges

Derivatives that hedge the exposure to changes in the fair value of assets and liabilities or firm

commitments that have not be recognized, or of an identified portion of said assets, liabilities or firm

commitments, attributable to a specific risk, provided it could affect the income statement.

Financial Assets at

Amortized Cost

Financial assets that do not meet the definition of financial assets designated at fair value through profit

or loss and arise from the financial entities' ordinary activities to capture funds, regardless of their

instrumentation or maturity.

Financial Assets at fair

value through other

comprehensive income

Financial instruments with determined or determinable cash flows and in which the entire payment made

by the entity will be recovered, except for reasons attributable to the solvency of the debtor. This

category includes both the investments from the typical lending activity as well as debts contracted by

the purchasers of goods, or users of services, that form part of the entity’s business. It also includes all

finance lease arrangements in which the subsidiaries act as lessors.

Financial guarantees

Contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs

when a specified debtor fails to make payment when due in accordance with the original or modified

terms of a debt instrument, irrespective of its instrumentation. These guarantees may take the form of

deposits, technical or financial guarantees, insurance contracts or credit derivatives.

Financial guarantees

given

Transactions through which the entity guarantees commitments assumed by third parties in respect of

financial guarantees granted or other types of contracts.

Financial instrument

A financial instrument is any contract that gives rise to a financial asset of one entity and to a financial

liability or equity instrument of another entity.

Financial liabilities at

amortized cost

Financial liabilities that do not meet the definition of financial liabilities designated at fair value through

profit or loss and arise from the financial entities' ordinary activities to capture funds, regardless of their

instrumentation or maturity.

Foreign activity

International balances are those of BBVA´s Group entities domiciled outside of Spain, which reflect our

foreign activities, being the allocation of assets and liabilities based on the domicile of the Group entity at

which the relevant asset or liability is accounted for.

Goodwill

Goodwill acquired in a business combination represents a payment made by the acquirer in anticipation

of future economic benefits from assets that are not able to be individually identified and separately

recognized.

Hedges of net

investments in foreign

operations

Foreign currency hedge of a net investment in a foreign operation.

Held for trading (assets

and liabilities)

Financial assets and liabilities acquired or incurred primarily for the purpose of profiting from variations

in their prices in the short term.

This category also includes financial derivatives not qualifying for hedge accounting, and in the case of

borrowed securities, financial liabilities originated by the firm sale of financial assets acquired under

repurchase agreements or received on loan (“short positions”).

P.246

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Impaired financial assets

An asset is credit-impaired according to IFRS 9 if one or more events have occurred and they have a

detrimental impact on the estimated future cash flows of the asset. Evidence that a financial asset is

credit-impaired includes observable data about the following events:

a.significant financial difficulty of the issuer or the borrower,

b.a breach of contract (e.g. a default or past due event),

c.a lender having granted a concession to the borrower – for economic or contractual reasons

relating to the borrower’s financial difficulty – that the lender would not otherwise consider,

d.it becoming probable that the borrower will enter bankruptcy or other financial reorganization,

e.the disappearance of an active market for that financial asset because of financial difficulties, or

f.the purchase or origination of a financial asset at a deep discount that reflects the incurred

credit losses.

Income from equity

instruments

Dividends and income on equity instruments collected or announced during the year corresponding to

profits generated by investees after the ownership interest is acquired. Income is recognized gross, i.e.,

without deducting any withholdings made, if any.

Insurance contracts

linked to pensions

The fair value of insurance contracts written to cover pension commitments.

Inventories

Assets, other than financial instruments, under production, construction or development, held for sale

during the normal course of business, or to be consumed in the production process or during the

rendering of services. Inventories include land and other properties held for sale at the real estate

development business.

Investment properties

Investment property is property (land or a building—or part of a building—or both) held (by the owner or

by the lessee under a finance lease) to earn rentals or for capital appreciation or both, rather than for own

use or sale in the ordinary course of business.

Joint arrangement

An arrangement of which two or more parties have joint control.

Joint control

The contractually agreed sharing of control of an arrangement, which exists only when decisions about

the relevant activities require the unanimous consent of the parties sharing control.

Joint operation

A joint arrangement whereby the parties that have joint control of the arrangement have rights to the

assets of the arrangement and obligations for the liabilities. A joint venturer shall recognize the following

for its participation in a joint operation:

a) its assets, including any share of the assets of joint ownership; b) its liabilities, including any share of

the liabilities incurred jointly;

c) income from the sale of its share of production from the joint venture;

d) its share of the proceeds from the sale of production from the joint venturer; and

e) its expenses, including any share of the joint expenses. A joint venturer shall account for the assets,

liabilities, income and expenses related to its participation in a joint operation in accordance with IFRS

applicable to the assets, liabilities, income and expenses specific question.

Joint venture

A joint arrangement whereby the parties that have joint control of the arrangement have rights to the net

assets of the arrangement. A joint venturer shall recognize its interest in a joint venture as an investment

and shall account for that investment using the equity method in accordance with IAS 28 Investments in

Associates and Joint Ventures.

Leases

A lease is an agreement whereby the lessor conveys to the lessee in return for a payment or series of

payments the right to use an asset for an agreed period of time, a stream of cash flows that is essentially

equivalent to the combination of principal and interest payments under a loan agreement. a) A lease is

classified as a finance lease when it substantially transfers all the risks and rewards incidental to

ownership of the asset forming the subject-matter of the contract. b) A lease will be classified as

operating lease when it is not a financial lease.

Lease liability

Lease that represents the lessee’s obligation to make lease payments during the lease term.

Liabilities included in

disposal groups

classified as held for sale

The balance of liabilities directly associated with assets classified as non-current assets held for sale,

including those recognized under liabilities in the entity's balance sheet at the balance sheet date

corresponding to discontinued operations.

Liabilities under

insurance contracts

The technical reserves of direct insurance and inward reinsurance recorded by the entities to cover

claims arising from insurance contracts in force at period-end.

Loans and advances to

customers

Loans and receivables, irrespective of their type, granted to third parties that are not credit entities.

Loss given default (LGD)

It is the estimate of the loss arising in the event of default. It depends mainly on the characteristics of the

counterparty, and the valuation of the guarantees or collateral associated with the asset.

Mortgage-covered bonds

Financial asset or security created from mortgage loans and backed by the guarantee of the mortgage

loan portfolio of the entity.

Non performing financial

guarantees given

The balance of non performing risks, whether for reasons of default by customers or for other reasons,

for financial guarantees given. This figure is shown gross: in other words, it is not adjusted for value

corrections (loan loss reserves) made.

Non Performing Loans

(NPL)

The balance of non performing risks, whether for reasons of default by customers or for other reasons,

for exposures on balance loans to customers. This figure is shown gross: in other words, it is not adjusted

for value corrections (loan loss reserves) made.

Non-controlling interests

The net amount of the profit or loss and net assets of a subsidiary attributable to associates outside the

group (that is, the amount that is not owned, directly or indirectly, by the parent), including that amount

in the corresponding part of the earnings for the period.

P.247

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Non-current assets and

disposal groups held for

sale

A non-current asset or disposal group, whose carrying amount is expected to be realized through a sale

transaction, rather than through continuing use, and which meets the following requirements: a) it is

immediately available for sale in its present condition at the balance sheet date, i.e. only normal

procedures are required for the sale of the asset.

b) the sale is considered highly probable.

Non-monetary assets

Assets and liabilities that do not provide any right to receive or deliver a determined or determinable

amount of monetary units, such as tangible and intangible assets, goodwill and ordinary shares

subordinate to all other classes of capital instruments.

Non-trading financial

assets mandatorily at fair

value through

Profit or loss

The financial assets registered under this heading are assigned to a business model whose objective is

achieved by obtaining contractual cash flows and / or selling financial assets but which the contractual

cash flows have not complied with the SPPI test conditions.

Option risk

Risks arising from options, including embedded options.

Other financial assets/

liabilities at fair value

through profit or loss

Instruments designated by the entity from the inception at fair value with changes in profit or loss. An

entity may only designate a financial instrument at fair value through profit or loss, if doing so more

relevant information is obtained, because:

a) It eliminates or significantly reduces a measurement or recognition inconsistency (sometimes called

"accounting mismatch") that would otherwise arise from measuring assets or liabilities or recognizing

the gains and losses on them on different bases. It might be acceptable to designate only some of a

number of similar financial assets or financial liabilities if doing so a significant reduction (and possibly a

greater reduction than other allowable designations) in the inconsistency is achieved.

b) The performance of a group of financial assets or financial liabilities is managed and evaluated on a

fair value basis, in accordance with a documented risk management or investment strategy, and

information about the group is provided internally on that basis to the entity´s key management

personnel. These are financial assets managed jointly with “Liabilities under insurance and reinsurance

contracts” measured at fair value, in combination with derivatives written with a view to significantly

mitigating exposure to changes in these contracts' fair value, or in combination with financial liabilities

and derivatives designed to significantly reduce global exposure to interest rate risk.

These headings include customer loans and deposits effected via so-called unit-linked life insurance

contracts, in which the policyholder assumes the investment risk.

Other Reserves

This heading is broken down as follows:

i) Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates: include

the accumulated amount of income and expenses generated by the aforementioned investments

through profit or loss in past years.

ii) Other: includes reserves different from those separately disclosed in other items and may include legal

reserve and statutory reserve.

Other retributions to

employees long term

Includes the amount of compensation plans to employees long term.

Own/treasury shares

The amount of own equity instruments held by the entity.

Past service cost

It is the change in the present value of the defined benefit obligation for employee service in prior periods,

resulting in the current period from the introduction of, or changes to, post-employment benefits or other

long-term employee benefits.

Post-employment

benefits

Retirement benefit plans are arrangements whereby an enterprise provides benefits for its employees on

or after termination of service.

Probability of default

(PD)

It is the probability of the counterparty failing to meet its principal and/or interest payment obligations.

The PD is associated with the rating/scoring of each counterparty/transaction.

Property, plant and

equipment/tangible

assets

Buildings, land, fixtures, vehicles, computer equipment and other facilities owned by the entity or

acquired under finance leases.

Provisions

Provisions include amounts recognized to cover the Group’s current obligations arising as a result of past

events, certain in terms of nature but uncertain in terms of amount and/or cancellation date.

Provisions for contingent

liabilities and

commitments

Provisions recorded to cover exposures arising as a result of transactions through which the entity

guarantees commitments assumed by third parties in respect of financial guarantees granted or other

types of contracts, and provisions for contingent commitments, i.e., irrevocable commitments which

may arise upon recognition of financial assets.

Provisions for pensions

and similar obligation

Constitutes all provisions recognized to cover retirement benefits, including commitments assumed vis-

à-vis beneficiaries of early retirement and analogous schemes.

Provisions or (-) reversal

of provisions

Provisions recognized during the year, net of recoveries on amounts provisioned in prior years, with the

exception of provisions for pensions and contributions to pension funds which constitute current or

interest expense.

Refinanced Operation

An operation which is totally or partially brought up to date with its payments as a result of a refinancing

operation made by the entity itself or by another company in its group.

Refinancing Operation

An operation which, irrespective of the holder or guarantees involved, is granted or used for financial or

legal reasons related to current or foreseeable financial difficulties that the holder(s) may have in settling

one or more operations granted by the entity itself or by other companies in its group to the holder(s) or

to another company or companies of its group, or through which such operations are totally or partially

brought up to date with their payments, in order to enable the holders of the settled or refinanced

operations to pay off their loans (principal and interest) because they are unable, or are expected to be

unable, to meet the conditions in a timely and appropriate manner.

P.248

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Renegotiated Operation

An operation whose financial conditions are modified when the borrower is not experiencing financial

difficulties, and is not expected to experience them in the future, i.e. the conditions are modified for

reasons other than restructuring.

Repricing risk

Risks related to the timing mismatch in the maturity and repricing of assets and liabilities and off-balance

sheet short and long-term positions.

Restructured Operation

An operation whose financial conditions are modified for economic or legal reasons related to the

holder's (or holders') current or foreseeable financial difficulties, in order to enable payment of the loan

(principal and interest), because the holder is unable, or is expected to be unable, to meet those

conditions in a timely and appropriate manner, even if such modification is provided for in the contract. In

any event, the following are considered restructured operations: operations in which a haircut is made or

assets are received in order to reduce the loan, or in which their conditions are modified in order to

extend their maturity, change the amortization table in order to reduce the amount of the installments in

the short term or reduce their frequency, or to establish or extend the grace period for the principal, the

interest or both; except when it can be proved that the conditions are modified for reasons other than the

financial difficulties of the holders and, are similar to those applied on the market on the modification

date for operations granted to customers with a similar risk profile.

Retained earnings

Accumulated net profits or losses recognized in the income statement in prior years and retained in

equity upon distribution.

Right of use asset

Asset that represents the lessee’s right to use an underlying asset during the lease term.

Securitization fund

A fund that is configured as a separate equity and administered by a management company. An entity

that would like funding sells certain assets to the securitization fund, which, in turn, issues securities

backed by said assets.

Share premium

The amount paid in by owners for issued equity at a premium to the shares' nominal value.

Shareholders' funds

Contributions by stockholders, accumulated earnings recognized in the income statement and the equity

components of compound financial instruments.

Short positions

Financial liabilities arising as a result of the final sale of financial assets acquired under repurchase

agreements or received on loan.

Significant increase in

credit risk

In order to determine whether there has been a significant increase in credit risk for lifetime expected

losses recognition, the Group has develop a two-prong approach:

a)Quantitative criterion: based on comparing the current expected probability of default over the

life of the transaction with the original adjusted expected probability of default. The thresholds used for

considering a significant increase in risk take into account special cases according to geographic areas

and portfolios.

b) Qualitative criterion: most indicators for detecting significant risk increase are included in the

Group's systems through rating/scoring systems or macroeconomic scenarios, so quantitative analysis

covers the majority of circumstances. The Group will use additional qualitative criteria when it considers

it necessary to include circumstances that are not reflected in the rating/score systems or

macroeconomic scenarios used.

Significant influence

Is the power to participate in the financial and operating policy decisions of the investee but is not control

or joint control of those policies. If an entity holds, directly or indirectly (i.e. through subsidiaries), 20 per

cent or more of the voting power of the investee, it is presumed that the entity has significant influence,

unless it can be clearly demonstrated that this is not the case. Conversely, if the entity holds, directly or

indirectly (i.e. through subsidiaries), less than 20 per cent of the voting power of the investee, it is

presumed that the entity does not have significant influence, unless such influence can be clearly

demonstrated. A substantial or majority ownership by another investor does not necessarily preclude an

entity from having significant influence.

The existence of significant influence by an entity is usually evidenced in one or more of the following

ways: a) representation on the board of directors or equivalent governing body of the investee; b)

participation in policy-making processes, including participation in decisions about dividends or other

distributions;

c) material transactions between the entity and its investee;

d) interchange of managerial personnel; or

e) provision of essential technical information.

Solely Payments of

Principle and Interest

(SPPI)

The assessment as to how an asset shall be classified is made on the basis of both the business model for

managing the financial asset and the contractual cash flow characteristic of the financial asset (SPPI

Criterion). To determine whether a financial asset shall be classified as measured at amortized cost or

FVOCI, a

Group assesses (apart from the business model) whether the cash flows from the financial asset

represent, on specified dates, solely payments of principal and interest on the principal amount

outstanding (SPPI).

P.249

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Stages

IFRS 9 classifies financial instruments into three categories, which depend on the evolution of their credit

risk from the moment of initial recognition. The first category includes the transactions when they are

initially recognized - without significant increase in credit risk (Stage 1); the second comprises the

operations for which a significant increase in credit risk has been identified since its initial recognition -

significant increase in credit risk (Stage 2) and the third one, the impaired operations Impaired (Stage 3).

The transfer logic is defined in a symmetrical way, whenever the condition that

triggered a transfer to Stage 2 is no longer met, the exposure will be transferred to

Stage 1. In the case of forbearances transferred to stage 2, as long as the loan is flagged as forbearance it

will keep its status as Stage 2. However, when the loan is not flagged as forbearance it will be transferred

back to Stage 1.

Statements of cash flows

The indirect method has been used for the preparation of the statement of cash flows. This method

starts from the entity’s profit and adjusts its amount for the effects of transactions of a non-cash nature,

any deferrals or accruals of past or future operating cash receipts or payments, and items of income or

expense associated with cash flows classified as investment or finance. As well as cash, short-term,

highly liquid investments subject to a low risk of changes in value, such as cash and deposits in central

banks, are classified as cash and equivalents. When preparing these financial statements the following

definitions have been used:

· Cash flows: Inflows and outflows of cash and equivalents.

· Operating activities: The typical activities of credit institutions and other activities that cannot be

classified as investment or financing activities.

· Investing activities: The acquisition, sale or other disposal of long-term assets and other investments

not included in cash and cash equivalents or in operating activities.

· Financing activities: Activities that result in changes in the size and composition of the Group’s equity

and of liabilities that do not form part of operating activities.

Statements of changes

in equity

The statements of changes in equity reflect all the movements generated in each year in each of the

headings of the equity, including those from transactions undertaken with shareholders when they act as

such, and those due to changes in accounting criteria or corrections of errors, if any.

The applicable regulations establish that certain categories of assets and liabilities are recognized at their

fair value with a charge to equity. These charges, known as “Valuation adjustments” (see Note 31), are

included in the Group’s total equity net of tax effect, which has been recognized as deferred tax assets or

liabilities, as appropriate.

statements of

recognized income and

expense

The statement of recognized income and expenses reflect the income and expenses generated in each

fiscal year, distinguishing between those recognized in the profit and loss accounts and the “Other

recognized income and expenses”; which are recorded directly in the equity.

The “Other recognized income and expenses” includes the variations that have occurred in the period in

“accumulated other comprehensive income”, detailed by concepts.

The sum of the variations recorded in the “accumulated other comprehensive income” caption of the

equity and the profit for the year represents the “Total income and expenses”.

Structured credit

products

Special financial instrument backed by other instruments building a subordination structure.

Structured Entities

A structured entity is an entity that has been designed so that voting or similar rights are not the

dominant factor in deciding who controls the entity, such as when any voting rights relate to

administrative tasks only and the relevant activities are directed by means of contractual arrangements.

A structured entity often has some or all of the following features or attributes:

a) restricted activities.

b) a narrow and well-defined objective, such as to effect a tax-efficient lease, carry out research and

development activities, provide a source of capital or funding to an entity or provide investment

opportunities for investors y passing on risks and rewards associated with the assets of the structured

entity to investors.

c) insufficient equity to permit the structured entity to finance its activities without subordinated financial

support.

d) financing in the form of multiple contractually linked instruments to investors that create

concentrations of credit or other risks (tranches).

Subordinated liabilities

Financing received, regardless of its instrumentation, which ranks after the common creditors in the

event of a liquidation.

Subsidiaries

Companies over which the Group exercises control. An entity is presumed to have control over another

when it possesses the right to oversee its financial and operational policies, through a legal, statutory or

contractual procedure, in order to obtain benefits from its economic activities. Control is presumed to

exist when the parent owns, directly or indirectly through subsidiaries, more than one half of an entity's

voting power, unless, exceptionally, it can be clearly demonstrated that ownership of more than one half

of an entity's voting rights does not constitute control of it. Control also exists when the parent owns half

or less of the voting power of an entity when there is:

a) an agreement that gives the parent the right to control the votes of other shareholders; b) power to

govern the financial and operating policies of the entity under a statute or an agreement; power to

appoint or remove the majority of the members of the board of directors or equivalent governing body

and control of the entity is by that board or body;

c) power to cast the majority of votes at meetings of the board of directors or equivalent governing body

and control of the entity is by that board or body.

P.250

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Tangible book value

Tangible Book Value represents the tangible equity's value for the shareholders as it does not include the

intangible assets and the minority interests (non-controlling interests). It is calculated by discounting

intangible assets, that is, goodwill and the rest of consolidated intangibles recorded under the public

balance sheet (goodwill and intangible assets of companies accounted for by the equity method or

companies classified as non-current assets for sale are not subtracted).It is also shown as ex-dividends.

Tax liabilities

All tax related liabilities except for provisions for taxes.

Territorial bonds

Financial assets or fixed asset security issued with the guarantee of portfolio loans of the public sector of

the issuing entity.

Tier 1 Capital

Mainly includes: Common stock, parent company reserves, reserves in companies, non-controlling

interests, deductions and others and attributed net income.

Tier 2 Capital

Mainly includes: Subordinated, preferred shares and non- controlling interest.

Unit-link

This is life insurance in which the policyholder assumes the risk. In these policies, the funds for the

technical insurance provisions are invested in the name of and on behalf of the policyholder in shares of

Collective Investment Institutions and other financial assets chosen by the policyholder, who bears the

investment risk.

Value at Risk (VaR)

Value at Risk (VaR) is the basic variable for measuring and controlling the Group’s market risk. This risk

metric estimates the maximum loss that may occur in a portfolio’s market positions for a particular time

horizon and given confidence level VaR figures are estimated following two methodologies:

a) VaR without smoothing, which awards equal weight to the daily information for the immediately

preceding last two years. This is currently the official methodology for measuring market risks vis-à-vis

limits compliance of the risk.

a.VaR with smoothing, which weighs more recent market information more heavily. This is a

metric which supplements the previous one.

b.VaR with smoothing adapts itself more swiftly to the changes in financial market conditions,

whereas VaR without smoothing is, in general, a more stable metric that will tend to exceed VaR with

smoothing when the markets show less volatile trends, while it will tend to be lower when they present

upturns in uncertainty.

Watch List (WL)

Watch List is defined as such risk that, derived from an individualized credit assessment, involves a

significant increase in credit risk from the moment of origination, due to economic or financial difficulties

or because it has suffered, or is estimated to suffer, adverse situations in its environment, without

meeting the criteria for its classification as non performing.

Write- off

When the recovery of any recognized amount is considered to be remote, this amount is removed from

the balance sheet, without prejudice to any actions taken by the entities in order to collect the amount

until their rights extinguish in full through expiry, forgiveness or for other reasons.

Yield curve risk

Risks arising from changes in the slope and the shape of the yield curve.

P.251

Translation of the Consolidated Financial Statements originally issued in Spanish and prepared in accordance with EU-IFRS, as adopted by the

European Union (see Notes 1 to 56). In the event of a discrepancy, the Spanish-language version prevails

Contents

1. BBVA in brief

1.1 Who we are

1.2 Highlights

2. Non-financial information report

2.1 Strategy

2.2 Our stakeholders

2.3 Report on climate change and other environmental and social issues

2.4 Additional information

3. Financial information

3.3 Subsequent events

165

4. Risk management

166

4.1 General risk management and control model

4.5 Risks associated with climate change

178

4.6 Operational risk

178

4.7 Reputational risk

181

5. Other information

185

5.1 Alternative Performance Measures (APMs)

185

5.2 Compliance tables

199

Annual Corporate Governance Report

230

Annual Report on Directors' Remuneration

319

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

1.BBVA in brief

1.1Who we are

BBVA is a global financial group founded in 1857, with an extensive international presence and leading franchises in very attractive

markets. It has a strong leadership position in the Spanish market, is the largest financial institution in Mexico, and has leading

franchises in Turkey and South America.

In its over 160 years of history, BBVA has stood out for its commitment to innovation and leadership in the transformation of its

industry. The Bank has been a pioneer and a model at global level in the digitalization of the sector. It has been recognized a leader in

digital mobile banking experience in Europe for the fifth year in a row and has developed leading apps in practically all the geographies

where it operates, leading to an increase in digital sales, now accounting for over 70% of the total.

Likewise, BBVA is a pioneer in its commitment to sustainability. In 2021, BBVA has obtained the highest score among World banks1 in

the Dow Jones Sustainability Index (DJSI), which measures the performance of the largest companies by market capitalization in

economic, environmental and social matters. In 2018 it assumed the commitment to channel €100 billion to sustainable finance

through 2025. This target has been doubled in 2021 to €200 billion. BBVA is also committed to be carbon neutral by 2050, for which

it is managing its direct impacts and has set targets for a reduction in exposure of its loan portfolio in some of the most greenhouse-

gas intensive sectors.

BBVA is guided by a clear purpose: "To bring the age of opportunity to everyone." BBVA wants to help people, families, entrepreneurs,

the self-employed and businesspeople, employees and society in general to take advantage of the opportunities brought by

innovation and technology. To do so, it has a committed team with a distinctive culture and way of thinking, and values that provide a

boost to be better every day.

All this results in solid financial metrics, far above those of its peers in terms of efficiency and profitability. BBVA also stands out for its

capacity to reassign capital efficiently, and its solid financial position to continue to invest in profitable growth of our business and

increase shareholder remuneration.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

1 Shared ranking position

The Group’s Organizational Chart

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

1.2Highlights

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

BBVA offers its clients a differential value proposition, leveraged on technology and data, helping them improve their financial health

with personalized advice on financial decision-making and also helping them in their transition towards a more sustainable future.

This value proposition has led the Bank to break a historical record in attracting customers, which has stood at 8.7 million new

customers in 2021. In addition, the development of its digital capabilities has meant that 40% of these new customers have accessed

the Bank through this type of channel.

In 2021, the Group has continued to evolve its value proposition with the aim of continuing to develop global solutions around financial

health. These advances have led it to be recognized as a leader in digital experience in Europe for the fifth consecutive year, according

to the report 'The Forrester Digital Experience Review TM: European Mobile Banking Apps, Q3 2021'.

Likewise, BBVA makes it a priority to help its customers in their transition towards a more sustainable future. To do this, it

incorporates sustainability into its day-to-day activities, not only in its relationship with clients, but also in its internal processes. In

2021 BBVA has created the Global Sustainability area, thus raising this priority to the highest executive level of the organization.

It is also important to note that BBVA has channeled €35.4 billion in 2021, making a total of €85.8 billion allocated to sustainable

activities since 2018.

Results and other financial aspects

BBVA Group’s results in 2021, excluding non-recurring impacts, were €5,069m, representing a year-on-year increase of 85.7%. It

should be noted that in 2021, there was a positive non-recurring impact of €280m, corresponding to the profit generated by BBVA

USA and the rest of companies included in the sale agreement to PNC until the closing date of the operation on June 1, 2021, and a

negative non-recurring impact of €-696m of the net costs related to the restructuring process. Taking these impacts into account, the

Group's net attributable profit amounted to €4,653m, which compares very positively with the €1,305m in the same period of the

previous year, which included the capital gains of €304m from the implementation of the bancassurance agreement reached with

Allianz, in addition to the result generated by BBVA USA in 2020.

The Group's CET1 Fully-loaded ratio stood at 12.75% as of December 31, 2021, which is above the management target, located in the

11.5-12% range of CET1, amply covering the Group's capital requirements, even after the share buyback mentioned below.

NET ATTRIBUTABLE PROFIT (LOSS) (MILLIONS OF

EUROS)

+85.7%

General note: excludes (I) BBVA USA and the rest of the companies in the United

States sold to PNC on June 1, 2021; (II) the net cost related to the restructuring

process in 2021; and (III) the net capital gain from the bankassurance operation

with Allianz in 2020.

NET ATTRIBUTABLE PROFIT BREAKDOWN (1)

(PERCENTAGE. 2021)

(1) Excludes the Corporate Center.

In 2021, the Group modified the shareholder distribution policy of distributing between 35% and 40% of the consolidated ordinary

profit of each year2. This policy will be implemented through the distribution of an interim dividend for the year and a final dividend,

with the possibility of combining cash distributions with share buybacks. In this regard, the share buyback program was launched in

2021 and is described in the section “The BBVA share” in the chapter “Financial Information – Group” of this report.

In 2021, it is worth highlighting the removal of the United States as a business area, derived from the sale agreement reached with

PNC and closed on June 1, 2021, once the pertinent mandatory authorizations were obtained. However, BBVA continues to have a

presence in the United States, mainly through the wholesale business which the Group develops in the New York branch.

On the other hand, 2021 stands out for the announcement made on November 18, 2021, that BBVA Group submitted to the Capital

Markets Board of Turkey the application for authorization of the voluntary takeover bid (hereinafter referred to as the Voluntary

Takeover Bid) for the entire share capital of Garanti BBVA not already owned, once all relevant regulatory approvals have been

obtained. Given the deadlines and the need to receive approval from all relevant regulatory bodies, BBVA estimates that the closing of

the Voluntary Takeover Bid will take place in the first quarter of 2022.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2 Excluding amounts and items of an extraordinary nature included in the consolidated profit and loss account.

2.Non-financial information report

Pursuant to the Commercial Code and the Capital Companies Law, the consolidated Non-financial information report includes, but is

not limited to: the information needed to understand the performance, results, and position of the Group, and the impact of its activity

on environmental, social, respect for human rights, and the fight against corruption and bribery matters, as well as employee matters.

Reporting of the non-financial key performance indicators included (KPI) in this consolidated non-financial information report is

performed using the GRI (Global Reporting Initiative) guide as an international reporting framework in its exhaustive option as well as

Communication from the Commission of July 5, 2017 on Guidelines on non-financial reporting (methodology for reporting non-

financial information, 2017/C 215/01). For easier location of these indicators, the tables related to compliance with the requirements

of Law 11/2018 and the GRI, with reference to each of the sections of this Non-financial information report where the information is

disclosed, are included in the chapter "5.2 Compliance tables" of section "5. Other information".

The information included in the consolidated non-financial information report is verified by KPMG Auditores, S.L., in its capacity as

independent provider of verification services.

Additionally, it should be noted that this consolidated "Non-financial information report" includes indicators that are in line with those

required by other international standards, as detailed in the section "Alignment of BBVA Group's non-financial information to WEF-

IBC and SASB standards” of the chapter “2.4 Additional information”.

2.1Strategy

2.1.1Strategic priorities

At the end of 2019, BBVA approved its current strategic plan, which anticipated many of the main global trends that have been

accelerated by the pandemic. These trends include the mass digitalization of all sectors and activities, boosted by the change in

consumer habits. Beyond the use of digital and remote channels, there has been an unprecedented wave of disruptions encouraged

by technology and data. It is an era of real opportunities supported by new technologies such as artificial intelligence, cloud

processing, quantum computation, blockchain technology, etc., which are transforming the economy and will have a major impact on

economic growth and productivity.

The decarbonization of the economy to limit the effects of climate change is the main and most important disruption of all. The

challenge of achieving the net zero emissions target by 2050 requires a drastic modification of habits and behaviour, together with

the deployment of non-carbon emission technologies in all sectors, not only energy. Unprecedented levels of innovation and

investment are required to achieve this; according to some estimates3, in the order of 5% of global GDP until approximately 2050.

The acceleration of these trends validates the strategy pursued by BBVA. It is a strategy based on a single purpose: "to bring the age

of opportunity to everyone." Thanks to innovation and technology, the Bank provides access to products, advice and solutions that

help customers make better decisions on their finances and achieve their life and business goals.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

3 OECD/The World Bank/UN Environment (2018), Financing Climate Futures: Rethinking Infrastructure, OECD Publishing, Paris

Guided by this purpose, BBVA's strategy is built around six strategic priorities:

1. Improving our clients’ financial health

BBVA aspires to be its clients’ trusted financial partner, helping them to improve their financial health by offering personalized advice

based on technology and the use of data.

Money management is one of the greatest concerns for people. BBVA wants to help its customers improve their financial health in

two ways:

–First, by supporting them in the day-to-day management of their finances, helping them understand and be aware of their

income and expenses, management of future needs, capacity to save, etc.

–Second, by advising them how to achieve their life and business goals in the medium and long term.

2. Helping our clients transition toward a sustainable future

BBVA wants to help its clients transition toward a more sustainable future with finance, advice and innovative solutions, with the focus

primarily on two areas:

–Climate action: mobilizing the appropriate resources to manage the challenge of climate change.

–Inclusive growth: mobilizing the investments needed to build inclusive infrastructures and support inclusive economic

development in an equitable way that leaves no one behind.

BBVA considers that the commitment to sustainability is not only a challenge that requires an urgent response, but also an important

opportunity for business. The energy transition, in particular, will require major investments over the coming decades to replace fossil

fuels with other cleaner and more efficient sources of energy. This will have an impact on practically all industries, and also on how

people move, consume or arrange their homes.

3. Reaching more clients

Scale is increasingly critical in the banking business. BBVA aims to accelerate profitable growth, supporting itself through its own

channels and where the customers are (in third-party channels), with a special focus on digital and more profitable segments.

In this respect, the focus of profitable growth for BBVA over the coming years will be activities such as payments, insurance, asset

management, value segments such as SMEs and private banking, as well as the activities of Corporate and Investment Banking (CIB).

4. Driving operational excellence

BBVA is committed to providing the best experience possible and is transforming its model of customer relations to adapt to changes

in client behavior. To do so, it provides access to its products and services through simple processes. The role of the commercial

network is increasingly more focused on transactions of greater added value for customers. Interactions of lower added value are

redirected to self-service channels, thus reducing unit costs and increasing productivity.

The transformation of the relational model is accompanied by a change in the operational model, focused on process reengineering in

the search for greater automation and improved productivity, as well as speedy delivery to the market of new products and

functionalities.

This is without forgetting disciplined management of both financial and non-financial risks and optimized use of capital.

5. The best and most engaged team

The team continues to be a strategic priority for the Group. A diverse and empowered team, with an outstanding culture, guided by

the BBVA purpose and values and driven by a model of talent development which provides growth opportunities for all.

6. Data and technology

Data and technology are obvious accelerators to achieve our strategy. The commitment to developing advanced data analysis

capacities, together with secure and reliable technology, allows the creation of outstanding high-quality solutions.

The use of data and new technologies also generates the opportunity for increasingly global processes which can be used in the

different geographies and are easily scalable, thus reducing the unit cost of the processing.

BBVA continues to make progress in the development of an increasingly robust model of security and privacy (cybersecurity,

business processes, fraud and data security).

To monitor progress in the execution of the strategic priorities, a set of strategic metrics or key performance indicators (KPIs) have

been defined.

These indicators are linked to financial ones , such aso the net attributable profit, the tangible book value per share (TBV) or the

efficiency ratio, as well as to non-financial ones, such as those referring to customer satisfaction (NPS), the channeling of sustainable

finance or the digital sales.

These strategic KPIs are integrated into the different management processes of the Group, such as the planning and budget process,

in the prioritization of resources and investments, as well as for the purposes of the variable remuneration system.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.1.2Our objectives

The goal of executing this strategy is:

–To be a larger and more profitable bank.

–To be a different bank that stands out for its outstanding value proposition.

–To continue to be the leader in efficiency.

In line with the strategic priorities and to monitor closely the level of progress in their execution, BBVA has defined ambitious financial

and business targets over the coming years in terms of efficiency, profitability, creation of shareholder value, customer growth and

the channeling of sustainable finance. These objectives were communicated on the Investor Day held on November 18, 2021.

2.1.3Main advances in the execution of the strategy

A larger scale and more profitable bank

BBVA looks to grow by being where the customers are. That is why the Group pays particular attention to attracting customers,

whether through its own or third-party channels. The Group attracted 8.7 million new customers in 2021. As a result of the

improvement in digital capacities, customer attraction through digital channels has increased steadily over recent years, and in 2021

reached an all-time high at over 3.5 million, accounting for 40% of all new customers.

Digital customers at the close of 2021 accounted for 69.4% of the total, at 41.8 million (up 37% from December 2019). Mobile

customers have grown by 42% since December 2019 over the year to 39.7 million and account for 66% of the total. Digital sales now

amount to 73% of the total units sold4.

A key aspect to increasing scale and competitiveness is investment and innovation in new technologies and disruptive business

models. The Group invests in the development of universal digital banking solutions to respond to the changing needs of customers,

with a focus on new and attractive markets. For example, in 2021 the Group completed the launch of its 100% digital business in Italy.

It is a milestone that BBVA has achieved with the support of the Bank’s infrastructure in Spain and its mobile app which is a leader in

Europe.

To search for profitable growth, BBVA focuses on the acquisition of customers in the high-value and relevant vertical product

segments, to boost the Group's results:

–Small and medium sized enterprises (SMEs)

In 2021, the income generated in the SME segment has provided 13% of gross income, making it a key segment for the Group. In 2021

the Group has worked to implement measures to improve remote capacity and boost this segment further. Specifically, it has

extended its catalog, with a 100% digital product offering in all key products, and has made progress in the development of risk

models, allowing it to make more proactive offerings to customers. At the close of 2021 around one out of every three BBVA

customers received a proactive offer.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

4 Data excludes the United States, Paraguay, Chile and Venezuela.

–International corporate banking

BBVA Pivot was launched in 2021, renewing the offer of services for multinationals with a digital solution that facilitates the

management of the daily activity of companies. This unique solution operates in 15 countries via a centralized system, allowing the

activation of cash management services in all necessary markets and via the channel of choice for payments, collections, supply chain

finance, unique account position, syndicated loans, settlement of expenses and cards, etc. The service operates for companies active

in South America (Argentina, Peru, Colombia, Uruguay, Venezuela and Chile), Spain, Turkey, Belgium, France, Portugal and the

United Kingdom, and also in Mexico, the United States and Hong Kong.

–Payments

BBVA wants to be a key partner for retailers, allowing them to sell more and more securely. This implies having payment solutions in

the real world, but also with accessible and innovative e-commerce solutions. To do so, BBVA offers not only traditional payment

products, but also high-value solutions at the point of sale (buy now, pay later or BNPL), and finance linked to revenues from the

point-of-sale (POS) terminal.

In Mexico, BBVA has Openpay, the biggest cash payment processing platform in the country with the broadest cover. In addition,

Openpay is available in Colombia and Peru, and will be soon in Argentina.

In the segment of individuals, BBVA has also made innovative products available to its customers. One example is the Aqua card, a

more secure and smarter card, with no embossed numbers and a dynamic card verification value (CVV) that offers the highest level of

security in online purchases.

–Insurance

BBVA has strengthened its capacities by reaching agreements with the main global insurance groups to enable its customers to

receive modern products and services. In 2021 some alliances were strengthened in Spain and Peru and new agreements were

reached in Argentina, Mexico and Colombia. The Group's aim is to have the best capacities in each geographical area for its

customers.

–Private banking

BBVA offers its Private Banking customers personalized, comprehensive and increasingly global specialized advice with an innovative

value offering, in which ESG factors play a very important role. As a result, in 2021 BBVA was named best private bank in the world in

responsible investment by Global Finance. Moreover, in 2021 the Private banking unit in Spain was recognized as the best private

bank in the world in digital customer service by PWM/Financial Times Group.

In addition, BBVA continues with its firm commitment to the entrepreneurial ecosystem by:

–Investments through risk capital vehicles such as Propel Venture Partners and Sinovation Ventures, which help position the

Bank in new markets with potential for significant growth. Propel, with an independent management located in San

Francisco, is a vehicle for investment and also a way of gaining knowledge of the fintech ecosystem. It has invested in over

40 companies, 6 of which have reached the status of unicorn and 2 of them (Coinbase and Docusign) have had successful

stock market launches. Sinovation is a leading manager in China focused on developing the next generation of high-

technology Chinese companies based on artificial intelligence.

–BBVA thus offers support to companies with high growth potential in innovative sectors related to new technologies in all

markets in which it operates, with specific products, advice and finance to cover their needs across the whole life cycle.

A different bank that stands out for its differential value proposition

BBVA offers its customers a unique value proposition, providing advice for making the best financial decisions and helping them in

their transition towards a more sustainable future. This value proposition gives a premium experience which has a direct impact on

customer satisfaction.

In fact, BBVA occupies the leading positions in the NPS5, as reflected in its retention figures, which show a positive trend in the levels

of customer drop-outs (retail and SMEs), and a greater commitment from digital customers, whose drop-out rate is 7.4% lower than

that of non-digital customers.

As of December 31, 2021, BBVA was once more leader in the retail NPS indicator in Spain and Mexico. In Turkey, it ranks second,

maintaining its position with respect to 2020. In Argentina the plans implemented in 2020 and driven by Senior Management have

reversed the situation of the previous year and recovered customer perception and trust. In Colombia, Peru and Uruguay, it has lost

its leadership, but plans have been implemented to recover it.

In 2021, BBVA has placed a special focus on helping small and medium-sized companies recover from the impact of the pandemic,

with a close and personalized service model that has positioned BBVA as the leader in the segment in Mexico, Turkey, Colombia, Peru

and Uruguay, as well as Spain second, improving its position.

Meanwhile, in the commercial NPS indicator BBVA maintained its leading position in two countries: Mexico and Peru, maintaining

second position in Argentina and Colombia. In Spain, BBVA has dropped from second to third position.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

5 The internationally recognized Net Promoter Score (NPS, Net Recommendation Index) methodology, measures customers’ willingness to recommend a company and therefore,

the level of satisfaction of BBVA’s customers with its products, channels and services. The index is based on a survey that measures on a scale of zero to ten whether a bank’s

customers are promoters (a score of nine or ten), passives (a score of seven or eight) or detractors (a score of zero to six) when asked if they would recommend their bank, a

specific channel or a specific customer journey to a friend or family member. This information is vital for checking for alignment between customer needs and expectations and

the initiatives that have been implemented, establishing plans that eliminate detected gaps and providing the best experiences.

At the cutting edge of digitalization

Digitalization has been one of the pillars of the BBVA strategy for more than a decade, and during this time its value proposition has

evolved. Initially, the Group focused on improving customer service through digital channels to make self-service systems available

which allow transactions to be carried out and contracts arranged in a simple and agile way with a single click. Later on, the Group

focused on the development of the necessary capacities to increase digital sales and attract new customers through remote

channels. The Bank now also aims to advise its customers via data and artificial intelligence, to ensure they make the best financial

decisions. In 2021 BBVA has worked to continue developing global financial health solutions.

The scope of financial health is tackled from two angles: day-to-day control; and the achievement of medium- and long-term

objectives:

1.First, supporting customers in their day-to-day financial concerns, helping them to have a greater understanding and

awareness of their income and expenses, with solutions (such as classification and prediction of expenses, and even

financial wealth) and proactive notifications in with respect to relevant events which, as far as possible, allow them to have

greater control of their savings. A significant number of these solutions are already available in the BBVA geographical

areas.

2.And second, by advising them how to achieve their medium- and long-term goals. People's needs change over time: from

the purchase of a home to saving for your children's university or planning retirement, there are long-term objectives that

require support until they are achieved. Giving the advice needed to achieve these objectives is also within the scope of

financial health.

Help in day-to-day control is relevant for all customers, regardless of their income and expenses. Generic rules geared to control

income and expenses or review debt levels are relevant bases for managing the day-to-day of all customers, who are always given

personalized recommendations. According to the financial status of the customers, the advice on the customers' financial health is

also personalized.

As well as offering a personalized experience, BBVA wishes to be a trusted partner for its customers by supporting them with a

proactive experience. Its goal is for customers to have peace of mind, so when an important event occurs which impacts their

finances, the Bank informs them automatically.

In addition, through proactive experiences (over 50 available at the end of 2021), customers receive simple proposals which allow

them to solve or mitigate these challenges if possible: for example, to make a transfer from another account if a credit card payment

is expected to lead to an overdraft in the main account.

All this has made the Bank a leader in digital experience in Europe for the fifth consecutive year, according to the recent report “The

Forrester Digital Experience Review TM: European Mobile Banking Apps, Q3 2021." This report identifies the leaders in mobile banking

functionality and user experience, and shares the best practices from which professionals can learn. BBVA is the only Spanish bank

which is a leader in the digital mobile banking experience.

Pioneers in sustainability

BBVA incorporates sustainability as part of its daily activities and everything it does, not only in relations with customers but also in

internal processes. In other words, the definition and execution of the strategy, which includes sustainability and climate change as

one of its priorities, cuts across the whole organization.

In 2021 BBVA created the Global Sustainability area to boost its strategy, raising sustainability to the highest executive level in the

Organization. The area reports to the Chief Executive Officer and the Group Executive Chairman on matters referring to the Group's

sustainability strategy.

Sustainability represents a business opportunity and is a key lever for BBVA's growth. BBVA's unique offer of sustainable products,

together with its capacity for advice, give the Group a competitive advantage over other entities.

In 2021, out of the total new origination of business at Group level, 12% of new businesses have been linked to sustainability. Between

2018 and 2021, BBVA channeled a total of €85,817m into sustainable activities6. Of these, around 20% were an incremental business

for the Bank.

This represents 43% of the target for channeling initially set in its Commitment 2025, which BBVA has doubled in 2021 to €200 billion

through 2025.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

6 As a benchmark for meeting its objectives under its Pledge 2025, BBVA uses the activities included in the section "Additional information on the Group's sustainability standards

and frameworks" the Green Bond Principles and the Social Bond Principles, the Sustainability-Linked Bond Principles of the International Capital Markets Association, as well as

the Green Loan Principles, Social Loan Principles, Sustainability-Linked Loan Principles of the Loan Market Association and best market practices.

FUNDS MOBILIZED THROUGH THE 2025 PLEDGE (MILLIONS OF EUROS) (1)

2021 production

(%)

2020 production

(%)

Climate action

30,640

15,341

Inclusive growth

4,737

5,175

Total

35,377

100

20,516

100

Total 2025 Pledge (accumulated to 2021)

85,817

50,440

(1) To the production of each financial year, the fixing exchange rate has been applied.

ASSETS UNDER MANAGEMENT WITH SOCIALLY RESPONSIBLE INVESTMENT (SRI) CRITERIA (BBVA ASSET

MANAGEMENT. MILLIONS OF EUROS)

2021

2020

Total assets under management

119,307

109,355

SRI strategy applied

Exclusion (1)

119,307

109,355

Vote (2)

111,160

72,376

Integration (3)

80,981

9,053

(1) The exclusion strategy applies to 100% of the assets under management.

(2) The vote strategy applies to 100% of the assets under management in Europe for those instruments, in BBVA AM portfolios, that generate voting rights and their issuers are

in the European geographical area.

(3) The integration strategy is applied in SRI pension plans and mutual funds of the Europe business.

Climate change

In 2021, BBVA has led the issuance of green, social, sustainable bonds and bonds linked to environmental indicators for clients in

several countries, which have represented a total volume disintermediated by BBVA of €6,683m. In addition, BBVA has continued to

be very active in the field of sustainable corporate loans and in the financing of sustainable projects.

In 2021, BBVA achieved its commitment in Spain of offering a sustainable alternative to all its products in the retail segment. Also in

Spain, in 2021 BBVA became the first entity to use data analytics to calculate the carbon footprint of all its individual customers and

companies, obtaining an approximate estimate of CO2 emissions into the atmosphere based on gas and light bills and payments for

fuel.

Inclusive growth

In 2021, BBVA mobilized €4.737m as financial inclusive growth, of which €2.868m were allocated to financing social infrastructure

and €1,869m were dedicated to financial inclusion and entrepreneurship

Additionally, the Group has also strengthened its community engagement to support inclusive growth in countries where it operates,

for which €550m will be allocated directly and through its support to foundations between 2021 and 2025. For more information

about the commitment to the community, see the section "Community Commitment" in the chapter "Our stakeholders" in this report.

Alignment of activity to achieve net zero emissions in 2050

With respect to the alignment of its activity, BBVA has been neutral in net emissions from its direct activity since 2020 (on the

management of direct impacts, see the section "Direct environmental impact management" of the chapter "Report on climate change

and other environmental and social questions" in this report). The Bank has also pledged that its indirect activity, in other words

through its loan and investment portfolio, will also be neutral in net greenhouse gas emissions by 2050. In April 2021, BBVA was one

of the founding members of the Net-Zero Banking Alliance (NZBA).

To this end, in 2021 BBVA has continued to make progress in decarbonizing its portfolio. It has announced its intention of reducing its

exposure to coal-related activities to zero, and stopping the finance of companies in these activities by 2030 in developed countries

and by 2040 in the rest of the countries where it operates.

It has also set intermediate goals to decarbonize its portfolio in four emission-intensive industries, such as electricity generation,

automotive, steel and cement: these sectors account for 60% of global emissions. To do so, the Bank will focus its efforts on

supporting customers with finance, advice and innovative solutions in a joint effort of decarbonization. For more information, see the

section "Identification, Measurement and Integration of climate change into risk management" in the "Report on climate change and

other environmental issues" of this report.

A global benchmark

In 2021, BBVA has obtained the highest score (89 points) among world banks7 in the DJSI, which measures the performance of the

largest companies by market capitalization in economic, environmental and social matters. The Group has achieved the highest score

(100 points) in the sections on financial inclusion, environmental and social information, development of human capital, materiality

and tax strategy.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

7 Shared ranking position.

BBVA has also been included for the fourth consecutive year in the Bloomberg Gender Equality Index, which represents recognition of

its commitment to create trusting work environments, where all employees' professional development and equal opportunities are

guaranteed, regardless of their gender.

BBVA is a member of the main sustainability indices (see the section "Sustainability indices").

All this is recognition of BBVA's work over more than 20 years, with its active involvement in various supranational initiatives. BBVA

seeks to continue leading the international agenda on inclusion and the fight against climate change by manifesting its commitment to

a number of initiatives (see the section "Participation in international initiatives").

BBA is committed to transparency. That is why, together with this non-financial information, it publishes an annual TCFD (Task Force

on Climate-Related Financial Disclosures) report following the recommendations of the Financial Stability Board (FSB), as well as

additional disclosures on sustainability in line with two of the most advanced market standards: the expanded WEF-IBC metrics, and

the Sustainability Accounting Standards Board (SASB) Mortgage Finance and Consumer Finance standards.

Continue to lead in efficiency

BBVA works to optimize its model of customer relations and acquisition, with the aim of reaching more customers at a reduced cost.

The Group aims to make available to its clients a self-service model, and thus respond to changes in consumer habits, which are

increasingly digital. This is demonstrated in the growth of 24% in digital transactions on the 2020 figure, while transactions in

branches fell by 20%.

This new reality implies serving more customers and generating more growth, optimizing the cost structure, with a direct and positive

impact on the productivity of networks and efficiency. In this way, in 2021 the ratio of customers to branches increased by 22% and

sales per network employee increased by 25% on 2019. Moreover, the Agile methodology which has been steadily implemented in the

Group over recent years enables the quick and efficient creation of improved products and services for our customers. By way of

example, the functionalities made available to customers via the mobile app in Spain have tripled since 2016. Another example is that

the number of days it takes a work team to design a functionality, from starting the design to implementation, has fallen by 50% in

Mexico over the same period. This way of banking leads to more productive and more engaged teams.

Likewise, BBVA aims to lever globalization and develop more efficient products and solutions which provide answers to customer

needs. To this end, the Group has focused in recent years on increasing the reuse of technological developments and digital solutions

across countries. Two examples are the mobile app for retail customers in which it has reused 75% of the programming code; and the

mobile app for companies, which has been developed in less than a year by reusing 80% of the components.

This focus on operational excellence has led us to consolidate our leading position in terms of efficiency for one more year. The

efficiency ratio stood at 45.2% at the close of 2021 (53 basis points better than in 2020, in constant terms) while the average of our

European competitors was 62% at the close of September 2021 (the latest data available).

Optimum capital allocation is another key component of operational excellence. Here, BBVA prioritizes capital allocation to the most

profitable business opportunities. Moreover, the Bank has a model through which it allocates capital individually for each operation,

and the allocation is linked to a system of dynamic pricing. Thus, for each loan granted by the Group, the transaction must exceed the

minimum thresholds of previously determined capital return. This distinct way of banking, where the search for profitability is present

in the transaction, has had an immediate effect on the Bank's figures. Specifically, the adjusted return on risk-weighted assets

(RORWA) a the close of 2021 was 2.01%, 85 basis points above the level at the close of the previous year. For more information, see

section “Alternative Performance Measures (APMs)” within the chapter “Other information” of this report.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.2Our stakeholders

BBVA seeks to have a positive impact on the lives of people, companies and the society as a whole through its activity. For this reason,

the Group has a responsible banking model and is committed to creating long-term value for all stakeholders.

A banking model governed by the following general principles:

–Generation of positive impact on society.

–Respect for the dignity of people and the rights that are inherent to them.

–Investment in the community.

–Involvement as an agent of social change.

This way of doing banking responsibly is extended to all the entities that are part of the Group and its principles are integrated into the

relationship that BBVA maintains with all its stakeholders (customers, employees, shareholders and investors, suppliers, regulators

and supervisors and society), as well as in its relationship with the environment and social development, its fiscal responsibility, the

prevention of conduct contrary to regulations, human rights and its participation in international initiatives.

This is reflected in the different policies of the Bank and especially in the Corporate Social Responsibility Policy (hereinafter, CSR).

The CSR Policy was approved in 2008 and last updated by the Board of Directors in 2020 with the aim of adapting it to the Bank's

strategy and is available for consultation on the Group's shareholders and investors website.

2.2.1Materiality analysis: the most relevant issues for stakeholders

and BBVA

To generate value for its stakeholders, BBVA carries out a regular analysis called the "Materiality analysis" which helps prioritize the

most relevant issues for both, stakeholders and BBVA. The materiality analysis was carried out in 2020, and its main conclusions

were valid for 2021. It includes the point of view of the stakeholders in the main countries in which BBVA operates: Spain, Mexico,

Turkey, Argentina, Colombia and Peru8.

The results of the analysis are reflected in the following matrix:

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

8 In 2021, the United States was still within the scope of consolidation, given that the subsidiary remained in BBVA during the first half of the year.

The four material issues with greatest importance now and over a longer time horizon, for both stakeholders and BBVA's business

strategy, are as follows:

–Climate change: Climate change is among the main concerns for stakeholders, and they hope that BBVA will contribute to

an ordered transition toward a low-emission economy. This requires an adequate management of risks and opportunities.

–Solvency and financial results: Stakeholders expect BBVA to be a robust and solvent bank, thus contributing to the stability

of the system. They also expect BBVA to generate good results over time. In other words, they demand a sustainable

business model in the current ecosystem.

–Easy, fast and do it yourself (DIY) service for customers: Stakeholders expect BBVA to continue to put technology and

digitalization at the service of customers and the business, so they can operate in a simple and agile way at any time and in

any place (mobile banking, fully digital contracts, etc.).

–Financial health and personalized advice to customers: Stakeholders expect the Bank to get to know its customers and

propose personalized solutions and recommendations to manage their finances better and achieve their vital objectives, all

this proactively and with an increasing level of automation.

The information on how these relevant issues were handled by the Group in 2021 is explained in the different chapters of this

management report.

For more information on the methodology and objectives as well as the level of progress in the material issues for BBVA and its

stakeholders, see "Other information on Materiality" in the "Additional information" chapter of this report.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.2.2Customers

The Bank puts customers at the heart of its activity and aims to establish a responsible relation with them, helping them to make

better financial decisions to achieve their life and professional objectives.

In this sense, there are some basic pillars linked to the Group's compliance system with which BBVA aspires to be the partner of trust

for its customers, in both management and control of their finances, based on personalized advice and with the aim of improving the

financial health of its customers.

Information security must also be a key pillar to guarantee the operational resilience of any organization. That is why the Group has

established policies, procedures and controls for the security of global infrastructures, digital channels and payment methods, with a

holistic approach based on intelligence in the face of challenges.

Customer experience

Consumers are increasingly demanding, and expect agile and personalized attention. BBVA is working to satisfy their needs and

exceed their expectations with the aim of guaranteeing a new standard in customer experience.

Customer satisfaction

As commented above, BBVA occupies the leading positions in the Net Promoter Score (NPS), as reflected in its retention figures,

which show a positive trend in the levels of customer drop-outs (retail and SMEs), and a greater commitment from digital customers,

whose drop-out rate is 7.4% lower than that of non-digital customers.

The internationally recognized Net Promoter Score (NPS, Net Recommendation Index) methodology measures customers’

willingness to recommend a company and therefore, the level of satisfaction of BBVA’s customers with its products, channels and

services. The index is based on a survey that measures on a scale of zero to ten whether a bank’s customers are promoters (a score

of nine or ten), passives (a score of seven or eight) or detractors (a score of zero to six) when asked if they would recommend their

bank, a specific channel or a specific customer journey to a friend or family member. This information is vital for checking for

alignment between customer needs and expectations and the initiatives that have been implemented, establishing plans that

eliminate detected gaps and providing the best experiences.

The Group’s consolidation and application of this methodology over the last ten years provides a common language both internally

and with customers that facilitates everyone’s involvement and the integration of the voice of customers in everything the Bank does,

from the beginning. This has led to a steady increase in customers’ level of trust, as they recognize BBVA to be one of the most secure

and recommendable banking institutions in every country where it operates.

Transparency, Clarity and Accountability (TCR)

The relationship of the Bank with its customers must be based on transparency, clarity and responsibility. That is why BBVA

integrates these three principles (TCR) systematically into the design and implementation of the main solutions, deliverables and

experiences for its customers. The objective pursued is to help them make good life choices, and to maintain and increase their trust

in the Bank.

Three work lines have been developed to turn these principles into reality:

–Implementing the TCR principles in new digital solutions through the participation of TCR experts in the conceptualization

and design of these solutions, especially in massive impact digital solutions for retail customers.

–Incorporating the TCR principles into the creation and maintenance of key content for customers (product sheets,

contracts, sales scripts. responses to customer letters, communication regarding COVID-19, etc.).

–TCR awareness-raising and training throughout the Group, through a virtual community, on-site workshops and online

activities. Since 2014, more than 30,000 training interactions have been carried out online, of which 1,820 were in 2021.

In 2021, the Group has placed particular emphasis on designing TCR solutions for people who have some type of visual, hearing,

motor or cognitive disability, making progress in making all the digital solutions available in the different countries. With this aim, a

process has been defined so that new global designs and developments are accessible, extending them globally as they are reused in

the different geographical areas. BBVA has organized global accessibility sessions with more than 1,300 people attending.

BBVA has an indicator to measure its TCR performance: the Net TCR Score (NTCRS), which is calculated following the same NPS

methodology. Based on the same survey, the NTCRS measures the degree to which customers perceive BBVA as a transparent and

clear bank in comparison with its peers, in the main countries where the Group operates.

According to December 2021 data, BBVA is a leader in NTCRS in Spain, Mexico, Peru and Uruguay, and in second place in Turkey,

third in Colombia and fifth in Argentina. The Group is working on plans to improve customer perceptions9 in Colombia and Argentina.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

9 Own work. The study has considered the main peers of BBVA in Argentina, Colombia, Spain, Mexico, Peru, Turkey and Uruguay.

Behavior with customers

BBVA has a Code of Conduct that establishes guidelines for conduct with customers in line with the values of the Group. It has also

established policies and procedures for governance which establish the principles to be followed when assessing the characteristics

and risks of products and services, as well as defining their conditions for their distribution and monitoring. Thus, based on customer

insight, their interests should be taken into account at all times, and products and services should be offered in accordance with their

financial needs. Moreover, any customer protection regulations applicable must always be complied.

BBVA has also implemented processes geared toward the prevention, or, when this has not been possible, the management of

potential conflicts of interest that may arise in the marketing of its products.

In 2021, BBVA has continued to evolve and strengthen its internal regulation, as well as the frameworks of mitigation, control and

monitoring within the scope of protection of the customers, also considering the priorities of regulators and supervisors. In this

respect, the following main lines of action should be highlighted:

–The update of standards in customer protection at Group level, covering also aspects related to the creation and

distribution of sustainable products, within the framework of the protection of vulnerable customers and the processes of

granting loans and credit responsibly.

–The changing indicators in customer conduct, to identify early the possible indications of inadequate sales practices,

applying for this purpose advanced data analysis techniques.

–Monitoring of the measures promoted by the regulators and governments on occasion of the crisis derived from the

pandemic, as well as those proposed for exit from it, advising the business units on their implementation and carrying out

the corresponding monitoring.

Moreover, the Bank has continued to work to incorporate the vision of customer protection into the development of new products and

businesses, both retail and wholesale, from the moment of its design and creation.

Customer security and protection

For BBVA security of information is one of the key aspects of its digital transformation. Information security is organized into three

fundamental pillars: cybersecurity, data security and security in the business and fraud processes. For each of them, a program has

been designed with the aim of reducing the risks to which the Group is exposed. These programs, which take into account security

industry best practices established in internationally accepted security standards, are periodically reviewed to evaluate the progress

and the effective impact on these risks.

In 2021, the measures adopted have been strengthened to guarantee effective protection of the information and assets which support

the Entity's business processes from a global perspective and an integrated approach, i.e. considering not only the technological area

but also the areas of people, processes and security governance.

Among these measures are those designed to: (I) ensure end-to-end protection of business processes, considering logical and

physical security, privacy and fraud management; (II) ensure compliance of the principles of security and privacy by design for new

products and services; and (III) improve access and authentication control for customers associated with the provision of online

services, both from the point of view of security and customer experience.

Below are some of the initiatives carried out during the year that are now implemented in the Group to improve customer security and

protection:

–Use of biometrics to sign transactions on the BBVA app, which improves the user experience and prevents SIM duplication

and smishing attacks.

–Strengthening security measures implemented in all the business processes with greatest risk of fraud.

–Implementation of behavioral biometrics and malware protection for digital clients to reinforce analytical and fraud

detection capabilities in mobile channels.

–Use of advanced analytics models to protect the funds of BBVA customers.

–Enhancement of the section with security advice to make customers aware of the main cybersecurity risks they are exposed

to, so that they can prevent or act against possible threats.

In addition, robust customer authentication mechanisms have been employed in e-commerce and the security of cards has been

improved to prevent possible fraudulent use of their data. One example is the Aqua card, which is the first card without a number or

printed CVV, and with a dynamic CVV.

Additionally, BBVA has continued performing the training and awareness initiatives related to security and privacy, including training

actions and awareness campaigns for BBVA’s employees, clients and society in general.

Among the main campaigns and awareness initiatives performed and the recommendations included in the app, BBVA online

channels and social media, it is worth highlighting those related to information protection, secure password management, protection

of devices (computers, smartphones, etc.), detection of phishing and other computer and social engineering attacks, detection of

cybernetic scams, and security in online purchases.

Other lines of action also include periodic performance of global and local simulation exercises in order to raise the level of training

and awareness of key BBVA personnel and ensure an immediate and effective response in case of a security incident.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Governance

BBVA has implemented a model of governance for information security, including the work of the Information Security Steering

Committee, responsible for the approval and monitoring of the information security strategy execution and the effective

implementation of the different programs designed for each of the three pillars that compose it.

Also, the Corporate Security function is organized by a system of committees and working groups to manage the different areas

related to information security: security in transactions, security associated with technology, physical security, security in business

processes, security related to personnel, etc.

There are also committees responsible for information protection and fraud management, where both the Corporate Security

function and the rest of the areas involved in the Bank participate.

Lastly, BBVA has a Technology and Cybersecurity Commission, whose functions include the supervision of technology and

cybersecurity strategy and cybersecurity risk management. This Commission assists the Board of Directors in monitoring the

technological risks to which the Bank is exposed, current cybersecurity and technology trends, and any relevant technological

security event that could affect the Group.

Data protection

The main initiatives performed in this area are related to the adoption of measures to ensure that all BBVA´s information assets are

properly protected, limiting their use to related processes and controlling access to them, considering the security guidelines

established by the Group. All the initiatives are performed guaranteeing compliance with the security and privacy regulatory

requirements applicable, especially those related to personal data protection.

All activities related to the data protection program are reviewed by the Data Protection Committee, where all relevant stakeholders

of the organization are represented.

During 2021 there has been no incident that has had a significant economic impact on the BBVA Group.

For more information about personal data protection, see the section “Personal data protection” in the "Compliance" chapter of this

report.

Cybersecurity

The COVID-19 pandemic has increased the scope of social engineering attacks through e-mail, SMS, instant messaging systems and

social media. It has also contributed to the emergence of new risks and challenges for companies, like the ones related to security in

telework, security in cloud environments and the increase in the attack surface. As a result, as cyberattacks evolve and become more

sophisticated, BBVA has strengthened its prevention and monitorization efforts.

The Global Computer Emergency Response Team (CERT) is the Group’s first line of detection and response to cyberattacks aimed at

global users and the Group’s infrastructure, combining information on cyber threats from our Threat Intelligence Unit. The Global

CERT, which is based in Madrid, operates 24/7 and provides services in all countries where BBVA operates, under a scheme of

managed security services.

In 2021, the monitoring capacity of the systems has increased, in particular with respect to the critical assets which support business

processes. Incident prevention, detection and response capabilities have also been strengthened through the use of integrated

information sources, improved analytical capabilities and automated platforms. Moreover, work is being done on the development of

new artificial intelligence and machine learning models which can predict and prevent cyberattacks against bank infrastructure,

providing a more secure experience for customers.

Measures implemented have improved information security management from a predictive and proactive approach, based on the use

of digital intelligence and advanced analytical capabilities. The main objective of these measures is to ensure an immediate and

effective response to any security incident that may occur, with the coordination of different business and support areas involved,

reduce the possible negative impact and, if necessary, report in a timely manner to the corresponding supervisory or regulatory

authorities.

BBVA also routinely reviews, reinforces and tests its security processes and procedures through simulation exercises in the areas of

physical security and digital security. Specialized teams periodically perform technical security tests in order to detect and correct

possible security vulnerabilities.

In 2020 and 2021, the Group detected an increase in the number of attacks in a number of countries, accentuated by the presence of

organized crime groups specialized in the banking sector.

Security in business processes and fraud

Cybersecurity processes are always undertaken in close coordination with fraud prevention processes, so there are considerable

interactions and synergies between the relevant teams. As part of the efforts to monitor fraud and to actively support the deployment

of adequate anti-fraud policies and measures, a Corporate Fraud Committee has been created to oversee the evolution of all external

and internal fraud types in all countries where the Group operates.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Among the functions of this committee are: (I) actively monitor fraud risk and mitigation plans; (ii) assess their impact on Group

businesses and customers; and (III) monitor the relevant fraud facts, events and trends.

Both the Bank and the rest of the Group's subsidiaries have cybersecurity and fraud insurance policies, subject to certain loss limits,

applicable deductions and exclusions, as the case may be.

Business Continuity

In 2021 and 2020, Business Continuity continued to be reinforced from a holistic perspective, paying special attention to the Group’s

resilience. As a result thereof, a shift from a model basically geared to ensuring the uninterrupted delivery of products and services in

situations of great impact which are infrequent but plausible, toward a model in which the organization has been provided with the

ability to absorb and adapt to situations with an operational impact due to disruptions of various kinds (pandemics, cybersecurity

incidents, natural disasters or technological failures), has been consolidated. This has been reflected in an intense activity by the

Business Resilience Office, which together with the Crisis Management Committees and Group Continuity has played a very

important role in the management of the crisis resulting from COVID-19 in the numerous areas it has impacted.

Customer care

BBVA has a complaints model based on two key aspects: the agile resolution of claims and, most importantly, the analysis and

eradication of their causes at root. This model constitutes a contribution of great value for improving customer experience.

In 2021 the Group’s claims units worked to reduce attention times which, due to the health provisions imposed by the global

COVID-19 pandemic, were significantly affected in 2020; as well as the proactive identification of potential new problems and the

eradication of the root causes of the most common types of claims. All this with the aim of generating peace of mind and

consolidating customer trust, giving a swift resolution to their problems, through a simple and agile experience and with a clear and

personalized response.

MAIN INDICATORS OF CLAIMS (BBVA GROUP)(1)

2021

2020

Number of claims before the banking authority for each 10.000 active customers

Average time for setting claims (natural days)

Claims settled by First Contact Resolution (FCR) (% over total claims)

(1) Due to the sale of BBVA USA, during 2021 claims in this country have been monitored until May 31, 2021 only.

The country that registers the largest number of claims before the banking authority per 10,000 active customers is Colombia.

CLAIMS BEFORE THE BANKING AUTHORITY BY COUNTRY (NUMBER FOR EACH 10.000 ACTIVE CUSTOMERS) (1)

2021

2020

Spain

1.86

1.38

The United States(2)

4.51

4.70

Mexico

9.19

12.16

Turkey

12.77

16.51

Argentina

0.13

0.45

Colombia

62.45

97.56

Peru

2.04

2.02

Venezuela

0.09

0.03

Uruguay

0.29

0.31

Portugal

21.90

17.45

Scope: BBVA Group.

(1) The banking authority refers to the external body in which the customers can complain against BBVA.

(2) Due to the sale of BBVA USA, during 2021 claims in this country have been monitored until May 31, 2021 only.

The Group’s average claim resolution time was 5.46 days in 2021, which represents a reduction in all countries compared with 2020

(higher times as a result of the health provisions that were established as a result of the pandemic).

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

AVERAGE TIME FOR SETTING CLAIMS BY COUNTRY (NATURAL DAYS)(1)

2021

2020

Spain

The United States (2)

Mexico

Turkey

Argentina

Colombia

Peru

Venezuela

Uruguay

Portugal

(1) The claims considered for the calculation of the average resolution time include those received and resolved during the same year.

(2) Due to the sale of BBVA USA, during 2021 claims in this country have been monitored until May 31, 2021 only.

Claims settled by the First Contact Resolution (FCR) model, which consists in the resolution of the claim at the time it is filed, account

for 10% of total claims, thanks to the fact that the management and handling of these claims aims to reduce resolution times and

increase the service quality, thus improving the customer experience.

CLAIMS SETTLE BY FIRST CONTACT RESOLUTION (FCR. PERCENTAGE OVER TOTAL CLAIMS)

2021

2020

Spain (1)

n.a.

The United States (3)

Mexico

Turkey (2)

Argentina (4)

Colombia (2)

Peru

Venezuela (1)

n.a.

Uruguay

Portugal (1)

n.a.

n.a. = not applicable.

(1) In Spain, Portugal and Venezuela this type of management is currently not applied.

(2) In Colombia and Turkey, the first level resolution is considered FCR, that is, by the front in less than 48 hours.

(3) Due to the sale of BBVA USA, during 2021 claims in this country have been monitored until May 31, 2021 only.

(4) In Argentina, the criteria has been modified in 2021, homogenizing it with the rest of the countries (Mexico, Uruguay, Peru and the United States). The 2020 data responds

to local criteria.

The justified claims related to violations of privacy and loss of customer data filed before the corresponding banking authorities in the

countries, account for 0.05% of the total claims as a result of preventive policies and risk control measures.

The total volume of claims in 2021, which breakdown is shown in the following table, represents a reduction of 2% in the volume of

claims with respect to the figure in 2020, as a result of the improvements in the claims management process in the Group.

TOTAL VOLUME OF CLAIMS (BBVA GROUP. MILLIONS)

2021

2020

Spain

0.2

0.12

The United States (1)

0.02

0.05

Mexico

1.04

1.05

Turkey

0.18

0.23

Argentina

0.23

0.24

Colombia

0.11

0.14

Peru

0.32

0.34

Venezuela

0.014

0.019

Uruguay

0.012

0.018

Portugal

0.0001

(1) Due to the sale of BBVA USA, during 2021 claims in this country have been monitored until May 31, 2021 only.

For more information on the Customer Care Service and the Customer Ombudsman see the section "Additional information on

customer complaints" in the chapter "Additional information" of this report.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.2.3Employees

The team is one of the accelerators of growth and a strategic lever for the Group. BBVA has a diverse and empowered team with a

distinct culture, which is guided by the corporate purpose and values.

As of December 31, 2021, the BBVA Group had 110,432 employees located in more than 25 countries, 53% of whom were women and

47% were men. The average age of the staff was 37.7 years. The average length of service in the organization was 10.7 years, with a

turnover of 6.5% in 2021.

BBVA Group's workforce fell by 10% in 2021. Among the main changes were the exit of BBVA USA and of the rest of the Group's

companies in the United States included in the agreement following their sale to the PNC Financial Services Group, Inc on June 1, 2021

and restructuring plan of the Bank in Spain.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Culture & Values

BBVA’s values and behaviors are the action guidelines for the Group in its day-to-day decision-making and help it accomplish its

purpose "to bring the age of opportunity to everyone." The values and behaviors are the hallmark of everyone working in the Group

and define the DNA of BBVA.

The values form part of the main levers for the Bank’s transformation and in the Talent & Culture processes: from the selection of new

employees to the procedures for allocating roles, people development, training, and incentives for achieving goals.

The values also boost commitment at BBVA. The Group carries out annually the Employee Commitment Survey10, managed by

Gallup. In 2021, 93.1% of employees participated. The most outstanding aspect is the significant improvement of the Grand Mean, the

strategic KPI with which the progress of the strategic priority "The best and most committed team" is measured and which is obtained

by averaging the twelve main questions of the survey. Thus, in 2021 a value of 4.26 out of 5 has been achieved, which represents an

improvement over last year (4.25 points).

By age groups, this year's results were: 4.42 points out of 5 among employees under 25 years of age; 4.34 points for the range of 25

to 34 years; 4.23 points from 35 to 44 years old; 4.22 points from 45 to 54 years; and 4.15 in the case of employees over 55 years of

age. By gender, the result has been the same between men and women (4.27).

Similarly, BBVA's employee engagement index, which is calculated by dividing the percentage of engaged employees by the

percentage of actively disengaged employees, improved in 2021 to 10.50 (10.17 in 2020).

BBVA has been granted with the Gallup Exceptional Workplace Award for being one of the 40 best organizations in the world which

has worked most on engagement in 2021. Moreover, the most notable aspect is that 76% of teams have launched action plans to

improve engagement (over 24,000 plans).

BBVA has expressed its will to reinforce its corporate culture of social and environmental engagement, facilitating the conditions for

its employees to carry out volunteer work. For further information on volunteer work, see the "Volunteer work" section below in this

chapter.

People Management

BBVA continues to boost its employees' commitment and performance, accompanying its transformation process with a variety of

initiatives in questions related to staff, such as:

–Transformation and development of the employee relations model: fostering a more accessible model and driving

enterprise, empowerment and responsibility; providing the different areas in the Group with the advice to boost talent

management based on their objectives and the employees with support for the development of their professional careers;

the search for opportunities and the reinforcement of their role with more personal advice from the employee's supervisor.

–Maintenance of the Agile model of organization with the digital factories formed by multi-disciplinary teams which share the

same objective and work with autonomy and capacity for execution with the aim of improving quality, productivity, the

launch period and commitment.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

10 A total of 69,155 BBVA Group employees (36,326 identifying as women and 32,817 as men) took part in the last Gallup survey in the fourth quarter of 2021. By age range, 4% of

employees who participated in this survey were under 25, 36% were 25 to 34, 31% were 35 to 44, and 23% were 45 to 54, while 6% were over 55.

–Launch of a solution to improve the mass training of employees. This solution represents a radical transformation for the

employees of their training experience, introducing modern learning techniques based on an attractive training journey, and

allowing them to manage this enormous challenge while generating the incentives for them to adopt it.

–The strengthening of a corporate culture of collaboration and entrepreneurship, which revolves around the set of values and

behaviors described above and which generate certain identity traits that differentiate it from other entities.

Professional development

In 2021, work continued on BBVA's model of professional development by the consolidation of an ecosystem in which the employees

have available certain elements through three different modules that allow them to know themselves better, improve, grow and

explore new pathways.

Talent attraction

BBVA aims to offer its employees a unique value proposition, through a common brand, in line with a global and digital company. In

2021, BBVA has launched a talent attraction program whose aim is to hire key talent with the potential to support BBVA Group's

transformation process and provide an outstanding program for their training and international development.

Thanks to brand positioning actions and the promotion of professional opportunities available at BBVA through various channels, it

was possible to attract over 175,000 candidates in 2021. All this is carried out under a global reference model for attracting talent,

with clear policies that strengthen transparency, trust and flexibility for all stakeholders involved in the process.

BBVA also has a global scorecard to measure compliance levels with each of the internal mobility policies, ensuring follow-up and

commitment to compliance in each of the geographical and global areas in which BBVA operates.

In 2021, 13,810 professionals joined the Group following this initiative to attract, select and incorporate profiles with new skills

necessary for BBVA in its transformation process.

RECRUITMENT OF EMPLOYEES BY GENDER (BBVA GROUP. NUMBER)

2021

2020

Total

Male

Female

Total

Male

Female

Spain

1,133

476

657

1,776

715

1,061

Mexico

10,567

5,700

4,867

4,706

2,435

2,271

Turkey

2,377

1,075

1,302

1,500

697

803

South America

3,226

1,562

1,664

1,479

677

802

The United States

630

271

359

1,837

792

1,045

Rest

102

Total

18,016

9,134

8,882

11,400

5,381

6,019

Of which new hires are (1):

Spain

422

231

191

593

340

253

Mexico

7,945

4,318

3,627

5,050

2,560

2,490

Turkey

2,366

1,070

1,296

1,481

690

791

South America

2,391

1,271

1,120

1,191

597

594

The United States

617

260

357

1,839

793

1,046

Rest

Total

13,810

7,193

6,617

10,246

5,037

5,209

(1) Including hires through consolidations.

Development

The professional development model is based on a 360º assessment process. For the first time, in 2021 employees know their

position on the BBVA Group talent map; in other words how they compare with other professionals who occupy similar positions to

theirs. This allows them to identify their development plan and access the tools that BBVA makes available to them to help them

achieve their objectives.

Moreover, BBVA's professional development has been enriched in 2021 through the incorporation of tools that allow employee

growth: Project Review linked to the implementation of Agile organizational models and an internal coaching program. These tools

complement those already in place in the professional development model, such as Open Mentoring, BBVA Campus, Mobility and

Opportunity, whose impulse has been a priority in 2021.

The percentage of vacant positions filled with internal candidates stood at 56.7% in 2021 (69.4% in 2020) and signals the

commitment to the global policy of prioritizing internal versus external talent. 2020 was a very restrictive year in terms of both

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

internal and external hiring. There was a freezing in Central Areas for 9 months in almost all countries to limit movements facing the

COVID crisis. In 2021, activity was resumed in most countries, promoting internal movements stopped the previous year.

Training

BBVA's training model gives employees a leading role in their own development and provides them with the autonomy to decide their

learning pathways. In this way, the employees no longer have to wait to be invited to a training action; they now have the means to

decide themselves on their learning pathways and how to grow professionally. This commitment to decentralization allows the

employees themselves to generate knowledge and share it with their colleagues. Sessions of this type have involved the participation

of 86,878 employees from all geographies to assess the usefulness of the content.

The solidity and level of implementation of the training model across the Group is allowing to be proactive and guarantee that

knowledge (internal or external) is obtained which the Bank needs at any time and continuously for the growth of its professionals.

In 2021, with the aim of reinforcing this commitment, BBVA launched a program to accelerate the acquisition of new competencies

and develop the competencies needed within the same post or profile (up/reskilling). In this way, employees will be able to focus on

their growth in knowledge that is a priority for BBVA.

To meet this challenge, BBVA's training model has been transformed to continue boosting a culture of "learning skills" which allow

professionals to have the capacities required at any time and thus improve their employability. In the context of a changing

environment, it is not only necessary to be flexible and adaptable to change; it is also essential for employees to update their

knowledge all the time (continuous learning).

As a result, BBVA has been recognized in recent years as an extremely innovative entity in the training world, with a deep-rooted

culture of online learning (in the last 4 years, over 70% of the training has been online and in 2021 it was 74%) and a wide-ranging

digital training offer for its employees channeled through its global training platform BBVA Campus.

This training platform provides employees with over 20,000 training resources (MOOCs, podcast, videos, blogs, practice

communities, portals structured by knowledge area, simulators, etc.), specific experiences geared at specialized technical profiles

and links to external training platforms of recognized prestige at global level or courses offered by key educational institutions.

For this reason all employees have been offered 14 expeditions through The Camp (one for each strategic knowledge area),

structured into 3 different levels of increasing specialization, providing a response to Strategic People Planning, on which the

capacities required by the Group for the bank of the future have been defined.

Through these expeditions, the professionals have focused on extending their knowledge and training on more strategic subjects for

the Group. In 2021, more than 83,271 professionals have completed 1,169,700 hours of training on subjects related to sustainability,

cybersecurity, data, Agile, design and the behavioral economy. The average satisfaction score is 4.7 (out of 5).

Another extremely relevant line of training for professionals has been the knowledge required for the transformation of the business,

transforming their current and future capacities. It is also worth noting that BBVA continued to boost the certification of its

professionals' knowledge in 2021. Thanks to internal or official external certifications, employees have been able to accredit

specialized knowledge in the main business subjects.

Specifically, training in sustainability has taken a leading role in helping to boost knowledge related to this strategic priority across the

whole Group. In 2021, 179,012 hours of training were completed (165% more than in 2020) and over 57,210 professionals have

participated in a sustainability-related training initiative. Moreover, 5,516 employees have exceeded the EFPA-ESG (European

certifier) and IASE ISF1 (international certifier) certifications.

BASIC TRAINING DATA (BBVA GROUP)

2021

2020

Total investment in training (millions of euros)

36.0

31.8

Investment in training per employee (euros) (1)

326

258

Hours of training per employee (2)

44.8

41.4

Employees who received training (%)

97.9

Satisfaction with the training (rating out of 10)

9.5

9.3

Average participations per employee

30.8

Amounts received from FORCEM for training in Spain (millions of euros)

1.5

1.2

(1) Ratio calculated considering the Group´s workforce at the end of each year ( 110,432 in 2021 and 123,174 in 2020).

(2) Ratio calculated considering the workforce of BBVA with access to the training platform.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

TRAINING DATA BY PROFESSIONAL CATEGORY AND GENDER (BBVA GROUP. 2021)

Number of employees with training

Training hours

Total

Male

Female

Total

Male

Female

Management team (1)

3,030

2,042

988

91,222

59,939

31,283

Middle controls

8,547

4,509

4,038

296,065

163,543

132,522

Specialists

39,684

19,730

19,954

1,626,500

789,266

837,234

Sales force

37,763

15,991

21,772

1,917,627

826,829

1,090,798

Base positions

19,118

8,504

10,614

1,020,459

411,971

608,488

Total

108,142

50,776

57,366

4,951,873

2,251,548

2,700,325

(1) The management team includes the highest range of the Group´s management.

TRAINING DATA BY PROFESSIONAL CATEGORY AND GENDER (BBVA GROUP. 2020)

Number of employees with training

Training hours

Total

Male

Female

Total

Male

Female

Management team (1)

3,077

2,098

979

64,826

43,126

21,700

Middle controls

9,768

5,162

4,606

255,076

137,242

117,834

Specialists

36,692

17,648

19,044

1,242,055

572,230

669,825

Sales force

43,487

18,745

24,742

2,192,527

968,162

1,224,365

Base positions

20,559

8,747

11,812

1,348,223

511,307

836,916

Total

113,583

52,400

61,183

5,102,707

2,232,066

2,870,641

(1) The management team includes the highest range of the Group´s management.

EMPLOYEE TRAINING 2021 (BBVA GROUP. NUMBER, PERCENTAJE)

Number

Investment in training as a percentage (%) of payroll(1)

0.91

Effectiveness of the training and development through increased revenue, productivity gains,

employee engagement and/or internal hire rates(2)

355.92

(1) Investment in training / Wages and salaries.

(2) Human Capital Return on Investment; a. Total Revenue (EUR) - Gross Margin; b. Total Operating Expenses (EUR)- Administration Expenses; c. Total training related

expenses (EUR); d. Resulting HC ROI (a - (b-c)) / c.

Diversity, inclusion and different capacities

At BBVA, diversity and inclusion are firmly aligned with its purpose and consistent with its values. BBVA is committed to diversity in

its workforce as one of the key elements in attracting and retaining the best talent and offering the best possible service to its

customers. In 2018 a global diversity plan was designed with several lines of action, focused mainly on gender diversity, but without

forgetting other aspects of diversity such as ethnic, inter-generation, different capacities and sexual orientation. Since then, the plan

has been improved and updated.

With respect to gender diversity, a number of initiatives have been developed since 2018 whose aim is to facilitate the professional

growth of women in BBVA and accelerate their access to positions of responsibility. Among these initiatives implemented in 2021 are:

–Setting gender diversity targets at area and country level. A target has been set for the percentage of women to be

promoted to categories of greater responsibility over the next five years. This target is supported by a specific diversity plan

developed by each of the areas, which is revised quarterly and must ensure compliance with the plan.

–New initiatives favoring female talent that speed up the professional growth of women in BBVA, ensuring equity and

neutrality in the selection and professional growth processes.

–Improved capacity to identify the women in BBVA with the greatest potential through the Talent Map tool. Within this line of

work are the extension of the Rooney Rule to more levels of the Organization, improvement of training, mentoring targeted

at women with high potential and the introduction of the gender component in the succession plans (line-up plan) to

positions of high responsibility.

–Continuing work on a flexible working environment in which men can assume their family responsibilities to the same extent

as women, and where maternity does not represent a professional obstacle for women (the Work Better, Enjoy Life

initiative). A hybrid work model has been implemented for this purpose to balance personal and professional life better.

Paternity leave has also been extended in a number of geographical areas.

Initiatives include the creation of the Employee Resource Group (hereinafter, ERG), a form of intrapreneurship in which employees

themselves decide to get together to promote diversity and foster personal relations between people with common interests; and the

support to a variety of organizations and initiatives working for diversity and equal opportunities between men and women, such as

participation in the fight against the gender gap in science, technology, engineering and maths, or collaboration with initiatives such

as Inspiring Girls, the Girls' Olympiad in Informatics and Technovation for Girls.

In terms of gender diversity, women represent 33% of the members of the board of directors of BBVA, S.A.,26.8% of senior

management and 36.1% of management positions, 31.5% of technology and engineering positions and 57.4% of business and profit

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

generation positions (31.6%, 43.4%, 32.2% and 57.4%, respectively, in 2020).

As for LGTBI+ diversity, a guide was prepared in 2021 called "Trans Diversity, Meeting Point." It is a manual which includes guidelines

and protocols focused on supporting transexual or transgender employees or customers. BBVA was elected president of the

Business Network for Diversity and LGTBI inclusion (REDI), the first business association in Spain created to promote an inclusive and

respectful environment in organizations. Over 95 Spanish companies form part of this organization. In 2021, two global events were

held for BBVA employees related to diversity and inclusion: the International LGTBI+ Pride Day and the Diversity Days, which are

internal days held for the second year in a row to share the significant progress made in terms of diversity and inclusion and to create

a learning space.

BBVA's leadership in diversity issues has led to it being included for the fourth consecutive year in the Bloomberg Gender-Equality

Index, a ranking that includes the 100 global companies with the best gender diversity practices. The Bank has also been finalist in the

Euromoney awards as Best Global Diversity and Inclusion Bank; and in the LinkedIn Talent Awards in the Diversity Champions

category. Moreover, Gartner published a study praising the Bank's global strategy in terms of diversity and inclusion.

Regarding the statement "BBVA always values diversity" in the Employee Engagement Survey, managed by Gallup, in 2021 the Bank

obtained a score of 4.53 out of 5, slightly more than the 2020 results (4.52).

All the Group companies in the different countries have protocols for preventing sexual harassment, expressly stating their rejection

of any conduct of a sexual nature or with a sexual connotation that has the purpose or effect of violating a person's dignity, and they

undertake to apply this agreement as a means of preventing, detecting, correcting and punishing this type of conduct within the

company.

With respect to different capacities, BBVA has expressed its commitment to the social integration of individuals with different

capacities. It has an ERG related to different capacities which organizes talks to raise awareness of this issue.

There are numerous initiatives in all the geographical areas to boost the inclusion of people with disabilities, such as grants to

students and programs for the incorporation of people with different capacities, with the collaboration of specialized organizations

and companies, as well as educational centers and universities.

For example, in Spain BBVA has alliances with the leading Spanish organizations in the disability sector with the aim of promoting

accessibility, fostering labor integration and increasing knowledge and awareness of the needs and potential of disabled people. There

are two pilot projects: first, one which employs people with mental disabilities in reception and support tasks in BBVA buildings in

Madrid; and second, a neurodiversity pilot project which integrates people with autism spectrum disorder (mainly Asperger) into

engineering teams.

As of December 31, 2021, BBVA had 589 people with different capacities on the Group's staff (526 in 202011), of whom 175 are located

in Spain, 18 in Mexico, 354in Turkey 36 in South America and 6 in Portugal.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

11 2020 data differ from the one reported in the Non-financial information report of 2020 due to additional amendments.

EMPLOYEES BY COUNTRIES AND GENDER (BBVA GROUP)

2021

2020

Number of

employees

Male

Female

Number of

employees

Male

Female

Spain

24,843

12,185

12,658

29,330

14,393

14,937

Mexico

40,243

19,157

21,086

36,853

17,133

19,720

Turkey (1)

21,522

9,370

12,152

21,908

9,513

12,395

The United States

295

201

10,895

4,602

6,293

South America

22,519

10,436

12,083

23,059

10,699

12,360

Argentina

5,852

3,117

2,735

6,052

3,219

2,833

Colombia

6,741

2,812

3,929

6,592

2,747

3,845

Venezuela

1,764

652

1,112

2,012

728

1,284

Peru

6,394

3,025

3,369

6,204

2,948

3,256

Chile

714

340

374

696

331

365

Paraguay

—

430

220

210

Uruguay

579

307

272

590

319

271

Bolivia

468

180

288

476

184

292

Brazil

Cuba

—

Rest

1,010

560

450

1,129

641

488

France

United Kingdom

118

Italy

Germany

Belgium

Portugal

440

221

219

447

224

223

Switzerland

117

113

Finland

—

125

Hong Kong

China

Japan

Singapore

United Arab Emirates

Russia

—

India

Indonesia

South Korea

Taiwan

Total

110,432

51,909

58,523

123,174

56,981

66,193

(1) Includes the Garanti BBVA employees in Netherlands, Romania, Malta and Chipre.

PROMOTED EMPLOYEES BY GENDER (BBVA GROUP)

2021

2020

Number of promoted

employees

Male

Female

Number of promoted

employees

Male

Female

Spain

3,976

1,945

2,031

1,608

794

814

Mexico

13,377

6,463

6,914

5,452

2,676

2,776

Turkey

2,530

1,128

1,402

2,350

975

1,375

South America

3,543

1,723

1,820

1,932

853

1,079

The United States

1,386

596

790

950

408

542

Rest

165

Total

24,977

11,940

13,037

12,339

5,732

6,607

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

EMPLOYEES AVERAGE AGE AND DISTRIBUTION BY AGE STAGES (BBVA GROUP. AGE AND PERCENTAGE)

2021

2020

Average age

<25

25-45

>45

Average age

<25

25-45

>45

Spain

43.8

0.5

58.6

40.8

43.8

0.5

59.0

40.4

Mexico

34.1

8.3

78.4

13.3

33.9

8.8

77.9

13.4

Turkey

36.1

4.2

84.3

11.6

35.6

4.4

85.7

9.8

South America

38.3

5.1

68.8

26.2

38.2

5.3

68.6

26.2

The United States

44.5

2.7

49.8

47.5

42.0

4.8

57.5

37.8

Rest

45.5

0.7

45.9

53.4

43.8

0.8

52.4

46.9

Total

37.7

5.0

72.7

22.2

38.2

4.9

71.0

24.0

AVERAGE LENGTH OF SERVICE BY GENDER (BBVA GROUP. AGE)

2021

2020

Total

Male

Female

Total

Male

Female

Spain

17.1

16.8

17.2

17.3

17.5

17.1

Mexico

6.8

6.4

7.1

7.7

7.6

7.9

Turkey

9.8

9.9

9.8

9.5

9.6

9.4

South America

11.4

11.8

11.0

11.6

12.2

11.1

The United States

6.4

6.6

6.1

7.7

6.5

8.6

Rest

14.9

14.3

15.6

13.2

12.4

14.1

Total

10.7

10.6

10.7

11.1

11.3

10.9

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

EMPLOYEES DISTRIBUTION BY PROFESSIONAL CATEGORY AND GENDER (BBVA GROUP. PERCENTAGE)

2021

2020

On the total

number of

employees

Male

Female

On the total

number of

employees

Male

Female

Spain

Management team (1)

3.9

72.9

27.1

3.5

75.0

25.0

Middle controls

8.6

61.3

38.7

7.5

62.4

37.6

Specialists

38.3

51.8

48.2

36.5

51.4

48.6

Sales force

44.3

42.7

57.3

43.8

43.0

57.0

Base positions

4.9

44.6

55.4

8.7

48.1

51.9

Mexico

Management team (1)

0.5

76.5

23.5

0.5

79.0

21.0

Middle controls

2.3

63.2

36.8

2.4

64.8

35.2

Specialists

37.4

51.3

48.7

35.4

49.5

50.5

Sales force

25.9

50.6

49.4

28.2

50.9

49.1

Base positions

33.9

39.7

60.3

33.4

37.8

62.2

Turkey

Management team (1)

7.7

62.6

37.4

7.6

62.0

38.0

Middle controls

16.2

38.9

61.1

16.0

38.3

61.7

Specialists

31.8

42.6

57.4

30.6

41.7

58.3

Sales force

36.7

31.7

68.3

38.0

33.0

67.0

Base positions

7.6

95.2

4.8

7.8

93.9

6.1

South America

Management team (1)

0.9

68.7

31.3

1.0

68.0

32.0

Middle controls

9.8

59.9

40.1

11.2

55.9

44.1

Specialists

38.6

50.5

49.5

35.8

51.4

48.6

Sales force

36.7

40.1

59.9

37.3

40.4

59.6

Base positions

14.0

40.3

59.7

14.8

41.1

58.9

The United States

Management team (1)

7.5

86.4

13.6

0.4

91.3

8.7

Middle controls

30.8

73.6

26.4

7.7

64.2

35.8

Specialists

37.6

56.8

43.2

36.5

41.2

58.8

Sales force

18.3

77.8

22.2

43.2

46.4

53.6

Base positions

5.8

58.8

41.2

12.1

14.6

85.4

Rest

Management team (1)

5.9

76.7

23.3

5.1

82.8

17.2

Middle controls

10.7

72.2

27.8

8.8

72.7

27.3

Specialists

45.8

48.7

51.3

52.1

53.5

46.5

Sales force

35.2

57.7

42.3

31.4

56.5

43.5

Base positions

2.4

20.8

79.2

2.6

17.2

82.8

Group average

Management team (1)

2.8

67.5

32.5

2.6

68.4

31.6

Middle controls

8.1

52.7

47.3

8.2

52.8

47.2

Specialists

36.9

49.8

50.2

35.1

48.4

51.6

Sales force

34.4

42.2

57.8

36.7

43.0

57.0

Base positions

17.8

44.7

55.3

17.3

42.5

57.5

(1) The management team includes the highest range of the Group´s management.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

EMPLOYEES DISTRIBUTION BY TYPE OF CONTRACT AND GENDER (BBVA GROUP. PERCENTAGE)

2021

2020

On the total

number of

employees

Male

Female

On the total

number of

employees

Male

Female

Spain

Permanent employee. Full-time

94.8

50.8

49.2

94.1

50.9

49.1

Permanent employee. Part-time

3.6

8.8

91.2

3.4

9.1

90.9

Temporary employee

1.6

39.2

60.8

2.5

35.1

64.9

Mexico

Permanent employee. Full-time

93.2

47.2

52.8

94.7

46.2

53.8

Permanent employee. Part-time

—

60.0

40.0

—

37.5

62.5

Temporary employee

6.8

52.7

47.3

5.3

51.5

48.5

Turkey

Permanent employee. Full-time

99.6

43.5

56.5

99.6

43.4

56.6

Permanent employee. Part-time

—

Temporary employee

0.4

51.2

48.8

0.4

63.1

36.9

South America

Permanent employee. Full-time

88.9

47.3

52.7

91.3

47.4

52.6

Permanent employee. Part-time

5.0

42.1

57.9

2.6

33.1

66.9

Temporary employee

6.1

36.3

63.7

6.1

36.7

63.3

The United States

Permanent employee. Full-time

100.0

68.1

31.9

99.4

42.4

57.6

Permanent employee. Part-time

—

0.6

13.2

86.8

Temporary employee

—

Rest

Permanent employee. Full-time

98.8

55.7

44.3

99.7

56.7

43.3

Permanent employee. Part-time

0.8

37.5

62.5

0.1

100.0

—

Temporary employee

0.4

25.0

75.0

0.2

50.0

Group average

Permanent employee. Full-time

94.0

47.4

52.6

95.2

46.7

53.3

Permanent employee. Part-time

1.9

27.3

72.7

1.4

18.1

81.9

Temporary employee

4.1

46.5

53.5

3.4

43.8

56.2

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

EMPLOYEE DISTRIBUTION BY TYPE OF CONTRACTS AND AGE STAGES (BBVA GROUP, PERCENTAGE)

2021

2020

On the total

number of

employees

<25

25-45

>45

On the total

number of

employees

<25

25-45

>45

Spain

Permanent employee. Full-time

94.8

0.3

57.3

42.4

94.1

0.3

57.3

42.3

Permanent employee. Part-time

3.6

—

83.7

16.3

3.4

—

85.5

14.5

Temporary employee

1.6

18.2

79.0

2.8

2.5

9.4

86.5

4.2

Mexico

Permanent employee. Full-time

93.2

7.2

78.7

14.1

94.7

7.5

78.4

14.1

Permanent employee. Part-time

—

80.0

20.0

—

62.5

37.5

Temporary employee

6.8

24.0

74.3

1.7

5.3

30.5

68.5

1.0

Turkey

Permanent employee. Full-time

99.6

4.0

84.4

11.6

99.6

4.3

85.8

9.8

Permanent employee. Part-time

—

Temporary employee

0.4

37.2

57.0

5.8

0.4

26.2

64.3

9.5

South America

Permanent employee. Full-time

88.9

3.4

69.6

27.1

91.3

3.1

68.6

28.3

Permanent employee. Part-time

5.0

4.7

55.8

39.5

2.6

14.5

78.6

7.0

Temporary employee

6.1

30.8

67.2

2.0

6.1

33.3

64.5

2.2

The United States

Permanent employee. Full-time

100.0

2.7

49.8

47.5

99.4

4.7

57.6

37.7

Permanent employee. Part-time

—

0.6

8.8

39.7

51.5

Temporary employee

—

Rest

Permanent employee. Full-time

98.8

0.5

45.9

53.6

99.7

0.8

52.3

46.9

Permanent employee. Part-time

0.8

—

37.5

62.5

0.1

—

100.0

Temporary employee

0.4

50.0

—

0.2

—

100.0

—

Group average

Permanent employee. Full-time

94.0

4.2

72.9

23.0

95.2

4.1

70.9

25.0

Permanent employee. Part-time

1.9

2.6

68.2

29.2

1.4

5.6

81.0

13.4

Temporary employee

4.1

25.9

72.2

2.0

3.4

27.6

70.3

2.1

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

EMPLOYEE DISTRIBUTION BY PROFESSIONAL CATEGORY AND TYPE OF CONTRACT (BBVA GROUP. PERCENTAGE)

2021

2020

Permanent

employee

Full-time

Permanent

employee

Part-time

Temporary

employee

Permanent

employee

Full-time

Permanent

employee

Part-time

Temporary

employee

Spain

Management team (1)

99.7

0.3

—

99.7

0.3

—

Middle controls

99.0

1.0

—

98.7

1.2

0.1

Specialists

90.9

5.1

4.0

89.8

5.3

4.9

Sales force

97.2

2.8

—

96.8

2.3

0.8

Base positions

92.7

6.4

0.9

91.8

4.0

4.2

Mexico

Management team (1)

100.0

—

99.0

1.0

—

Middle controls

99.2

0.3

0.5

99.4

0.1

0.5

Specialists

96.6

—

3.4

97.7

—

2.3

Sales force

94.4

—

5.6

96.0

—

4.0

Base positions

88.1

—

11.9

90.0

—

10.0

Turkey

Management team (1)

99.8

—

0.2

99.8

—

0.2

Middle controls

100.0

—

99.9

—

0.1

Specialists

99.1

—

0.9

98.9

—

1.1

Sales force

99.8

—

0.2

100.0

—

Base positions

100.0

—

99.9

—

0.1

South America

Management team (1)

97.0

3.0

—

97.7

2.3

—

Middle controls

94.2

5.7

0.1

99.7

0.1

0.2

Specialists

96.3

2.6

1.1

99.0

0.1

0.9

Sales force

90.9

6.0

3.1

91.5

4.4

4.1

Base positions

59.3

8.2

32.5

65.2

6.0

28.8

The United States

Management team (1)

100.0

—

100.0

—

Middle controls

100.0

—

99.9

0.1

—

Specialists

100.0

—

99.9

0.1

—

Sales force

100.0

—

99.9

0.1

—

Base positions

100.0

—

95.3

4.7

—

Rest

Management team (1)

100.0

—

98.3

1.7

—

Middle controls

100.0

—

100.0

—

Specialists

97.8

1.3

0.9

99.8

—

0.2

Sales force

99.4

0.6

—

99.7

—

0.3

Base positions

100.0

—

100.0

—

Group average

Management team (1)

99.6

0.3

0.1

99.5

0.3

0.1

Middle controls

98.2

1.7

0.1

99.6

0.3

0.1

Specialists

95.6

1.8

2.6

96.4

1.3

2.3

Sales force

95.6

2.1

2.3

96.6

1.5

1.9

Base positions

84.8

1.7

13.5

87.4

1.7

10.9

(1) The management team includes the highest range of the Group's management.

In 2021, the average annual number of full-time indefinite contracts, part-time indefinite contracts and temporary contracts was

94.1%, 1.6% y 4.3% (2020: 94.9%, 1.4% and 3.7%, respectively).

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

DISCHARGE OF EMPLOYEES BY DISCHARGE TYPE AND GENDER (BBVA GROUP. NUMBER)

2021

2020

Total

Male

Female

Total

Male

Female

Spain

Retirement and early retirement

623

379

244

755

473

282

Voluntary redundancies

Resignations

349

230

119

178

120

Dismissals

Others (1)

4,578

2,044

2,534

1,673

581

1,092

Mexico

Retirement and early retirement

233

135

484

293

191

Voluntary redundancies

364

232

132

254

174

Resignations

3,460

1,726

1,734

2,522

1,229

1,293

Dismissals

2,016

1,009

1,007

1,527

759

768

Others (1)

1,104

572

532

846

443

403

Turkey

Retirement and early retirement

155

129

Voluntary redundancies

370

167

203

216

103

113

Resignations

1,627

674

953

1,092

464

628

Dismissals

Others (1)

616

293

323

379

187

192

South America

Retirement and early retirement

Voluntary redundancies

799

412

387

960

451

509

Resignations

1,567

750

817

1,043

504

539

Dismissals

358

180

178

501

216

285

Others (1)

1,030

474

556

546

231

315

The United States

Retirement and early retirement

Voluntary redundancies

—

Resignations

984

462

522

1,319

510

809

Dismissals

Others (1)

10,196

4,192

6,004

340

170

Rest

Retirement and early retirement

Voluntary redundancies

Resignations

Dismissals

—

Others (1)

137

Total Group

30,769

14,205

16,564

15,166

7,156

8,010

Retirement and early retirement

1,043

598

445

1,440

847

593

Voluntary redundancies

1,568

825

743

1,490

758

732

Resignations

8,042

3,881

4,161

6,185

2,840

3,345

Dismissals

2,455

1,237

1,218

2,199

1,057

1,142

Others (1)

17,661

7,664

9,997

3,852

1,654

2,198

(1) Others include permanent termination and death.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

DISMISSALS BY PROFESSIONAL CATEGORY AND AGE STAGES (BBVA GROUP. NUMBER)

2021

2020

Total

<25

25-45

>45

Total

<25

25-45

>45

Spain

Management team (1)

—

Middle controls

—

Specialists

Sales force

—

Base positions

—

Mexico

Management team (1)

—

Middle controls

—

Specialists

462

371

408

302

Sales force

1,098

923

105

763

613

116

Base positions

443

394

342

296

Turkey

Management team (1)

—

Middle controls

—

Specialists

—

Sales force

—

Base positions

—

South America

Management team (1)

—

Middle controls

—

Specialists

119

Sales force

184

142

275

187

Base positions

The United States

Management team (1)

—

Middle controls

—

Specialists

—

Sales force

Base positions

—

Rest

Management team (1)

—

Middle controls

—

Specialists

—

Sales force

—

Base positions

—

Total Group

2,455

133

1,995

327

2,199

127

1,622

450

Management team (1)

—

Middle controls

—

Specialists

564

432

116

563

389

160

Sales force

1,329

1,098

156

1,126

851

213

Base positions

516

450

442

349

(1) The management team includes the highest range of the Group´s management.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

VOLUNTARY RESIGNATIONS (TURNOVER) (1) AND BREAKDOWN BY GENDER (BBVA GROUP. PERCENTAGE)

2021

2020

Total workforce

turnover

Male

Female

Total workforce

turnover

Male

Female

Spain

1.2

65.9

34.1

0.6

67.4

32.6

Mexico

9.4

49.9

50.1

6.7

48.7

51.3

Turkey

7.4

41.4

58.6

4.9

42.5

57.5

South America

6.8

47.9

52.1

4.2

48.3

51.7

The United States

9.1

47.3

52.7

12.2

38.7

61.3

Rest

4.9

70.9

29.1

2.7

41.9

58.1

Total

6.5

48.3

51.7

4.9

45.9

54.1

(1) Turnover= [Resignations (excluding early retirement)/Number of employees at start of the period] * 100

EMPLOYEES DISTRIBUTION BY PROFESSIONAL CATEGORY AND NATIONALITY (BBVA GROUP. PERCENTAGE)

2021

2020

Workforce

Management team

Middle controls

Workforce

Management team

Middle controls

Mexico

Spain

Turkey

RECRUITMENT OF EMPLOYEES BY AGE (BBVA GROUP. NUMBER)

2021

2020

Total

<25

25-45

>45

Total

<25

25-45

>45

Spain

1,133

140

846

147

1,776

106

1,457

213

Mexico

10,567

2,308

7,797

462

4,706

1,342

3,287

Turkey

2,377

716

1,615

1,500

528

933

South America

3,226

813

2,306

107

1,479

424

1,013

The United States

630

121

411

1,837

320

1,204

313

Rest

102

Total

18,016

4,105

13,040

871

11,400

2,722

7,985

693

Which new entries are (1):

Spain

422

159

218

593

202

350

Mexico

7,945

1,589

4,622

1,734

5,050

1,318

3,597

135

Turkey

2,366

716

1,608

1,481

528

915

South America

2,391

447

423

1,521

1,191

232

403

556

The United States

617

121

404

1,839

322

314

1,203

Rest

Total

13,810

2,922

6,914

3,974

10,246

2,444

5,438

2,364

(1) Including hires through consolidations.

TOTAL TURNOVER RATE (1) AND DISTRIBUTION BY GENDER (BBVA GROUP. PERCENTAGE)

2021 (2)

2020

Total employee

turnover rate

Male

Female

Total employee

turnover rate

Male

Female

Spain

11.0

10.9

11.0

7.6

8.5

6.7

México

22.8

25.7

20.2

13.8

12.5

15.3

Turkey

11.8

12.1

11.6

7.6

6.1

9.5

South America

14.6

15.3

14.0

9.5

9.6

9.4

The United States

23.2

25.0

21.8

16.4

16.5

16.1

Rest

8.0

9.0

6.8

9.5

8.9

Total

16.2

17.4

15.2

10.6

10.2

11.0

(1) Total turnover rate = ((total hires + discharges for the year)/(average number of employees*2))*100

(2) The turnover rates exclude the departure of employees derived from the sale of the BBVA companies in the United States and BBVA Paraguay

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

TOTAL TURNOVER RATE (1) AND DISTRIBUTION BY AGE (BBVA GROUP. PERCENTAGE)

2021 (2)

2020

Total

<25

25-45

>45

Total

<25

25-45

>45

Spain

11.0

91.9

8.5

13.4

7.6

72.6

8.6

5.4

México

22.8

57.6

21.9

9.6

13.8

35.4

12.5

8.7

Turkey

11.8

54.1

10.5

6.5

7.6

33.8

6.4

6.1

South America

14.6

64.6

14.9

6.5

9.5

29.5

9.1

6.9

The United States

23.2

79.1

28.9

11.1

16.4

59.2

18.5

8.3

Rest

8.0

96.8

12.8

3.0

9.5

13.2

14.8

3.8

Total

16.2

59.7

15.7

10.2

10.6

36.8

10.3

6.7

(1) Total turnover rate = ((total hires + discharges for the year)/(average number of employees*2))*100

(2) The turnover rates exclude the departure of employees derived from the sale of the BBVA companies in the United States and BBVA Paraguay

Work environment

BBVA continues to make progress in its transformation process, anticipating and redefining the aspects which are key for motivating

and protecting its teams, and making it easier for them to work together. Below are the actions and/or policies implemented by the

Group in the area of employee conditions and rights, the work/life balance and occupational health and safety.

Work organization

In 2021, in a context of a profound transformation marked by an enormous competitive pressure, low interest rates, the accelerated

adoption of digital channels by clients and the entry of new digital actors, and with the aim of guaranteeing the competitiveness of the

Organization and the sustainability of future employment, work was done on the search for formulas to allow the Group to reduce its

cost structure.

In this respect, a collective bargaining process open to dialog began with the workers' legal representatives, with the aim of reaching

the best possible agreement for all parties, to reduce the workforce in Spain through a collective redundancy procedure. The

agreement was approved by 72.69% of the labor union representatives. It affected 2,935 people and included support measures to

minimize or lessen the effects of the workforce reduction. These measures included conditional voluntary redundancy as a

preferential mechanism for those affected, a process of internal outplacement within BBVA, possibility of access to a 5-year leave,

measures to protect the most vulnerable groups, an external outplacement plan to protect and promote outplacement or self-

employment, and compensation for dismissal adjusted by age groups.

Digital disconnection

The right to digital disconnection is included in the internal regulations and policies of each country agreement, and recognized as a

fundamental element for achieving better organization of working time in order to respect private and family life, to improve the

balance between personal, family and working life and to contribute to the optimization of workers' occupational health.

In Spain this right is embodied in measures such as avoiding communications outside working hours, at weekends or public holidays,

and calling meetings within working hours. In Mexico work continued in 2021 on various communication campaigns to promote

respect for disconnection; in Colombia an agreement was reached with the workers' legal representatives which includes the right to

labor disconnection within the framework of local legislation, boosting measures in accordance with a communication strategy.

Extension of maternity and paternity leave

In Spain, during maternity or paternity leave, the Group supplements financial provisions up to 100% of normal salary and extends

from half an hour to one hour the reduction in working hours provided for by law for the care of the lactating infant up to the age of 9

months.

In Mexico and Colombia, the leave available for the birth of a child was extended by 20 working days and 10 working days,

respectively, in addition to the days under local legislation.

In Turkey, mothers who return to work after maternity leave have two hours a day of lactation leave until the child reaches the age of

one year. They can use up this leave daily, combine the hours in one day's leave a week, or combine all the hours and prolong their

maternity leave by approximately one month. Mothers can also choose to extend their maternity leave with unpaid leave. With respect

to paternity leave, the Group has extended paid paternity leave by five extra days, in addition to the legally established five.

In Argentina, paternity leave has been extended by 30 calendar days for employees, and in the case of a premature birth, the mother

has the right to paid leave for the same number of days as the birth was premature. Moreover, in the case of a birth or adoption of a

minor with a disability, the paternity and maternity leave is extended by 60 calendar days. In the case of a premature birth, the

employee will have the right to a special paid leave.

In Uruguay, paternity leave has been extended by 3 working days, in addition to the 10 applicable by law; and maternity leave has been

extended by 22 calendar days, which combined to the 98 days under law, makes a total of 120 calendar days. In addition, mothers

may choose for different forms of telework for a period of 6 months after their return to work.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

PARENTAL LEAVE 2021 (BBVA GROUP. NUMBER, PERCENTAGE)

Male

Female

Total

Number of employees who have been entitled to parental leave

1,898

2,505

4,403

Number of employees who have taken parental leave

1,807

2,377

4,184

Number of employees who have returned to work in the reporting period after finishing

their parental leave

1,753

2,137

3,890

Number of employees who have returned to work after finishing their parental leave and

who were still employed 12 months after returning to work

1,326

2,162

3,488

The return-to-work rates of employees who took parental leave

97%

90%

93%

The retention rate of employees who took parental leave in Spain in 2021 was 89.63%, being 90.65% in men and 88.52% in women.

Freedom of association and representation

In accordance with the different regulations in force in the countries in which BBVA is present, the working conditions and the rights of

the employees, such as freedom of association and union representation, are included in the rules, collective conventions and

agreements signed, in their case, with the corresponding workers' legal representations. Dialog and negotiation are part of how to

address any dispute or conflict within the Group, for which there are specific procedures for consultation with labor union

representatives across different countries, including the issues concerning labor health and safety.

In Spain, workers' representatives are elected every four years by personal, free, direct and secret ballot, and are informed of the

relevant changes that may occur in the organization of work in the Entity, under the terms provided in accordance with the legislation

in force.

Also, the banking sector collective agreement is applied to 100% of the workforce, except for members of senior management and

top-level positions, complemented by the company collective agreements which build upon and improve the provisions of sector

agreement, and which are entered into by the workers' legal representatives. In 2021, the banking sector entered into a new collective

agreement which incorporated significant improvements for all the people making up this sector. It regulates aspects such as

registration of working hours, digital disconnection and the update of salary tables and social benefits, boosting the construction of

labor environments that promote equal opportunities, with an emphasis on the work/life balance, diversity, inclusion and

digitalization.

In Mexico, freedom of association and local representation are respected. In accordance with the parameters indicated in the reform

of the Federal Labor Law in 2019, the Bank has a process to comply with the requirements on collective matters that were

incorporated for labor union organizations consisting of free, secret and direct voting. By the end of the year, 100% of the workforce

was covered by a collective agreement.

However, the law in the United States and Turkey does not require the same application of agreements to the workforce.

In Peru and Argentina, freedom of association and commitment to labor rights are respected, and dialog and collective negotiation

are greatly valued when it comes to reaching consensus and conflict resolution. In the case of Argentina, 100% of the workforce is

covered by the collective agreement, except for members of senior management and top-level positions, maintaining a seamless

communication with the internal trade commissions at the local level and with the sectors of the banking association at the national

level.

In other countries such as Colombia, Venezuela, Uruguay and Portugal the Group’s employees are covered by some form of collective

agreement, with 100% of the workforce covered.

Occupational health and safety

BBVA considers the promotion of occupational health and safety to be one of its basic principles and fundamental goals which is

addressed through the continuous improvement of working conditions.

The occupational risk prevention model in a number of the Group's countries, such as Spain, Mexico, Turkey, Colombia, Venezuela,

Peru and Uruguay, is regulated by laws, conventions and agreements, such as the Law on Occupational Risk Prevention and the

collective labor health agreement for the consultation and participation of workers in BBVA on occupational risk prevention matters in

Spain, national legislation in relation to the approval of the assessment of the Occupational Health and Safety Policy and the Internal

Health and Safety Regulation in Peru, the Political Constitution of the United States of Mexico, the Federal Labor Law, Regulations and

Official Mexican Laws. Employees have the right to consult and participate in these areas through labor union representation or

stakeholders on the different committees. The consultations on these matters are explained and those related to occupational health

and safety are dealt with, tracking all the occupational risk prevention activity.

In Spain, the Bank has a preventive policy applicable to 100% of its staff, which is carried out primarily by the Occupational Risk

Prevention Service. This service has two lines of action: a) the technical-preventive line, which involves, among other activities,

carrying out of assessments of occupational risks (which are periodically updated), the preparation of action plans to eliminate or

minimize the risks detected, monitoring of the implementation of action plans, and implementation of emergency and evacuation

plans, training in health and safety, and coordination of preventive activities; and b) occupational medicine, which involves carrying

out staff medical examinations, providing protection for particularly sensitive employees and equipping workplaces with appropriate

ergonomic equipment, as well as carrying out preventive activities and campaigns to maintain and improve workers' health and

contribute to the development of a culture of prevention and the promotion of healthy habits.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

With the preventive and corrective measures resulting from these processes, the Prevention Service designs the action plans to

eliminate risks or minimize them. Each of them details the actions to be implemented, as well as those responsible for their resolution

and the timelines for it, which will depend on the quantification of the risk. Through an application, those involved in the

implementation of the measures receive indications of the measures to be carried out, and report on their execution once complete.

Also, the preventive policy includes and covers the regulatory requirements and recognized standards for external staff who work in

the Bank, for which one coordination procedure has been established for services and the other for works activities. In the case of

coordination of activities with service suppliers, external companies are informed of the security and emergency measures present in

the work centers. Companies are asked for documentary evidence of compliance with the Occupational Risk Prevention (PRL)

regulations. In the case of coordination of activities with works suppliers, the procedure describes the different actions and steps to

be followed in the coordination of health and safety and coordination of Business Activities according to the different types of works

to be executed in BBVA branches, offices and work centers.

For the supervision and control of its employees' health, the Medicine Area of the Occupational Risk Prevention Service Work focuses

on drafting medical protocols, carrying out medical examinations for staff, protecting particularly sensitive employees and adapting

job positions with specific ergonomic material; as well as carrying out preventive activities and campaigns with the aim of maintaining

and improving the health of the workers and contributing to the development of preventive culture and healthy habits.

Moreover, the corresponding apps have been developed allowing employees to manage their appointments from their work stations,

complete the tests required through the tool and download the report of the health exam, always complying with all the requirements

of the General Data Protection Regulation (GDPR) on this matter.

Mexico has a health and safety management system which is applied to 100% of the employees and all the work centers it has

available. The workers' health services are available in the main headquarters, and the Medical Service has also implemented an

initiative for remote and on-site assistance for all the collaborators and their beneficiaries registered in the Medical Service or in the

higher medical expenses policy.

Colombia has an Occupational Health and Safety Management System which complies with current legal requirements and ensures a

safe working environment for the workers. Also, through the National Risk Prevention Strategy all the organization's work centers are

covered at national level and the different occupational health and safety needs are managed.

With respect to external personnel in the Group's facilities, there is a Contractors' Program which requires any hiring of staff from

outside the company to include a certification of their Occupational Risk Insurer with the percentage of compliance with minimum

standards applicable of the Occupational Health and Safety Management System.

In Argentina, the technical preventive controls are carried out with specialized consultants who work continuously advising and

accompanying the corresponding areas so that the necessary preventive or corrective measures may be carried out with the aim of

complying with all regulatory requirements.

In Spain there has been a gradual return in 2021 to medical checkups and the rest of the preventive activities which had been

suspended by COVID-19. Worth noting with respect to the actions undertaken to deal with the pandemic is the role of the Prevention

Service. From the start, in Spain measures have been established relating to the organization of work and secondments, as well as

guides and protocols for action for employees, following the indications of the health authorities.

In 2021, measures were maintained to adapt the work centers so that they had the necessary control resources available, and thus

eliminate or minimize the risk of contagion. Among these measures are: the installation of signage on hygienic procedures,

methacrylate screens, facial screens, disinfection kits for employees in branches, and Personal Protective Equipment (PPE) and face

masks for employees at certain work centers such as the Data Protection Center (CPD).

The distribution of masks, hydroalcoholic gels and gloves has also continued in branches offering services for the public, and a safety

distance has been established between the work stations, while the branches have been provided with signage that indicate positions

for people to guarantee the safety distance. Moreover, the specific cleaning procedures in the work centers have continued, including

those carried out routinely and those performed as a result of positive cases.

The indication to telework has been maintained for the vulnerable group until September 1, when they were considered appropriate

for on-site work, given the great progress made in the vaccination of the Spanish population against COVID-19. However, pregnant

women have been maintained in this group; they are given the choice of whether or not to work on site.

With respect to the tests for detecting the virus, PCR and serological tests continued beyond what was established by the health

authorities for employees who through the daily surveys declare they have symptoms compatible with infection by COVID-19, are

positive, or have had close contact with positive cases.

In confirmed cases of COVID-19 infection, health status of the affected employees has been subject to special tracking, both those

who were in their homes, as well as those hospitalized. The families of the employees whose health status was most serious is also

monitored.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

OCCUPATIONAL HEALTH (BBVA, S.A. NUMBER)

2021

2020

Number of technical preventive actions

22,149

10,740

Number of preventive actions to improve working conditions

22,352

11,054

Employees represented in health and safety committees (%)

100

Abseentism rate (%)

3.4

3.9

In Mexico, 92% of all the employees responded to the daily health survey and to minimize the risk of contagion, hydroalcoholic gels,

masks, wall thermometers and disinfection kits have been provided. Collaboration agreements have been concluded to carry out

studies to detect COVID-19 among Group employees, and with suppliers of home and hospital care at critical times during the

pandemic to ensure infected workers are treated. A medical team made of up 54 doctors has been created to track suspicious

COVID-19 cases and infections, and 1,100 fortnightly tests have been carried out to detect COVID-19 among people who occupy

mobility posts.

In Turkey, the Bank has also gradually resumed its medical checkups and other preventive activities, and a number of studies have

been carried out in the area of managing emergencies, such as exhaustive practice drills and updates in emergency training. BBVA

was for the second time awarded the Occupational Safety Award by the British Safety Council, one of the most respected authorities

in the world on occupational health and safety. It also received the Best Country Award for its performance in the corporate

management of occupational health and safety, making it the first and only bank to have received these awards in Turkey.

In Colombia there has been a gradual return to the corporate headquarters, depending on the specific risks in each location, and not

including personnel considered vulnerable. This has been done through a hybrid system of work which has mitigated the risk,

ensuring business continuity and improving the organization of work. Actions have also been implemented to contain COVID-19, in

particular participation in the Private Vaccination Plan, thus ensuring the vaccination of over 91% of the workforce. In addition,

compliance with the National Risk Prevention Strategy involved the development of occupational risk promotion and prevention in

each work center. Three workshops focused on emotional management were run and employees were provided with the tools to

focus better on their daily activities and reduce their states of anxiety.

In Peru, through the Occupational Health and Safety and BEX COVID teams, the Bank has applied the prevention and health care

protocols, implementing programs to carry out tests detecting possible positives and tracking confirmed COVID-19 cases.

In Venezuela, the COVID-19 containment plans and protocols have been reinforced, maintaining the tracking of suspicious and

positive cases, providing medical care at home (with delivery of medicines), together with remote medical and psychological

assistance, and running a vaccination campaign for employees. The Group's Occupational Health Portal has also been kept up to date

with respect to COVID-19 information, procedures and guides, demonstrating real efficiency as a communication channel during all

this exceptional period.

In all the above, the Group's goal has been to preserve the health of its employees and families, customers and society in general, and

to implement plans to update and improve data-driven decision-making. As in the case of 2020, the BBVA work centers and

environments have been kept safe.

By countries, in 2021, 25,502 technical-preventive actions were carried out in Spain, 40,384 in Mexico, 7,168 in Colombia, 2,710 in

Argentina, 3,919 in Peru, 24 in Venezuela, 414 in Uruguay, 427 in Turkey. In terms of preventive actions to improve work conditions,

23,930 actions were carried out in Spain, 40,384 in Mexico, 5,939 in Argentina, 866 in Colombia, 21 in Peru, 414 in Uruguay, 128 in

Venezuela and 494 in Turkey. For its part, in the USA neither technical-preventive actions nor preventive actions have been carried

out to improve working conditions in 2021.

VOLUME AND ABSENTEEISM TYPOLOGY OF EMPLOYEES (BBVA GROUP)

2021

2020

Total

Male

Female

Total

Male

Female

Number of withdrawn

46,489

17,700

28,789

85,979

33,485

52,494

Number of absenteeism hours (1)

4,443,907

1,492,708

2,951,199

6,010,098

2,692,741

3,317,357

Number of accidents with medical withdrawn

167

111

191

124

Frequency index (%)

0.9

0.6

1.1

0.9

0.7

1.1

Severity index (%)

2.9

2.1

3.5

2.5

2.2

2.7

Incidence rate (%)

1.5

1.1

1.9

1.6

1.2

1.9

Absenteeism rate (%) (2)

2.4

1.7

3.0

2.0

1.8

2.2

(1) Total withdrawn hours by medical leave or accident during the year.

(2) 2020 data differ from those reported in the Non-financial information report of 2020 due to additional amendments.

In 2021, BBVA recorded a total of 167 cases of work-related accidents involving medical leave across the entire Group (only one out of

every 100 cases of leave are due to accidents), most of them involving commuting accidents, which is 13% less than the previous

year. Additionally, in 2021, there were no deaths due to work-related accidents in the Group.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Spain itself did not register any case of occupational disease. The number of accidents was 114, of which 41 entailed medical leave and

73 did not, indicating a very low rate of work-related accidents, with levels below the sector average. Thus, the Bank's severity index is

0,04 (0.03 men and 0.05 women) in 2021, while the frequency index is 0.89 (0.64 men and 1.12 women). In the case of accidents with

medical leave, the main types of injuries have been sprains and strains, superficial injuries and foreign bodies in the eyes and closed

fractures.

BBVA considers that occupational health and safety training is one of the main channels for raising awareness and the skills of

employees to carry out their activity with better health and safety protection. For this reason training actions have been planned in

coordination with the training teams in the geographical areas. In Spain, online courses are available for all the workforce through the

E-Campus platform and on-site courses are given by trainers from external entities who are highly specialized in each specific subject

of the training, with specialists from the Prevention Service also taking part in the training of some groups. The Training Plan has

courses such as online introductory and advanced occupational risk prevention courses, road safety courses, specific courses for

members of the emergency equipment teams, first-aid courses, courses on handling defibrillators, practical fire prevention courses

for EPIEs and emergency management, and courses on Personal Risk Situations. A decision was also made on what training is

considered mandatory. In Mexico, Civil Protection courses and various Occupational Risk Prevention courses are taught. On the

occasion of COVID-19, the training of some groups was encouraged to carry out the training of Monitors for Healthy Return. In Turkey,

various occupational health and safety training courses are given to employees, some dealing with general occupational health and

safety issues and others dealing with a specific risk, such as working at height or telecommuting. In other countries, such as Peru,

Uruguay, Venezuela, Chile and Portugal, employees also have mandatory e-learning courses on occupational health and safety which

promote this specific training.

Remuneration

BBVA has a General Remuneration Policy, which applies to all Group employees, including Senior Management (the “BBVA Group

General Remuneration Policy”) and a Remuneration Policy for BBVA Directors, both designed in the framework of the specific

regulations applicable to credit institutions, considering the best practices and recommendations in remuneration matters both

locally and internationally.

These Policies are based on the same principles and are oriented towards the recurring generation of value for the Group, the

alignment of the interests of its employees and shareholders with prudent risk management and the development of the strategy

defined by the Group. The Remuneration Policies are part of the elements designed by the Board of Directors as part of BBVA's

Corporate Governance System to promote adequate management and supervision of the Group, and are based on the following

principles: the creation of long-term value; the achievement of results based on a prudent and responsible assumption of risks; the

attraction and retention of the best professionals; to reward the level of responsibility and career path; to ensure internal equity and

external competitiveness; to ensure pay equality between men and women; and to ensure the transparency of the remuneration

model.

These principles are developed in such a way that the Policies:

–Contribute to BBVA Group’s business strategy and to the achievement of the goals, values, interests, value creation and long-

term sustainability.

–Are consistent and promote sound and effective risk management, not offering incentives to encourage taking risks that exceed

the level set by the Group, consistently with the risk strategy and culture of BBVA Group.

–Are clear, comprehensible and transparent and simply drafted, allowing easy understanding of the different elements that make

up the remuneration and conditions for its concession, consolidation and payment. To this end, they clearly distinguish between

the criteria for the establishment of fixed remuneration and variable remuneration.

–Are impartial in terms of gender, reflecting an equal compensation for the same functions or functions of equal value, and does

not establish any difference or discrimination for reasons of gender.

–Include measures to avoid conflicts of interest, encouraging independence of criteria of people who participate in the decision-

making process and management supervision and control, and establishing remuneration schemes.

–Aim for a remuneration not based exclusively on quantitative criteria, also taking into account appropriate qualitative criteria

that reflect compliance with applicable regulations.

The remuneration system generally applicable to all BBVA Group staff comprises the following:

–A fixed remuneration, constituting a relevant part of the total compensation, which takes into account the level of responsibility,

the functions performed and the professional career of each employee, the principles of internal equity and the value of the

function in the market.

–A variable remuneration constituted by those payments or benefits additional to the fixed remuneration, monetary or not, that

revolve around variable parameters. This remuneration must be linked, in general, to the achievement of previously established

objectives. All Group employees have a corporate variable remuneration model, which is complemented by sales incentive

models, specific to certain business area groups. For all of them, some financial and non-financial indicators of the Group are

defined, which are aligned with the strategic priorities and serve as management parameters to determine the payment of

variable remuneration based on the degree of compliance with BBVA's strategy.

In 2021, the level of achievement of the Group's indicators has resulted in 122%, based on the result obtained from each of the

financial and non-financial indicators. The level of achievement of the Group's financial indicators for incentive purposes is detailed

below:

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

ANNUAL VARIABLE REMUNERATION (AVR) (MEASUREMENT PERIOD 2021) (BBVA GROUP. 2021) - FINANCIAL INDICATORS

Annual Evaluation Financial Indicators

Results

Level of achievement

2021 (1)

2020 (2)

2021 Target (3)

100%

Net Attributable Profit without corp. transactions (millions of euros)

5,028

3,084

150

Tangible Book Value per share (TBV per share) (euros)

6.55

6.15

RORC (%)

14.03

6.76

150

Efficiency Ratio (%)

45.51

46.82

123

(1) Results approved for incentive purposes (not including the results generated until June 2021 by BBVA USA and the rest of the companies sold to PNC, nor the impact of

BBVA's restructuring plan in Spain).

(2) In 2020 the executive directors renounced the generation of the AVR for the year. For comparison purposes, the result of the remuneration indicators for the rest of the staff

is shown.

(3) The 2021 targets were approved at the beginning of 2021. At that time, despite the context marked by the high impact of the economic crisis originated by COVID-19 and the

high uncertainty regarding the prospects for recovery, the Corporate Bodies determined targets for the calculation of the 2021 AVR that were above the analysts' consensus,

which in the case of the Net Attributable Profit was set for 2021 at 2,944 million of euros.

For non-financial indicators, the objectives are determined for each of the countries. The Group's level of achievement of each non-

financial indicator for incentive purposes is detailed below:

ANNUAL VARIABLE REMUNERATION (AVR) (MEASUREMENT PERIOD 2021) (BBVA GROUP. 2021) - NON-FINANCIAL INDICATORS

Annual Evaluation Non-financial Indicators

Level of achievement

2021 Target

100%

Customer satisfaction (NPS)

101

Mobilization of sustainable financing

120

Digital sales

Target customers

115

Transactional linking of company clients

129

In 2021 a new indicator related to sustainability was incorporated (Mobilization of sustainable finance) to calculate the annual variable

remuneration, directly associated with the activity carried out by the Group in compliance with its commitments to the market on

climate change and in line with the strategic priority of helping customers in their transition to a sustainable future. The Group is

driving the incorporation of metrics related to sustainability and ESG risks in the variable remuneration schemes of its employees,

BBVA Senior Management and the BBVA executive directors.

Below are tables showing the average remuneration of employees in BBVA Group as a whole, and individually, of BBVA, S.A.

employees located in Spain, where the Group's headquarters are located, and in Mexico, Turkey, Colombia, Peru, Argentina,

Venezuela, Chile and Uruguay:

AVERAGE REMUNERATION (1) BY PROFESSIONAL CATEGORY (2), AGE STAGES AND GENDER (BBVA GROUP. EUROS)

2021

2020

< 25 years

25-45 years

> 45 years

< 25 years

25-45 years

> 45 years

Male

Female

Male

Female

Male

Female

Male

Female

Male

Female

Male

Female

Management

team(3)(4)

—

51,432

42,796

90,390

61,800

—

63,033

50,756

106,962

70,483

Middle

controls(3)

—

27,850

16,818

54,019

35,649

—

36,457

22,129

63,574

46,052

Specialists

10,151

8,813

19,708

17,276

32,781

28,382

11,974

9,682

23,610

20,352

37,644

34,425

Base positions

5,618

5,282

12,416

12,094

32,280

32,194

7,895

7,647

15,064

15,310

35,813

34,836

(1) Considering fixed remuneration.

(2) The professional categories reflected in this table differ from those included in the rest of the chapter. The category Sales force is included in each of the remaining

categories presented in this table.

(3) There is no information both in the Management team and the Middle controls in the segment under 25 years due to insufficient sample.

(4)This Group does not include the Top Management.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

AVERAGE REMUNERATION BY PROFESSIONAL CATEGORY (1) GENDER AND COUNTRIES WITH SIGNIFICANT

OPERATIONS (EUROS)

2021

2020

Management

team(2)

Middle

controls

Specialists

Base

positions

Management

team(2)

Middle

controls

Specialists

Base

positions

Spain

(BBVA,S.A.)

Male

120,836

67,859

47,330

41,764

117,091

67,403

47,133

42,547

Female

106,558

63,503

43,988

38,907

105,851

62,692

43,899

38,919

Mexico

Male

144,431

68,948

15,453

5,497

129,274

65,047

14,887

5,269

Female

107,592

55,567

13,637

5,653

93,406

53,233

12,839

5,317

Turkey

Male

28,032

10,140

7,971

3,902

47,160

18,184

13,638

6,025

Female

27,370

8,888

6,822

3,943

40,567

14,864

11,470

6,088

Colombia

Male

74,358

31,723

15,195

9,746

71,988

34,332

15,754

10,070

Female

46,037

29,605

13,992

8,591

47,417

31,574

14,751

9,056

Peru

Male

119,706

30,015

17,110

5,020

115,248

28,362

16,205

5,941

Female

93,769

25,691

14,429

4,569

79,771

24,695

13,872

4,848

Argentina

Male

81,587

34,782

21,701

17,153

60,988

25,769

16,487

13,056

Female

80,712

30,365

19,165

16,070

59,159

22,364

14,568

12,250

Venezuela

Male

306

245

143

220

165

100

Female

302

229

144

201

149

Chile

Male

107,004

38,223

12,363

9,169

119,114

40,883

13,664

7,832

Female

71,799

29,206

10,110

8,193

84,059

28,682

11,427

8,490

Uruguay

Male

145,458

63,288

38,986

24,284

220,984

54,808

32,045

22,892

Female

111,306

61,161

31,698

23,319

128,327

49,423

27,272

21,269

(1) The professional categories reflected in this table differ from those included in the rest of the chapter. The category Sales force is included in each of the remaining

categories presented in this table.

(2) It excludes the Top Management.

The differences observed in the average remunerations of certain professional categories arise from factors such as the length of

service and their composition; they are not representative of the wage gap. This is due to the fact that only four professional

categories are being used, and in each of them very diverse positions with very different remunerations are included. Therefore, the

average remuneration of each category is affected by issues such as the different distribution between men and women in the most

valued positions, or the higher proportion of women in countries where the average remuneration is lower.

The main differences produced in the different bands reported between years in average remuneration in BBVA Group are due to

exchange-rate variations in 2021 in the main geographical areas in which the Group operates, as well as the removal from the

perimeter of BBVA USA.

In the case of executive directors and members of BBVA Senior Management who held their positions on December 31, 2021, the

information on their remuneration is included in Note 54 of the accompanying Consolidated Financial Statements. The remuneration

paid to executive directors is individualized and itemized, while for the members of Senior Management the amounts are presented as

an aggregate. The average total remuneration of Senior management in 2021 was 1,425 thousand euros for men and 1,244 thousand

euros for women.

Wage gap

The BBVA Group's General Remuneration Policy is impartial in terms of gender, reflecting an equal compensation for the same

functions or functions of equal value, and does not establish any difference or discrimination for reasons of gender. The remuneration

model takes into account the level of responsibility, the functions carried out and the professional career of each employee, ensuring

internal equity and external competitiveness, as well as equal remuneration for men and women.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

The wage equality ratio can be obtained from the average remuneration tables above. The ratio is expressed as a percentage, and

calculated as the difference in total average remuneration between men and women with the same professional category, over the

total average remuneration of men. However, this ratio does not take into account the concept of a position of equal value in the

Group.

BBVA's remuneration model defines certain job positions on which remuneration pivots. Each of these positions has a single

theoretical value determined by a variety of factors, such as level of responsibility, complexity of the function, impact on results, etc.

In the same way, each position has a unique defined value linked to the achievement of pre-defined objectives.

The concept of a position of equal value is reflected in the calculation of the wage gap that compares the total remuneration received

by men and women who occupy positions of equal value in the Group.

For each of the aforementioned positions, the median of the total remuneration received by all the men and women who occupy said

positions is calculated. The wage gap for the position is calculated as the percentage resulting from dividing the difference between

the median salaries of men minus the median salaries of women by the median salaries of men. BBVA Group's salary gap is calculated

as the weighted average of the gaps obtained in each of the positions.

The total remuneration considered includes the fixed remuneration and the objective annual variable performance-linked

remuneration (target bonus). Items such as allowances, social benefits, etc. are not included in the calculation, as their amount is very

unrepresentative within the total remuneration of employees, and whose award criteria and amounts are clearly defined, not

discriminating between men and women.

As of December 31, 2021 and 2020, the salary gap by professional categories of equal value is as follows12:

WAGE GAP (PERCENTAGE)

2021

2020

Spain (BBVA,S.A.)

3.6

4.3

Mexico

(0.6)

(0.3)

Turkey

(0.7)

Colombia

0.6

0.4

Peru

0.4

1.4

Argentina

2.6

1.8

Venezuela

(0.9)

0.7

Chile

(1.9)

(3.0)

Uruguay

2.4

4.5

BBVA GROUP

0.6

1.1

In 2021 a number of initiatives were launched to support gender diversity, with the aim of balancing the professional possibilities

between men and women: setting gender diversity targets at area and country level, supported by a specific diversity plan; more

active work to incorporate more women into the talent selection processes; and a flexible working environment in which men can

assume family responsibilities to an equal extent as women, so that this does not represent a professional obstacle for women.

Additional information related to remuneration

Annual total compensation ratio

The annual total compensation ratio is calculated for the employees of BBVA, S.A. located in Spain, as the place where the Group's

headquarters are located, and in Mexico, Turkey, Colombia, Peru, Argentina, Venezuela, Chile and Uruguay, as the ratio between the

annual total compensation (fixed remuneration plus accrued variable remuneration and contributions to pensions) of the highest paid

person in each of the geographical areas and the median annual total compensation (fixed remuneration plus accrued variable

remuneration plus pension contributions) of all employees earning full-time annualized remuneration, excluding the best-paid person.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

12 The median is used for this calculation, since this statistical indicator is less affected by the presence of biases in the distribution of extreme values and better represents the

real situation of the Group.

The annual total compensation ratios for 2021 are as follows:

ANNUAL TOTAL COMPENSATION RATIO

2021

2020

Spain (BBVA, S.A.)

129.0

80.9

Mexico

232.3

180.0

Turkey

213.6

138.7

Colombia

98.8

68.3

Peru

89.7

57.7

Argentina

76.8

48.5

Chile (1)

103.7

—

Uruguay

9.2

7.1

(1) New Country Manager in 2021. Not provided in 2020 as the position was vacant.

In 2021, the annual total compensation ratio increased on the 2020 figure in all geographic areas. This is because in 2020, the best

paid person in each geographic area had relinquished their variable remuneration corresponding to the 2020 financial year, which

reduced the annual total compensation for the year.

Percentage increase in annual total compensation ratio

The percentage increase in annual total compensation ratio is calculated as the ratio between the increase in annual total

compensation (fixed compensation plus accrued variable compensation and contributions to pensions) of the best paid person in

each of the geographical areas and the percentage increase in the median total annual compensation (fixed compensation plus

accrued variable compensation and pension contributions) of all employees in the same geographical area, using full-time annualized

compensation, excluding the best paid person.

The annual total compensation of the highest paid person in 2021 increased more than the increase in annual total compensation of

the rest of employees in all the geographical areas, because the best paid person in each of the areas had relinquished their variable

remuneration for 2020.

In the case of BBVA, S.A. in Spain, for 2021, the increase in the annual total compensation of the best paid person is 5.2 times higher

than the increased median annual total compensation of the rest of the employees; in Mexico the figure is greater by 2.7 times, in

Turkey 3.4 times, in Colombia 10.4 times, in Peru 6.7 times, in Argentina 2.7 times, and in Uruguay 5 times.

Ratio of standard entry-level wage by gender compared to local minimum wage

The standard initial category is the lowest full-time employment category. In BBVA, this category is established by level and by nature

of the function to be performed, and does not distinguish by gender.

The minimum local salary is the minimum legal amount established in each of the geographic areas which each employee has a right

to be remunerated for services rendered. It is worth noting that this minimum salary has been assumed as the Living Wage by the

international UN body, the International Labor Organization (ILO).

The salary ratio of the standard initial category is calculated as the quotient of the salary of the initial category between the minimum

salary in the geography.

As shown in the table below, in the main geographic areas where the Group operates, the entry-level remuneration is higher in BBVA

than the local legal minimum wage in these nine geographic areas:

RATIO OF STANDARD ENTRY LEVEL WAGE BY GENDER COMPARED TO LOCAL MINIMUM WAGE

2021

2020

Male

Female

Male

Female

Spain (BBVA, S.A.)

1.4

Mexico

1.1

1.5

Turkey

1.3

Colombia

2.4

Peru

1.3

Argentina

3.7

3.8

Venezuela

2.1

1.0

Chile

1.5

Uruguay

3.2

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Percentage of employees receiving regular performance and career development reviews

Performance assessment is a continuous process carried out over the year, which analyzes the level of performance of each of the

BBVA Group employees, based on the level of execution of some previously established targets.

In general, this process applies to all the employees of the Group.

Percentage of total remuneration of the employees covered which is variable and linked to the

volume of products and services sold

In compliance with the applicable regulations on customer protection, BBVA Group's General Remuneration Policy reflects the

requirements and principles applicable to personnel that engage in activities related to the sale of products and provision of services

to customers.

In this respect, the design and implementation of the remuneration these employees in BBVA Group ensures the protection of

customer interests and the quality of the services provided, to ensure that:

–it fosters responsible business conduct and fair treatment of customers;

–incentives are not established that may induce staff to put their own interests or those of BBVA Group first, to the possible

detriment of the interests of their customers;

–remuneration is not primordially or exclusively linked to the sale of a product, or a category or specific type of product, such

as products that are more lucrative for the entity or employee, when there are others more in line with customer needs; and

that this objective is not set as that with greatest weight in the remuneration package; and

–an appropriate balance is maintained between the fixed and variable elements of the remuneration.

Description of the remuneration structure of the originators of loans

BBVA Group does not have a specific remuneration structure established for originators of loans. Its remuneration structure is that

defined in BBVA Group's General Remuneration Policy for the other employees. The Policy has been approved and designed in

compliance with applicable regulations on customer protection, taking into account alignment with best market practices and having

included elements designed to reduce exposure to excessive risks, aligning remuneration to the business strategy, objectives, values

and long-term interests of the Group.

Pensions and other benefits

BBVA has social welfare systems, differentiated according to the geographical areas and coverage it offers to different groups of

employees, not establishing differences due to gender or personal aspects of any other kind. In general, the social welfare system is a

defined contribution system for retirement. The Group’s Pension Policy is compatible with the Company’s business strategy,

objectives and long-term interests.

Contributions to the social welfare systems of the employees of the Group will be carried out within the framework of the labor

regulations, and of the individual or collective agreements of application in each entity, sector or geographical area. Calculation

criteria on which benefits are based (commitments for retirement, death and disability) reflect fixed annual amounts, with no

temporary fluctuations derived from variable components or individual results being present.

With regard to other benefits, the Group has a local implementation framework, according to which each entity (in accordance with its

sector of activity and the geographical area in which it operates), has a package of employee benefits within its specific remuneration

scheme, not establishing differences due to gender or personal aspects of any other kind.

In 2021, the Bank in Spain made a payment of €26m (€27.2m in 2020) in savings contributions to pension plans and life and accident

insurance premiums, of which €14.3m corresponded to contributions for men and €11.7m for women (in 2020, €15.2m and €12.0m,

respectively). This payment accounts for more than 95% of Spain’s pension expenditure, excluding special systems. On average, the

contribution received by each employee was 1,049 euros in 2021 (1,186 euros for men and 918 euros for women), compared with

1,076 euros in 2020 (1,224 euros for men and 932 euros for women).

Volunteer work

In its CSR Policy, BBVA expresses its determination to reinforce its corporate culture of social and environmental engagement,

facilitating the conditions for its employees to carry out volunteer work. This policy is applied in all countries in which the Group is

present.

The BBVA's corporate volunteer work initiatives promote employee collaboration to generate a relevant social impact, enhance a

sense of pride in belonging, its satisfaction and productivity, as well as positioning BBVA as a model company for corporate voluntary

work, thus increasing its attractiveness for both existing and potential employees.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

In this respect, voluntary work constitutes a key element for development the approaches and lines of work in Engagement with the

Community 2025 (explained in the "Contribution to society" chapter in this report). This is in line with the Agenda for Sustainable

Development 2030, which has explicitly recognized voluntary work as a vehicle for the sustainable development and voluntary work

groups as actors for achieving the seventeen SDGs. BBVA also boosts cooperation and collaboration through commitments and

alliances for sustainable and inclusive development (SDG 17).

The volunteer work activities are aligned with the BBVA purpose and values that guide its actions.

Overall, 9,066 BBVA employees participated in the volunteer work initiatives promoted by the different Group subsidiaries in 2021,

having dedicated more than 26 million hours (69% during working hours and 31% outside working hours). The time dedicated by

employees in 2021 is equivalent to a contribution of €277 thousand.

In addition, BBVA promotes an engaged, diverse and egalitarian organization interested in matters such as its employees' safety.

Other information on the Group's performance with respect to our employees in 2021 appears in the chapter "Society" in this report.

2.2.4 Shareholders & investors

BBVA is engaged in ongoing dialog with its shareholders and investors to ensure they are aware of the issues that may be of interest

to them when exercising their voting rights and making decisions. BBVA's Investor Day was held in 2021 as part of the Bank's

commitment to its shareholders and investors.

BBVA publishes continuous, periodic and relevant information in a timely fashion, promoting transparency and truthfulness in the

information reported to shareholders and investors and equal treatment between shareholders, and establishing channels of

communication, participation and dialog with shareholders and investors.

The Annual General Meeting (hereafter AGM) in 2021 received an AENOR certification for sustainable events for the fourth year in a

row. The certification demonstrates that BBVA has planned the design, organization and development of the Annual General Meeting

taking into account the potential environmental, social and economic potential of the event. Likewise, it demonstrates BBVA's

commitment to the sustainability criteria required by the UNE-ISO 20121 standard on the management of sustainable events. The

award of this demanding and prestigious certification puts BBVA among the leading organizations in this respect in Spain.

In addition, the 2021 AGM was certified as carbon-neutral for the second year in a row. BBVA offset 41.6 tons of CO2 of emissions in

this event through a contribution to the environmental project for the conservation of Amazonia in Madre de Dios, Peru.

Finally, at the 2021 AGM and with the aim of mitigating the effects of COVID-19, BBVA made a contribution to a non-profit social

project in Spain. The 14,000 shareholders who took part in the process voted to choose one area of impact from the four spheres of

activity to which a donation of €300,000 should be targeted: social inclusion, education, health and dependency. The winning

projects received a fixed and variable amount depending on the votes obtained.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.2.5Society

BBVA promotes the development of the societies and communities where it operates through community investment initiatives and

activities and acts as a driver of opportunities for people to make reality its purpose of “to bring the age of opportunity to everyone”.

Contribution to society

Community Commitment

In 2021, BBVA presented its Community Commitment, by which €550m will be allocated between 2021 and 2025 to social initiatives

supporting inclusive growth in the countries where the Group operates. This commitment is a response to the most important social

challenges and aims to contribute to a sustainable and inclusive recovery. The plan is structured around three main scopes of action

to comply with specific Sustainable Development Goals (SDGs): reducing inequality and promoting entrepreneurship (SDGs 8 and

10), providing opportunities for all through education (SDG 4) and supporting research and culture (SDGs 9 and 11). BBVA also boosts

cooperation and collaboration through commitments and alliances for sustainable and inclusive development (SDG 17).

In 2021, the BBVA Group allocated €106.3m to investment in the community, with 44.2 million beneficiaries. This figure accounts for

2.28% of the adjusted net attributable profit and is 25% down on 2020, when there was an extraordinary contribution for COVID-19 of

€35.7m.

BBVA puts this community contribution commitment into practice through its local banks and foundations, as well as supporting

other foundations such as the BBVA Foundation (FBBVA) and the BBVA Microfinance Foundation (FMBBVA). The foundations play a

key role in this respect through their community investment.

The FBBVA focuses its activity on generating knowledge. Expanding the frontiers of inherited knowledge is one of the most effective

ways to successfully address the problems that affect society today, such as the environment, sustainable development, health,

demographic changes, globalization, social integration and innovation with the goal of creating opportunities for society as a whole.

The FMBBVA was established in 2007 by BBVA under the framework of its corporate social responsibility to support vulnerable

entrepreneurs through a commitment of €200m and its more than 160 years of experience. It is now the biggest contributor to

development in Latin America and the second biggest in the world, according to the Organization for Economic Cooperation and

Development (OECD). It is also the foundation that contributes more to development for gender equality than any other in the world,

according to the OECD, with a direct impact on SDG 5.

The figure below shows the investment in the community for the year within the framework of the Community Commitment, as well

as a comparison with respect to the previous year by geographical area and foundations.

COMMUNITY COMMITMENT (MILLIONS OF EUROS AND PERCENTAGE)(1)

2021

2020

Spain and corporate areas

21.0

29.6

The United States (2)

0.0

16.5

Mexico

48.5

55.1

Turkey

5.1

7.6

South America

2.2

3.6

Foundatios

29.4

29.7

Total

106.3

100

142.2

100

(1) In order to calculate the Commitment and the investment figure in the 2021 community, BBVA uses the Business for Societal Impact (B4SI) methodology, an international

standard that offers a framework for measuring the social and environmental investment that companies make beyond your business. In 2021, the investment figure for the

community is broken down in the form of contribution in money (76,6%), management costs (21,2%), time (0,3%) and in kind (1,9%). Likewise, when we analyze the motivation

for the contribution in money, this is the breakdown in 2021: 3% one-off contribution, 86% social investment and 11% initiatives aligned with the business.

(2) BBVA has sold its subsidiary in the United States in 2021. Therefore, it has not made any contribution to the community in that country.

The targets for 2025 and the progress made during the year with respect to investment and beneficiaries of the Community

Commitment by focus of action are shown next.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

GOALS AND PROGRESS RELATED TO THE DIRECT BENEFICIARIES OF THE COMMUNITY COMMITMENT (1) (MILLIONS OF

EUROS AND MILLION PEOPLE. 2021)

Community investment(2)

Beneficiaries(3)

2025 Goal

2021 Progress

2025 Goal

2021 Progress

Reduce inequalities and promote

entrepreneurship

155.0

15.5

21.7

13.7

Create opportunities through education

for everyone

215.0

58.4

53.3

22.3

Support research and culture

180.0

27.1

25.0

8.2

Total (4)

550.0

101.1

100.0

44.2

Other

—

5.2

—

0.0

Total (5)

550.0

106.3

100.0

44.2

(1) and (2) In order to calculate the Commitment and the investment figure in the 2021 community, BBVA uses the Business for Societal Impact (B4SI) methodology, an

international standard that offers a framework for measuring the social and environmental investment that companies make beyond your business. In 2021, the investment

figure for the community is broken down in the form of contribution in money (76.6%), management costs (21.2%), time (0.3%) and in kind (1.9%). Likewise, when we analyze

the motivation for the contribution in money, this is the breakdown in 2021: 3% one-off contribution, 86% social investment and 11% initiatives aligned with the business.

(3) To calculate the Commitment and the number of beneficiaries in 2021, BBVA uses the Business for Societal Impact (B4SI) methodology, an international standard that

offers a framework for measuring the social and environmental investment that companies make beyond their business. In 2021, the number of beneficiaries is broken down as

follows: 13% direct beneficiaries, 19% indirect beneficiaries and 68% content beneficiaries (unique users).

(4) Goals and progress on social investment and people reached according to the BBVA Community Commitment 2025 for the focus for action prioritised.

(5) Social investment and beneficiaries not aligned to the focus for action of the BBVA Community Commitment 2025.

Next comes a breakdown of investment and the beneficiaries in 2021 by focus of action, as a percentage:

COMMUNITY COMMITMENT INVESTMENT BY LINE OF

ACTION. 2021

BENEFICIARIES OF THE COMMITMENT TO THE

COMMUNITY BY LINE OF ACTION. 2021

The lines of action of the Community Commitment are shown next:

Focus 1: Reduce inequality and promote entrepreneurship

The arrival of the COVID-19 pandemic in 2020 led to an unprecedented social and economic crisis. Among the challenges faced by

society are the worrying increase in poverty, vulnerability and inequality. At the same time, the lack of jobs has aggravated the existing

social challenges. This reality requires a global response to develop initiatives geared to promote a sustainable and inclusive recovery.

In 2021, €15.5m were allocated to initiatives designed to reduce inequality and promote entrepreneurship, impacting on SDG 8 and

SDG 10. A total of 13.7 million people have benefited directly from this focus of action.

The lines of action of this focus are geared to:

–Reduce social and economic equality through initiatives that provide access to basic goods and services necessary to

guarantee the social welfare of people, and in particular of the most vulnerable groups; provide training in financial

education to empower the population and improve people's financial resilience; and train people in digital skills to improve

aspects such as financial inclusion, employability and digital security. In 2021, BBVA invested €7.52m and benefited 2.28

million people directly. In particular, it has trained 709,644 people in financial education, field of action in which BBVA has a

long-term commitment, investing €94.7m and benefiting 16.5 million people in a variety programs since 2008. In addition,

1.57 million people have benefited directly from initiatives to combat inequality.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

–Support vulnerable entrepreneurs with financial and non-financial solutions and provide advice and skills training for their

business through the activity of the FMBBVA. In 2021, the FMBBVA supported 2,733,199 vulnerable entrepreneurs through

digital solutions to make their business grow (through loans and other products) and strengthen their skills to access the

best opportunities. More than 8.3 million people have benefited indirectly from the support given to these entrepreneurs. To

date, a volume of €1,114m in microcredits has been paid out, and from 2021 to 2025, a commitment has been made to

deliver a further €7 billion to support a total of 4.5 million entrepreneurs.

–Support other entrepreneurs and SMEs through initiatives to contribute to their consolidation and/or growth and to the

development of capacities such as innovation, digital transformation and sustainable management of their businesses.

Moreover, in 2021 BBVA allocated €1.5m to entrepreneurship initiatives which benefited 14,115 entrepreneurs and SMEs

through initiatives such as BBVA Momentum in Mexico, Women Entrepreneur in Turkey and Mi Primera Empresa in

Argentina, which have also provided content to 280,558 people who have accessed them.

Focus 2: Create opportunities for all through education

Education is the driving force for growth in society and a source of opportunities to contribute to the inclusive growth in the countries

where BBVA operates.

The pandemic has increased existing educational inequalities and demonstrated the existence of great challenges in the area of

education, such as digitalization and adaptation of the educational systems, universal access to quality education and the fostering of

free and accessible educational resources.

In 2021, BBVA invested €58.4m in educational initiatives benefiting 22.3 million people. Specifically, BBVA has contributed to the

quality education of 409.064 people. The activities of this focus have a direct impact on SDG 4.

The lines of action of this focus are geared to:

–Close the digital education gap and adapt schools to guarantee educational continuity. In 2021, a total of €1m was allocated

to initiatives geared to promote connectivity, provide access to digital devices and training in digital skills in the world of

education, benefiting directly 72,514 people. Notable among these initiatives is the Connected Education program in Spain,

in collaboration with Fad, which benefited 14,336 people in 2021, including students, teachers and other participants in the

educational community.

–Support access to quality education, offering grants for access to education, programs to develop values and skills,

collaboration with public educational systems and programs to support higher education and professional training. In 2021,

€44.4m were invested in this line of action, and 301,820 people benefited directly from grant programs in Mexico, Uruguay

and Venezuela; educational programs in Argentina, Colombia and Peru; teacher training programs in Turkey; and FBBVA

educational programs.

–Offer a quality, accessible and useful education for all. In 2021, €13m was invested in this line of action, benefiting directly

34,979 people, and more than 21.9 million people had access to current content related to education, finance, sustainability,

science and innovation, etc., through programs such as "Aprendemos Juntos" (Learning Together), FBBVA open education

programs and financial education and BBVA Research blogs.

Focus 3: Support research and culture

The promotion of research provides a response to the economic and environmental challenges and boosts respect for culture and

local values. BBVA has a long record of fostering research and culture, in particular through the activity of FBBVA.

In 2021, BBVA allocated €27.1m to help provide access for 8.2 million people to research and culture, impacting SDG 9 and SDG 11.

The lines of action of this focus are geared to:

–Support researchers and creators in the field of science, culture and the economy through grants, recognitions and financial

assistance. In 2021, 224 people received financial assistance for the development of their research or cultural creations. The

direct promotion of scientific research is one of the levers of the FBBVA, along with the dissemination of knowledge

generated through conferences and digital spaces, and the recognition of talent through awards such as the BBVA

Foundation Frontiers of Knowledge Awards. Among the initiatives promoted in 2021 by FBBVA in this area are the Leonardo

Grants (59), and grants for scientific research projects (39). Other programs of note are the Beca de Arte art grant in

Mexico and support for researchers in financial education through grants in BBVA's Center for Education and Financial

Capabilities. Additionally, 1.13 million people have had access to the knowledge generated with these investigations.

–Increase the publicity given to research through events and other acts to bring the most advanced knowledge within the

reach of all and at the service of society. In 2021, 5.2 million people have accessed these contents in a variety of spaces for

the dissemination of knowledge and culture.

–Support cultural institutions through collaboration with key organizations for the promotion of cultural activities to make

access to them possible by the whole of society. In 2021, the FBBVA enhanced the cultural creation of excellence through

cycles of concerts at its headquarters in Madrid and Bilbao. It also collaborates with the Guggenheim Museum Bilbao, the

Juan Miró Foundation and the Thyssen-Bornemisza Museum (through its digital program), as well as the Teatro Real, Gran

Teatre del Liceu, ABAO Bilbao Ópera, the Orquesta Sinfónica de Madrid and the Reina Sofía School of Music for the training

of performing artists. There are also programs for preserving the architectural heritage in Peru and activities for cultural

promotion through SALT (the platform founded with the aim of promoting the spread of culture, art, research, etc.) in

Turkey. In total, 1.87 million people have benefited from these cultural activities.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Other contributions to society

BBVA's community support extends to other important activities, such as volunteer work (more information in the section

“Employees” of the chapter "Our stakeholders" of this report), support for foundations and non-profit organizations and the

promotion of corporate responsibility through participation in a number of working groups and the acquisition of commitments and

alliances for sustainable and inclusive development (SDG 17). (More information in the section "Participation in international

initiatives" in the "Climate change report" chapter of this report).

In relation to contributions to foundations, associations and other non-profit entities, the global amount of contributions to

foundations and non-profit organizations in 2021 was €19.08m. In 2021, the BBVA Group13 made:

–289 donations to foundations and non-profit organizations for an amount of €10.84m, including both one-off contributions

and those which contribute to social programs.

–324 contributions, of a non-social nature, to foundations, associations, lobbies, think-tanks and other non-profit entities for

an amount of €8.24m.

Compliance

The Group is firmly committed to the development of all its activities and businesses in strict compliance with current legislation at all

times and in accordance with strict standards of ethical behavior. To achieve this, the cornerstone of the BBVA compliance system

are the Code of Conduct, which is available on BBVA's corporate website (www.bbva.com), internal control model and the

Compliance function.

The Code of Conduct establishes the duty of respect for applicable laws and regulations for all its members in an integral and

transparent manner, with the prudence and professionalism that correspond to the social impact of financial activity and to the trust

that shareholders and customers have placed in BBVA.

BBVA's Compliance function is a global unit, integrated into the second line of defense, which is entrusted by the Board of Directors

with the function of promoting and supervising, independently and objectively, that BBVA acts with integrity, particularly in areas such

as prevention of money laundering and financing of terrorism, conduct with clients, conduct in the securities market, prevention of

corruption, protection of personal data and other aspects of corporate conduct.

The Compliance function has its own statute, approved by the Board of Directors after analysis by the Risk and Compliance

Committee, the most recent update of which was approved in 2021 by the aforementioned Corporate Bodies, in order to keep it

aligned at all times with the external and internal regulatory framework, as well as with the changes in the organizational structure of

the Group and with the tasks and responsibilities of the members of the function, aligned with the expectations of the different

interest groups.

Mission and scope of action

The tasks of the Compliance function include:

–promoting a culture of integrity and compliance within BBVA, as well as the knowledge by its members of the external and

internal rules and regulations applicable to the above matters, through the development, advisory, dissemination, training

and awareness programs, fostering the proactive management of compliance and conduct risk; and

–defining and promoting the implementation and total ascription of the Organization to the risk management frameworks

and measures related to these issues.

In order to perform its functions adequately, Compliance maintains a configuration and systems of internal organization in

accordance with the principles of internal governance established under the European guidelines for this matter. Its configuration,

and development of the activity is attached to the principles established by the Bank for International Settlements (BIS), as well as the

reference regulations applicable to Compliance and Conduct issues.

In order to reinforce these aspects and, specifically, the independence of the control areas, BBVA has the Regulation & Internal

Control area, which reports to the Board of Directors through the Risks and Compliance Committee, and in which the Compliance unit

is integrated. Its activity is periodically supervised by the Risks and Compliance Committee and is subject to the supervisory oversight

of the authorities with competence in this area.

Organization, internal government and management model

The Compliance function is handled globally at BBVA, and is composed of a corporate unit, with a transversal scope for the entire

Group that is directed by a global manager and by local units which, sharing the mission entrusted to them, perform their duties in the

countries where BBVA carries out its activities that are directed by local managers of the function.

The functions carried out by the various Compliance officers relies on a set of departments specialized in different activities which, in

turn, have their own designated officers. Thus, among others, the function is addressed by individuals responsible for each discipline

related to Compliance and Conduct Issues, for the definition and articulation of the strategy and the management model of the

function, or for execution and continuous improvement of the area´s internal operational processes.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

13 Turkey and Uruguay not included

The main functions of BBVA's Compliance units include the following:

–Carrying out a compliance and conduct risk assessment inherent to the Group’s activity.

–Drafting and implementing internal regulations on its matters.

–Establishing systems, technological tools and data for risk management.

–Advising the Organization on Compliance and Conduct matters to manage the risks derived from them.

–Establishing mechanisms for the monitoring and verification of compliance with internal regulations that allow the

measurement of the management of Compliance and Conduct risk and its adequate verification.

–Management of whistleblowing channels in the different jurisdictions.

–Periodically reporting information related to Compliance and Conduct issues at the different levels of the Organization.

–Representing the function before regulatory bodies and supervisors in matters of compliance.

The scope and complexity of the activities, as well as the international presence of BBVA, give rise to a wide variety of regulatory

requirements and expectations of the supervisory bodies that must be met in relation to risk management associated with

Compliance and Conduct Issues. This makes it necessary to have internal mechanisms that establish transversal management

programs for this risk in a homogeneous and integral manner.

For this purpose, Compliance has a global model for managing said risk, which, with an integral and preventive approach, has evolved

over time to reinforce the elements and pillars on which it is based and to anticipate the developments and initiatives that may arise in

this area.

This model starts from periodic cycles of identification and assessment of compliance risk, upon which its management strategy is

based. This results in the review and updating of the multi-year strategy and its corresponding annual action lines, both of which are

aimed at strengthening the applicable mitigation and control measures, as well as improving the model itself. These lines are

incorporated into the annual Compliance plan, the content of which is reported to the Risks and Compliance Committee.

The basic pillars of the model are made up of the following elements:

–A suitable organizational structure with a clear assignment of roles and responsibilities throughout the organization.

–A set of policies and procedures that clearly define positions and requirements to be applied.

–Mitigation processes and controls to enforce these policies and procedures.

–A technology infrastructure focused on monitoring and designed to guarantee the above objective.

–Communication and training systems and programs implemented to raise employee awareness of the applicable

requirements.

–Indicators that allow for the supervision of global model implementation.

–Independent periodical review of effective model implementation.

Throughout 2021, work continued on strengthening the documentation and management of this model. Among these actions taken

were a review and update of aspects of Compliance within the Group's risk appetite framework (RAF) and the review and update of

the global types of Compliance and Conduct risk at both a general level and across the various geographical areas. The framework for

conduct and compliance indicators also continues to be strengthened in order to improve the early detection of this type of risk.

The effectiveness of the model and of compliance risk management is continuously subject to various different and extensive annual

verification processes, including the testing activity carried out by the Compliance units, BBVA's internal audit activities, the reviews

carried out by prestigious auditing firms and the regular or specific inspection processes conducted by the supervisory bodies in each

of the geographies.

Moreover, in recent years, of the most relevant axes of application of the compliance model has focused on the digital transformation

of BBVA. For this reason, in 2021 the Compliance unit continued to maintain governance, supervision and advisory mechanisms for

the activities of the areas that promote and develop innovative business initiatives and projects in the Group.

Conduct with customers

BBVA's Code of Conduct establishes standards for behavior with customers. For more information on the Group's conduct with its

customers and the actions promoted by Compliance in this area, see the section "Behavior with Customers" in the "Customers"

chapter of this report.

Prevention of money laundering and terrorist financing

Anti-money laundering and prevention of terrorist financing (AML) is an indispensable requirement for preserving corporate integrity,

and one of its main assets: the trust of the people and institutions with which it works on a daily basis (mainly customers, employees,

shareholders and suppliers) in the different jurisdictions where it operates.

The Group also pays particular attention to compliance with the AML regulation and the restrictions imposed by national or

international organizations on operations with certain jurisdictions and individuals or legal entities, to avoid sanctions and significant

economic fines imposed by the competent authorities of the various geographical locations in which the Group operates.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

As a result of the above, as a global financial group with branches and subsidiaries operating in numerous countries, BBVA applies the

compliance model described above for AML risk management in all the entities that make up the Group. This model takes into

account the regulations of the jurisdictions in which BBVA is present, the best practices of the international financial industry

regarding this matter, and recommendations issued by international bodies such as the Financial Action Task Force (FATF).

This management model is constantly evolving. Thus, the risk analyses carried out annually tighten controls and establish, where

appropriate, additional mitigating measures to enhance the model. In 2021, the regulated entities of the Group carried out this AML

risk assessment exercise under the supervision of the corporate AML area.

The BBVA Code of Conduct establishes the basic guidelines for action in this area. In line with these guidelines, BBVA has established

a series of corporate procedures that are applied in each geographical area, including the Corporate Procedure of Action for the

Establishment of Business Relations with Politically Exposed Persons (PEPs), the Corporate Procedure of Action for the Prevention of

Money Laundering and the Financing of Terrorist Activities in the Provision of Cross-Border Correspondent Services, and the

Standard that establishes the Operational Restrictions with Countries, Jurisdictions and Entities designated by National or

International Organizations. All applicable standards are available for consultation by employees in each geographical area.

During 2021, BBVA has continued with the deployment of the new monitoring tool implemented in 2020 in Spain and Turkey, which

allows more advanced functionalities, completing the implementation in Mexico, Portugal, Italy, Malta and Cyprus and starting said

implementation in Peru, Colombia and Argentina. Similarly, the Group has incorporated new technologies (machine learning, artificial

intelligence, etc.) into AML processes in order to (i) enhance the capabilities of detecting elements of risk, (ii) increase the efficiency

of said processes and (iii) strengthen analysis and research capacities.

In 2021, BBVA Group resolved 141,850 investigation files that resulted in 78,421 reports of suspicious transactions sent to the

corresponding authorities in each country, mainly in jurisdictions such as Spain, Mexico, Turkey, Colombia, Argentina and the United

States.

In the area of training related to AML, each of the BBVA Group entities offers an annual training plan for its employees. This plan,

defined according to the needs identified, establishes training actions such as face-to-face or e-learning courses, videos, brochures,

etc. for both new hires and employees. Likewise, the content of each training action is adapted to the target group, including general

concepts derived from the applicable internal and external AML regulations, as well as specific issues that affect the functions

performed by the target group of the training. In 2021, 97,106 attendees participated in AML training activities; this figure includes

12,759 employees belonging to the most sensitive groups from the perspective of AML, who received an enhanced level of training.

The AML risk management model is subject to continuous independent review. This review is complemented by internal and external

audits carried out by local supervisory bodies, both in Spain in other jurisdictions. In accordance with Spanish regulations, an external

expert performs an annual review of the Group's parent company. In 2021, this external expert concluded that BBVA does indeed

have an AML model to monitor the risk of being used as a vehicle for money laundering or terrorist financing. In turn, the internal

control body, which BBVA maintains at the holding level, meets periodically and oversees the implementation and effectiveness of the

AML risk management model within the Group. This supervision scheme is also replicated at the local level, through the committees

corresponding to each geography.

It is important to mention BBVA´s collaboration work with the different government agencies and international organizations in this

field: Attendance at the meetings of the Executive Committee Financial Crime Strategy Group of the AML & Financial Crime

Committee and the Financial Sanctions Expert Group of the European Banking Federation, member of the task forces on KYC/RBA

(Know Your Customer/Risk-based Approach) and Information Sharing of the European Banking Federation, member of the AML

Working Group of the IIF, participation in initiatives and forums aimed at increasing and improving the exchange of information for

AML purposes, such as the Europol Financial Intelligence Public Private Partnership (EFIPPP), as well as contributions to public

consultations issued by national and international bodies (European Commission, FATF-GAFI, European Supervisory Authorities,

among others).

Conduct on securities markets

The BBVA Code of Conduct includes the basic principles for action aimed at preserving the integrity of the markets, setting the

standards to be followed aimed at preventing market abuse, and guaranteeing transparency and free competition in the professional

activity carried out on the market by the BBVA collective.

These basic principles are specifically developed in the Policy on Conduct in the Field of Securities Markets ("the Policy"), which

applied to all the individuals who form part of BBVA Group. Specifically, this policy establishes the minimum standards that are to be

respected with the activity carried out in the securities markets in terms of privileged information, market manipulation and conflicts

of interest. The Policy is supplemented in each jurisdiction by a rule or Internal Code of Conduct (ICC) aimed at the target group with

the greatest exposure in the markets. The ICC develops the contents established in the Policy, adjusting them, where appropriate, to

local legal requirements.

Both BBVA's Policy and ICC are widespread throughout the Group. In order to manage this regulation, BBVA has tools which are in

continuous development and have been implemented throughout practically the entire Group for over a decade. The management of

the ICC has meant that the degree of adhesion to it is close to 100% of the individuals in question.

In 2021, Compliance has supervised more than 59,000 operations on the own account of employees subject to the RIC in the

securities markets, a group that at the end of that year amounted to more than 7,000 people.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

In relation to the process of monitoring operations in the securities markets, in 2021 around 300 suspicious operations have been

reported to the different local supervisors in the geographies in which BBVA has activity in the Markets. Likewise, through the

communication monitoring process, more than 3,000 communications have been analyzed through voice and electronic channels

from the market areas.

The internal regulations on market abuse have also been reviewed, highlighting the updating of the Buyback Program Procedure, the

Regulation on activities related to Financial Indices, the Procedure on Investment Recommendations and the Procedure for the

Control of Privileged Information. This last procedure has been adapted to the needs of safeguarding privileged information derived

from the new remote work environments.

In this context of preventing market abuse, the technological infrastructure for the detection of operations suspected of market abuse

has continued to be strengthened, with a special focus on trading activity.

Also in 2021, the training program on market abuse was enhanced with the launch of a specific global course on insider information

and market manipulation, which complements the various training activities carried out by the Group on market conduct.

Approximately 5,000 Group employees completed this training.

Likewise, training was also improved for employees operating in derivatives with customers affected by the US Dodd-Frank Act under

the license of Swap Dealer. This training has been mandatory from January 31, 2021, and is provided by the competent supervisory

authority (the National Futures Association).

In relation to the Unites States regulation known as the "Volcker Rule" BBVA has adapted its compliance program to the new

simplified version of the rule ("Volcker 2.0"), which continues to maintain the highest international standards. In 2021, annual training

on the Volcker Rule was undertaken by a group of 1,500 employees in the Group, which represents almost all of the group affected by

the regulation.

In addition, the financial instrument repurchase procedure was updated in order to adapt it to the Group's new Control Model,

ensuring strict compliance with European market abuse regulations.

Personal data protection

In the area of personal data protection, BBVA Group has deployed all its activity in three core areas: the personal data of customers,

employees and suppliers.

For these purposes, BBVA has differentiated local policies for each of these axes, and they are subject to continuous review and

updating, based on the applicable national and international regulations, as well as the Group's Data Protection Principles. In this way,

BBVA has in the different geographies, in accordance with its own local legislation, data privacy policies or notices where the way in

which the Group's entities collect, process and protect the personal data of its customers is disclosed, suppliers, and employees, as

well as the rest of the people who provide their personal data to the corresponding Group company.

BBVA has a global unit for the Protection of Personal Data and local units in the countries where BBVA carries out its activity, in

charge of overseeing these issues in the Group. Since 2020, these units have been integrated into the Compliance area, having

consolidated their integration during 2021.

This has materialized in the adaptation of the Compliance programs regarding the protection of personal data, which include updating

both internal regulations and management frameworks aimed at complying with legal requirements regarding data protection at the

BBVA Group level.

During 2021, the Personal Data Protection unit has continued to promote the supervision and control processes in all the countries of

the Group to find out the degree of application of the data protection regulations in each country and, where appropriate, promote the

actions necessary for its proper functioning. This has been carried out, fundamentally, through the reinforcement of protocols and

actions to verify processes and activities with an impact on the protection of personal data, as well as through the follow-up and

resolution of the recommendations resulting from internal and external audits. carried out in this field.

For its part, the BBVA Code of Conduct establishes that data protection breaches may lead to the adoption of disciplinary sanctions in

accordance with labor legislation.

Other standards of conduct

One of the main mechanisms for managing the Compliance and Conduct risk in the Group is the Whistleblowing Channel, where the

members of BBVA as well as other third parties not belonging to BBVA can communicate confidentially and, if they wish,

anonymously any behavior that does not comply with the Code or that violates applicable legislation, including complaints related to

human rights. The Compliance function aims to ensure that complaints are handled diligently and promptly, guaranteeing the

confidentiality of the investigation processes and the absence of retaliation or any other adverse consequence in the case of reports

made in good faith communications. The Code of Conduct, is available 24 hours a day, 365 days a year.

During the 2021 financial year, the BBVA Group has implemented a global Whistleblowing Channel tool provided by an external

provider in most of those areas where it is present. This online platform is accessible to all employees through the corporate intranet

and third parties outside BBVA can access it through a public link available on the BBVA Group website (www.bkms-system.com/

bbva). This new tool raises the standards of security, confidentiality and anonymity for whistleblowers and thus ensures their

protection. In 2021 the Group received 1,748 complaints, mainly referring to categories of conduct with co-workers (56.6%) and

conduct with the company (32.6%). Some 47% of the complaints processed during the year ended with disciplinary action being

taken.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

The work carried out in 2021 by the Compliance area included ongoing advice on applying the Code of Conduct. Specifically, the

Group formally received 615 individual written and phone queries, focused on aspects such as resolution of potential conflicts of

interest, management of personal assets and the development of other professional activities. In 2021, BBVA continued with its work

of communication and dissemination of the Code of Conduct, as well as the training on its contents. To date, a total of 104.476

employees have taken part in this training program.

Regarding the area of defense of competition, in July 2019 the BBVA Competition Policy was approved, which, extended to the entire

Group, represented progress in the development of standards of conduct in this area. The policy deepens in principle 3.14 of the

BBVA Code of Conduct on free competition and covers the most sensitive risk areas identified by national and international

organizations; horizontal agreements with competitors, vertical agreements with non-competing companies, as well as possible

abusive practices. Various training actions in this area have been carried out during 2020 and 2021, including the training given to

members of the Group's Board of Directors in October 2021.

Another key element in the management of Conduct risk in BBVA is the Group's General Anti-Corruption Policy (approved by the

Board of Directors of BBVA S.A. in September 2018), which develops the principles and guidelines contained, primarily, in Section 4.3

of the 2015 Code of Conduct. It conforms to the spirit of national and international standards on the subject, taking into consideration

the recommendations of international organizations for the prevention of corruption and those established by the International

Organization for Standardization (ISO). In May 2020 this Policy was reviewed and its update approved by the Board of Directors of

BBVA S.A. and communicated again to all employees and member of the Group´s main governing bodies. The general guidelines of

the BBVA’s General Anti-Corruption Policy are available to both business partners and other third parties on BBVA’s shareholders

and investors website.

Additionally, BBVA has an internal regulatory body that complements the General Anti-Corruption Policy in the matter that it

regulates.

Among the most prominent policies are:

–General Policy on Conflicts of Interest,

–Policy on the Prevention and Management of Conflicts of Interest at BBVA (customer area),

–Policy on Events and the Acceptance of Gifts Related to major sporting events,

–Corporate Travel Policy, and

–Corporate Event Management Policy.

Likewise, regarding other internal developments, the following stand out:

–Management model for corporate and travel expenses for personnel,

–Management model for expenses and investment,

–Code of Ethics for Suppliers,

–Rules for the Acquisition of Goods and Contracting of Services,

–Rules relating to gifts for employees from persons/entities outside the Bank,

–Rules for delivery of gifts and organization of promotional events,

–Rules for authorizing the hiring of consultancy services,

–Rules for wholesale credit risk and retail credit risk,

–Corporate rules for managing donations and contributions to non-profit organizations,

–Corporate rules for managing commercial sponsorships,

–Requirements for establishing and maintaining business relations with politically exposed persons (PEP),

–Procedural manual (treatment and registration of communications in the whistleblower channel),

–Corporate rules for managing the outsourcing life cycle,

–Disciplinary regime.

The BBVA anti-corruption framework is not only composed of the aforementioned regulatory body, but also, in compliance with the

crime prevention model, has a program that includes the following elements: (I) a risk map; (II) a specific governance model; (III) a set

of mitigation measures aimed at reducing these risks; (IV) procedures for action in the event of the emergence of risk situations; (V)

training and communication programs and plans; (VI) indicators aimed at understanding the situation of risks and their mitigation and

control framework; (vii) a whistleblower channel; and (VIII) a disciplinary regime.

In relation to the evaluation of the risk of corruption in the Group, different types of operations have been evaluated (I) 587.909

operations out of a total of 599,851 (98%) in relation to the PBC risk (to see the number of communications made to the

corresponding authorities, consult the previous section on “Prevention of Money Laundering and Financing of Terrorism”); (II)

Regarding the risk of internal fraud, a total of 260,665 operations have been analyzed out of a total of 260,667 (99.99%).

In addition, in recent years risk assessments have been carried out in the area of anti-corruption in the banks of the main geographical

areas in which the BBVA Group has a presence. Based on the overall result of this analysis, it has been concluded that the corruption

risk control framework in the BBVA Group is adequate.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

In relation to the training program on the prevention of corruption, during the 2020 financial year, the training of managers and

employees of the BBVA Group in the Anti-Corruption Policy was promoted globally through different initiatives based mainly on

practical cases. In this sense, the launch of a corporate online course in most of the jurisdictions in which BBVA is present stands out.

At the end of the 2021 financial year, this course had been taken by a total of 71,470 (87.5%)14 employees, broken down as follows:

PARTICIPANTS IN THE ANTI-CORRUPTION COURSE BY GEOGRAPHICAL AREA (BBVA GROUP. NUMBER, PERCENTAGE)

Enrolled

Undertaken

% Finished

Argentina

5,906

5,769

97.7

Chile

718

520

72.4

Colombia

6,929

6,579

94.9

Spain

21,507

19,123

88.9

Mexico

37,401

31,482

84.2

Peru

6,648

6,421

96.6

Switzerland

117

109

93.2

Uruguay

577

519

89.9

USA

74.6

Venezuela

1,763

895

50.8

Total general

81,637

71,470

87.5

On the other hand, the total number and percentage of members of the Boards of Directors of the main entities that make up the

Group who have received anti-corruption training at the date of publication of this report is 90 (100%), broken down by the following

way:

MEMBERS WHO HAVE RECEIVED ANTI-CORRUPTION TRAINING (BBVA GROUP. NUMBER, PERCENTAGE)

Members

% Finished

Argentina

100

Chile

100

Colombia

100

Spain

100

Mexico

100

Peru

100

Switzerland

100

Uruguay

100

USA

100

Venezuela

100

Total

100

Additionally, in line with international standards on the prevention of corruption, a tool for registering gifts and events (Register your

Gifts and Events) has been implemented in Spain during the 2021 financial year, the main objective of which is to make transparent

and report receipt of this type of personal benefits by BBVA employees. During the 2022 financial year, it is expected that the use of

this tool will be extended to most of the geographical areas in which the BBVA Group is present.

Moreover, the framework for preventing conflicts of interest was reinforced in July 2020, complementing the existing internal

regulation through the issuance of a new general policy, applicable to the entire Group, which reinforces the principles and main

measures that all BBVA members must assume and follow in order to identify, prevent and manage conflicts of interest. The policy

has been established in the context of the principles under which BBVA Group operates, which include integrity, prudent risk

management, transparency, the achievement of long-term sustainable business and compliance with applicable legislation. It also

addresses several different aspects, such as specific measures that help prevent the emergence of conflicts, general guidelines for

action should they emerge, and governance and monitoring mechanisms at various different levels of the organization. During the

2021 financial year, different awareness-raising actions have been carried out regarding conflicts of interest in BBVA.

Crime prevention model

Since the introduction in Spain of the criminal liability regime of legal persons, BBVA has been developing a criminal risk management

model, based on the general internal control model, with the aim of specifying measures directly aimed at preventing the commission

of crimes through an appropriate structure of governance for this purpose. The crime prevention model is structured around three

elements: a prevention system, a governance structure and a periodic review of its application.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

14 This metric does not include Garanti Turkey.

The prevention system is aimed at (i) identifying the activities carried out in BBVA that represent a risk of the legal entity incurring

criminal liability; (ii) identifying the elements of control, prevention and mitigation of said risks; and (iii) developing a specific risk

management program for each type of crime likely to attract liability for BBVA. In this sense, a specialized control area (“assurance

providers”) is designated for each of the identified criminal risks, as part of the criminal risk management program. For each of the

identified criminal types, it draws up a map of risks and a series of mitigation measures and action plans.

The purpose of the governance structure is the supervision and control of the model, the identification of the responsible units and

the periodic information to the BBVA governing bodies of the results of the monitoring of the system and of the incidents or possible

relevant non-compliances.

This model, periodically subject to independent review processes, is configured as a dynamic process in continuous evolution, so that

the experience in its application, the modifications in the activity and in the structure of the Entity and, in particular, in its control

model, as well as the legal, economic, social and technological developments that occur, are taken into account in a way that

contributes to their adaptation and improvement.

In this context, from 2017 onward, BBVA has been awarded the AENOR certificate, which accredits that its crime compliance

management system complies with the UNE 19601:2017 standard.

Fiscal transparency

BBVA operates in compliance with its tax obligations and avoids any practice which represents illicit avoidance of its obligations to

pay tax or prejudice to the public treasury.

BBVA's guiding principles on fiscal matters

The principles that guide BBVA's fiscal action are not detached from its responsible and sustainable way of understanding finance and

banking. In the tax area, in addition to providing legitimate added value to investors, BBVA's actions must also address other

stakeholders and must align with the values and commitments that it has undertaken with society in order to bring the age of

opportunities to everyone.

As such, the principles that guide its actions are as follows:

–Integrity: in the fiscal sphere, integrity is defined as the observance of the letter and spirit of the law and the maintenance of

a cooperative and good faith relationship with the various tax administrations.

–Prudence: in the fiscal context, BBVA always assesses the implications of its decisions beforehand, including, among other

assessments, the impact that its activity may have in the geographical areas in which it operates.

–Transparency: in the tax area, BBVA provides information on its activity and its approach to taxation to customers and other

stakeholders in a clear and accurate manner.

BBVA's fiscal strategy

The corporate principles described above served as a basis for the articulation of BBVA's Fiscal Strategy, which was approved by the

Board of Directors and made public on its website (www.bbva.com).

In summary, BBVA's fiscal strategy establishes:

1.The commitment to pay any applicable taxes in all countries in which it operates.

2.The alignment of its taxation with the effective performance of economic activities and value generation. The presence in

tax havens is only possible as a consequence of the effective performance of economic activities.

3.The application of reasonable interpretations of tax rules and the provision of agreements to avoid double taxation.

4.The establishment of a transfer pricing policy for all transactions between related parties and entities, governed by the

principles of free competition, value creation and assumption of risk and benefits.

5.Addressing the fiscal challenges that the digital economy poses by incorporating an online presence into its value-added

assessments.

6.The payment of taxes as an important part of the contribution to the economies of the jurisdictions in which it operates.

7.The promotion of a reciprocal cooperative relationship with the various tax administrations, based on the principles of

transparency, mutual trust, good faith and loyalty.

8.The promotion of transparent, clear and responsible reporting of its main tax figures, informing stakeholders of the

payment of taxes.

9.When preparing any financial product, it takes into account the tax implications for the customers and provides them with

the relevant information required to meet their tax obligations.

10.The internal control mechanisms and rules necessary to comply with the prevailing tax code and its principles.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

The main characteristics of the BBVA Group's fiscal strategy are:

–BEPS compliance

This is inspired by the results of the Base Erosion and Profit Shifting (BEPS) Project reports promoted by the G20 and the

OECD, which aim to align value generation with appropriate taxation where said value is generated. They also reflect the

commitment to comply with and respect both the letter and the spirit of tax regulation in the jurisdictions in which the Group

operates, in accordance with Chapter XI of the OECD Guidelines for Multinational Enterprises.

–Geared toward compliance with the SDGs

BBVA's vision shares the views of the European Economic and Social Committee's opinion ECO/494 of December 11, 2019,

on taxation, private investment and the SDGs. For BBVA, paying taxes is key to achieving these objectives; in particular, it is

clearly associated with the first goal (no poverty); the eighth (decent work and economic growth); the tenth (reduced

inequalities between and within each country); and the seventeenth (partnerships for the goals), although BBVA's

commitment extends to all of the goals. In this sense, for BBVA, it is not only a question of contributing with the necessary

resources in accordance with current legislation so that the tax authorities may exercise their policies aimed at complying

with the SDGs, but it has also adopted a proactive attitude of cooperating with these authorities and have incorporated

responsibility in the field of taxation as an essential element of its activities.

–Committed to protecting human rights

BBVA is concerned with the promotion, protection and assurance of an effective exercise of human rights including in the

area of taxation, and we have fully embraced the Guiding Principles on Business and Human Rights. Taxation is linked to

human rights insofar as, through the redistributive action of states, it makes it possible to provide economically

disadvantaged persons with the means to effectively exercise their rights. BBVA is committed to paying taxes, and ensures

that these taxes are paid in the jurisdictions in which they are collected, aligning its contribution with the effective

performance of its economic activity. The Group also collaborates with the tax administrations of the jurisdictions in which it

operates.

The Group maintains transparent, clear and truthful communication on tax matters with various NGOs that are equally

committed to human rights, while internally, it participates in auditing activities for implementing the Guiding Principles

developed by BBVA Group's Responsible Business area, and monitors the performance of the plans it has launched in this

sphere.

In the BBVA Group, the Board of Directors is responsible for approving its fiscal Strategy. Although the Strategy is intended to be

permanent, it will be updated when necessary to better express the Group's fiscal orientation and commitments.

The Strategy is universal and affects all of BBVA's business units and employees, regardless of the region in which they are located. It

is developed through a body of fiscal policies that are reviewed annually both internally and by an independent third party to ensure

that they reflect best market practices and are fully aligned with the Group's strategy.

In compliance with United Kingdom regulations, BBVA makes its fiscal strategy public for its branch in that jurisdiction. This strategy

reproduces the Group-wide strategy with the adaptations required by United Kingdom regulations, and is also subject to third party

review and verification.

In addition to the above, it should be noted that Section 4.6.1 of BBVA's Code of Conduct requires its members to carry out their

professional activity in such a way that BBVA adequately complies with its tax obligations, avoids any practices that involve illicit tax

evasion or harm to the public treasury. The implementation of the Code is monitored by the Group's Compliance area, which has its

own whistleblowing channel.

BBVA is fully committed to transparency in tax matters and voluntarily publishes its overall tax contribution annually in the Tax Policy

section of the shareholders and investors website. As a financial institution, BBVA also complies, through the corresponding areas,

with reporting obligations to tax authorities arising from the Foreign Account Tax Compliance Act (FATCA), the Common Reporting

Standard (CRS), the U.S. Qualified Intermediary (QI), and the country-by-country report. In 2021, BBVA Group has also adapted its

internal processes to comply with the requirements established by Directive 2018/822, of 25 May, 2018, amending Directive

2011/16/EU, as regards mandatory automatic exchange of information in the field of taxation in relation to reportable cross-border

arrangements (known as DAC6).

Fiscal risk management and control

BBVA Group has set up a Fiscal Control Framework that complies with requirements on tax risk management and control introduced

for listed companies by Law 31/2014, amending the Capital Companies Act to improve Corporate Governance.

The BBVA Group's Fiscal Control Framework is in turn based on its Fiscal Strategy and is applicable to all the jurisdictions in which

BBVA operates and to all the Group's various different areas and businesses. This allows BBVA Group to carry out an integrated

management of its fiscal positions and risks in a manner consistent and in conjunction with other risks.

BBVA Group's Fiscal Control model is configured around three core lines of action:

1.Specific plans are carried out annually to identify, mitigate and control fiscal risk within BBVA Group. The Head of the

Group's Tax Department periodically informs the Audit Committee of the most relevant tax information.

2.Controls for fiscal risk management are subject to the annual cycle of review of internal control areas in order to evaluate

their suitability and effectiveness.

3.The Group's Internal Audit area conducts periodic tax compliance reviews.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

A series of specific tax risk indicators have also been developed, which are integrated into the Group's general risk management and

control model, to help establish and manage the Group's risk profile in tax matters.

BBVA's fiscal function carries out the process of evaluating and monitoring these indicators, which allows for:

–Properly identifying fiscal risks.

–Assessing the impact of the materialization of fiscal risks.

–Developing redirection measures that allow dynamic fiscal risk management.

–Reporting and generating relevant information on the evolution of tax risks for the Group's governing bodies.

Finally, the BBVA Group Control Framework is subject to annual review by a third independent firm.

Cooperation with tax administrations

As advocated by the Group's Fiscal Strategy, BBVA maintains a cooperative relationship with the tax administrations of the countries

in which we operate based on the principles of transparency, mutual trust, good faith and loyalty.

In particular, and with regard to Spain, it is subject to the Code of Best Tax Practices (Código de Buenas Prácticas Tributarias, CBPT)

adopted by the Large Corporations Forum (of which it is a member) on July 20, 2010. As a sign of commitment to and compliance

with the CBPT principles, the Group has once again voluntarily submitted to the Spanish Tax Agency the Annual Fiscal Transparency

Report for Companies Adhering to the CBPT, together with its Corporate Income Tax declaration for the previous year, which included

its performance and proposals to strengthen best practices on fiscal transparency, adopted in a plenary session of the Spanish Large

Corporations Forum on December 20, 2016, or companies adhering to the Code.

In the aforementioned Transparency Report, the most significant criteria used to prepare the Corporate Income Tax Declaration are

voluntarily explained to the Central Delegation of Major Contributors, and meetings are subsequently held with the tax authorities in

order to further elaborate on any details that may be required. All of the above is before corresponding inspectorate actions

commence.

In addition, in 2021 and within the framework of the cooperative relations that BBVA has with the Tax Authority, a Self Assessment

Report of the Data Reported in the Country-by-Country Statement corresponding to 2019 has been submitted to the Agency. In the

process of analyzing these data, BBVA Group has evaluated risks of a fiscal nature on the basis of indicators and ratios of a financial

character identified by the OECD in its document OECD (2017), BEPS Action 13 - Country-by-Country Reports: Manual on the

effective use for the assessment of tax risk.

BBVA also adopted the Code of Practice on Taxation for Banks, a United Kingdom initiative that provides for the approach expected

from financial institutions in terms of governance, tax planning and engagement with the British tax authorities, in order to promote

the adoption of best practices in this area, which is published on the HM Revenue & Customs (HMRC) website.

BBVA is also a financial institution that collaborates in the collection processes of the geographies that so request.

Finally, in order to obtain legal certainty and ensure that its understanding of the tax code is in line with the spirit of the law, BBVA

consults the tax authorities on any aspects that are controversial or raise doubts, when deemed necessary.

Participation in technical-fiscal discussion forums

BBVA participates, among other organizations, in the Spanish Banking Association's Tax Committee, and collaborates with this

association in the finance working groups of the European Banking Federation. BBVA also participates in the main fiscal committees

of the banking and trade associations of the jurisdictions in which it operates. The sector's positions are coordinated through all these

organizations.

In this respect, there are no significant differences in fiscal matters with respect to the positions reported by said organizations and

those maintained by BBVA.

Dialog with other stakeholders on fiscal matters

BBVA is aware of how important taxes are for the progress and sustainability of the societies in which it operates, which is why it

maintains mutually constructive dialog with various NGOs, universities, think tanks and other tax-related forums, in relation to the

Group's fiscal contribution. As a result of this dialog, BBVA has incorporated new transparency standards made public in the Total Tax

Contribution (TTC) Report, has been recognized as a transparent financial entity by the Fundación Compromiso y Transparencia

(Commitment and Transparency Foundation) and has promoted initiatives that allow its extension to other multinationals such as the

European Business Tax Forum.

This way of understanding and approaching taxation has allowed BBVA to position itself as a model in the area of taxation, according

to the DJSI.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Total tax contribution

BBVA is committed to transparency in paying taxes and this is the reason why, for yet another year, the Group voluntarily breaks

down the total tax contribution in countries in which it has a significant presence.

The BBVA Group's Total Tax Contribution (TTC), which includes own and third-party payments for corporate tax, VAT, local taxes and

fees, income tax withholdings, Social Security payments, and payments made during the year due to tax litigation in relation to the

aforementioned taxes. In other words, it includes both the taxes related to the BBVA Group companies (taxes which represent a cost

to them and affect their results) and taxes collected on behalf of third parties. The TTC Report gives all the stakeholders an

opportunity to understand BBVA's tax payments and represents a forward-looking approach and commitment to corporate social

responsibility by assuming a leading position in tax transparency.

GLOBAL TAX CONTRIBUTION (BBVA GROUP. MILLIONS OF EUROS)

2021

2020

Own taxes

3,030

3,288

Third-party taxes

5,185

5,037

Total tax contribution

8,215

8,325

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Tax information by country

TAX INFORMATION BY COUNTRIES (MILLIONS OF EUROS)

2021

2020

CIT payments

cash basis (*)

CIT expense

consol

PBT consol

(**)

Gross margin

CIT payments

cash basis (*)

CIT expense

consol

PBT consol

(**)

Gross margin

Spain (***)

901

1,030

6,161

(699)

(7)

(2,108)

5,732

Mexico

360

957

3,532

7,448

1,250

721

2,491

6,798

Turkey

330

437

1,851

3,145

348

362

1,394

3,298

United States (****)

108

586

1,502

118

551

3,165

Peru

173

120

385

1,093

156

325

1,149

Colombia

101

338

889

104

249

911

Argentina

129

816

137

205

732

Uruguay

134

146

Chile

133

132

United Kingdom

108

Romania

106

103

Portugal

100

Hong Kong

Malta

Netherlands

—

Italy

France

Venezuela

—

Germany

Switzerland

Bolivia

Cyprus

Singapore

Taiwan

—

-1

-2

—

Curaçao

—

China

—

Belgium

—

Brazil

—

Finland

—

(26)

Japan

—

-1

—

Paraguay

—

Ireland

—

Total

1,252

2,781

8,399

22,219

1,556

1,516

3,576

22,973

Note: the results of this breakdown of the branches are integrated in the Consolidated Financial Statements of the parent companies on which they depend.

(*) The amounts of "Cash payments of corporate income tax" are highly conditioned and derive fundamentally from the methodology for calculating the instalment payments

provided for in the regulations governing corporate income tax in the different geographical areas, producing differences between the instalment payments made in the current

year and the refund of instalments from previous years that may result once the final tax returns have been filed. In this respect, it should also be noted that it is normal for there

to be, differences between the amounts of "Corporate tax cash payments" and "Corporate tax expense", as the tax paid in the year is not necessarily directly related to the pre-

tax profit existing in a jurisdiction, but takes into account the tax payments (and refunds) in respect of profits made in previous years, as well as the instalment payments made

in the current year and the withholding of input tax. However, the "Corporate Income Tax Expense" for the current year is more directly related to the existing Profit before tax

for a given year.

(**) PBT: Profit before tax.

(***) In Spain, the balance of "Profit before tax" includes the capital gain generated in 2021 as a result of the sale of the US business, which is classified in the income statement

under "Profit (loss) after tax from discontinued operations". Likewise, the balance of "Corporate income tax expense" in Spain is highly conditioned because it incorporates the

tax effects associated with the sale of the US business, which is classified in the income statement under "Profit (loss) after tax from discontinued operations".

(****) In the US, the balance of "Profit before tax", "Corporate income tax expense" and "Gross margin" includes the profit generated by the US banking business up to the time

of its sale, which is classified in "Profit (loss) after tax from discontinued operations". The number of employees in the US does not include employees who at 31 December no

longer form part of the Group as a result of the sale of the US banking business.

The total gross margin of the Group that appears in this table does not match that existing in the consolidated profit and loss account

since the total gross margin in this table also includes the gross margin generated, up to the time of its sale, by the US companies

sold, whose "Profit before taxes" and "Corporate income tax expense" are classified under "Profits (losses) after taxes from

discontinued operations".

In 2021, BBVA Group did not receive any significant public aid allocated to the financial sector intended for the promotion of banking

activity. This statement is made for the purposes of article 89 of Directive 2013/36/EU of the European Parliament and of the Council

of June 26 (on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms)

and its transposition to Spanish legislation by means of Law 10/2014 on Monitoring, Supervision and Solvency of Credit Institutions of

June 26.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

In addition, below is a breakdown of the information for the main countries in which BBVA operates:

TAX INFORMATION BY AREAS 2021 (MILLIONS OF EUROS, NUMBER OF EMPLOYEES)

Consolidated gross margin (*****)

Profit (loss)

before CIT

CIT payment

(cash basis)

(***)

CIT accrued

(current year)

Nº employees

(*)

Tangible

assets other

than cash

Third-parties

Related party

Total

Spain (**)

6,296

(153)

6,143

1,030

901

23,933

5,095

Mexico

7,658

(47)

7,611

3,532

360

957

40,238

1,975

Turkey

3,072

3,138

1,851

330

437

20,063

595

The United States

(****)

1,272

263

1,535

586

108

285

Peru

1,093

(2)

1,091

385

173

120

5,780

294

Colombia

889

(3)

886

338

101

6,721

112

Argentina

816

—

816

129

5,364

454

Rest of Latin

America

360

(3)

357

123

3,531

Rest of Europe and

Asia

763

807

425

106

2,438

161

Total

22,219

165

22,384

8,399

1,252

2,781

108,353

8,783

(*) Full time employees. The 12 employees of representative offices are not included in the total number.

(**) In Spain, the balance of "Profit before tax" includes the capital gain generated in 2021 as a result of the sale of the US business, which is classified in the income statement

under "Profit (loss) after tax from discontinued operations". Likewise, the balance of "Corporate income tax expense" in Spain is highly conditioned because it incorporates the

tax effects associated with the sale of the US business, which is classified in the income statement under "Profit (loss) after tax from discontinued operations".

(***) The amounts of "Cash payments of corporate income tax" are highly conditioned and derive fundamentally from the methodology for calculating the instalment payments

provided for in the regulations governing corporate income tax in the different geographical areas, producing differences between the instalment payments made in the current

year and the refund of instalments from previous years that may result once the final tax returns have been filed. In this respect, it should also be noted that it is normal for there

to be, differences between the amounts of "Corporate tax cash payments" and "Corporate tax expense", as the tax paid in the year is not necessarily directly related to the pre-

tax profit existing in a jurisdiction, but takes into account the tax payments (and refunds) in respect of profits made in previous years, as well as the instalment payments made

in the current year and the withholding of input tax. However, the "Corporate Income Tax Expense" for the current year is more directly related to the existing Profit before tax

for a given year.

(****) In the US, the balance of "Profit before tax", "Corporate income tax expense" and "Gross margin" includes the profit generated by the US banking business up to the time

of its sale, which is classified in "Profit (loss) after tax from discontinued operations". The number of employees in the US does not include employees who at 31 December no

longer form part of the Group as a result of the sale of the US banking business.

(*****) The fact that in certain geographies the business is conducted through branches (permanent establishments), the relationship of these branches with their parent

company as well as the financial flows between the branches and their parent company, may condition the data reported in the geographies (both branches and parent

company) specifically with regard to the gross margin with third parties and related entities.

The total gross margin of the Group that appears in this table does not match that existing in the consolidated profit and loss account

since the total gross margin in this table also includes the gross margin generated, up to the time of its sale, by the US companies

sold, whose "Profit before taxes" and "Corporate income tax expense" are classified under the heading "Profits (losses) after taxes

from discontinued operations".

TAX INFORMATION BY AREAS 2020 (MILLIONS OF EUROS, NUMBER OF EMPLOYEES)

Consolidated gross margin (*****)

Profit (loss)

before CIT

CIT payment

(cash basis)

(***)

CIT accrued

(current year)

Nº employees

(*)

Tangible

assets other

than cash

Third-parties

Related party

Total

Spain (**)(***)

5,732

(125)

5,607

(2,108)

(699)

(7)

29,330

5,748

Mexico

6,798

6,813

2,491

1,250

721

36,853

1,931

Turkey

3,298

(22)

3,276

1,394

348

362

20,357

958

The United States

(****)

3,165

251

3,416

551

118

10,883

826

Peru

1,149

(2)

1,147

325

156

6,204

290

Colombia

911

(2)

909

249

104

6,592

127

Argentina

732

—

732

205

137

6,052

340

Rest of Latin America

425

(3)

422

119

4,210

104

Rest of Europe and

Asia

762

(54)

708

350

105

2,668

148

Total

22,972

23,030

3,576

1,556

1,516

123,149

10,472

(*) Full time employees. The 12 employees of representative offices are not included in the total number.

(**)The balances "Profit before tax" and "Corporate income tax expense" includes the balances of €413m and €57m in 2020 respectively from the of the banking business in

the United States, classified within the balance "Profit (loss) after tax from discontinued operations".

(***) In 2020, the negative amount of “CIT payments cash basis” is mainly due to the methodology for calculating advance payments of the annual tax return provided for in

Corporate Income Tax legislation, which may lead to differences between the advance payments made in the current year and the refund of those advance payments made in

previous years resulting once the annual corporate income tax return has been submitted. As a result of these differences, there has been a net cash refund. The amount of

“Profit before taxes includes Corporate Center.

(****) "Gross income", "Income before tax", "Corporate Income Tax accrued" includes €2,807m, €413m and €57m respectively from the banking business in the United States

classified under "Profit (loss) after tax from discontinued activities".

(*****) The fact that in certain geographies the business is conducted through branches (permanent establishments), the relationship of these branches with their parent

company as well as the financial flows between the branches and their parent company, may condition the data reported in the geographies (both branches and parent

company) specifically with regard to the gross margin with third parties and related entities.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Banking activity in Spain is mainly carried out through BBVA, S.A., which has a twofold dimension: on the one hand, it is the head of

banking business in Spain; and on the other, it is the parent company/holding company of BBVA Group. The main segments of

activity developed in Spain include commercial and SME banking, insurance and CIB activities.

In general terms, Spanish companies are integrated into a tax group, constituting for these purposes a single taxpayer in Corporation

Tax. The nominal tax rate in Spain is 30%; however, there are certain effects and singularities of a fiscal and accounting nature due to

the double dimension mentioned above, which may cause its effective tax rate to be different.

For these purposes, its tax rate stands out in 2021, much higher than 30% due to the tax effects generated in the Corporate Income

Tax Expense as a result of the sale of the banking business in the United States.

BBVA Group's operations in Mexico are conducted through the BBVA Mexico Group, which is the country's leading financial

institution and one of the driving forces behind the BBVA Group. Its main segments of activity include commercial and SME banking,

insurance and CIB activities.

The nominal tax rate in Mexico is 30% and its effective tax rate is somewhat below it, since there are certain effects and singularities

of a fiscal and accounting nature that can cause its effective tax rate to be different from 30%, being the most relevant in 2021, the

fiscal adjustment for inflation that contributes to the drop in said rate.

BBVA Group's operations in the United States have been conducted, firstly, through BBVA USA, based in the Sunbelt region of the

United States, with its main segments of activity being commercial and corporate banking, as well as CIB activities; as well as

operations conducted through the New York branch, which focuses on investment banking.

However, on June 1, 2021, once the necessary authorizations were obtained, BBVA completed the sale of 100% of the share capital of

its subsidiary BBVA USA Bancshares, Inc., which in turn was the holder of all the share capital of the bank BBVA USA, in favor of The

PNC Financial Services Group, Inc. BBVA Group will continue to engage in institutional and wholesale business in the United States

through its broker-dealer BBVA Securities Inc. and its branch in New York. BBVA also maintains its investment activity in the fintech

sector through its participation in Propel Venture Partners US Fund I, L.P. The Profit net of Corporate Tax and accrued Corporate Tax

appearing in the above table includes the figures of the business unit which is the object of the transaction until its execution.

The nominal federal tax rate in the United States is 21%. In 2021, the effective tax rate is slightly lower due to the sale transaction

referred to above, which significantly alters the Group's activity mix in the United States.

BBVA Group's operations in Argentina are conducted through BBVA Argentina, one of the country's leading financial institutions. Its

main segments of activity include commercial and SME banking, insurance and CIB activities.

As a result of a tax reform approved in the 2021 financial year itself, the nominal tax rate in Argentina is 35% (initially, it was planned

to be 30%). Despite its consideration as a hyperinflationary economy and the consequent restatement of its financial statements,

which usually significantly distort the country's tax pressure, the effective tax rate is lower than the nominal rate, mainly due to the tax

adjustment for inflation.

BBVA Group's operations in Colombia are conducted through BBVA Colombia, one of the country's leading financial institutions. Its

main segments of activity include commercial and SME banking, insurance and CIB activities.

The nominal tax rate in Colombia is 34% (financial sector), while the effective tax rate is somewhat lower. In this sense, there are

certain effects and singularities of a fiscal nature (such as income exempt from social interest loans, as well as some from the

insurance field) that can cause your effective tax rate to be different from the nominal one.

BBVA Group's operations in Peru are conducted through BBVA Peru, one of the country's leading financial institutions. Its main

segments of activity include commercial and SME banking, as well as insurance and CIB activities.

The nominal tax rate in Peru is 29.5% and its effective tax rate is somewhat higher. In fiscal year 2021, the weight of non-deductible

expenses/income is greater than that of exempt income (i.e. exemption from interest on deposits in the Central Reserve Bank and

interest on Public Treasury bonds).

The Group's activity in Turkey is mainly conducted through Garanti BBVA Group, of which BBVA is the largest shareholder. Garanti

BBVA Group is a pioneering bank in Turkey, a leader in the use of technology applied to banking businesses. Its main segments of

activity include commercial and SME banking, insurance and CIB activities.

As a result of a tax reform approved in 2021 itself, the nominal tax rate in Turkey is 25%, which will become 23% in 2022 and 20% in

subsequent years. At the beginning of the year, the planned nominal rate was 20%. In 2021, the effective tax rate was somewhat

lower than the nominal rate of 25%, mainly due to the positive effect of regularizing its deferred tax assets (DTAs), net of deferred tax

liabilities. to the new tax rates applicable depending on the moment in which they are expected to reverse.

Likewise, the Group also operates in Chile, Venezuela, Uruguay, Bolivia, Brazil and Curaçao carrying out, as in the rest of the

jurisdictions, the activity of retail and commercial banking. The combined relative weight of these countries in the Group's accounts is

very limited; representing less than 2% of the Group’s total consolidated income before tax generated in 2021.

The average nominal rate is 26.20%. The joint effective tax rate is 25.20%, practically the same.

Additionally, the main banking and financial institutions in the rest of Europe and Asia are in Switzerland, the Netherlands, and

Romania. There are also branches located in Frankfurt, Brussels, Paris, Milan, London, Portugal, Taipei, Tokyo, Hong Kong,

Singapore, Shanghai, Malta and Cyprus, whose main activity is in the field of CIB. The overall relative weight of these countries in the

Group's accounts is very limited, representing less than 5% of the Group's total consolidated income before tax generated in 2021.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

The average applicable nominal rate would amount to 23.01%. In 2021 the effective tax rate has risen to 20.47%, practically in line

with the average nominal rate calculated for these jurisdictions.

The perimeter of the geographical areas described above can be consulted in Appendix I of the Consolidated Annual Accounts.

Offshore financial centers

BBVA Group maintains an express policy on activities in entities permanently registered in offshore financial centers, which includes a

plan for reducing the number of these establishments.

Issuers of securities

As of December 31, 2021, BBVA’s permanent establishments registered in offshore financial centers considered tax havens by both

the OECD and Spanish regulations are securities companies: BBVA Global Finance, Ltd., Continental DPR Finance Company, Garanti

Diversified Payment Rights Finance Company and RPV Company.

BBVA Group has four issuers registered in Grand Cayman, two of which belong to the Garanti Group.

BRANCH AT OFFSHORE ENTITIES (BBVA GROUP. MILLIONS OF EUROS)

2021

2020

Subordinated debts (1)

BBVA Global Finance LTD

177

163

Other debt securities

Continental DPR Finance Company (2)

Garanti Diversified Payment Rights Finance Company

781

1,104

RPV Company

1,341

1,247

Total

2,306

2,533

(1) Securities issued before the enactment of Act 19/2003 dated 4 July, 2003.

(2) Securitization bond issuances in flows generated from export bills.

Supervision and control of the permanent establishments of BBVA Group in offshore financial

centers

BBVA Group has established risk management policies and criteria for all its permanent establishments in offshore financial centers,

as it has for the rest of the entities within the Group.

The BBVA Internal Audit area performs risk-based reviews of BBVA Group's permanent establishment in offshore financial centers. In

addition, every year a special risk-based review is performed of compliance with Spanish legislation applicable to the transfer of funds

between the Group’s banks in Spain and its companies established in offshore financial centers.

In 2021, both the Internal Audit Area and the BBVA Compliance Department monitored the action plans derived from the audit

reports.

For 2021, as far as external audits are concerned, all of BBVA Group's permanent establishments registered in offshore financial

centers have the same external auditor (KPMG), except for Continental DPR Finance Company.

Commitment to human rights

BBVA is committed to compliance with all applicable laws and to respect for internationally recognized human rights. This

commitment applies to all of the relationships that BBVA establishes with its customers, suppliers, employees, and with the

communities in which it conducts its business and activities.

BBVA has had a commitment to human rights since 2007, which was updated in 2020. It seeks to ensure respect for the dignity of all

people and their inherent rights.

BBVA's human rights commitment is part of the Group's CSR Policy and is aligned with its Code of Conduct. This commitment takes

the UN Guiding Principles on Business and Human Rights as a reference. Its purpose is to guide the Group in its strategic vision and its

operations, as well as its relationship with its stakeholders.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

In 2021, BBVA has adopted an active role within the framework of future EU legal initiatives. As part of its participation in the Working

Groups on Sustainable Finance of the European Banking Federation (EBV) and the Association of Financial Markets of Europe

(AFME), BBVA has contributed to the drafting of responses to public consultations made to the European Commission. In this context

it is worth highlighting the response to the consultation launched by the European Sustainable Finance Platform on the development

of a social taxonomy, a project whose objectives include criteria that guarantee the support and respect of companies for human

rights. BBVA also forms part of the EBF advisory group on diversity and inclusion.

BBVA identifies the social and labor risks derived from its activity in the different areas and countries in which it operates in order to

manage their possible impacts through processes designed specifically for this purpose, or through already existing processes which

integrate the human rights perspective. For more information on the Equator Principles, see the chapter "Management of indirect

environmental and social impacts" in this report.

Moreover, the methodology for assessing the risk to BBVA's reputation mentioned in the "Reputational Risk" section within the

chapter “Risk management”, is an essential companion to this management, since assessing reputational risk highlights the fact that

issues related to human rights have the potential to affect the Group's reputation.

Due diligence process

In line with the UN Guiding Principles on Business and Human Rights, in 2021 BBVA began a new process of human rights due

diligence to prevent, mitigate and repair potential human rights impacts. Using a preventive approach, the potential impacts on

human rights of the operations have been identified, together with possible improvements in the mechanisms within the Entity to

prevent and mitigate them, making the adequate channels and procedures available in order to ensure that, in case of any violation,

the appropriate mechanisms are available to ensure all necessary remedies.

The main objectives of this exercise were:

–Update and include new issues to identify and asses the risks analyzed in the previous year.

–Assess the adequacy of the claims measures and mechanisms for managing these risks (in accordance with the provisions

of the UN Guidance Principles on Business).

–Renewal of the Action Plan on Human Rights to prevent and/or mitigate potential negative impacts.

–Alignment of the process with the current risk operational risk management model and regulatory recommendations to

ensure that the due diligence process constitutes a continuous and dynamic process. For more information, see the

"Operational risk" section in the chapter "Risk management" of this report.

This global due diligence process carried out in all the global areas of BBVA has been replicated in Spain, Mexico, Turkey, Argentina,

Colombia, Peru, Uruguay and Venezuela. For each country, priority has been given to issues with greatest impact and frequency

resulting from local social and governmental practices and from the interviews held with the management areas and global Risk

Control Specialists.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Identification, assessment and testing

Taking as a starting point the issues analyzed in the previous due diligence process in 2018, and incorporating the recommendations

and expectations of analysts and investors and other emerging issues, an internal taxonomy has been created of 28 issues, grouped

into 6 themes covering aspects related to forced labor, child labor, freedom of association and collective bargaining, wage equality

and discrimination.

1.Employment conditions: fair recruitment and remuneration, labor rights and relations, and health and safety.

2.Projects and products: impact on human rights derived from lending activity.

3.Supply chain: fair recruitment conditions, supplier monitoring and responsible purchasing policies.

4.Customer wellbeing: accessibility and service, security and respect.

5.Respect for communities: environmental protection and inclusive business.

6.Cross-cutting issues: data protection and the impact of new technologies on human rights.

For each of these 28 issues, an assessment has been made of:

–Inherent risk: based on the two parameters of seriousness of impact and frequency of occurrence for each issue. For this

purpose, public information on the industry and the Entity itself was used, as well as the various international frameworks of

reference, in particular the UN Guidance Principles.

–Residual risk: to assess the mitigating aspects available to BBVA to manage each issue, based on: (I) policies, (II)

procedures/controls, (III) claims mechanisms, and (IV) monitoring indicators.

In this phase of identification and assessment, the potential negative impacts on stakeholders were taken into account, such as the

employees themselves (with a focus on women), suppliers and subcontractors, customers, and the indigenous population and local

communities.

Subsequently, within the framework of the current Non-Financial Risks Model, the global Risk Control Specialists for each issue

checked the results of the assessment and the adequacy of the action plans as mitigants. This test had a twofold objective: first, to

move steadily toward an alignment of the two models (due diligence of human rights and the Non-Financial Risk Model); and second,

achieve a greater systemization of the process.

Prevention and mitigation: Action Plan

The results of the global due diligence process determined that in general the management and mitigation measures for each of the

issues have a medium-high level of effectiveness. However, areas of improvement have been detected in four areas:

1.Strategy. One of the areas for improvement detected has been to strengthen the structure of management, monitoring and

control of the risks associated with human rights. As a result, in 2021 the alignment with the Non-Financial Risks Model has

been reinforced, and a half-yearly system to monitor the effects of the Action Plan will be carried out. Work will also begin on

the integration of the management of these risks in ordinary processes.

2.Stakeholders. The active participation of key stakeholders in the due diligence process has been identified as an area to be

enhanced. An active process of participation with these groups will be carried out to meet this requirement.

3.Reporting and disclosure. BBVA is committed to disclose essential (ESG) factors regarding its business, in a consistent,

reliable and standardized manner. In addition to GRI, BBVA discloses information on human rights according to two of the

most advanced standards in the market: Measuring Stakeholder Capitalism of the World Economic Forum's (WEF)

International Business Council (IBC) and the Sustainability Accounting Standards Board (SASB). In this way, BBVA

responds to the expectations of analysts, investors and other stakeholders.

4.Processes. Action plans have been established in each of the 6 thematic areas:

–Employment conditions: In 2021, the commitment to non-discrimination between employees has been

strengthened. The non-discrimination variable will be included in the internal analytical model of existing data in

the Group to contribute to the selection and recruitment processes. Moreover, work has been done on global

labor disconnection guidelines which will include express measures on digital disconnection, methods and contact

times in calls, emails and other channels. The guidelines are applicable in all geographical areas and

communication and awareness raising campaigns are carried out for all employees to make them aware of their

implementation.

–Projects and products: In the area of BBVA's environmental and social framework, an Engagement Protocol was

developed in 2021 with customers who a priori do not comply with any of the requirements of said Framework.

This protocol specifically includes compliance requirements relating to human rights.

–Supply chain: A pilot project was launched in 2021 to enhance the integration of ESG issues, and specifically

human rights, into the supplier evaluation process and to enhance the fact of having a chain of responsible

suppliers.

–Customer wellbeing: In 2021 a framework of protection for vulnerable customers has been developed to develop

criteria and good practices that offer adequate protection to customers in a situation of vulnerability.

–Respect for communities: The launch is planned of a global framework of sustainable mobility, so that the

geographical areas where BBVA operates may prepare local plans that will contribute to reduce the

environmental footprint in the areas and communities where we operate. For more information see the chapter

"Management of direct environmental impacts" in this report.

–Cross-cutting issues: Work has started to create a privacy policy for the whole BBVA Group. A monitoring tool will

also be available for the protection of personal data at global level, which will include indicators relating to the

number of complaints and claims on personal data protection.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

As a final result, 25 action plans have already been implemented in 2021, run by 14 business areas or globally with the involvement of

the whole company.

Claims methods15

BBVA has a Whistleblowing Channel, through which any stakeholder can report confidentially and, if they wish, anonymously, any

behavior that is linked directly or indirectly to human rights. No violations of human rights by the entities belonging to the Group as of

December 31, 2021 have been detected in the complaints received through this channel. Fore more information, see the "Compliance"

section of this report.

There is also a plan to create a global and local category of claims linked to human rights issues in the customer service channels.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

15 A complaints mechanism is a formalized way established or facilitated by the company, through which individuals or groups can raise their concerns with respect to any impact

of the company on their lives, including the consequences for human rights.

2.2.6 Suppliers

BBVA provides complete and transparent information to its suppliers in the procurement processes, to ensure compliance with the

legal requirements on labor and environment, respecting the human rights and stimulating the demand for socially responsible

products and services.

Within the procurement process, BBVA carries out an adequate management of the impacts generated in the development of its

activity, both real and potential, through a series of mechanisms and standards: the General Procurement Principles, the supplier

evaluation process and the Corporate Standard for Procurement of Goods and Contracting Services. These impacts can be

environmental, derive from the labor practices carried out in the suppliers' companies, the absence of freedom of association or the

violation of human rights.

The General Procurement Principles and the BBVA Code of conduct for suppliers establish the fundamental guidelines that all

suppliers with whom any company or entity of the Group is related must respect.

–The General Procurement Principles establish, among other aspects, the duty to ensure compliance with the applicable

legal requirements regarding human, labor, association and environmental rights by all those involved in the procurement

process, as well as how to involve them in the Group's efforts to prevent corruption. In the same way, it ensures that the

selection of suppliers complies with the existing internal regulations at all times and, especially, with the values of the

Group's Code of Conduct, based on respect for legality, commitment to integrity, concurrency, objectivity, transparency,

value creation, confidentiality, continuous improvement and segregation of duties.

–Through the implementation of the Code of conduct for suppliers in the purchasing units of all the countries in which the

Group is present, minimum standards of behavior have been established in terms of ethical, social and environmental

conduct that suppliers must respect when provide products and services.

BBVA aims to integrate ethical, social and environmental factors in the supply chain for which it is responsible. In 2021, the Group

consolidated its purchasing function, which is based on three basic pillars of the procurement model:

–Service: maximizing the quality and experience of the internal customer, who is accompanied throughout the process.

–Risk: limiting the Group's operational risk in supplier contracts, thus ensuring compliance with regulations and processes.

–Efficiency: contributing to the Group's efficiency by the proactive management of costs and suppliers.

ESSENTIAL DATA ABOUT SUPPLIERS (BBVA GROUP)

2021

2020

Number of suppliers (1)

3,332

3,582

Volume provided by suppliers (millions of euros) (1)

5,966

6,906

Average payment period to suppliers (days)

Suppliers satisfaction index (2)

n.a.

Number of evaluated suppliers (3)

3,867

5,702

n.a. = not applicable.

Note: excluding Turkey.

(1) Payments to third parties. Suppliers lower than 100,000 euros are not included.

(2) Obtained based on the results of a satisfaction survey carried out every 2 years to Bank suppliers who have more than 10,000 euros in awards and 100,000 euros in billing. It

is calculated as the average number of responses to the question: “Would you recommend working with the BBVA Group Purchasing Department to a friend or family

member?”, based on 100.

(3) For 2021, the figure includes suppliers of more than 10,000 euros in billing (for 2020, suppliers of more than 100,000 euros in billing).

BBVA has technological platforms that support all phases of the Group's procurement process, from budgeting to the recording and

accounting of invoices. Furthermore, the BBVA supplier portal facilitates the Group's digital relationship with its suppliers. It is a

collaborative environment aimed at companies and freelancers who work or want to work with the Group, which allows them to

interact with BBVA electronically throughout the supply cycle.

Both the supplier evaluation process and the Corporate Standard for Procurement of Goods and Contracting of Services have

undergone significant updates throughout 2021, evolving toward a more complete evaluation of supplier risk and greater control over

the entire procurement process.

The supplier evaluation process carried out by BBVA has finished being implemented in 2021, considerably expanding the number of

aspects to review related to each supplier: financial, legal, labor, reputational, anti-corruption and money laundering, technological

risks, concentration and country risks, and client protection. The analysis of these aspects aims to mitigate possible risks in

contracting with third parties, as well as to verify that it complies with its legal responsibilities, allowing in turn to promote its civic

responsibilities and validate that they share the same values as the Group in terms of social responsibility.

In this evaluation process, the supplier must declare that it has its own code of conduct, which complies with the highest standards in

its industry. In the event that it does not have its own code of conduct, the supplier must declare that it knows and accepts the BBVA

Group's Code of Conduct, which includes the following aspects: legal compliance; commitment to human rights; commitment to the

environment; supply chain (outsourcing); combating corruption; prevention of money laundering and financing of terrorist activities;

political contributions; conflict of interest; free competition; and confidentiality.

The evaluation of suppliers is periodically reviewed and is subject to continuous monitoring. As of December 31, 2021, the percentage

of awards made to evaluated suppliers reached 97.3%.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

As of December 31, 2021, 97.8% of the total number of BBVA suppliers (representing 92.8% of total billing) corresponds to local

suppliers, which makes it possible to contribute to the economic and social development of the countries in which BBVA is present.

The Group defines a local supplier as one whose tax identification matches the country of the company receiving the good or service.

BBVA also favors inclusion and diversity by hiring services in Spain through the so-called “special employment centers” (CEE),

protected employment companies where the labor integration of people with disabilities is promoted. During fiscal year 2021, the

turnover of CEE to the Bank was €1.7m (as of December 31, 2020, the turnover amounted to €2.4m).

Finally, it should be noted that in the fiscal year 2021, the Internal Audit area evaluated hired suppliers on the procurement processes

of goods and services from different areas and on the service provided by certain suppliers, generally outsourcing. These are risk-

based evaluations and the reviews are carried out according to a defined internal methodology.

NUMBER OF SUPPLIERS AND TURNOVER BY COUNTRY

2021

2020

Suppliers (1) and annual

turnover (2)

Number of suppliers

Annual turnover

(millions of euros)

Number of suppliers

Annual turnover

(millions of euros)

Spain

1,040

2,191

1,138

2,169

The United States (3)

n.a.

424

458

Mexico

1,286

2,885

1,068

3,380

Argentina

315

299

289

351

Chile

—

Colombia

203

223

196

216

Peru

287

259

290

236

Venezuela

Paraguay (3)

n.a.

Uruguay

Portugal

Total

3,332

5,967

3,582

6,906

Total suppliers (4)

Spain

24,715

2,312

19,089

2,285

The United States (3)

n.a.

1,273

475

Mexico

7,178

2,997

6,220

3,483

Argentina

1,608

322

1,601

373

Chile

349

—

Colombia

1,629

241

1,725

237

Peru

1,861

280

4,760

260

Venezuela

593

479

Paraguay (3)

n.a.

833

Uruguay

564

549

Portugal

745

528

Total

39,242

6,284

37,057

7,229

n.a: Not available

Note: excluding Turkey.

(1) Including suppliers and creditors.

(2) Payments made to third parties (not including suppliers with amounts less than €100,000). Cash flow criterion.

(3) Data for the United States and Paraguay are not included because of having finished the corresponding sales processes of both entities during the first half of 2021.

(4) Including all suppliers, creditors and third parties invoicing to BBVA without a limit to the amount.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

AVERAGE PAYMENT PERIOD TO SUPPLIERS (1) (DAYS)

2021

2020

Spain

The United States (2)

n.a.

Mexico

Argentina

Chile

—

Colombia

Peru

Venezuela

Paraguay (2)

n.a.

Uruguay

Group average (3)

n.a: Not available

Note: excluding Portugal and Turkey.

(1) Average payment period calculated as an average resulting from the difference between the payment date and the base date. With no weighing by amount.

(2) Data for the United States and Paraguay are not included because of having finished the corresponding sales processes of both entities during the first half of 2021.

(3) Total average payment period is calculated based on a ponderation between the different geographies as is not possible to be done taking the whole invoice data.

2.2.7Regulators & supervisors

The nature of the operations involved makes banking one of the key sectors of a country's economy, as much savings, investment and

finance are channeled through it. That is why banks are subject to special regulation and supervision. The regulators and supervisors

are therefore important stakeholders for the financial industry in general and for BBVA in particular.

Public regulation aims to ensure that financial institutions operate correctly, strengthen their resilience to adverse events and

harmonize the interests of all the parties directly affected (such as banks, savers and investors) with the general interest.

Over the last few years, a number of European authorities, such as the European Banking Authority (EBA), the European Securities

and Markets Authority (ESMA), the European Commission, etc., and also global authorities, such as the Financial Stability Board

(FSB), Bank for International Settlements (BIS), etc., have developed a regulatory framework to improve the strength of the financial

system and thus reduce the virulence and also probability of future financial crises.

Given the importance of the new regulatory and supervisory agenda, BBVA has maintained a constant dialog with the different

authorities. BBVA has a responsible unit for coordinating relations with the Single Supervisory Mechanism (SSM) and the Single

Resolution Mechanism (SRM), as well as facilitating relations with other local supervisors from a single and global point of view. SSM

supervision takes place through mixed groups, in the case of BBVA made up mainly of Bank of Spain teams located in Madrid and the

European Central Bank (ECB) teams located in Frankfurt, which are called Joint Supervisory Teams (JSTs). The SRM itself is made up

of the Single Resolution Board (SRB), based in Brussels, and the National Resolution Authorities (NRA), which in the case of Spain are

the Bank of Spain as the prevention resolution authority, and the Fund for Orderly Bank Restructuring (FROB) as the executive

resolution authority.

It should be noted that BBVA maintains an active participation in the consultation processes on the regulation of financial entities

carried out by the different regulators or supervisors mentioned above.

For more information on the regulatory and legal framework applicable to the Group’s entities, see the “Regulatory environment”

chapter of this report.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.3Report on climate change and other environmental

and social issues

The financial sector and climate change

The fight against climate change is one of the biggest disruptive events of all time, with extraordinary economic consequences to

which all actors (governments, regulators, businesses, consumers and society in general) must adapt.

Climate change and the transition toward a low-carbon economy have significant implications on the value chains of most production

sectors, and may require significant investments in many industries. However, technological progress in the fields of energy

efficiency, renewable energies, efficient mobility and the circular economy will continue to generate new opportunities for all.

Nevertheless, customers, markets and society as a whole not only expect large companies to create value, but to also make a positive

contribution to society. In particular, that the economic development to which they contribute with their activity is inclusive.

BBVA is aware of the key role that banking plays in this transition toward a more sustainable world through its financial activity, has

adhered to the Principles for Responsible Banking promoted by the UN, the Katowice Commitment and the Collective Commitment to

Climate Action and is keen to play a central role, as demanded by society, and to help its customers in their transition toward this

sustainable future.

As a financial institution, BBVA has an impact on the environment and society directly through the consumption of natural resources

and its relationship with stakeholders; and indirectly (and most importantly) through its lending activity and the projects it finances.

Under Law 7/2021, of May 20, on climate change and energy transition (hereafter Law 7/2021), BBVA has submitted a report

(hereafter, Climate Change Report), which includes, among others, the following matters: the organization's governance structure,

the strategic focus, both in terms of adaptation and mitigation of the entity to manage the financial risks associated with climate

change, the real and potential impacts of the risks and opportunities associated with climate change, the processes of identification,

evaluation, control and management of the risks related to the climate and the metrics, scenarios and objectives used to evaluate and

manage the relevant risks and opportunities associated with climate change.

In this context, BBVA has incorporated the Climate Change Report into the Group's Management Report, which is attached to the

Consolidated Financial Statements for 2021, as covered in the article 32 in the Law 7/2021.

Non-financial Information Report. Contents index of the Law 7/2021, of May 20, about climate change and energetic

transition

Topic

Reporting criteria

Response included in BBVA Group's

consolidated management report

Govern

Governance structure of organization, including the role

that its various bodies perform, in relation to the

identification, evaluation and management of risks and

opportunities related to climate change.

BBVA in brief/The Group’s Organizational Chart/

NFIS/Report on climate change and other

environmental and social issues

Strategy

Strategic approach, in terms of adaptation and

mitigation of the entities to manage the financial risks

associated with climate change, taking into account the

current risks at the time of writing the report, and those

that may arise in the future, identifying the actions

necessary at that time to mitigate such risks.

NFIS/Strategic Priorities

NFIS/Report on climate change and other

environmental and social issues

Impacts

The real and potential impacts of risks and opportunities

associated with climate change on the organization's

activities and its strategy, as well as on its financial

planning.

NFIS/Report on climate change and other

environmental and social issues

Risk management

The processes for identifying, evaluating, controlling and

managing climate-related risks and how these are

integrated into its global business risk analysis and its

integration into the organization's global risk

management.

NFIS/Strategic Priorities

NFIS/Report on climate change and other

environmental and social issues

Metrics and goals

Metrics, scenarios and objectives used to assess and

manage important risks and opportunities related to

climate change and, if calculated, the scope 1, 2 and 3 of

its carbon footprint and how its reduction is addressed .

NFIS/Report on climate change and other

environmental and social issues

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.3.1Committed to sustainability

BBVA aims to align its activity steadily to the Paris Agreement and use its role as a bank to help its customers through finance, advice

and innovative solutions to transition toward a more sustainable future, inspired by the Sustainable Development Goals. Specifically,

the Group wants to help face challenges as important as climate change or support inclusive growth. Helping customers in their

transition also represents a great opportunity, as it requires an unprecedented level of investment to innovate and deploy new

technologies in practically all the sectors.

To this end, in 2021 BBVA has continued to make progress in decarbonizing its portfolio. It has announced its intention of reducing its

exposure to coal-related activities to zero, and stopping the finance of companies in these activities by 2030 in developed countries

and by 2040 in the rest of the countries where it operates. It has also set intermediate goals to decarbonize its portfolio in four

emission-intensive industries, such as electricity generation, automotive, steel and cement which represent 60% of the world’s CO2

emissions16. Moreover, the Group will focus its efforts on supporting customers with finance, advice and innovative solutions in the

joint effort of decarbonization.

2.3.2 Governance model

Corporate bodies

BBVA's corporate bodies have defined and driven the Group's strategy that incorporates sustainability and the fight against climate

change as one of its priorities, having approved its basic elements (through its incorporation to the Group's strategic plan in 2019, and

with the approval of the General Sustainability Policy in 2020) and carrying out periodic monitoring of its implementation in the

Group.

For the Board of Directors, an essential element of this strategic approach is the integration of sustainability and the fight against

climate change into the Group’s activities, managing the risks associated with these areas, and considering them a great opportunity

for business in which to support its growth strategy. Combined with this is the establishment of targets which facilitate their

execution, supervision and monitoring. This approach allows the Group's corporate bodies to define the basic lines of action for BBVA

as regards the management of opportunities and risks arising from sustainability and oversee their execution by the executive areas

in all spheres of the Entity’s operations.

In this work monitoring and supervising the implementation of the Group's sustainability, the Board is assisted by its committees

specialized in their respective areas. Thus, the active role of the Executive Committee is particularly important in driving this strategy

in the monitoring of the integration of sustainability in the Group's processes of business and activity, and their impact on its activity

and results in accordance with its monitoring and analysis function of the development of the Group's key performance indicators.

Also important is the role of the Risk and Compliance Committee, which assists the Board of Directors in the integration of

sustainability in the analysis, planning and management of the Group's risks, and in supervising their execution; that of the Audit

Committee, in supervising the public information on sustainability reported to the market; and the Remuneration Committee, in

driving the integration of indicators related to sustainability in the Group's variable remuneration model.

A specific example of this activity is the work of the Board in adopting very important decisions for the Group in the area of

sustainability which are described in this report, such as the increased commitment to sustainable finance (Pledge 2025); the

adoption of the Net Zero pledge for 2050; the determination of commitments related to the decarbonization of the portfolio; decisions

related to the integration of risks associated with climate change in the management processes; as well as the creation of the Group's

new Sustainability Area, raising the function to the highest executive level of the organization, as described in this report.

In addition to this, there is the work of the corporate supervisory and monitoring bodies for the implementation of the Group's

sustainability strategy and activity, and compliance with the organization's objectives, which is carried out on the basis of the reports

received by the Sustainability Area and the different areas of the Bank which incorporate sustainability into their daily businesses and

activities. These reports are carried out for corporate bodies according to their competence, as described in the above paragraphs,

either periodically or ad hoc (worth particular mention are the specific presentations drawn up at least twice a year for the Board of

Directors and the Executive Committee).

In addition to the above and in order to achieve the best performance of its duties in this matter, the Board considered it necessary to

strengthen its own knowledge and experience in sustainability, by onboarding people with extensive knowledge and experience and by

a continuous training program to include sustainability-related subjects, such as sustainable finance or main trends that are being

developed in the market on this matter.

Transversal integration of sustainability into the executive sphere

BBVA incorporates sustainability as part of its daily activities and everything it does, encompassing not only relations with customers

but also internal processes. In this sense, the definition and execution of a strategy, which includes sustainability and climate change

as one of its priorities, has a transversal nature, being the responsibility of all areas of the Group to incorporate it progressively into

their strategic agenda and their work dynamics.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

16 According to the International Energy Agency and UNEP.

In 2021, BBVA gave a renewed boost to its strategy of increasing sustainability to the highest executive level of the organization,

reporting directly to the Chief Executive Officer and the Group Executive Chairman (in this case, both linked to strategy and

transformation), creating the global area Sustainability business area with the aim of becoming the model bank for customers in

sustainability solutions.

In a context in which all the Group employees and areas integrate sustainability into their day-to-day activity, the new global area will

design the strategic sustainability agenda, define and promote the lines of work in this area of the different global and transformation

units (including Risk, Finance, Talent and Culture, Data, Engineering, and Organization) and develop new sustainable products.

In addition, BBVA has established a network of experts, comprising sustainability specialists from different areas of the Group (Client

Solutions, Corporate & Investment Banking, Global Risk Management, Communication & Responsible Business), coordinated as a

network by the global Sustainability area. These experts are responsible for building knowledge in the field of sustainability at the

Group. This knowledge is then used to provide customer guidance, support areas in developing new value propositions in the sphere

of sustainability, make climate risks part of risk management, and draw up a public agenda and set of sustainability standards.

2.3.3Sustainable finance

With respect to finance, in 2021 BBVA increased its Pledge 2025, doubling its initial target of channelling sustainable finance to 200

billion euros through 2025. From 2018 to 2021, BBVA earmarked a total of €85,817m in sustainable activities, distributed as follows:

In 2021 the Group has also strengthened its community involvement to support inclusive growth in countries where it operates, for

which €550m will be allocated directly and through its support to foundations between 2021 and 2025. For more information about

the community involvement, see the section "Community Commitment" in the chapter "Our stakeholders" in this report.

Among the solutions promoted by BBVA focused on identifying opportunities arising from climate change and inclusive growth, as

well as creating value propositions and offering advice to individual and corporate customers that can be highlighted are:

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Sustainable solutions for wholesale (corporate and institutional) customers as

well as businesses

In 2021, in the sphere of sustainable corporate lending, the Bank mobilized globally a total of €10,044m in financed linked to the

achievement of certain environmental and social indicators (KPI-linked) and linked to the customer's ESG rating (ESG-linked), both

bilaterally and as a syndicate, among which are pioneering operations in the food sector. In Spain, BBVA has been a pioneer in

incorporating mechanisms for the donation of part of the profit margin to sustainable or charity projects and BBVA remains one of the

leading entities in the market in sustainable finance, having been lead sustainable coordinator in significant deals for the fifth year in a

row. Outside Spain, BBVA has spearheaded several landmark operations, including a number of the main syndicated finance deals in

Germany, the UK, Belgium, Mexico, Peru and Colombia. BBVA continues to work with its customers to develop new and demanding

formats to link its long-term commitment to sustainability and to the objectives set by the European taxonomy and the Paris

Agreement respectively.

Furthermore, BBVA remained extremely active in the financing of sustainable projects throughout 2021, participating in the

mobilization of €1,274m (BBVA participation) of sustainable finance in the following main areas: (i) renewable projects; (ii) self-

generation and energy efficiency; (iii) sustainable mobility projects; (iv) finance of sustainable agriculture; (v) social projects in the

health and telecommunication sector to facilitate access to new technologies; and (vi) sustainable infrastructure projects.

Throughout 2021, BBVA has been very active in the issuance of green, social and sustainable bonds, and bonds linked to

environmental indicators for customers in the United States, Mexico, South America, Asia and Europe, including Spain, with BBVA's

total disintermediated volume being €6,683m. In 2021 European customers were very active. BBVA continues to support the

development of the green bond market in Mexico, Colombia, Argentina and Asia, as lead arrangers of the inaugural issuance of bonds

in many of these regions.

Moreover, in the transaction area, BBVA has signed operations for €4,958m, using its sustainable banking framework, as well as

adding sustainability-linked transactions to its sustainable product offering. The market for financial products linked to sustainability

is relatively new and it is growing rapidly, thereby allowing companies and sectors searching for ways to start or expand their

sustainable trajectory to gain access to sustainable financing. Products linked to sustainability are intended to facilitate and support

economic activity and growth in both environmental and social spheres. This new approach allows BBVA to actively support its

customers in the transformation toward more sustainable business models.

To complete the sustainable offer, in 2020 the ESG Advisory service was created to help global customers in their transition to a

sustainable future, with advice based on data and geared to facilitating commitments that customers are assuming, each from a

different starting point, to align with the Paris Agreement and make progress in the UN Sustainable Agenda 2030. BBVA offers value-

added information on regulation, best practices and the challenges and opportunities to sectors faced by the path to sustainability.

Moreover, BBVA promotes an overview of the whole range of sustainable products and services that can be offered from the

Corporate & Investment Banking area, both in terms of debt and equity. This service has a global scope and is open to all sectors of

activity.

Sustainable solutions for retail customers

BBVA wants to support its retail customers adopt more sustainable habits that help reduce their CO2 emissions and wants to do so

proactively, through the use of data-based tools and solutions that help control their consumption and emissions. To this end, it is

working on making a wide range of investment and finance products available to customers to help them in this transition, adapting to

the situation in each of the geographies in which the Group operates.

The sustainable solutions offering in the different countries aims to support energy efficiency and the decarbonization of the economy

with products such as financing lines for the acquisition of hybrid and electric vehicles, green mortgages for sustainable housing, or

loans for improving the efficiency of homes. In 2021, BBVA achieved its commitment in Spain of offering a sustainable alternative to

all its products in this segment.

Also in Spain, in 2021 BBVA became the first entity to use data analytics to calculate the carbon footprint of all its individual

customers, obtaining an approximate estimate of CO2 emissions into the atmosphere, based on gas and light bills and payments for

fuel.

Also, a line of inclusive growth is being boosted in the retail segment, mobilizing funds to the investment needed to build inclusive

infrastructures and support inclusive economic development. Within this line, the products targeted at individuals are credit (cards,

loans and mortgages), which comply with the income and/or vulnerability thresholds established for each country. Worth noting is

the social mortgage, which is targeted at the segments of the population with the lowest purchasing power, and which subsidizes part

of the total amount of the mortgage.

BBVA also supports entrepreneurs by granting loans to natural persons or legal entities which have begun an economic activity within

the last 3.5 years, and offering finance to microenterprises, provided that they comply with the threshold levels for revenues

established in BBVA's social taxonomy for each country. Of relevance for this segment is the program for financing female

entrepreneurs BBVA has in Turkey, so women who have small and medium-sized enterprises can access loans in preferential

conditions.

During 2021, BBVA mobilized a total of €6,471m: €4,250m in Spain; €548m in Mexico; €350m in Turkey; €56m in Colombia; €19m in

Peru; and €13m in Argentina, €1,114m through the BBVA Microfinance Foundation and €121m in the United States.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Sustainable investment solutions

In 2021, BBVA Asset Management (BBVA AM), the Group's investment management unit that brings together all its asset

management activities around the world, has made significant progress integrating sustainability, above all in the following aspects:

–Incorporation of the ESG extra-financial criteria in the process of investment and risk control decision-making for vehicles

and portfolios they manage, both in the investment process and voting policy.

–Commitment to best sustainable investment practices which, in 2021, has consisted in adherence to the Responsible

Investment Principles promoted by the United Nations, the Net Zero Asset Managers Commitment, to arrive in 2050 with

net zero emission portfolios and the participation in other collective initiatives involving companies and governments.

–Exclusion policies. The exclusion policy affects companies which belong to sectors that are considered intrinsically harmful

to society. For its application, BBVA uses exclusion lists of companies and countries, drawn up and updated periodically,

with the help of an independent expert advisor. These lists include companies and countries related to defense materiel

(military, police and security armaments, ammunition, explosives, etc.). Also excluded are investments in companies that

severely infringe the principles of the United Nations Global Compact.

In 2021, the offer of sustainable products has been extended, meaning products which incorporate sustainable targets or metrics in

their investment policy; with a total of 4 new mutual funds (2 in Spain, 1 in Mexico and 1 in Peru) and 7 pension plans (6 in Spain and 1

in Portugal). The assets under management in sustainable solutions at the close of 2021 was €5,598m and net new assets amounted

to €1,559m.

ASSETS UNDER MANAGEMENT WITH SRI CRITERIA (BBVA ASSET MANAGEMENT. MILLIONS OF EUROS)

2021

2020

Total assets under management

119,307

109,355

Europe

80,981

72,376

Mexico

30,179

26,034

South America

4,252

7,433

Turkey

3,895

3,512

SRI strategy applied

Exclusion (1)

119,307

109,355

Vote (2)

111,160

72,376

Integration (3)

80,981

9,053

(1) The exclusion strategy applies to 100% of the assets under management.

(2) The vote strategy applies to 100% of the assets under management in Europe for those instruments, in BBVA AM portfolios, that generate voting rights and their issuers are

in the European geographical area.

(3) The integration strategy is applied in SRI pension plans and mutual funds of the Europe business.

For more information on how the group integrates ESG aspects in its customer relations, see the section "Integration of ESG aspects

in the relationship with clients" in the chapter "Additional information" in this report.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.3.4 Risks and opportunities associated with climate change

Climate change risks for BBVA

There are two type of risks that impact the business of BBVA or its customers:

Transition risks

These are the risks pertaining to the transition to a low-carbon economy, and which arise from changes in legislation, the market,

consumers, etc., to mitigate and address the requirements derived from climate change.

TRANSITION RISKS

Risk subtype

Risks associated with climate

change

Risk description

Time horizon (1)

Legal and regulatory

Increase in the cost of CO2 emissions

Financial risk to BBVA clients whose liquidity or earnings

could be harmed from having to face higher costs or,

alternatively, higher investments in emission neutralization,

resulting from regulatory changes

Increased cost of direct emissions from the Bank in its

operations

Increase in monitoring and tracking

requirements

Increased staffing and economic resources for the study and

monitoring of the Group’s clients, and tracking of their

compliance with environmental requirements

Changes in the regulation of existing

products and services

Uncertainty for financial agents regarding changes and their

implementation

Impairment of client asset positions due to the generation of

stranded assets (assets that prior to the end of their

economic life are no longer able to earn an economic return)

Sales drop due to adjustments to offerings, to align with new

legal specifications for a product

Increase in regulatory capital

requirements due to risk associated

with climate change

Increase in regulatory capital

requirements due to risk associated

with climate change

Possibly different prudential treatment of financial assets in

terms of riskweighted assets based on their exposure to

physical and transition risks

Adverse regulatory changes that may cause certain

exposures on BBVA’s climate change balance sheet to have

higher capital consumption

Risks of environmental lawsuits

Possible lawsuits against BBVA for not complying with

environmental regulations in its business or supply chain

Risk of lawsuits against third parties

Potential lawsuits for environmental crimes against BBVA

clients. BBVA could be impacted by its clients’ loss of

solvency resulting from an increase in litigation costs

Technological

Replacement of existing products

and services with lower-emission

alternatives

BBVA clients with a position in sectors that are outperformed

by alternative technologies could suffer solvency problems

and their ability to cope with their credit commitments could

be diminished

Failed investment in new technologies

Clients that invest in failed technology may go through

solvency difficulties and be unable to meet their credit

commitments

Cost of transitioning to low-emission

technology

The investments which BBVA clients need to make to change

their production models can be an opportunity but they can

also negatively

impact the balance sheet structure or profitability of said

clients if not done properly. On the other hand, the necessary

R&D investments could undermine the clients’ ability to meet

their commitments

Costs of investing in remodeling and adapting BBVA-owned

buildings

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Market

Changes in (market) trends, financial

agent and consumer preferences

Changes in demand caused by changes in consumer

preferences can lead to falls in sales for BBVA clients and

result in loss of profits and solvency

Reduction in demand for certain products can cause price

falls that affect the valuation of companies’ assets (crude oil

reserves, fossil fuel cars, etc.)

Increased demand for certain products or services may

impact on the price of certain raw materials. While this may

be reflected in prices, it may lead to lower profits or the loss

of BBVA’s clients’ market share

Risk of change in the Bank’s client preferences for not

considering the Bank well positioned in the sustainable

segment

Uncertainty in market signals

Difficulty or impediments to proper price formation or

allocation of financing or investment sums

Forecasts made by research agencies or services to dictate

the strategy of entities may not be fulfilled due to abrupt

changes in the market caused by changes in regulations or

demand

Increased cost of raw materials

Sharp changes in the price of raw materials, resulting in

changes in supply or energy cost, can lead to deteriorating

liquidity and declining profits for clients. It can be mitigated

with end-product price increases

BBVA’s energy supply cost could also be affected

Financial risks

Risk of a significant increase in the cost of financing clients

with higher exposure to climate risks, in a way that affects

their solvency by making it more difficult for them to cope

with their credit commitments

Risk of worsening the credit rating of clients with exposure to

climate change risks, with the associated adverse effects for

BBVA

Reputational

Change in consumer preferences

Direct risk of client loss for not meeting what various

stakeholders expect from BBVA as regards the climate

change challenge and fostering a more inclusive world

Indirect risk of our clients losing business, which affects their

solvency, because they engage in an activity that is not

considered sustainable

Demand from clients to limit our operations’ direct impacts

Stigmatization of a sector

Risk of assets stranded by a sharp change in the perception

of a sector, with significant loss of sales

Investment exclusions in certain

sectors due to market pressures

Withdrawal from profitable deals due to reputational risk or a

sectoral ban

ST: <4 years; MT: 4-10 years; LT: >10 years

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Physical risks

Risks which arise from climate change and can originate from increased frequency and severity of extreme weather events or long-

term weather changes, and which may imply physical damage to companies’ assets, disruptions in supply chains or increase in the

expenses needed to face such risks.

PHYSICAL RISKS

Risk subtype

Risks associated with climate

change

Risk description

Time horizon (1)

Acute risks

Increased severity of extreme

weather events, such as cyclones

and flooding

Reduced revenue from decreased production capacity (e.g.

transport difficulties and supply chain disruptions)

Direct losses from asset damage (BBVA and clients)

Increased cost of insurance

Business continuity problems

Damage to BBVA facilities from environmental catastrophes

that hinder normal service provision

Chronic risks

Changes in precipitation patterns

and extreme variability i

weather patterns

Loss of value of clients’ assets (guarantees) because they are

located in areas with water supply problems (desertification)

Increases in clients’ operating costs (investments in

agriculture)

Lower renewables production (hydro and wind)

Rising average temperatures

Population movements that can lead to depression in certain

areas, accompanied by loss of business

Sea level rise

Threats to client assets that can lead to loss of profits and their

solvency

(1) ST: <4 years MT: 4-10 years LT: >10 years

Climate change opportunities for BBVA

As well as the risks described above, a number of associated opportunities have arisen which BBVA is considering to use and position

itself correctly with respect to the major disruption represented by climate change.

CLIMATE CHANGE OPPORTUNITIES FOR BBVA

Sector

Opportunity

Time Horizon (1)

Oil & Gas

Liquefied Natural Gas (LNG) as an alternative to other fossil fuels as it has a much

lower level of emissions

Possibility of reusing oil & gas transport assets for biofuels and hydrogen

Chemicals

Carbon capture and storage through chemical separation of carbon dioxide for later

reuse

Electricity

Strong boost to renewable energy, electricity storage

Energy efficiency services and hydrogen development

Construction & infrastructures

Renovation of buildings (headquarters, housing, premises, etc.) as well as industrial

plants in need of energy-efficiency improvements because of the increased

regulatory impact

Infrastructures to improve climate change adaptation: changes in cities,

development of a smart grid, charging infrastructure for electric vehicles

Transportation

Efficient low-emission and mobility services (electrical, LNG and hydrogen)

Mining & metals

Production of metals to manufacture electric vehicles (copper, lithium, cobalt and

nickel among others)

Agriculture

Efficient irrigation systems, use of waste as a source of biogas

Development of new anti-drought products

Other sectors

Circular economy, recycling, waste and water treatment, tree planting, food

industry, tourism industry conversion to carbon neutrality (Fossil fuel change, etc.)

(1) ST: <4 years MT: 4-10 years LT: >10 years

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.3.5Management of risks associated with climate change

Integrating climate change into risk planning

The risks associated with climate change (transition and physical) are considered an additional factor that impacts the risk categories

already identified and defined in the Group. Because of this they are managed through the Group's risk management frameworks

(credit, market, liquidity, operational and other non-financial risks). As a result, the integration of the risks related to climate change

within BBVA Group's risk management framework is based on the incorporation of correctly established processes and governance,

taking into account regulations and supervisory trends.

Correct planning requires reliable, complete and up-to-date data. To this end, in 2021 a sustainable data strategy was implemented,

based in the Principles for effective risk data aggregation and risk BSBC239, in which the sustainability data needs have been

identified, the data gaps have been assessed and a conceptual model and implementation plan has been drawn up. All this is geared

to guaranteeing a comprehensive vision of the Group's climate risks to ensure their correct control and management. Among the data

incorporated, which respond both to regulatory and business needs, those related to customer climate scores, energy efficiency

certificates, environmental indicators, greenhouse-gas emissions and sector metrics.

Climate risk management in BBVA Group is based on the process of risk planning which is marked by the defined risk appetite and

makes use of management frameworks which establish how these risks are to be treated in day-to-day business activity.

Risk planning: Risk appetite Framework (RAF)

BBVA's Risk Appetite Framework, approved by the corporate governance bodies and applicable to all the Group's material

geographical areas, determines the risk levels that BBVA is willing to assume to achieve its targets, considering the organic evolution

of the business. It is organized as a pyramid structure that is based on thresholds of core and by risk type metrics and implemented

through a framework of risk limits. The Framework has a general statement that sets out the general principles of the risk strategy

and the target risk profile. The statement includes a commitment to sustainable development as one of the elements defined by the

BBVA business model, stressing customer support in the transition to a sustainable future, and starting in 2022 incorporating the

climate factor in risk management. This statement is complemented and detailed with an appetite quantification through metrics and

thresholds that provide clear and concise guidance on the defined maximum risk profile.

In 2021 a transition risk metric was incorporated. This High Transition Risk metric measures Exposure at Default (EAD) in relation to

capital of the activities most exposed to transition risk in accordance with the Taxonomy defined internally, specifically the activities

classified as High or Very High risk. This taxonomy has been developed following recommendations by the TCFD with the aim of

developing processes that identify and value climate risks, as well as the ECB Guide on environmental and climate-related risks. With

respect to this metric, the Board of Directors of BBVA has approved thresholds at a Group and geographical area level, which

determine the maximum appetite for this risk.

The definition of the levels of tolerance established in the Risk Appetite Framework are based on the Risk Assessment and Scenario

analyses described below.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Risk Assessment

This section provides, firstly, a self-assessment of how the different climate-change related risk factors impact on the main types of

risk currently existing (credit, market, liquidity, etc.); secondly, an analysis of the sectors that are most sensitive to this risk (under the

so-called “internal risk taxonomy”); and, finally, the methodology used to assess the climate vulnerability of the relevant geographical

areas where the BBVA Group operates. These last two aspects are integrated into the management through processes such as

admission frameworks or the establishment of risk limits.

As part of its General Risk Management and Control Model, the Group develops periodic risk identification and assessment processes

to, among other things, identify material risks that could have a negative impact on its risk profile and to manage those risks actively

and proactively. These processes cover all types of risks faced by the Group in its daily activity, including those risks that are more

difficult to quantify. The General Risk Management and Control Model approved this year is considered the specific form of

sustainability as an essential part of the Group's strategy.

Global Risk Assessment is a prospective exercise which updates at least twice a year, and allows a comparison between risk types,

business activities and moments in time, facilitating the understanding of the Bank's positioning and its development, and identifying

the material risks to cover with capital. Since 2020 the Group has carried out a qualitative climate assessment, which assesses

BBVA's vulnerability to transition and physical risk. As in the case of the global assessment, the climate assessment process is

participative and global in the GRM area. The proposed assessment for each risk type is based on the risk specialists and verified by

other group and geographical risk units. The results of the assessment are submitted to the highest executive risk committed

(GRMC), as well as the corporate bodies, as this assessment is integrated in key corporate processes such as the Risk Appetite

Framework and the Internal Capital Adequacy Assessment Process (ICAAP).

The climate risk assessment process runs parallel to the Group's global risk assessment, although there are two major differences

with respect to it. First, there are still no mature indicators to assess the different risks quantitatively (although they are being

developed); and second, the time horizon of the analysis is much more extensive. Specifically, the analysis is carried out for a short-

term horizon coinciding with the planning horizon (4 years), medium term (4-10 years) and long term (over 10 years). The climate risk

assessment, like the other risks, is carried out from two perspectives. First, risk events are identified that could materially affect the

Group over a 12-18 month horizon. Next, the risk event matrix identified in 2021 is included. The events are ordered according to their

severity, which is estimated on the basis of the likelihood allocated to each event and their estimated impact on the BBVA Group. In

the event matrix, these risks are represented graphically by their estimated impact on BBVA Group and its allocated probability.

Climate risk has been included as a material event in this inventory since 2019. In the 2021 assessment the analysis of climate risk

events has been broken down into physical and transition risks. In the short term an accelerated transition to a low-carbon economy

is thought to involve an event of medium-high impact, although the probability given to this type of scenario is currently medium-low.

In a long-term time horizon, the risk of physical climate change is incorporated into the inventory of emerging risks (those that could

have an impact in a longer time horizon) and it is assigned a medium-high risk.

Risks with materialization in the short term: 12-18 month time horizon

The second approach followed in risk assessment is based on an assessment of the profile of each type of risk expressed in a heat

map. In 2021 the climate risk assessment exercise was given greater profundity by including new risk factors including the customers'

carbon footprints, the energy efficiency of real-estate secured loans and financed emissions. Similarly, work has been done on the

preliminary inclusion of quantitative metrics for some risk factors and it has been extended to BBVA Group's material geographical

areas.

The conclusions of the assessment for 2021 suggest that the main risks emerge in medium- and long-term loan portfolios, with an

earlier impact on transition risk in Spain given the speed of this geographical area in adopting decarbonization policies. The factor

with the biggest long-term impact on credit risk is that derived from investment in climate change which will have to be carried out by

companies in the decarbonization process. With respect to the impact of physical risk on loan portfolios, the greater frequency/

severity of extreme meteorological events and structural changes in climate patterns explains the deterioration shown in the

assessment at longer-term horizons.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

The impact of transition risk on liquidity risk is due to the stability of the retail deposit base and the high asset quality of the liquid

asset buffer. Market risk is equally low, due to the diversification of the equity portfolio and low exposure to sectors sensitive to

transition risk in the fixed-income portfolio.

In operational risk, there is a difference in the perceived risk in Spain (medium-low) and in the rest of the geographical areas (medium-

high), due to the greater exposure of the latter to physical risk in the medium and long term.

RISK ASSESSMENT CLIMATE CHANGE 2021

Spain

Rest of geographical areas

Transition risk

Credit

Liquidity and funding

Structural equities risk

Credit spread risk

Markets (trading)

Insurance

Operational

Reputational

TOTAL

Phisycal risk

Credit

Liquidity and funding

Structural equities risk

Credit spread risk

Markets (trading)

Insurance

Operational

TOTAL

Temporary horizons definitions:

ST: short term; up to 4 years (planning horizon)

MP: medium term from 4 to 10 years

LP: long term; more than 10 years

Low risk

Moderate-low risk

Moderate-high risk

High risk

Not applicable

In 2021 there has been an increase in transition risk, derived from the drive in Europe for both new regulations and updates of existing

ones. Similarly, the determination of the decarbonization path to be taken in carbon-intensive sectors represents an expected

increase in investment in capital expenditure (CAPEX), with the resulting impacts on credit risk. To this has to be added the greater

awareness of people in general, foreseeable change in the demand for these emission-intensive sectors, as well as the increase in the

price of CO2 emission rights, which hit a high in Europe of €88.87/TCO2 in December 2021.

All this has highlighted the importance of clearly defining what sectors include a material transition risk and to what extent this could

affect BBVA.

BBVA, within the scope of preparing and defining its industry frameworks governing the credit admission process, has developed an

internal Taxonomy of transition risk in order to classify industries according to their sensitivity to transition risk. In addition, metrics

are identified at the client level to assess their vulnerability and to integrate this aspect into risk and customer support decisions.

The estimation of the transition risk-sensitivity level is based on the qualitative analysis of the amount of exposure to regulatory,

technological and market changes caused by decarbonization that may have a financial impact on the companies of the industry and

on the estimation of the time horizon impact of these effects.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Thus, industries are categorized according to their level of sensitivity to transition risk: very high, high, moderate or low. The

industries identified as most sensitive to transition risk are energy or fossil fuel generation sectors (energy, utilities, coal mining);

emission-intensive basic industries (steel, cement); and activities that are final users of energy through their products or services

(vehicles manufacturers, air and sea transportation).

As a result of this exercise, with data at 31 December 2021, 17.4% of the exposure measured by EAD of the wholesale portfolio

(equivalent to 9.0% of the Group’s portfolio) has been identified as corresponding to sectors defined as “high transition risk”, with a

high or very high level of exposure to this risk. This calculation was made on a portfolio of €190,880m (of the Group’s total EAD of

€368,819m), corresponding to the EAD of the wholesale lending portfolio.

The percentage of exposure measured by EAD of the sectors sensitive to the transition risk of the wholesale portfolio over the EAD of

the wholesale portfolio at December 31, 2021 are as follows:

Internal development. It includes the percentage of exposure (exposure at default) of activities internally defined as “transition risk sensitive” over the EAD of the wholesale

portfolio at December 31, 2020 (does not include subsidiaries of Garanti, Forum Chile, Uruguay, Venezuela and BPI). The “transition risk sensitive” portfolio includes activities that

generate energy or fossil fuels (energy, utilities - excluding renewable generation and water and waste treatment -, coal mining), basic industries with emission-intensive

processes (steel, cement) and final activities users of the energy through their products or services (vehicles manufacturers, air and sea transportation), with an intermediate,

high or very high level of sensitivity to this risk.

Work is also being done to extend this calculation to the SME and self-employed sector. The preliminary results obtained with data as

of June 2021 indicate that the EAD associated with high or very high transition risk in this portfolio is limited, at around 3%, and

focused mainly in Spain and in the automotive (components) sector.

In addition, climate and environmental risk impact has been incorporated into country risk analysis since 2019, as an additional input

for establishing risk policies affecting exposures to private or sovereign administrations of all the countries with which the Bank has

some type of risk (100+ countries).

To this end, a Climate Vulnerability Index (hereinafter, the CVI) has been created for more than 190 countries, which captures the

physical risk and, to a lesser extent, the transition risk of each country, based on international indicators (e.g., Global Adaptation Index

of the University of Notre Dame, ND-GAIN, and the Energy Transition Index, ETI, produced by the World Economic Forum).

Subsidiarily, vulnerability indices issued by other international organizations and by the three rating agencies are also taken into

account.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

The methodology establishes 5 climate vulnerability levels, which are a comparative classification, as all countries have a certain level

of vulnerability given the global nature of this phenomenon. The CVI has been integrated into risk management by including a specific

section in country risk reports, so it is a factor that is taken into account when establishing risk limits (particularly in the most

vulnerable countries). It is also taken into account in setting country ratings and outlooks.

In 2020 a methodology was also launched to determine climate vulnerability at the sub-national level (regions, provinces, cities). To

this end, indicators developed by internationally renowned institutions such as the Andean Development Corporation (CAF), the EU or

BBVA Research. Work has also been done to incorporate transition risk to a greater extent in the CVI.

Analysis of scenarios and stress testing

Scenarios and internal stress tests

Scenario analysis is one of the main tools for integrating climate change into risk management, as it allows a valuation of the

vulnerabilities with a prospective vision, thus allowing early adoption of mitigating measures which prevent the materialization of

severe shocks. Scenario analysis also enables the assessment of the risk factors’ impact on the metrics defined in the Risk Appetite

Framework.

In 2021 the climate scenarios have been integrated into the governance of BBVA Group's internal scenarios, with initiatives being

developed in three areas:

1.Reflection on the climate has been present in preparing the baseline budget scenario for 2021.

2.The climate driver has been integrated into the high-level risk scenarios (HLRS) which are monitored and assessed

continuously in the Group by the Scenario Working Group. They serve as a basis for choosing the scenario which is used in

the Group's internal capital adequacy process (ICAAP).

3.An internal pilot project has been carried out to assess the short-term (4 years) and long-term (20 years) impact on credit

risk of two climate stress scenarios. A start has been made in Spain, the most important geography for the Group, and for

transition risk, because of its greatest relevance, severity and plausibility in the short term, rather than physical risk, which

has longer-term material and persistent impacts.

To do so, and in line with supervisory expectations, three alternative transition risk scenarios have been selected based on a set of

representative scenarios defined by the Network of Central Banks and Supervisors for Greening the Financial System (NGFS):

–Current Policies Hot House in which only the climate policies currently implemented are continued and therefore there is no

transition risk, but with a high exposure to physical risks given the increase in global warming. This is considered the

baseline scenario.

–Orderly transition with Carbon Dioxide Removal (CDR), managing to limit temperature growth to 1.5ºC.

–Disorderly transition with limited CDR, managing to limit temperature growth to 1.5ºC.

The two transition scenarios are relevant for the purposes of a bank stress test. The disorderly scenario of 1.5°C is not only consistent

with the Paris Agreement target, but requires the highest carbon prices of all the set of NGFS scenarios; it is therefore the most

intense transition scenario and the highest risks, which makes it an obvious candidate for a stress test. Moreover, the orderly 1.5°C

scenario presents a trajectory in which the adjustments for transition are progressive and gradual, as well as ambitious, although they

also represent vulnerabilities.

The pilot internal stress test has been structured on the basis of these latest scenarios. This pilot project has been undertaken with a

sector-based approach, adapting existing models, and transferring to the main macro variables the impact of temperature growth.

This analysis concludes that in the short term, the most affected portfolios will be SMEs and Mortgages. In SMEs the most emission-

intensive sectors have a high impact at expected loss level, although in staging the impact it is very low as a result of the good quality

of the current portfolio. In terms of the impact by sectors of Transition Vulnerability Factors (TVFs), which are risk factors specific to

the industry which capture the dependence of an industry to CO2 emissions in relation to the economy as a whole, in the short term

both in the orderly and disorderly transition scenarios the greatest impact is observed in the same emission-intensive sectors.

In the long term, the impact of TVFs does not alter the order of the top 3 obtained in the short term.

Regulatory and supervisory scenarios and stress tests

In October 2021, the ECB published the methodology for the stress tests on climate change risk programmed for 2022 in the months

March to July. This test represents major challenges from the perspective of data and methodologies. In 2021 work has been done on

a preparatory phase for providing a response to it.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Identification, Measurement and Integration of climate change into

risk management

Once climate risk is incorporated into the Risk Appetite Framework and the business strategy, it also must be included in the day-to-

day risk management, which is a part of the risk decision making that supports the Group’s clients.

For that purpose, the identification and measurement of this risk type for subsequent integration into the existing management

frameworks and processes is required, including the adaptation of policies, procedures, tools, parameterization, risk limits and risk

controls in a consistent manner. In a first phase, adaptation is focused on the integration of this risk in the industry frameworks (a

basic tool in the definition of our risk appetite in wholesale loan portfolios), and in the Mortgage and Auto Operating Frameworks in

retail credit. Currently, BBVA is developing the methodologies and tools it needs to identify and measure the different components of

climate risk, and the financial impact analysis of each of them for subsequent integration into the management.

Loan portfolio alignment with Paris Agreement

The role of the bank is key as the financier of all the productive sectors. The influence which may be exercised by this finance on its

customers' behavior and in their environmental performance, is critical for achieving the targets of the Paris Agreement.

Within the framework of this focus of climate action, in April 2021 BBVA announced the Net Zero 2050 commitment (net zero

emissions by 2050), including the emissions of customers who receive finance from the Bank. BBVA wants to support its customers

in their transition towards a more sustainable, with plans and specific targets. It has undertaken to publish alignment targets for the

sectors defined in the Guide to set the Net Zero Banking Alliance objectives.

BBVA has pledged to reduce its exposure to carbon-related activities to zero, and stopping the finance of companies in these

activities by 2030 in developed countries and by 2040 in the rest of the countries where it operates.

BBVA, together with four banks which have signed the Katowice commitment, and with the support of the think tank 2 Degree

Investing Initiative (2DII), has adapted the methodology called PACTA (Paris Agreement Capital Transition Assessment) to the

banking sector. The concept of alignment seeks the transformation of activities considered particularly CO2 intensive, and as a result

contrary to compliance with the Paris Agreements. This alignment creates an incentive for companies to shift their productive model

to greener activities.

The commitment to alignment acquired by BBVA implies establishing a framework which is composed of objectives and

commitments for the different sectors committed within the methodology chosen over the next 20 years. In 2021, BBVA published

intermediate decarbonization objectives through 2030 for the electricity generation, automobile, steel and cement sectors which

represent, together with coal, 60% of the global CO2 emissions.

Below are details of the metrics chosen to measure alignment within the framework of the Katowice group for the sectors in which

decarbonization targets have been set for 2021. Included are the scope of emissions considered, benchmark scenarios, the metrics of

the current situation and the target for decarbonization through 2030.

Sector

Emissions

scope

Metric

Benchmark

scenario

BBVA

baseline

(2020)

BBVA 2030

target

Absolute

effort

CAGR (1)

Power

1+2

kg CO2e/MWh

IEA Net Zero

2050

249

120

(52)%

(7.0)%

Auto

g CO2/km

IEA Net Zero

2050

220

118

(46)%

(6.0)%

Steel

1+2

kg CO2/tonne

steel

IEA Net Zero

2050

665

515

(23)%

(2.5)%

Cement

1+2

kg CO2/tonne

cement

IEA Net Zero

2050

695

575

(17)%

(1.9)%

Coal

NA (1)

Portfolio tred

(€Mn)

NA (1)

Phase out plan already announced in March 2021:

•2030 for developed countries

•2040 globally

(1) Does not apply

(2) Percentages are the Compound Annual Growth Rate between the base year (2020) and 2030

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Calculation of financed emissions

BBVA has been working on this carbon footprint measurements for customers or financial assets, so that it attributes to BBVA in its

accounting or indirect emissions the equivalent percentage issues of the debt.

To make this measurement, BBVA is implementing the PCAF (Partnership for Carbon Accounting Financials). This project will cover

all the portfolios and geographies to obtain a global vision of the emissions financed, identify in what portfolios and sectors these

emissions are focused and then define mitigation plans for them, and a cross-cutting vision of the quality of the data we have available

to make these calculations.

In an initial estimate of the emissions of the finance to corporate clients and SMEs determined by BBVA SA (made with emission

factors based on customer activity), we obtain 80% of the emissions focused on 6 sectors, of which the biggest emitters are:

manufacturing, mining and electricity generation.

Measurement and integration of transition risk

The need to decarbonize the economy, as a consequence of climate change, requires a reallocation of resources between more

emission intensive activities and those less affected. This dynamic between sectors can be further accelerated in those industries

where transition risk brings the time horizon impact closer, or where regulatory measures or technological developments set the

implementation schedule.

It is therefore natural to integrate these two factors results in the integration of climate factors into credit risk management

processes. through the wholesale credit industry frameworks of those sectors most strongly impacted.

In 2021, sustainability factors have been incorporated as one of the dimensions of the analysis in the Operating Frameworks of all the

sectors are included in the taxonomy as "high transition risk". These frameworks analyze, based on long-term scenarios aligned with

the targets of the Paris Agreement, the financial impact of decarbonization of risks and opportunities, as well as the time horizon of

the changes generated by climate transition. This is done by considering the impact on the sector of factors such as the carbon price,

new regulations related to the climate transition, technological investment or transformation (change in the generation mix of

energy/utilities, or electrification in the case of vehicles) and the changes in the patterns of consumption of customers or consumers.

The industry frameworks take into account the transition strategies developed by the Bank’s main client in each sector.

This exercise has allowed climate transition risks and opportunities to be incorporated in the risk portfolio view exercise which is

carried out every year, where risk appetite is defined at sector level. Based on the analysis, the vision of risks of some of the sectors

and subsectors with greatest exposure to transition risks has been revised.

Together with the integration into the industry frameworks, the systematic integration of sustainability factors into the customer

analysis processes for credit origination purposes began in 2021, thus allowing their incorporation in decision making. BBVA has

aligned the loan policies to origination and monitoring guidelines issued by the European Banking Authorities. It assesses customers'

ESG and climate risks, with particular attention to the sectors classified as sensitive, called sectors with high transition risk.

This analysis is carried out based on an ESG questionnaire which reveals the climate change strategies, governance strategies and

climate change risks and opportunities, decarbonization metrics and targets, and progress made in the management of other

material ESG aspects for the customers' sector of activity. This questionnaire allows us to generate a transition scorecard for

customers in any sector.

Moreover, for sectors classified as of high transition risk, an advanced scorecard has been developed to incorporate transition risk

dimensions in the customer's profile. The scorecard assesses the current low-carbon profile; its transition risk in the geographical

areas where it operates (and the measures taken to mitigate its exposure to long-term transition risk); its level of reporting on climate

management, and the integration of results into the Paris Agreement commitments. The result of the scorecard is a valuable tool to

enhance commitment to customers by identifying their strengths and weaknesses and allows specific products to be defined to help

them in the transition to low-carbon business models.

The following chart shows the results of the scorecard of the main customers in BBVA's automobile, oil and gas as well as utilities

portfolio.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

In 2022, work was done to integrate these tools and measure the transition risk of customers and portfolios (in the rules, policies and

procedures for managing habitual risks).

In the retail area the transition risk analysis was focused on the Mortgage, Auto Loan and SME portfolios. In all of them, one of the

main aspects that determines the transition risk are carbon emissions associated with each of them. These emissions are associated

with the use of fossil fuels or electricity, or dependence on them for the correct operation of the asset or customer. The PCAF

financed emissions are thus used as a level to identify the customers or assets most sensitive to changes in regulation, fuel prices or

depreciation of certain types of "unsustainable" assets. In turn, to mitigate risk, BBVA also acts as a financing facilitator to address

the investments required for climate change mitigation and adaptation to climate change with more sustainable forms of life and

products.

In the case of mortgages, significant progress has been made to define the sustainable criteria for classification when a mortgage

guarantee is considered sustainable according to its efficiency in the use of energy or water resources. These criteria determine the

customer's option to choose a sustainable product which, in general, includes discounts. Thus in 2021 the necessary mechanisms

have been implemented to promote the acquisition of sustainable housing, thus increasing BBVA's ratio of sustainable finance.

Moreover, it is worth noting that for transition risk and the estimation of emissions, detailed information is needed on the

characteristics of mortgage collateral (size, efficiency, location, etc.). In 2021, in geographical areas such as Spain (the most

important geography in the portfolio by volume of exposure), these data were captured for the first time with an extensive coverage.

In 2022 work will continue to improve the availability of data in the rest of the geographical areas.

In the case of vehicle loans, as well as the type of fuel, mechanisms are being implemented to have information available associated

with average emissions of each vehicle based on its make, model and version. As in the case of mortgages, finance with sustainable

products is promoted when they comply with sustainability criteria, which define the maximum emissions for each geographic area

under the Worldwide Harmonized Light Vehicles Test Procedure (WLTP), a protocol for the approval of vehicles within the European

Union).

Classification and measurement of physical risk

Physical risk is associated with the location of customer assets and activity. It may be materialized in credit risk by different channels

of transmission, impacting multiple forms such as customer purchasing power, business productivity, market demand and asset

value. In 2021, BBVA's learning curve increased exponentially in this field and its level of maturity and knowledge of the different

methodologies to evaluate the physical risk made considerable progress. The most relevant initiatives to highlight are the

construction of sector vulnerability heat maps, the assessment of sources of climate data and market suppliers and the physical risk

exercises carried out with a variety of suppliers to calculate a marker with both end-to-end solutions and with geospatial technology

suppliers. This work will continue very active in 2022.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

With respect to sector vulnerability, a physical risk vulnerability heat map has been developed for Wholesale and Investment Banking

and SMEs, following the best practices identified by the Taskforce on Climate-Related Financial Disclosure (TCFD) and the United

Nations Environment Program Finance Initiative (UNEP FI). The heat map is the basis for generating a qualitative classification of the

portfolios in accordance with their potential exposure to climate risks. It also allows the identification of sectors whose business

model and activity may be impacted by chronic or acute changes in the climate.

The heat map indicates the potential exposure, according to eight vulnerability indicators at the subsector level which allows the

identification of vulnerability at the different stages of the value chain:

–Supply chain: dependence on natural resources and sensitivity of the supply chain to climate changes.

–Logistics: dependence on transport routes.

–Own operations: vulnerability of assets and processes, dependence of the labor force and vulnerability of its productivity,

dependence on energy supply and impact of physical risks in the social and environmental performance of the asset.

–Sales: sensitivity of sales to physical climate change.

As a result, the sectors identified with the greatest vulnerability to physical risks, have been energy generation, utilities, basic

materials, construction, consumption and real estate.

In addition, as part of the work group of UNEP-FI, BBVA carried out an exercise to assess the physical risk score with a sample of the

mortgage portfolio, based on the location of the collateral. For this, physical risk was analyzed for a variety of climate dangers

estimated for the year 2040 with a scenario of a greenhouse gas concentration of RCP 8.5 (hog house IPCC scenario). The results

obtained show that in the case of Spain the most significant dangers are water stress, forest fires and heat stress. These dangers are

related to the increase in temperature and reduction in average precipitation. The risks of flooding are limited and focused on the

coast and river banks. In the case of Mexico, the most significant risks are the same as for Spain, with the added risk of hurricanes,

which are extremely significant in the far east and west of the country. In South America, the risks associated with water, heat and fire

stress are relevant, but also worth noting is the greater risk of flooding due to the local geography and changes in expected

precipitation patterns.

The progress made in 2021 has allowed a definition of an action plan whose objective is to measure the exposure of wholesale and

retail portfolios to the different climate dangers and begin to integrate risks into the risk policies and processes.

Finally, and as mentioned in previous sections, the BBVA Group is committed to sustainable development, being one of the elements

that defines BBVA's business model. In this regard, the General Retail Credit Risk Policy establishes that one of the general principles

governing retail credit risk management in the BBVA Group is respect for equality and diversity, preventing access to financial

products there is unfair bias for reasons such as gender, color, ethnicity, disability, religion, sexual orientation, or political opinion.

Additionally, the Model's General Risk Management Policy establishes that in order to avoid unfair biases in access to financial

products for reasons such as gender, color, ethnic origin, disability, religion, sexual orientation or political opinion; none of these

variables will be included in the admission and pricing models.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.3.6Management of direct and indirect impacts

As a financial institution, BBVA has an impact on the environment and society directly through the consumption of natural resources

and its relationship with stakeholders; and indirectly, and most importantly, through its lending activity and the projects it finances.

Management of direct environmental impacts

BBVA has a clear commitment to both society and the environment. The global strategy of the reduction of direct impacts is

organized around four core elements: reduction in consumption through the energy efficiency initiatives; use of renewable energy;

awareness and involvement of employees and other stakeholders in the path toward a low-carbon economy; and offsetting its carbon

footprint through the purchase of credits of projects of the Voluntary Carbon Market to comply with the commitment acquired in

2020 to be a carbon-neutral company.

This commitment embodies in BBVA's climate change strategy (the Pledge 2025), whose objectives are, first, a reduction of 68% of

Scope 1 and 2 CO2 emissions with respect to 2015, and a consumption of 70% of renewable energy by 2025, and 100% by 2030. In

line with the latter objective, BBVA has since 2018 adhered to the RE100 initiative, through which the most influential companies in

the world have agreed that their energy would be 100% renewable by 2050.

New Global Eco-Efficiency Plan

BBVA has also established other ambitious objectives in its climate strategy. They are included in the Global Eco-Efficiency Plan, in

force from 2008, and which was renewed in 2021 for the period 2021-202517.

The New Global Eco-Efficiency Plan sets direct targets for year-on-year impact reduction and the achievement of the Pledge 2025:

GLOBAL ECOEFFICIENCY PLAN GOALS 2021-2025

Vector

Indicators

Global target(1)

Pledge target(2)

Compsuntions

Renewable electricity (%)

77%

70%

Electricity consumption per employee (MWh/FTE)

(10)%

Energy consumption per employee (MWh/FTE)

(7)%

Water consumption per employee (m3/FTE)

(11)%

Paper consumption per employee (kg/FTE)

(11)%

Circular economy

Net waste per employee (t/FTE)

(4)%

Carbon footprint

Scope 1&2 carbon emissions (tCO2e)

(67)%

(68)%

Sustainable building

Environmentally certified area (%)

45%

(1) Base year 2019

(2) Base year 2015

This plan is based on four lines of action:

1.Consumption

With the aim of reducing BBVA's environmental footprint, the following lines of actions will be implemented:

–Electricity consumption: BBVA's strategy is focused on the use of renewable energy, given that the most

important level for contributing to the decarbonization of energy markets where the Group operates. The goal is

to increase steadily its weight to comply with the Pledge 2025. The strategy for this consists of reaching Power

Purchase Agreements (PPAs), such as those already in place in Mexico, Spain and Argentina, as well as the

acquisition of renewable energy certificates and Guarantees of Origin in Spain and Portugal, or international

Renewable Energy Certificates (iRECs) in Mexico, Colombia, Peru and Turkey. There will also be a commitment to

self-generation of renewable energy by the installation of solar photovoltaic and solar thermal panels in the

Group's facilities, as is already happening in a number of subsidiaries in Turkey, Uruguay and Spain.

–Implementation of energy saving measures (ESMs) for the operation of buildings, to control and reduce

consumption.

–Initiatives for the reduction of water consumption, such as gray water recycling systems and rainwater

recirculation for irrigation in the headquarters of Spain and Mexico, and the installation of waterless urinals in

some of the buildings in Spain.

–Finally, there are measures for the digitalization and centralization of printing to reduce the consumption of paper,

76% of which is also recycled or environmentally certified in most of the geographies.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

17 To establish the PGE 2021-2025 targets the base year 2019 has been used, as consumption in 2020 was skewed by the effect of the pandemic.

2.The circular economy

Waste generation is becoming a serious problem at global level, so part of BBVA's contribution to sustainable development

must consist in transitioning linear consumption practices to circular consumption. BBVA has been working for many years

to reduce this impact through sustainable construction standards and the implementation of environmental management

systems certified with ISO 14001. The aim is to reduce to a minimum the waste which is sent to landfills, so our facilities

have clearly differentiated and clearly marked zones which allow us to carry out a correct segregation and recycling of

waste. Moreover, under our action plan all these sustainable practices comply with zero waste management standards in

some of the Group's geographic areas such as Turkey and Spain. Moreover, in Argentina the BBVA headquarters in Buenos

Aires received the Green Seal of the city's government in 2021, certifying its responsible waste management.

3.Carbon footprint

The reduction of the carbon footprint is one of the goals established within the Pledge 2025. BBVA's total emissions are

composed of:

–Scope 1 greenhouse gas emissions, which include direct emissions from combustion facilities for own use,

combustion of the fleet of vehicles and refrigerant gasses.

–Scope 2 greenhouse gas emissions, including indirect emissions related to electricity production, purchased and

consumed by buildings and branches.

–Scope 3 greenhouse gas emissions, which include other indirect emissions. This scope for BBVA includes the

emissions from business trips (plane or train), emissions by waste management and emissions due to the trips

made by our employees to their place of work.

Both Scope 1 and 2 emissions and Scope 3 emissions are calculated according to the GHG Protocol standard established by

the World Resources Institute (WRI) and the World Business Council for Sustainable Development (WBCSD).

Since 2020, BBVA has been a Carbon Neutral company by offsetting its residual emissions through the purchase of credits

on the Voluntary Carbon Market. Moreover, in line with the recommendations of the Taskforce on Scaling Voluntary Carbon

Markets, BBVA has established requirements for the selection of projects with which to offset its residual emissions. Among

these requirements are the obligation for projects to be certified under the maximum quality standards such as the Verra

Verified Carbon Standard (VCS) and the Gold Standard; and that preferably they should be projects for the absorption or

capture of CO2.

4.Sustainable construction

Another of the objectives is to guarantee the implementation of the best environmental and energy standards in BBVA

buildings to achieve a large percentage of environmentally certified area. In fact, the BBVA facilities hold a number of

construction and management certification.

Among the construction certifications, there are 16 buildings and 1 Group branch with the prestigious LEED (Leadership in

Energy and Environmental Design) for sustainable construction. These buildings include the Group's headquarters in Spain,

Mexico, Argentina and Turkey. Three of them have also received the highest certification, the LEED Platinum.

With respect to management certifications, BBVA has implemented an Environmental Management System in many of its

buildings, based on the ISO 14.001:2015 Standard, which is certified every year by an independent entity. This certification

is used to control and evaluate environmental performance in the operations of some of its buildings. This system is

implemented in 86 buildings and 1,034 branches in the main countries where the Group operates. Moreover, the

headquarters in Turkey also has the WWF Green Office certification, which promotes the reduction in the carbon footprint

and carbon emissions; and the Ciudad BBVA, the Bank's headquarters in Spain, has obtained the AENOR "toward zero

waste" seal as a prior stage to obtaining the "zero waste" certification of a standard which promotes the circular economy.

Finally, three of our buildings in Spain also have an Energy Management System that has been certified by an independent

third party and complies with the ISO 50.001:2018 standard.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

MAIN INDICATORS OF THE GLOBAL ECOEFFICIENCY PLAN (1)

2021

2020

2021 Goal (%)

Reference value

∆ 21-19

∆ 21-20

Reference value

Renewable electricity (%)

73%

79%

71%

Electricity consumption per employee (MWh/FTE)

(5)%

5.76

(14)%

(4.4)%

6.02

Energy consumption per employee (MWh/FTE)

(4)%

6.46

(14)%

(3)%

6.65

Water consumption per employee (m3/FTE)

(1)%

17.9

(5)%

—%

17.98

Paper consumption per employee (kg/FTE)

(8)%

33.8

(32)%

32.65

Net waste per employee (t/FTE) (2)

(2)%

0.02

(52)%

(10)%

0.02

Scope 1&2 carbon emissions (tCO2e) (3)

(59)%

91,994.55

(54)%

14%

80,390.37

Environmentally certified area (%) (4)

41%

39%

41%

Note: These indicators are calculated on the basis of full time employees. The base year for the new Global Ecoefficiency Plan will be 2019 since 2020 has been a year that, due

to the circumstances of the pandemic, could distort the evolution.

(1) The data shown here includes the countries Argentina, Colombia, Spain and Portugal, Mexico, Peru, Turkey and Uruguay. Some of the data for 2021 are estimates, as

complete information for the year was not yet available at the close of the report.

(2) Net waste is the total waste generated minus the waste that is recycled.

(3) Includes scope 1 (fuels in installations and vehicle fleet and refrigerant gases), scope 2 market-based

(4) Includes IS0 14001, ISO 50001, LEED, Edge and WWF Green Office certifications.

Environmental performance in 2021

ENVIRONMENTAL PERFORMANCE 2021

* CO2 Emissions Goal (scope 1 & 2) en MtCO2e

The Group's environmental footprint shows very positive data compared to the baseline year 201918, with reductions of 54% in Scope

1 and 2 emissions (according to the market-based method), 14% in electricity consumption, 5% in water consumption and 32% in

paper (all per person). The percentage of renewable energy consumption has reached 79%, and the environmentally certified area

was 39%.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

18 The base year of 2019 has been used because consumption in 2020 was skewed by the effect of the pandemic.

ENVIRONMENTAL FOOTPRINT (BBVA GROUP)(1)

2021

2020 (7)

Consumption

Total water comsuption (cubic meters)

1,925,850

1,924,660

Public water supply (cubic meters)

1,873,473

1,924,660

Recycled water (cubic meters)

52,377

n.a.

Paper (tons)

3,636

3,521

Energy (Megawatt hour) (2)

695,140

717,011

Energy from renewable sources (Megawatt hour)

491,542

462,280

Energy from non renewable sources (Megawatt hour)

203,598

254,731

CO2 emissions

Scope 1 emissions (tons CO2e)(3)

49,639

12,235

Emissions from fuels in facilities (t CO2e)

13,669

12,235

Emissions from vehicle fleet fuels (t CO2e)

8,509

n.a.

Emissions from refrigerant gases (t CO2e)

27,461

n.a.

Scope 2 emissions (tons CO2e) market-based method (4)

42,355

68,155

Scope 2 emissions (tons CO2e) location-based method (5)

202,492

243,033

Scope 1&2 emissions (tons CO2e) market-based method

91,995

80,390

Scope 1&2 emissions (tons CO2e) location-based method

252,131

255,268

Scope 3 emissions (t CO2e) (6)

9,432

5,843

Emissions from waste management (t CO2e)

1,034

n.a.

Emissions from business travel (t CO2e)

3,073

5,843

Emissions from employees commuting (t CO2e)

5,325

—

Total CO2e emissions (t CO2e) market-based method

101,426

86,233

Total CO2e emissions (t CO2e) location-based method

261,563

261,111

Social cost of carbon (Scope 1&2) (€) (8)

4,121,480

n.a.

Waste

Hazardous waste (tons)

120

Recycled hazardous waste (tons)

n.a.

Disposed hazardous waste (tons)

n.a.

Non-hazardous waste (tons)

4,198

3,250

Recycled non-hazardous waste (tons)

2,343

n.a.

Disposed non-hazardous waste (tons)

1,855

n.a.

Single-use plastics (9)

n.a.

Donated IT equipment (units)

1,165

347,382

(1) The data shown here include Argentina, Colombia, Spain and Portugal, Mexico, Peru, Turkey and Uruguay. Some of the data for 2021 are estimates, as complete information

for the year was not yet available at the close of the report.

(2) Includes consumption of electricity and fossil fuels (diesel, natural gas and LP gas), except fuels consumed in vehicle fleets.

(3) Emissions from direct energy consumption (fossil fuels) and calculated based on the emission factors of the 2006 IPCC Guidelines for National Greenhouse Gas Inventories.

The IPCC Fifth Assessment Report and the IEA have been used as sources for conversion to CO2e. From 2021 onwards, emissions derived from the use of the vehicle fleet and

refrigerant gas leaks at our facilities have been included in this scope.

(4) Emissions from electricity consumption and calculated based on contractual data and, failing that, on the latest available IEA emission factors for each country.

(5) Emissions from electricity consumption and calculated based on the energy mix of each geography. Emission factors are the latest available according to IEA for each

country.

(6) From 2021 onwards, in addition to emissions from business travel by air, emissions from business travel by train, emissions from waste management and emissions from

employee commuting have been included in this scope, using emission factors published by DEFRA in 2021. For our employees' commuting emissions, a survey has been sent

to BBVA employees although only those from Central Services in Argentina, Colombia, Spain, Mexico, Peru, Portual and Uruguay have been taken into account so that the data

compares with those published in 2019.

(7) 2020 data differ from those published in the previous annual report due to the exit of the USA from the perimeter.

(8)The impact of greenhouse gas emissions for 2021 is calculated only with Scope 1 and 2 emissions and using the CO2 social cost factor according to a proportional estimate

of the EPA's social cost of carbon for 2020 ($51/tCO2) and 2025 ($56/tCO2), (discount rate of 3%, with exchange rate 1.183 €/USD).

(9) Masks purchased for our employees in Argentina, Colombia, Spain, Mexico and Peru have been taken into account, although these quantities do not form part of the data on

non-hazardous waste disposed of as they have not always been deposited in our containers for disposal. Also the data provided on single-use plastics from catering suppliers in

Spain and Mexico.

Given the business activities in which the BBVA Group engages, the Group has no environmental liabilities, expenses, assets,

provisions or contingencies that are significant in relation to its equity, financial position and earnings. As such, as of December 31,

2021, the accompanying consolidated Annual Accounts do not include any item that warrants inclusion in the environmental

information document provided for in Order JUS/318/2018, of March 21, approving a new template for filing the consolidated annual

accounts at the Companies Register for those entities obligated to disclose such information.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Management of indirect environmental and social impacts

BBVA addresses environmental and social risks from the perspective of impact prevention and mitigation. To do this, it uses tools

such as the Environmental and Social Framework or the Equator Principles that have an environmental and social focus, and which

are described below. Managing the impacts that customers generate on the environment is part of the Pledge 2025. To manage them,

BBVA has implemented a number of initiatives and tools.

Environmental and social framework

In 2020, the Environmental and Social Framework for the due diligence in the field of mining, agribusiness, energy, infrastructure and

defense was approved (Framework), which revised and integrated the previous Sector Norms (approved in 2018) and the Rules of

Conduct in Defense (in force since 2012).

In line with the previous regulation, this Framework provides a decision-making guideline with regard to transactions and customers

that operate in these five sectors (mining, agribusiness, energy, infrastructure and defense); as they are considered to have a bigger

social and environmental impact. The Framework is public and available on the BBVA shareholders and investors website.

To guarantee its effective implementation, BBVA receives advice from an independent external expert, with whose collaboration it

carries out an enhanced due diligence on its customers and transactions, in order to mitigate the risks associated with these sectors

and contribute to the compliance with the General Sustainability and Social Corporate Responsibility Policies.

For the Framework review, new market trends in this area, the expectations of stakeholders and the strengthening of the

implementation procedures are taken into account.

The following were the highlights of the December 2020 review:

–restriction to the applying of exceptions in the field of mining and energy for countries with high energy dependence only to

projects under construction and existing customers;

–the reduction from 35% to 25% of the threshold applied to the exclusion of customers with high coal exposure, which

applies both to the extractive activity and the energy generation;

–extension of the prohibition related to bituminous sands;

–the incorporation of new prohibited activities such as deep-sea mining, artic oil and gas transportation, as well as large

dams that are not built under the World Commission on Dams (WDC) framework.

In the March 2021 review, BBVA highlighted the commitment to remove customer exposure to carbon by 2030 for developed

countries and 2040 globally, by dialog with customers and active monitoring with their portfolios.

Equator Principles

Energy, transport and social service infrastructures, which drive economic development and create jobs, can have an impact on the

environment and society. BBVA’s commitment is to manage the financing of these projects to reduce and avoid negative impacts and

in this way enhance their economic, social and environmental value.

All decisions to finance projects are based on the criterion of principle-based profitability. This implies meeting stakeholder

expectations and the social demand for adaptation to climate change and respect for human rights.

In line with this commitment, since 2004 BBVA has adhered to the Equator Principles (EP), which include a series of standards for

managing environmental and social risk in project financing. The EPs were developed on the basis of the International Finance

Corporation’s (IFC) Policy and Performance Standards on Social and Environmental Sustainability and the World Bank’s General

Guidelines on Environment, Health and Safety. These principles have set the benchmark for responsible finance.

The analysis of the projects consists of subjecting each operation to an environmental and social due diligence process, including

potential impacts on human rights. The first step is the allocation of a category (A, B or C), which reflects the project’s level of risk.

Category A: projects with potentially significant adverse social or environmental impacts that are irreversible or unprecedented.

Category B: Projects with potentially limited adverse social and environmental impacts that are few in number, generally site-specific,

largely reversible and readily addressed through mitigation measures. Category C: Projects with minimal or no social or

environmental impacts. Reviewing the documentation provided by the customer and independent advisers is a way to assess

compliance with the requirements established in the EPs, according to the project category. Financing agreements include the

customer’s environmental and social obligations. The application of the EPs at BBVA is integrated into the internal processes for

structuring, acceptance and monitoring of operations, and is subject to regular checks by the Internal Audit area.

BBVA has reinforced due diligence procedures associated with the financing of projects whose development affects indigenous

peoples. When this circumstance occurs, the prior free and informed consent is required from these communities, irrespective of the

geographic location of the project, including for projects in countries where a robust legislative system is presupposed, which

guarantees the protection of the environment and the social rights of its inhabitants. When identifying potential risks, the operation

must include an effective form of management of these risks, as well as operational mechanisms to support claims management.

In 2020 the fourth version of the Principles has come into force. This update, after an extensive public consultation period,

incorporates new and more demanding requirements in the review of projects in relation to human rights and climate change. BBVA

has actively participated in the updating process and its contribution in recent years has been recognized with a new mandate in the

Management Committee of the Association of the Equator Principles.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

OPERATIONAL DATA ANALYZED ACCORDING TO THE EQUATOR PRINCIPLES CRITERIA

Category A

Category B

Category C

2021

2020

2021

2020

2021

2020

Number of transactions

Total amount (millions of

euros)

2,227.6

869.6

Total amount (millions of

euros)

10,954.5

8,220.4

Total amount (millions

of euros)

5,466.1

2,971.4

Amount financed by

BBVA (millions of euros)

109.4

39.4

Amount financed by

BBVA (millions of euros)

1,714.1

824.1

Amount financed by

BBVA (millions of

euros)

756.3

441.0

Note: of the 42 transactions analyzed, 20 fail under the Equator Principles, and the remaining 22 were analyzed voluntarily by BBVA using the same criteria in 2021 (30, 9 and 21

respectively, in 2020).

2.3.7 Participation in international initiatives

For over 20 years, BBVA has participated actively in various supranational initiatives. As well as repeating our commitment to the UN

Global Compact once more this year, as part of the Pledge 2025, BBVA actively participates in numerous initiatives, always in close

collaboration with all its stakeholders (such as the industry itself, regulators and supervisors, investors and organizations from civil

society).

Universal reference frameworks

BBVA was one of 28 founding banks in the Principles for Responsible Banking promoted by the United Nations Environment Program

Finance Initiative (UNEP FI), This initiative is a benchmark for corporate responsibility in the banking sector, which aims to respond to

the growing demand from different stakeholders for a comprehensive framework that covers all aspects of sustainable banking

through six core areas. Currently, more than 250 entities worldwide, approximately 40% by asset volume of the banking system, have

already signed these Principles. BBVA believes that these Principles will help reaffirm its purpose, enhance its contribution to both the

United Nations SDGs and the commitments derived from the Paris Climate Agreements, and align its business strategy with said

commitments.

In 2020 and 2021, BBVA has reported its progress and achievements in each of the 2021 six principles to UNEP FI, in the first and

second year they have been implemented. For more information on the progress and developments reported, see the chapter named

"UNEP FI Principles for Responsible Banking Reporting Index" in this report.

Within the framework of these Principles, in 2021 BBVA was one of the founding banks of the Collective Commitment to Financial

Health and Inclusion promoted by UNEP FI with the aim of promoting universal financial inclusion and a banking sector which

supports the financial health of all its customers.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

BBVA also participates in global initiatives such as the United Nations Global Compact, Principles for Responsible Investment, and the

Thun Group, which describes how the United Nations Guiding Principles on Business and Human Rights (UNGPs) should be applied in

the banking sector.

Transparency

In September 2017, BBVA committed to the TCFD recommendations of the FSB and has been reporting on its objectives, plans and

performance in line with its utmost commitment to transparency. Also, in accordance with these recommendations, in 2020 BBVA

published disclosures following the two most advanced standards in the market:

–WEF-IBC core metrics: BBVA has been one of the first entities in the world to support the Measuring Stakeholder Capitalism

initiative of the International Business Council (IBC) of the World Economic Forum (WEF), assuming the commitment to

report according to its metrics and disclosures which were published in September, 2020.

–Sustainability Accounting Standards Board (SASB) - Commercial Bank standards: The SASB sets the standards to guide

companies in the disclosure of financially relevant information and consistent in terms of sustainability, which are followed

by an increasing number of relevant institutional investors at a global level.

In this report, BBVA has taken a further step forward in transparency and includes not only the above standards, but the following

disclosures:

–Expanded WEF-IBC metrics

–Sustainability Accounting Standards Board (SASB) - Mortgage Finance and Consumer Finance

Compliance with these international standards is included in the chapter "Alignment of BBVA Group's non-financial information with

the WEF-IBC and SASB standards" in this report.

2.3.8 Sustainability indices

BBVA participates annually in the main sustainability analyses conducted by rating agencies in this area. Based on the evaluations

obtained through these analyses, companies are chosen to be part of the sustainability indices.

In 2021, BBVA has obtained the highest score (89 points) among world banks19 in the Dow Jones Sustainability Index (DJSI), which

measures the performance of the largest companies by market capitalization in economic, environmental and social matters. The

Group has achieved the highest score (100 points) in the sections on financial inclusion, environmental and social information,

development of human capital, materiality and tax strategy.

BBVA has been included for the fourth consecutive year in the Bloomberg Gender Equality Index, which represents recognition of its

commitment to create trusting work environments, where all employees' professional development and equal opportunities are

guaranteed, regardless of their gender. BBVA is a member of the following sustainability indices20:

1st World Bank (1)

Member of MSCI ESG Leaders Indexes.

(Rating AAA)

Member of FTSE4Good Index Series

(Score 4/5)

Member of Euronext Vigeo

Eurozone 120

Member of Ethibel

Sustainability Excellence

Europe y Ethibel Sustainability

Excellence Global

Member of Bloomberg Gender-

Equality (Score 77,29/100)

Score B

(1) Shared ranking position

In addition, in 2020 the Bank joined the Nasdaq Sustainable Bond Network (NSBN). It is the only Spanish entity on this platform,

which brings together the world's various issuers of sustainable debt and provides a clear reference framework for socially

responsible investment.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

19 Shared ranking position

20 The inclusion of BBVA in any MSCI indices and the use of the logos, trademarks, service marks or index names does not constitute the sponsorship or promotion of BBVA by

MSCI or any of its subsidiaries. The MSCI indices are the exclusive property of MSCI. MSCI and the MSCI indices and logos are trademarks or service marks of MSCI or its

subsidiaries.

2.4Additional information

2.4.1 Additional Information on Materiality

2.4.2 Information related to article 8 of the European Taxonomy

2.4.3 Alignment of BBVA Group's non-financial information to WEF-IBC and SASB standards

2.4.4 Additional information on the Group's sustainability standards and frameworks

2.4.5 Integration of ESG aspects in the relationship with clients

2.4.6 Contribution to the Sustainable Development Goals

2.4.7 Additional information on customer complaints

2.4.8 Other non financial risks

2.4.1Additional Information on Materiality

Methodology of the materiality analysis

1. Identification of stakeholders

BBVA's main stakeholders are: customers, employees, shareholders and investors, suppliers, regulators and supervisors (whether or

not specific to a sector) and society. As part of society, BBVA takes into account not only public opinion but also groups organized in

civil society such as the NGOs which monitor our activity most closely.

2. Identification of the material issues

The sources below are used to identify the material issues for stakeholders:

–Interviews with the areas in the Bank with the closest relations with each of the stakeholders and which know them best. The

interviews identify the most important aspects to each individual group of stakeholders. Specifically, interviews are carried

out in the areas of:

•Client Solutions, to obtain the perspective of customers.

•Talent & Culture, to obtain the perspective of employees.

•Investor relations, to discover the expectations of mainstream and sustainability-oriented shareholders and investors.

•The regulation and legal services areas, to learn the expectations of the regulators.

•Communication and Responsible Business, to assess the perspective of society and the NGOs.

–Review of the Group's numerous sources of research with respect to stakeholders, above all for customers (satisfaction

surveys, brand and reputation tracking, analysis of complaints), employees (Gallup survey, internal reputation surveys), and

shareholders and investors (questionnaires for investors and analysts).

–Analysis of reports on trends, to provide a more long-term view; global risk reports and the creation of a benchmark for

material issues in other financial institutions based on information published by them.

This identification phase provides a fairly granular list of issues which are then aggregated to arrive at a smaller number of subjects

that can viably be prioritized. All the issues on the list are of themselves relevant.

As indicated in this report, the 2020 materiality matrix was deemed valid for 2021. However, to be sure of not missing any relevant

issue, an external database was used to identify emerging issues. There is only one issue not included in the matrix which appears

important to consider as an emerging issue, although it has not yet been explicitly defined: biodiversity, which will be an issue to

address in the future.

3. Prioritization of issues according to their importance for stakeholders

A number of sources are used to hierarchize the issues:

–A series of interviews and ad-hoc surveys are carried out in the countries covered by the study in order to learn the priorities

of customers, employees and investors. They explicitly ask those taking them to identify the importance which the Group

should give to each of these issues.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

–An external database provides the basis for the data analysis tool for other stakeholders in all countries except in Turkey,

where local Turkish sources are used. The sources that made it possible to complete the analysis of the stakeholders, global

trends and key issues in the sector are specified in the section "Materiality analysis: the most relevant issues for

stakeholders and BBVA" in this report.

Prioritization for stakeholders is carried out in two phases. The first creates hierarchies of issues for each of the stakeholders; and the

second obtains a hierarchy of issues for all the stakeholders by an aggregation process based on the individual analyses. It is the

aggregated prioritization that appears in the matrix.

To give the exercise greater transparency, the most relevant issues for each stakeholder are given below.

–Customers: Aspects related to cybersecurity and data protection are a priority in a context in which digitalization has been

accelerated by the coronavirus. However, there is very little dispersion in customer valuations. All these issues are of great

importance.

–Employees: They consider that the Group should focus on the issues already mentioned, as well as continuing to promote

an ethical culture with which they can identify.

–Shareholders and investors: Solvency, financial results and good governance are their main concerns, but growing

importance is also being given to risk management and climate opportunities. The latter has become a key issue for some

investors and analysts.

–Regulators: In a very similar way to investors, climate change is gaining increasing attention with regulators. Other very

relevant issues are solvency, good governance and the ethical behavior of entities.

–Society: For society as a whole, the correct management of the pandemic and protection of those who are most vulnerable

and, in particular, the care provided for their financial health are, together with climate change, the most important issues.

–Competitors pay particular attention to the issues of cybersecurity and data, financial health and advice, and climate

change.

–In terms of trends, digitalization above all continues to be a relevant issue, with growing importance as a result of the

pandemic, together with the issues associated with it (above all, cybersecurity). Financial health is another issue of

increasing relevance. The reports indicate the key role of the sector in supporting companies and individuals affected by the

crisis.

The sources that made it possible to complete the prioritization of the stakeholders, global trends and key issues in the sector are:

RepTrak surveys

Analysts and investors

Survey to the Investor and

Analyst Relations Department

Regulators

Trends

Clients

Employees

Sustainability reports

and surveys

Regulatory documents (1)

Sector trends reports

1,619

11,584

1,764

News

Social networks

Benchmark

NGO

English and Spanish sources (1)

Tweets (mill.)

Competitor's reports

NGO Documents

185

153

649

(1) Does not include Turkey

4. Prioritization of issues according to their impact on BBVA’s business strategy:

An internal assessment is made on how each issue impacts BBVA's six strategic priorities. The most relevant issues for BBVA are

those that help to achieve its strategy as well as possible.

The hierarchization of issues gives rise to the Group's materiality matrix, which appears in the section "Materiality analysis: the most

relevant issues for stakeholders and BBVA" in this report.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Goals and level of progress in the material issues for BBVA in 2021

The goals related to the material issues are given below:

GOALS AND LEVEL PROGRESS OF THE MATERIAL ISSUES FOR BBVA 2021

Material issue

Indicator

Goal

2020 Progress

Climate change

Sustainable finance

mobilization

€200.000 million between

2018-2025

€ 85.8 Bn at 31-12-2021

Sector Allignment

indicators

Portfolio alignment with Paris

Agreement

Goals:

(I) Carbon neutrality in CO2 emissions of our

portfolio (scope 3) in 2050

(II) Reduce exposure to activities related to

thermal coal for power generation to zero,

ceasing to finance companies in these

activities, before 2030 in developed

countries and before 2040 in the rest of the

countries

(III) Power generation, auto, steel and

cement emission intensity targets in 2030

Energy obtained from

renewables sources

70% in 2025 and 100% in

2030

79%

CO2 emissions (scope 1 and

2)(1)

-68% reduction in 2015-2025

period

(67.5)%

TCFD Recommendations

Implementation of TCFD

recommendations

Publication of TCFD report

Solvency and financial

results

CET 1 fully-loaded ratio

2021: 11.5%-12%

12.75%

Easy, fast and do it

yourself

Reaching more clients

% customers acquired

through digital channels (2021

>36%)

40%

Financial health and

personalized advice to

clients

BBVA is working to establish goals and metrics in relation to the fourth material issue, its strategic priority

“Improving our clients' Financial Health". For more information on this matter, see the chapter “Strategy”

in this report.

(1) Emissions derived from direct energy consumption and calculated based on the emission factors of the 2006 IPCC Guidelines for National Greenhouse Gas Inventories. For

its conversion to CO2e, the IPCC Fifth Assessment Report and the IEA have been used as sources. As of 2021, emissions derived from the use of the vehicle fleet and refrigerant

gas leaks at our facilities have been included in this scope.

A two-dimensional analysis has been carried out for the material issues of greatest importance. First, it analyzed how these issues

impact BBVA's situation and results (the "outside-in perspective"); and second, it determined how the management of these issues

by BBVA impacts the stakeholders (the "inside-out perspective"). This results in a number of challenges and opportunities for each

material issue which BBVA has to address:

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

CLIMATE CHANGE

Impact on BBVA

How does Climate

Change impact on

BBVA?

Opportunities

New business opportunities to make the transition possible:

Greater eligibility thanks to a distinction of climate change management.

Better solvency due to comprehensive risk management and great anticipation.

Good status towards supervisors and possible distinction in capital requirements.

Risks

Bigger risk of default derived from both the physical risk of the client, caused or favored

by extreme meteorological phenomena, and the potential physical damage to the

assets of the entity in the long term; such as the risk of transition, a consequence of the

shift towards a low-carbon economy (such as legislative changes or changes in

consumption patterns).

Need to align portfolios and therefore, possible loss of business in certain activities.

Bigger regulatory requirements.

Need of up-skilling and reskilling.

Possible loss of customers, investors.

New risks (greenwashing).

Impact on

stakeholders

How does BBVA's

management of

climate change

affect stakeholders?

Opportunities

Clients: helps in the transition to a more sustainable future by complying with

regulations.

Employees: healthier workplaces and aligned corporate culture.

Shareholders and investors: Reduction of the risk of its investment and protection of

the long-term value.

Suppliers: new business opportunities for sustainable suppliers.

Regulators and supervisors: compliance with regulation.

Society: alignment of their expectations and contribution to reduce the impacts of

climate change in their lives.

Risks

Clients: bigger difficulties in accessing to financing for those with high climatic risks and

no plans for the transition.

Society: the risk that the climate transition could not be fair and would leave groups

behind.

SOLVENCY AND FINANCIAL RESULTS

Impact on BBVA

How does having a

good or bad

solvency affect

BBVA?

Opportunities

Allows business continuity

Capital cost savings

Less supervisory pressure

Could attract more capital and investors

Could attract more jobs and customers

Risks

Risk of system instability

Risk of flight of capital, customers and employees

Impact on

stakeholders

How does BBVA's

good or bad

solvency affect

stakeholders?

Opportunities

Enables value creation for stakeholders.

Shareholders and investors: resilient, strong and stable business model with its long-

term financial results; adequate level of solvency, which allows it to absorb losses under

stress scenarios; return on investment: a business model capable of generating

financial results above the capital invested and with the ability to reward shareholders.

Regulators and supervisors: provides security to the system.

Risks

Shareholders and investors: greater volatility in financial results can generate a

perception of instability in the business model, causing investors to sell shares or debt

instruments; an inadequate level of solvency can generate uncertainty and distrust in

the ability to pay obligations, causing investors to sell shares or debt instruments.

SIMPLICITY, AGILITY AND SELF-SERVICE FOR CUSTOMERS

Impact on BBVA

How does

digitalization affect

BBVA?

Opportunities

Increased potential customer base.

Better service to customers, with greater availability.

Loyalty of a large part of customers, due to better knowledge through data and better

personalized solutions.

Reduction of unit costs of distribution, of selling products and of providing services.

Risks

Need of investment in digital transformation.

Potential loss of business due to competition from digital players that provide financial

services.

Bigger risks for the bank derived from digitization, such as cybersecurity.

Risk of high dependence on technology suppliers.

Impact on

stakeholders

How does BBVA's

digitalization affect

stakeholders?

Opportunities

Clients: offers greater availability, as well as personalized financial solutions due to

greater knowledge.

Shareholders and investors: higher return on investment if digitization translates into

lower costs.

Society: more people with access to banking services.

Risks

Employees: office closures and job losses; need to develop new skills.

Regulators and supervisors: Adaptation to new environments and develop new

regulations.

Society: it can cause the exclusion of some groups.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

BBVA considers corporate social responsibility to be the Bank's responsibility because of the impact of its activities on people,

companies and society as a whole; stakeholders and other groups (customers, society):

FINANCIAL HEALTH

Impact on BBVA

How does the fact

that there are people

with different

financial health

which concerns

society, affect

BBVA?

Opportunities

Stand out and make a difference in the way the bank helps clients improve their

financial health and therefore become more eligible for clients and investors.

Greater legitimacy for the positive contribution to society.

Maintain a good competitive position against other players that are gaining relevance in

the area.

Risks

Short-term loss of income from decisions that guarantee client's well-being (losses that

are offset in the medium and long term).

Lack of information that leads to wrong decisions.

Impact on

stakeholders

How does BBVA's

financial health

management affect

stakeholders?

Opportunities

Clients: greater financial well-being and achievement of goals.

Shareholders and investors: if it becomes a differentiating element, customers will be

more satisfied, more users will be attracted and a higher degree of loyalty will be

achieved. This will also help maintain a good competitive position.

Society: it will generate greater awareness of the importance and benefits of properly

managing financial health.

Risks

Clients: perception of a certain interference in their lives in order to obtain the correct

information, which leads to better decisions that improves their financial health.

Shareholders and investors: always seek the interest of the client, may lead to

recommendations that are not the most profitable option for the entity in the short

term. However, this apparent disadvantage is offset by the benefits in the medium and

long term.

2.4.2 Information related to article 8 of the European Taxonomy

Article 8 of the Taxonomy defined by Regulation (EU) 2020/852 of the European Parliament and of the Council, of June 18, 2020, on

the establishment of a framework to facilitate sustainable investment (hereinafter, the "Taxonomy" or "Sustainability Regulation"),

establishes certain obligations on the reporting of non-financial information for companies subject to the Non-Financial Reporting

Directive (NFRD). Based on this regulation, the financial institutions must include in their Spanish Statement of Non-Financial

Information (EINF for the Spanish initials) information on their exposure to the economic activities included within the EU

sustainability framework under said Article 8.

At present, Delegated Act 2021/2139 of the EU Sustainability Regulation is limited to the mitigation of greenhouse gas emissions, or

climate change mitigation (CCM), and adaptation to the effects of climate change, or climate change adaptation (CCA).

The other environmental goals included in the Taxonomy, such as protection of water and marine reserves, transition to a circular

economy, prevention of pollution and protection of the ecosystem, together with other social goals or transitional activities, have not

yet been developed. As the regulation is developed, BBVA's commitment is to make public the sustainability information in

accordance with the best practices observed at any time.

Based on the above, the ratios as of December 31, 2021 for BBVA Group in accordance with the provisions of Delegated Regulation

2121/2178 of July 6, 2021 and the clarifications of the European Commission are as follows21:

RATIOS 2021 (BBVA GROUP)

% exposure to economic activities included in the Taxonomy (Taxonomy-elegible) (1) (2)

45.6

% exposure to economic activities not included in the Taxonomy (Taxonomy-non-elegible) (1) (2)

10.5

% exposure to central governments and central banks

28.5

% exposure of non accredited to NFRD. (1)(3)

35.2

% trading portfolio exposure

18.6

% sight inter-bank portfolio exposure

1.6

% derivatives exposure

4.9

(1) The ratios have been prepared with data from the most representative BBVA Group entities that include 98% of total assets. The financial assets analyzed correspond to the

categories of financial instruments valued "At amortized cost", "Fair Value with Changes in Other Comprehensive Income (FVOCI)", "Fair Value with Changes in P&L" and "Non-

negotiable at Fair Value with changes in results". These ratios represent the best estimates available to date.

(2) Regarding the eligibility of an asset, the economic activities of the clients are classified as eligible according to the Delegated Regulations that complement Regulation (EU)

2020/852 of the European Parliament and of the Council. Economic activities covered by the Delegated Acts of Climate Change Mitigation and Climate Change Adaptation are

considered eligible. EU regulation has not been developed for the other environmental goals, therefore eligibility does not cover a wide range of potentially sustainable economic

activities and exposures.

(3) BBVA considers Not Subject to the NFRD those counterparties within the category of “Non-Financial Corporations” that are considered SMEs located in the EU for

regulatory reporting purposes, as well as counterparties with registered offices outside the EU.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

21 Sustainable-finance-taxonomy-article-8-report-eligible-activities-assets-faq_en” published on December 20, 2021

The following have been considered when preparing the ratios: ratios number 3, percentage exposure to central governments and

central banks, number 5, percentage exposure to the trading portfolio, and number 7, derivative exposure percentage, are calculated

on the Group's total assets. The other ratios are calculated using the same methodology as in the definition provided by the European

Commission for the Green Asset Ratio (hereinafter, the GAR), which enters into force on January 1, 2024. Thus the percentages are

calculated on the total assets covered in the GAR, which are all the exposures on the balance sheet, except for the exposures to

central governments, central banks and the trading portfolio.

In addition, to determine eligibility, information has been used on the economic activities of clients based on the National

Classification of Economic Activities (CNAE), in the case of the activities of Spanish companies, or other equivalent standards in the

rest of the geographies where the Group operates. These local classifications by activity have an equivalence to the statistical

classification of economic activities in the European Community (NACE). This information is also available in the computer systems

and is used to assess the specific economic activities of clients, both in internal management (origination, risk assessment) and in the

regulatory area (FINREP).

Starting in 2022 the companies subject to the Non-Financial Reporting Directive (NFRD) must make public information

corresponding to the economic activities they perform with respect to the Taxonomy. BBVA Group shall incorporate this information

into its analysis on the economic activities covered in the regulation (eligible), allowing greater precision in the measurement of the

economic activities it finances based on the Taxonomy.

The information regarding how the BBVA Group is aligning its objectives and economic activities with the European Taxonomy, the

description of its strategy, the products developed and marketed, as well as the integration of ESG aspects in the relationship with its

customers are included in the chapters "Report on climate change and other environmental and social issues" and "Integration of ESG

aspects in customer relations" within "Additional information" of this report. Likewise, the information regarding the weight of the

financing of the economic activities aligned with the Taxonomy in the global activity of the BBVA Group is broken down in the chapter

“Sustainable finance” of this report. The application of the European Taxonomy within the framework of the sustainable mobilization

of the Group is described in the chapter “Additional information on the Group's sustainability standards and frameworks” of this

report.

Clarifications with respect to the Sustainable Finance Taxonomy ratios

The eligibility ratios mentioned above have been prepared following the regulatory definitions of the European Commission's Green

Asset Ratio (GAR). However, the European Commission allows the option of supplementing the mandatory information with voluntary

information and, along these lines, the EU's Platform for Sustainable Finance recommends that banks include the voluntary

information they deem appropriate.

Currently the methodology of the EU Taxonomy does not allow financial institutions to include in the sustainability ratios any

exposures to companies not subject to the NFRD. Therefore, companies domiciled in a third country outside the EU to which the

Directive does not apply, and companies in the EU which are not subject to this obligation, such as the vast majority of SMEs, are

excluded from the above ratios.

However, the European Banking Authority (EBA) on January 24, 2022, has published the Implementation Guidelines on information to

be disclosed in the framework of the "Report with Prudential Relevance-Pillar III" on ESG matters, where It is requested that, in

addition to the GAR information, entities must report another additional ratio known as BTAR (Banking Book Taxonomy Alignment

Ratio) that includes exposure to non-NFRD counterparties. This ratio will enter into force in June 2024.

In this sense, taking into account that the BTAR ratio would cover the eligible exposures of countries outside the EU, and the

recommendation of the European Commission on voluntary disclosures, the degree of eligibility of global exposures is presented

below following the methodology calculation of the BTAR ratio.

ELIGIBILITY RATIOS ACCORDING TO BTAR METHODOLOGY

% exposure of eligible

economic activities

% exposure of non-

eligible economic

activities

TOTAL(1)(2)(3)

57.4

33.9

(1) Public administrations, central governments and trading portfolio are excluded as they are not part of the Green Asset Ratio (GAR)

(2) The main difference to the ratios calculated according to the Taxonomy methodology is that all exposures are included, both NFRD and Non-NFRD, in order to have a holistic

view of the Group.

(3) Those items excluded in the denominator or numerator of the GAR, such as interbank loans, derivatives, cash or other assets such as Goodwill, are not included in the

components of the ratio.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.4.3Alignment of BBVA Group's non-financial information to WEF-IBC

and SASB standards

BBVA has assumed the commitment to disclose in a consistent, reliable and standardized manner the essential aspects of ESG

(environmental, social and governance matters) related to its business. Among the different existing standards, BBVA includes its

non-financial information in the Non-Financial Information Statement (EINF) for the year 2021, included in this report, in accordance

with the Global Reporting Initiative (GRI) guide. Additionally and voluntarily, last year BBVA published for the first time the progress in

terms of ESG disclosures, according to two metrics with great reputation in the market.

–WEF-IBC core metrics. BBVA has been one of the first entities worldwide to support the Measuring Stakeholder Capitalism

initiative of the International Business Council (IBC) of the World Economic Forum (WEF)

–Sustainability Accounting Standards Board (SASB) - Commercial Banks standards. The Sustainability Accounting

Standards Board establishes standards to guide companies on the disclosure of relevant and consistent financial

information in terms of sustainability.

However, this year a further step has been taken in the commitment to the continuous improvement of transparency and, assuming

responsibility in ESG matters, the rest of the WEF-IBC metrics have also been reported, as well as the SASB - Consumer Finance

standards and SASB - Morgage Finance standards, giving a complete report of both:

–WEF-IBC expanded metrics. Along with the core metrics, the expanded metrics allow for a broader and more detailed scope

of the value chain; and convey the impact in a more tangible way.

–SASB - Consumer Finance standards and SASB - Morgage Finance standards. With the complete report of these metrics,

the Group's management is reflected and identified more clearly for more accurate decision-making by customers.

More and more companies are reporting their performance according to these two metrics and BBVA will continue to work on its

commitment to satisfy the demands of investors, regulators, customers and other stakeholders; to maintain or improve its ESG

performance.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

WEF-IBC core metrics

Contents index of WEF-IBC. Core metrics

Topic

Metric

Reporting criteria

BBVA Group's response

PRINCIPLES OF GOVERNANCE

Governing purpose

Setting purpose

The British Academy and Colin Mayer,

GRI (102-26),

Embankment Project for Inclusive

Capitalism (World Economic Forum

Integrated Corporate Governance -

EPIC) and others.

NFIS/Strategy/Strategic Priorities,

Our Objectives

NFIS/Report on climate change and

other environmental and social issues

Quality of governing

body

Governing body composition

GRI (102-22), GRI (405-1a), IR 4B.

Corporate Government Annual Report

(hereinafter, CGAR) C.1.1 to C.1.12,

C.2.1 and C.2.2.

Stakeholders

engagement

Material issues impacting stakeholders

GRI (102‑21), GRI (102‑43, GRI

(102-47).

NFIS/Our stakeholders/Materiality

analysis: most relevant issues for

stakeholders and for BBVA

NFIS/Additional Information/

Additional Information on Materiality

Ethical behavior

Anti-corruption:

1.Total percentage of governance body

members, employees and business

partners who have received training on

the organization’s anti-corruption

policies and procedures, broken down

by region.

2. Total number and nature of incidents

of corruption confirmed during the

current year, but related to previous

years; and

3.Total number and nature of incidents

of corruption confirmed during the

current year, related to this year.

GRI (205‑2), GRI (205‑3).

NFIS/Our stakeholders/Society/

Compliance

Protected ethics advice and reporting

mechanisms:

1. Seeking advice about ethical and

lawful behavior and organizational

integrity;

2. Reporting concerns about unethical

or unlawful behavior and lack of

organizational integrity;

3. Discussion of initiatives and

stakeholder engagement to improve

the broader operating environment and

culture, in order to combat corruption.

GRI (102‑17).

NFIS/Our stakeholders/Society/

Compliance

Risk and opportunity

oversight

Integrating risk and opportunity into

business process.

EPIC, GRI (102-15), World Economic

Forum Integrated Corporate

Governance, IR 4D.

NFIS/Our stakeholders/Customers/

Customers safety and protection

NFIS/Report on climate change and

other environmental and social issues/

Management of risks associated with

climate change

PLANET

Climate change

Greenhouse gas (GHG) emissions

GRI (305:1-3), Task Force on Climate-

Related Financial Disclosures

(hereinafter, TCFD) recommendations,

GHG Protocol.

NFIS/Report on climate change and

other environmental and social issues/

Management of direct and indirect

environmental impacts/Management

of direct environmental impacts,

Environmental Footprint Table,

Evolution of the Global Ecoefficiency

Plan Indicators Table

BBVA will continue working on the next

exercises advance the disclosure about

this metric.

TCFD implementation

TCFD Recommendations;

CDSB R01, R02, R03, R04 y R06;

SASB 110; Science Based Targets

initiative.

NFIS/Report on climate change and

other environmental and social issues

BBVA TCFD report.

100

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Nature loss

Land use and ecological sensitivity

GRI (304-1).

The operations centers and / or offices

owned, leased or managed by BBVA

are located in urban areas far from

protected areas or areas of great value

for biodiversity. For this reason, this

metric is considered non-material at

the present time, the entity undertakes

to follow-up for its report in the future if

necessary.

Freshwater availability

Water consumption and withdrawal in

water‑stressed areas.

SASB CG-HP-140a.1,

Aqueduct water risk atlas tool, World

Resources Institute (hereinafter, WRI).

NFis/Report on climate change and

other environmental and social issues/

Management of direct and indirect

environmental impacts/Management

of direct environmental impacts,

Environmental Footprint Table,

Evolution of the Global Eco-efficiency

Plan Indicators Table

An analysis is carried out by

geographic area (pessimistic 2030

scenario) of the uses through the WRI

tool: Aqueduct Projected Water Stress

Country Rankings; with a result:

- 61.83% of our consumption has a

high or extremely high extraction and

demand ratio;

- 13.74% of our consumption has a

medium extraction and demand ratio;

- 14.43% of our consumption has a low

extraction and demand ratio.

PEOPLE

Dignity and equality

Diversity and inclusion.

GRI (405-1b).

NFIS/Our stakeholders/Employees/

Professional development

Pay equality (%).

GRI (405-2).

NFIS/Our stakeholders/Employees/

Remuneration

Wage level (%)

Ratio of standard entry level wage by

gender compared to local minimum

wage.

Ratio of the annual total compensation

of the best paid person and the median

of the annual total compensation of all

its employees (except the best paid

person).

GRI (202‑1), adapted from the Dodd-

Frank Act, US SEC Regulations.

NFIS/Our stakeholders/Employees/

Remuneration

Risk for incidents of child, forced or

compulsory labour.

GRI (408-1b), GRI (409-1).

BBVA has not identified centers or

suppliers likely to have significant risks

in relation to episodes of forced labor.

Other information/Compliance tables/

GRI Standards content index

Health and well-being

Health and safety - rate of fatalities and

rate of absenteeism.

GRI:2018 (403-9 a y b), GRI:2018

(403-6).

NFIS/Our stakeholders/Employees/

Work environment/Occupational

health and safety

Skills for the future

Training provided - Average hours of

training and average expenditure per

full time employee.

GRI (404-1), SASB HC 101-15.

NFIS/Our stakeholders/Employees/

Professional development

PROSPERITY

Employment and wealth

generation

Absolute number and rate of

employment.

Adapted from GRI (401-1 a and b) in

order to include more metrics on

diversity and inclusion.

NFIS/Our stakeholders/Employees/

Professional development

Economic contribution.

GRI (201‑1), GRI (201‑4).

Other information/Compliance tables/

GRI Standards content index

Financial investment contribution:

1. Total capital expenditures (CapEx)

minus depreciation.

2.Shares buybacks plus dividend

payments

Aligned with IAS 7 and US GAAP ASC

230.

The information that forms part of the

indicator is collected in the

Consolidated Financial Statements (for

example in Notes 4, 17 and 18) and the

Consolidated management report of

BBVA Group.

101

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Innovation of better

products and services

Total R&D expenses.

US GAAP ASC 730.

The total annual expense and

investment in technological Software

development projects, including both

the cost of external resources and the

cost corresponding to the internal staff

of the teams dedicated to projects

during the 2021 financial year,

amounted to €931m.

Community and social

vitality

Total tax paid

The total global tax borne by the

company, including corporate income

taxes, property taxes, non-creditable

VAT and other sales taxes, employer-

paid payroll taxes, and other taxes that

constitute costs to the company, by

category of taxes.

GRI (201‑1) and GRI (207-4).

NFIS/Our stakeholders/Society/Fiscal

transparency

Notes: For WEB - IBC standards the reporting criteria column is included as they have been developed on the basis of other international standards.

WEF-IBC expanded metrics

Contents index of WEF-IBC. Expanded metrics

Topic

Metric

Reporting

criteria

BBVA Group's response

PRINCIPLES OF GOVERNANCE

Governing Purpose

Purpose-led management

GRI 102-26

NFIS/Strategy/Strategic Priorities, Our Objectives

NFIS/Report on climate change and other environmental

and social issues

Quality of governing

body

Progress against strategic milestones

EPIC

NFIS/Strategy/Main advances in the execution of the

strategy

NFIS/Additional information/Additional information on

Materiality

Remuneration

- How performance criteria in the

remuneration policies relate to the highest

governance body’s and senior executives’

objectives for economic, environmental and

social topics.

- Remuneration policies for the highest

governance body and senior executives for

the following types of remuneration: fixed

pay and variable pay, sign-on bonuses or

recruitment incentive payments,

termination payments, clawbacks,

retirement benefits.

GRI 102-26

NFIS/Our stakeholders/Employees/Remuneration

Ethical behaviour

Alignment of strategy and policies to

lobbying

GRI 415: Public

Policy

The BBVA Group collaborates with organizations that share

its vision and whose activity is aligned with its objectives,

such as industry associations, employer associations,

chambers of commerce and the most prestigious Think

Tanks, which carry out studies on regulatory, financial,

digital, sustainability, financial inclusion and financial

education, in those countries where the Group has a

significant presence.

BBVA makes an effort to be in the sector representation

forums in those countries where it has a presence.

These collaborations are added to the intellectual

contribution to promote the transformation of the sector,

which the Group carries out directly through the research

activity and the development of analyzes of its studies

department. These institutional activities are always carried

out with the utmost transparency, without interfering,

conditioning or influencing the political pluralism of the

societies in which the Group is present.

102

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Monetary losses from unethical behaviour

SASB 510a.1

For issues related to corruption (including fraud, money

laundering and other concepts included in the definition of

corruption provided in metric GRI 205-3), please refer to the

information included in metric GRI 205-3.

For issues related to competition, please refer to the

information included in the GRI 206 metric.

In relation to the monetary losses incurred in the

“Commercial Banks” industry, please refer to the

information included in the SASB CB 510 a.1 metric (“Total

amount of monetary losses as a result of legal proceedings

associated with fraud , insider trading, antitrust,

anticompetitive behavior, market manipulation, malpractice,

or other laws or regulations related to the financial

industry”). In relation to monetary losses not specific to the

scope of the "Commercial Banks" industry, please refer to

the information included in the GRI 419 metric.

Bad practice is considered to be that related to the

behaviors described in the metric.

There are no monetary losses incurred in 2021 by banking

entities that are members of the BBVA Group as of

December 31, 2021 due to resolutions imposed for price

manipulation or insider trading practices (1).

Risk and

opportunity

oversight

Economic, environmental and social topics

allocation framework

CDSB REQ-02

NFIS/Report on climate change and other environmental

and social issues/ Management of direct and indirect

environmental impacts

PLANET: EXPANDED METRICS AND DISCLOSURES

Climate change

Paris- alligned GHG emissions targets

Define and report progress against time-

bound science-based GHG emissions

targets that are in line with the goals of the

Paris Agreement – to limit global warming

to well below 2°C above

pre-industrial levels and pursue efforts to

limit warming to 1.5°C.

Science Based

Targets initiative

NFIS/Report on climate change and other environmental

and social issues/ Management of direct and indirect

environmental impacts

Impact of GHG emissions

US EPA fact sheet

on the Social Cost

of Carbon (2016),

Natural Capital

Protocol (2016),

ISO 14008:

Monetary

valuation of

environmental

impacts and

environmental

aspects (2019),

Value Balancing

Alliance

NFIS/Report on climate change and other environmental

and social issues/ Management of direct and indirect

environmental impacts

Nature loss

Land use and ecological sensitivity

New metric

Since BBVA is a financial entity, most of its suppliers are

technological and there is no use of the land for forestry,

agriculture or mining, this metric is considered non-material

since the breakdowns included, land area used for the

production of plants, animals or mineral products, are not

applicable to BBVA's activity or its supply chain.

Impact of land and conversion

Natural Capital

protocol (2016),

ISO 14008

Monetary

valuation of

environmental

impacts and

environmental

aspects (2019),

Value Balancing

Alliance.

BBVA's economic activity and its products and services

have no significant impact on biodiversity (neither positive

nor negative), since its operations centers and/or offices are

located in urban areas. For this reason, it is considered that

this metric is not material at present, and the entity

undertakes to follow up on its report in the future if

necessary.

103

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Freshwater

availability

Impact of freshwater consumption and

withdrawal

Natural Capital

protocol (2016),

ISO 14008

Monetary

valuation of

environmental

impacts and

environmental

aspects (2019),

Value Balancing

Alliance.

Due to the fact that the economic activity of a financial entity

such as BBVA, whose consumption and extraction of water

are those of the activity of its offices and its restoration, this

metric is considered non-material, since both the extraction

and consumption are considered insignificant.

Air Pollution

Air pollution

GRI 305‑7

BBVA's emissions of other types of pollutants into the

atmosphere are mainly:

- NOx: 17,077.55 t NOx

- SOx: 2,593.25 tSOx

These data only consider the emissions due to the use of

fuels in the installations of BBVA buildings and branches

located in urban zones. The factors used are those

published by the European Environmental Agency: "EMEP/

EEA Air Contaminant Emission Inventory Guidebook 2019"

for the "Commercial / Institutional: Stationary" sector, "Tier

1" typology for each type of fuel.

Impact of air pollution

Natural Capital

protocol (2016),

ISO 14008

Monetary

valuation of

environmental

impacts and

environmental

aspects (2019),

Value Balancing

Alliance.

For BBVA, air pollution does not have a significant impact

due to the activities it carries out. Despite this, its

management is considered relevant, as reflected in the

Global Eco-efficiency Plan. However, at the date of the

report, there is no methodology or reliable data source that

allows calculating the impact of air pollution linked to the

company's own activity.

Water pollution

Nutrients

SASB CN0101‑11

Given that in the nature of BBVA's activities, no nitrogen,

phosphorus or potassium is present in fertilizers, this is

considered a non-material metric, since its activities do not

cause ecological or public health problems in this regard.

Impact of water pollution

Natural Capital

protocol (2016),

ISO 14008

Monetary

valuation of

environmental

impacts and

environmental

aspects (2019),

Value Balancing

Alliance.

Due to the fact that the economic activity of a financial

institution such as BBVA, whose effluents are those of the

activity of its offices and its restoration, this metric and its

different breakdowns are considered non-material, since the

discharges are considered not significant and comply with

the regulations of the areas in which they are located.

Solid waste

Single- use plastics

New metric

NFIS/Report on climate change and other environmental

and social issues/Management of direct and indirect

environmental impacts/Management of direct

environmental impacts, Environmental Footprint Table,

Evolution of the Global Eco-efficiency Plan Indicators Table

Impact of solid waste disposal

Natural Capital

protocol (2016),

ISO 14008

Monetary

valuation of

environmental

impacts and

environmental

aspects (2019),

Value Balancing

Alliance.

For BBVA, the generation and management of waste does

not have a significant impact due to the activities it carries

out.

However, for BBVA it is important to properly manage them

and this is reflected in their commitments in the Global Eco-

efficiency Plan or in the ISO 14001 or zero waste

certifications that they have implemented. Although there is

currently no reliable methodology or source from which to

take the impact values, work will continue in the coming

years to advance in the dissemination of this metric.

104

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Resource availability

Resource circularity

WBCSD Circular

Transition

Indicators

Ellen MacArthur

Foundation

Due to the economic activity of BBVA, the only products to

which this metric refers and to which it can be alluded in the

company, are those originating from the activity of the

offices and the related restaurants. In this way, and since the

volume of these products is not significant and that the

financial activity related to BBVA's business is completely

separated from them, this metric is considered non-

material.

PEOPLE: EXPANDED METRICS AND DISCLOSURES

Dignity and equality

Pay gap (%, #)

- Mean pay gap of basic salary and

remuneration of full-time

relevant employees based on gender

(women to men) and indicators of diversity

-Ratio of the annual total compensation for

the organization’s highest-paid individual in

each country of significant operations to

the median annual total compensation for

all employees

Adapted from UK

Government

guidance on

gender and

ethnicity pay gap

reporting, GRI

102-38

NFIS/Our stakeholders/Employees/Remuneration

Discrimination and harassment incidents

(#) and the total amount of monetary

losses ($)

GRI 406-1,

Adapted from

SASB FR-310a.4

NFIS/Our stakeholders/Employees/Professional

development/Diversity, inclusion and different capacities

Freedom of association and collective

bargaining at risk (%)

SASB CN0401-17,

GRI 407-1, WDI 7.2

NFIS/Our stakeholders/Employees/Work environment/

Freedom of association and representation

Human rights review, grievance impact &

modern slavery (#, %)

GRI 412-1, UN

Guiding Principles,

GRI 408-1a,

Adapted from

GRI 408-1a and

GRI 409-1,

WDI 7.5

NFIS/Our stakeholders/Society/Commitment to Human

Rights

Living wage (%)

MIT Living Wage

Tool, EPIC

NFIS/Our stakeholders/Employees/Remuneration

Health and

well‑being

Monetized impacts of work-related

incidents on organization (#, $)

Adapted indicator

based on

European

Commission, Safe

Work Australia

BBVA is working to develop methodologies that allow

calculating the monetary impacts of work-related incidents

within the Organization, in order to be able to report this

metric in the future financial years.

Employee well-being (#, %)

GRI:2018

403-10a&b, EPIC,

Adapted from

GRI:2016 403-2a

NFIS/Our stakeholders/Employees/Work environment/

Occupational health and safety

Skills for

the future

Number of unfilled skilled positions (#, %)

WBCSD

Measuring Impact

Framework

Methodology

Version 1.0

(2008)

Banking activities and the functions that derive from them

require professionals trained in different areas of expertise

and knowledge in certain essential disciplines for the

operation of the company. BBVA has three main challenges

when developing a talent strategy:

- Prepare for technology-driven disruptions, identify the

skills and experience needed to compete in the future, and

attract and retain people with those skills.

- Identify the skills and experience needed to compete in the

future. Skills become obsolete faster than ever.

- Attract and retain people with those skills. The new

generations have different needs and expectations, in line

with the new demands of customers: ability to work flexibly

and continue on the path of promotion, diversity and

inclusion practices, reputation, promotion of innovation

efforts, etc.

NFIS/Our stakeholders/Employees/Professional

development/Training

Monetized impacts of training – Increased

earning capacity as a result of training

intervention (%, $)

Adapted from

OECD, WDI 5.5

NFIS/Our stakeholders/Employees/Professional

development/Training

PROSPERITY: EXPANDED METRICS AND DISCLOSURES

Employment and

wealth generation

Infrastructure investments and services

supported

GRI 203-1

NFIS/Our stakeholders/Society/Contribution to society

Significant indirect economic impacts

GRI 203-2

NFIS/Our stakeholders/Society/Contribution to society

105

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Innovation of better

products and

services

Social value generated (%)

Adapted from GRI

(FiFS7 + FiFS8)

and SASB

FN0102-16.a, EPIC

BBVA is working to develop methodologies that allow it to

calculate this ratio and to be able to report this metric in

future financial years.

Vitality Index

Percentage of gross revenue from product

lines added in last three (or five) years,

supported by narrative that describes how

the company innovates to address specific

sustainability challenges

Adapted from

OECD Oslo

Manual Section

8.3.1

BBVA is working, through the involvement of different areas

of the Company, to develop systems in order to indetify new

product lines that allow addressing specific sustainability

challenges and be able to report this metric in future

financial years.

Community and

social vitality

Total Social Investment ($)

CECP Valuation

Guidance

NFIS/Our stakeholders/Society/Contribution to society

Additional tax remitted

Adapted from GRI

201-1

NFIS/Our stakeholders/Society/Fiscal transparency

Total tax paid by country for significant

locations

Adapted from GRI

201-1

NFIS/Our stakeholders/Society/Fiscal transparency

Notes:

For WEB - IBC standards the reporting criteria column is included as they have been developed on the basis of other international standards.

(1) The concept of "monetary losses" includes the amounts paid, provisionally or definitively (without defense expenses), by banking entities that are members of the BBVA

Group as of December 31, 2021, during the 2021 financial year, excluding those derived from merely internal claims (customer services or customer advocate). The Fixing Rate

as of 12/31/2021 is applied as the exchange rate.

106

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

SASB-Commercial Banks

Contents index SASB. Commercial Banks

Topic

Metric

BBVA Group's response

Data security

(1) Number of data breaches,

(2) Percentage involving personally identifiable

information (PII),

(3) Number of account holders affected.

NFIS/Our stakeholders/Customers/Customer safety and

protection

BBVA will continue working on the future exercises to

advance in the dissemination of this metric.

Description of approach to identifying and

addressing data security risks

NFIS/Our stakeholders/Customers/Customers safety and

protection

Financial inclusion and capacity

building

(1) Number and (2) amount of loans outstanding

qualified to programs designed to promote small

business and community development.

BBVA is working to develop a data identification and

quantification system in line with its social standard in order

to be able to report this metric in future years.

(1) Number and (2) amount of past due and non-

accrual loans qualified to programs designed to

promote small business and community

development.

Number of no-cost retail checking accounts

provided to previously unbanked or

underbanked customers.

Number of participants in financial literacy

initiatives for unbanked, underbanked, or

underserved customers.

During the 2021 financial year, BBVA reports the number of

participants in financial education and technical training

initiatives. However, it will continue working to develop and

provide the required information, in those geographies

where it is possible due to its specific regulation.

Incorporation of Environmental,

Social, and Governance Factors in

credit analysis

Commercial and industrial credit exposure, by

industry.

NFIS/Report on climate change and other environmental

and social issues/Management of risks associated with

climate change

Description of approach to incorporation of

environmental, social, and governance (ESG)

factors in credit analysis.

NFIS/Report on climate change and other environmental

and social issues/Management of risks associated with

climate change

Business Ethics

Total amount of monetary losses as a result of

legal proceedings associated with fraud, insider

trading, anti-trust, anti-competitive behavior,

market manipulation, malpractice, or other

related financial industry laws or regulations.

For issues related to corruption (including fraud, money

laundering and other concepts included in the definition of

corruption provided in metric GRI 205-3), please refer to the

information included in metric GRI 205-3.

For questions related to competition, please refer to the

information included in the GRI 206 metric.

There are no monetary losses incurred in 2021 by banking

entities that are members of the BBVA Group as of

December 31, 2021 due to resolutions imposed due to price

manipulation or insider trading practices in the “Commercial

Banks” industry.

Monetary losses of €9.8m incurred by BBVA, S.A. are

included. for judicial decisions (and transactional

agreements reached in legal proceedings) derived from

alleged breaches of Law 57/1968, on the collection of

advance amounts in the construction and sale of housing(1).

Description of whistleblower policies and

procedures.

NFIS/Our stakeholders/Society/ Compliance

Systemic Risk Management

Global Systemically Important Bank (G-SIB)

score, by category.

Financial information/Solvency

Description of approach to incorporation of

results of mandatory and voluntary stress tests

into capital adequacy planning, long-term

corporate strategy, and other business activities.

Financial information/Solvency

NFIS/Strategy/Main advances in the execution of the

strategy

Activity metrics

(1) Number and (2) value of checking and

savings accounts by segment: (a) personal and

(b) small business.

Data includes information of BBVA Spain, BBVA Mexico,

BBVA Colombia, BBVA Peru. See table (1) below.

(1) Number and (2) value of loans by segment:

(a) personal, (b) small business, and (c)

corporate.

Data includes information of BBVA Spain, BBVA Mexico,

BBVA Colombia, BBVA Peru. See table (2) below.

(1) It is considered bad practice that related to the behaviors described in the metric. Amounts related to claims related to alleged lack of transparency

or vices in the consent are not included, as they are considered outside the object of the metric.

For the purposes of this metric, the “Commercial Banks” industry is understood as Business and Corporation Banking (including Real Estate).

The concept of "monetary losses" includes the amounts paid, provisionally or definitively (without defense expenses), by banking entities that are

members of the BBVA Group as of December 31, 2021, during the 2021 financial year, excluding those derived from merely internal claims (services of

customer service or customer advocate). The Fixing Rate as of 12/31/2021 is applied as the exchange rate.

As a consequence of these monetary losses, in the ordinary course of their business, the affected entities carry out an analysis of them and proceed to

adopt a series of corrective measures, among which are the making of adjustments in internal operations or the adaptation of the corresponding

documentation, such as the requirements for opening and maintaining accounts with real estate developers.

107

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

(1) CURRENT AND SAVINGS ACCOUNTS ON NOVEMBER 30, 2021 (NUMBER IN THOUSANDS, VALUES IN MILLIONS.

EUROS)

Number

Value

Personal

63,143

146,557

SME

2,788

23,806

(2) LOANS ON NOVEMBER 30, 2021 (NUMBER IN THOUSANDS, VALUES IN MILLIONS. EUROS)

Number

Value

Personal

27,855

114,309

SME

8,271

24,021

Corporate

2,696

97,669

SASB-Consumer Finance

Content index SASB. Consumer Finance

Topic

Metric

BBVA Group's response

Customer Privacy

Number of account holders whose information is

used for secondary purposes

One of the requirements for clients to be able to obtain the

benefits associated with the Election Account is the linking of

products, that is, that in addition to the account itself, the client

contracts or has contracted any of the products detailed in the

contract; for example, insurance, pension plans, funds or

financial products offered by BBVA. For this, BBVA needs to

obtain from the insurers and managers of the financial products

that have contracted certain personal data of the clients, in order

to verify if you meet the link requirement with respect to them, to

verify that the sufficient link with BBVA and not charge

commissions where appropriate.

This information is requested on a monthly basis so that BBVA

can verify compliance with the linkage requirements related to

insurance and financial products in accordance with the

conditions established in the Election Account contract.

As of December 31, 2021, 6.2 million customers have contracted

this product.

Total amount of monetary losses as a result of legal

proceedings associated with customer privacy

Monetary losses of €634 thousand are reported incurred in 2021

by banking entities that are members of the BBVA Group as of

December 31, 2021, as a result of court rulings (and

transactional agreements reached in court proceedings) as well

as administrative fines imposed in procedures related to the

privacy of natural persons, including their right to honor (2) (4).

Data Security

(1) Number of data breaches, (2) percentage

involving personally identifiable information (PII),

(3) number of account holders affected

NFIS/Our stakeholders/Customers/Customers safety and

protection

Card-related fraud losses from (1) card-notpresent

fraud and (2) card-present and other fraud

At Group level, during the financial year 2021, losses have been

recorded for a value of €74.4m, in case of fraud related to the

absence of a card, and €20.2m with the presence of a card.

Information that includes data from Argentina, Colombia, Spain,

Mexico, Peru, Turkey, Uruguay and Venezuela.

Description of approach to identifying and

addressing data security risks

NFIS/Our stakeholders/Customers/Customers safety and

protection

Selling Practices

Percentage of total remuneration for covered

employees that is variable and linked to the amount

of products and services sold

NFIS/Our stakeholders/Employees/Remuneration

Approval rate for (1) credit and (2) pre-paid

products for applicants with FICO scores above

and below 660

It is not applicable to BBVA's current business model because it

does not have presence in the USA. Disclosure of this metric is

not excluded if its applicability is extended to other places where

BBVA is present or the activity is resumed in the United States.

(1) Average fees from add-on products, (2) average

APR, (3) average age of accounts, (4) average

number of trade lines, and (5) average annual fees

for pre-paid products, for customers with FICO

scores above and below 660

It is not applicable to BBVA's current business model because it

does not have presence in the USA. Disclosure of this metric is

not excluded if its applicability is extended to other places where

BBVA is present or the activity is resumed in the United States.

108

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

(1) Number of complaints filed with the Consumer

Financial Protection Bureau (CFPB), (2) percentage

with monetary or non-monetary relief, (3)

percentage disputed by consumer, (4) percentage

that resulted in investigation by the CFPB

It is not applicable to BBVA's current business model because

the group does not have presence in the United States. However,

BBVA has tools for communication, monitoring and response to

claims or complaints submitted by customers, reported in this

report to respond to other metrics. In caset that its applicability

is extended to other places where BBVA has presence or activity

is resumed in the United States, BBVA will analyze the

materiality of the metric for its inclusion in future reports.

Total amount of monetary losses as a result of

legal proceedings associated with selling and

servicing of products

Monetary losses of €2.5m are reported, incurred in 2021 by

banking entities that are members of the BBVA Group as of

December 31, 2021, as a result of court rulings (and

transactional agreements reached in court proceedings) in

which condemns the entity for lack of transparency and/or vice

in consent (but not for abusiveness when it is not preceded by a

transparency analysis) in the field of consumer financing

(excluding micro-enterprises and the self-employed when they

do not act as consumers) .

Amounts derived from administrative sanctions are not included

(for this purpose, please see metrics GRI 417-2 and GRI 419) (2)

(3).

Activity metrics

Number of unique consumers with an active (1)

credit card account and (2) pre-paid- debit card

account

BBVA will continue working on

future exercises to advance in the dissemination of this metric.

Number of (1) credit card accounts and (2) pre-

paid debit card accounts

On December 31, 2021, the data at Group level amounts to

25,255 thousand credit cards and 76,411 thousand debit cards

(1).

(1) Includes information from Mexico, Turkey, Argentina, Colombia, Peru, Uruguay and Spain

(2) The concept of "monetary losses" includes the amounts paid, provisionally or definitively (without defense expenses in general), by the entity in question, during the 2021

financial year, excluding those derived from merely internal claims (defense services). customer service or customer advocate). The Fixing rate as of 12/31/2021 is applied as

the exchange rate.

(3) As a result of said judgments (and transactional agreements), the affected entities, in the ordinary course of their business, carry out an analysis of them and proceed to

adopt a series of corrective measures, among which are the adaptation of the documentation or adjustment of contract conditions.

(4) As a result of said judicial rulings, agreements and administrative fines, the affected entities, in the ordinary course of their business, carry out an analysis of them and

proceed to adopt a series of corrective measures, among which are the adaptation of documentation, making adjustments to internal operations or implementing changes to

privacy policies.

109

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

SASB-Mortgage Finance

Content index SASB. Mortgage Finance

Topic

Metric

BBVA Group's response

Lending Practices

(1) Number and (2) value of residential mortgages of

the following types: (a) Hybrid or Option Adjustable-

rate Mortgages (ARM), (b) Prepayment Penalty, (c)

Higher Rate, (d) Total, by FICO scores above or below

660

It is not applicable to BBVA's current business model because the

group does not have presence in the United States. In case that its

applicability is extended to other places where BBVA is present or

activity is resumed in the United States, BBVA will analyze the

materiality of the metric for its inclusion in future reports.

(1) Number and (2) value of (a) residential mortgage

modifications, (b) foreclosures, and (c) short sales or

deeds in lieu of foreclosure, by FICO scores above and

below 660

It is not applicable to BBVA's current business model because the

group does not have presence in the United States. In case that its

applicability is extended to other places where BBVA is present or

activity is resumed in the United States, BBVA will analyze the

materiality of the metric for its inclusion in future reports.

Total amount of monetary losses as a result of legal

proceedings associated with communications to

customers or remuneration of loan originators

Monetary losses of €20.5m are reported, incurred in 2021 by

banking entities that are members of the BBVA Group as of

December 31, 2021, as a result of court rulings (and transactional

agreements reached in court proceedings) in which the entity is

condemned for lack of transparency and/or vice in the consent (but

not for abusiveness when it is not preceded by a transparency

analysis, except as indicated in the following paragraph) in the field

of mortgage financing to individuals when they mortgage their

home, either as collateral for a loan for the purchase of the same or

for the purchase of another property.

Although these are not assumptions that are the subject of the

metric because the lack of transparency and/or vices in consent are

not discussed, but only abusiveness, because they are specific to

the "Mortgage Finance" industry, monetary losses of €13 .8m

incurred in 2021 by BBVA, S.A. as a result of legal proceedings

arising from claims associated with mortgage financing expenses for

consumers.

Amounts derived from administrative sanctions are not included (for

this purpose, please see metrics GRI 417-2 and GRI 419) (1) (2).

Description of remuneration structure of loan

originators

NFIS/Our stakeholders/Employees/Remuneration

Discriminatory

Lending

(1) Number, (2) value, and (3) weighted average Loan-

to-Value (LTV) ratio of mortgages issued to (a)

minority and (b) all other borrowers, by FICO scores

above and below 660

It is not applicable to BBVA's current business model because the

group does not have presence in the United States. In case that its

applicability is extended to other places where BBVA is present or

activity is resumed in the United States, BBVA will analyze the

materiality of the metric for its inclusion in future reports.

Total amount of monetary losses as a result of legal

proceedings associated with discriminatory mortgage

lending

No monetary losses have been incurred in financial year 2021 by the

banking entities that make up the BBVA Group as of December 31,

2021, as a result of court rulings imposed in procedures associated

with discriminatory practices in the granting of mortgage financing

to individuals when they mortgage their home. , either in guarantee

of a loan for the acquisition of the same or for the acquisition of

another property. For these purposes, discriminatory practices are

understood as those conducts that favor the granting of mortgages

to natural persons on the basis of criteria not strictly based on

objective conditions of credit risk (3).

Description of policies and procedures for ensuring

non-discriminatory mortgage origination

NFIS/Report on climate change and other environmental and social

issues/Management of risks associated with climate change

Environmental Risk to

Mortgaged Properties

(1) Number and (2) value of mortgage loans in 100-

year flood zones

NFIS/Report on climate change and other environmental and social

issues/Management of risks associated with climate change

(1) Total expected loss and (2) Loss Given Default

(LGD) attributable to mortgage loan default and

delinquency due to weatherrelated natural

catastrophes, by geographic region

NFIS/Report on climate change and other environmental and social

issues/Management of risks associated with climate change

Description of how climate change and other

environmental risks are incorporated into mortgage

origination and underwriting

NFIS/Report on climate change and other environmental and social

issues/Management of risks associated with climate change

Activity metrics

(1) Number and (2) value of mortgages originated by

category: (a) residential and (b) commercial

See table (1) below. The data includes information from BBVA Spain,

BBVA Mexico, BBVA Colombia and BBVA Peru.

(1) Number and (2) value of mortgages purchased by

category: (a) residential and (b) commercial

Recently, BBVA has not carried out any type of activity related to the

acquisition of mortgages and, therefore, this metric is considered

non-material. Due to the possibility that this situation changes,

BBVA will monitor and will report the information requested in this

standard.

(1) The concept of "monetary losses" includes the amounts paid, provisionally or definitively (without defense expenses in general), by the entity in question, during the 2021

financial year, excluding those derived from merely internal claims (services of customer service or customer advocate). The Fixing rate as of 12/31/2021 is applied as the

exchange rate.

110

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

(2) As a consequence of said judgments (and transactional agreements), the affected entities, in the ordinary course of their business, carry out an analysis of them and

proceed to adopt a series of corrective measures, among which are the adaptation of the documentation, the adjustment of the conditions of the contracts or the modification

or elimination of the clauses declared null (eg clause of expenses and floor clauses).

(3) The concept of "monetary losses" includes the amounts paid, provisionally or definitively (without defense expenses), by the entity in question, during the 2021 financial

year, excluding those derived from merely internal claims (customer service or client advocate).

(1) MORTGAGES OPENED ON NOVEMBER 30, 2021 (NUMBER IN THOUSANDS, VALUES IN MILLIONS. EUROS)

Number

Value

Residential

1,667

84,380

Commercial

145

9,743

2.4.4 Additional information on the BBVA Group's sustainability

standards and frameworks

Origination of sustainable finance and Taxonomy of the European Union (EU)

BBVA's approach to the organization of sustainable finance includes financial flows to sustainable assets and finance for clients in

their transition toward a sustainable future:

–Finance of activities in the EU for which we use the EU taxonomy. So far, the EU taxonomy includes the objectives for

adaptation and mitigation of climate change.

–Financing of activities in the EU with objectives which are not yet included in the taxonomy but which are being developed,

such as other environmental and social objectives, as well as other activities in transition. BBVA is aligned with the updated

taxonomy at any time.

–Financing activities outside the EU. BBVA applies the same EU taxonomy but with some flexibility to reflect the differences

in national policies and avoid the exclusion of emerging markets (e.g. CO2 thresholds for vehicles and the agricultural

business). If a local taxonomy is in place, it will be applied.

–Other finance not included within the framework of EU Taxonomy, such as financial flows for general corporate purposes .

Emission framework of bonds linked to the Sustainable Development Goals

(SDGs)

BBVA is now one of the most experienced banks in the green bond market. It began its activity in 2007 when it formed part of the

issue of the first green bond by EIB. Since then, the Group has led, structured, advised and placed green and social bonds for its

clients in Europe, Turkey, the United States, Mexico and South America.

In April 2018, BBVA published its framework for the issue of its own sustainable bonds, linked to the United Nations’ Sustainable

Development Goals (SDGs). Under the framework, BBVA can issue three types of bonds:

–green bonds: debt instruments whose fund will be allocated to finance new and/or existing projects;

–social bonds: debt instruments whose fund will be allocated to finance new and/or existing social projects;

–sustainable bonds: debt instruments whose fund will be allocated to finance new and/or existing green projects.

It is a framework aligned with the Green and Social Bond Principles and the Sustainable Bond Guide 2018 of the International Capital

Market Association (ICMA), backed by a solid governance and with a management and strict monitoring of the net funds obtained and

that has an assessment of an independent verification by DNV-GL. The framework is public and available on the BBVA shareholders

and investors website.

The issue of green and social bonds forms part of BBVA's climate change and sustainable development strategy. On the sustainable

market, the Group has since its inaugural issuance in 2018, carried out five public issuances divided between green bonds for €3

billion and social bonds for €2 billion. BBVA published a monitoring report for green and social bonds which includes the impacts of

the bonds issued from 2018 to 2020. It is available on the BBVA Shareholders and Investors web page. Through the funds obtained, a

total of 15,175 companies have benefited with a total of 207,628 employees, avoiding the emission of 2.3 million tons of CO2 into the

atmosphere, a figure equivalent to the annual emissions of over 912,000 cars.

Transactional framework of sustainable products

One of the core elements of BBVA's business model is the integration of the opportunities arising from the contribution toward global

sustainability, thus providing its customers with innovative solutions for financing their investments with positive environmental and

social impacts. Its aim is to foster sustainable financing, assess its strategic impact and boost and manage transformation initiatives

that best respond to the challenges related to climate change and social issues.

111

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

BBVA considers that sustainable finance is an important strategy to help its clients in their change toward sustainability and a

powerful tool to increase corporate responsibility. BBVA is thus committed the development of innovative and sustainable financial

solutions. This framework is in line with this strategy, with the SDGs and with the Paris Agreement, and takes as a reference the

current market standards reflected in the Green Bond Principles, the Social Bond Principles, the Sustainability Bond Guidelines, and

the Green Loan Principles. For more information on these principles, see the section "Participation in international initiatives" in this

Chapter.

The framework is divided into two types of product.

–Linked to the SDGs: financial solutions for the client projects, which directly contribute to one or more SDGs. These projects

may be considered as green, social or sustainable according to the use of the funds, in fields such as renewable energies,

energy efficiency, waste management, water treatment and access to services covering essential goods and services such

as housing and inclusive finance. The funds or hedging obtained by green, social or sustainable products within the

framework will not be used for certain excluded activities.

–Linked to sustainability: financial solutions that are not based on the use of funds but are eligible based on sustainability

criteria of eligible companies (members of a sustainable index or ESG classification above the industry average) and that

are defined within the framework itself. The market for financial products linked to sustainability is relatively new and it is

growing rapidly, thereby allowing assistance to be given to companies and sectors that do not have specific sustainable

projects to finance, and which are looking for ways to start or expand their path to sustainability. Products linked to

sustainability are intended to facilitate and support economic activity and growth from the environmental and social point of

view. The eligible companies may not be involved in excluded activities.

The framework is public and available on the BBVA Shareholders and Investors website.

2.4.5 Integration of ESG aspects in the clients relations

Integration of ESG aspects in wholesale client relations.

BBVA provides sophisticated financial services to its corporate and institutional clients from the Corporate & Investment Banking

(CIB) units and Corporate and Business Banking (CBB). These clients range from major global corporate and institutional clients with

very complex financial needs and other smaller ones with a more local presence and less sophisticated financial requirements.

Due diligence / customer insight

1.Due diligence process

As well as the customer knowledge and assessment process, known as Know Your Customer (hereinafter, KYC), BBVA has

implemented a ESG data procurement service for its customers in collaboration with EST data suppliers through the creation of

specific sustainability questionnaires by industries with the aim of increasing the knowledge of environmental performance of

customers to allow them to make the best decisions based on data.

For the mining, agro-industry, energy and infrastructure sectors, BBVA carries out enhanced due diligence through an independent

expert and operations in these sectors, where ESG aspects are assessed.

BBVA, within the scope of preparing and defining its industry frameworks governing the credit admission process, has developed an

internal Taxonomy of transition risk in order to classify industries according to their sensitivity to transition risk. In addition, metrics

are identified at the client level to assess their vulnerability and to integrate this aspect into risk and client support decisions. Once

climate risk is incorporated into the Risk Appetite Framework and the business strategy, it also must be included in the day-to-day

risk management, which is a part of the risk decision making that supports the Bank’s clients. More information on this point is

available in the chapter "Integration of climate change into risk decisions" in this report).

BBVA is also developing the admission model with sustainability factors as a fundamental step to support green products.

2.Analysis of environmental and social risks and opportunities.

BBVA was the first bank in the world to use data analytics to calculate the carbon footprint of companies and use it to offer value

solutions to our customers. The calculation of the carbon footprint for companies provides information on the ESG profile of

customers (calculation of the footprint, changes over time, comparison with the average in the sector and similar companies, etc.).

This allows BBVA to categorize its customers and implement advice actions and commercial actions targeted, customized and

adapted to the profile of each customer.

Recently functionalities have been incorporated which allow the definition of energy saving targets, alerts which provide a warning

when the target is not being met, and a comparison of consumption with other companies in the same sector of activity (CNAE),

similar level of turnover and number of employees on the workforce, indicating the percentile of monthly expenses compared with

other comparable companies.

BBVA uses natural language processing techniques for the categorization of the ESG of clients at large scale based on public

information such as corporate customer websites, official registries, news, etc.

BBVA's leadership in digital transformation allows it to take advantage of its digital and data analytics capabilities to offer customized

advice and solutions through the categorization of certain banking transactions. This categorization of transactions will allow it to

initiate a commercial advice conversation which helps its customers to improve their environmental performance.

112

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

As well as promoting the sustainability in the businesses it finances, BBVA Group has adhered to numerous sustainability initiatives,

as specified in the section "Participation in international initiatives" in this report.

ESG support for wholesale clients

BBVA interacts and shares ESG knowledge and best practice with its clients through a variety of mechanisms:

a.Direct support for ESG

To complete the sustainable offer, the ESG Advisory service was created in 2020 to assist global customers in their transition toward

a sustainable future in all sectors of activity. This involves data-driven assessments and guidance to assist customers in undertaking

commitments, each from a different starting point, to align with the Paris Agreement and make progress in terms of the United

Nations 2030 Sustainable Agenda.

Dialog with customers on ESG aspects is based on:

–General introduction. General description of how sustainability is evolving in the political and financial context, explaining

the principal regulatory issues, reporting needs, developments in the financial markets, ESG classifications, etc.

–Industrial specialization in industries which are facing the biggest challenges for a transition to a low-carbon economy. oil

and gas, energy, automobile manufacturers and auto parts, as well as other industries such as infrastructures, processed

food, beverages, cement, fintechs and pharmaceuticals. Customers are informed on the main challenges and opportunities

for the industry and the dialog is focused on a roadmap for each industry to align with the Paris Agreement commitment.

BBVA provides information for its customers on regulation, technological improvements and the best practices of each

industry. The Group also provides a comparative analysis on how similar companies are performing in terms of ESG,

different alternatives to improve their sustainable profile, and how to establish specific short- and medium-term objectives.

–Description of sustainable finance products. BBVA offers customers a list of sustainable products and finance (bonds,

loans, global transactional banking, global markets, equity, mergers and acquisitions)

BBVA directly supports its global and non-global customers to incorporate ESG practices in their business strategies and

transactions by carrying out one-on-one visits, invitation to events, advice on projects with technology and consulting firms and other

advice services.

BBVA customers also have publicity information and a catalog of sustainable products on the transactional banking website. The

Group makes available to its customers product information, sustainability advice and explains their impact on the environment

(savings in electricity consumption with an energy efficiency loan, fuel savings when arranging a loan to renew the vehicle fleet, etc.).

b.ESG knowledge transfer

On the www.bbva.com website, and social media BBVA customers have available information and content on sustainability in general,

best practices, financed transactions, ESG criteria in day-to-day activities, transactions financed, ESG criteria in the daily activities of

companies and individuals, recommendations, etc. There is a team dedicated to the creation and dissemination of knowledge on ESG

issues.

The Group has a sustainability section on its corporate website where seven different categories provide access to informative

content with which BBVA wants to bring the challenges of sustainability and the economy to society. These contents can also be

heard in its podcast "Sustainable Future."

In 2021 over 800 articles were published impacting more than 3.5 million unique users, over 100 podcasts with more than 180,000

downloads, a newsletter with over 3,600 subscribers, more than 100 YouTube videos with over 795,000 views and content on social

media with over 66,000 clicks.

Through social media, BBVA reaches out to people and generates knowledge of ESG issues to generate a positive impact.

In 2021 BBVA initiated a series of sustainability webinars with the aim of spreading and providing people with direct access to the

knowledge of experts in a variety of disciplines. The first of them was organized in December, and will cover how to calculate the

carbon footprint.

Support metrics

In 2021, over 20 global customers were contacted through the ESG Advisory service. Over 300 pitches were also made.

Moreover, in 2021 over 400 ESG commercial and advice visits were made to customers who were presented with a value proposition

with ESG characteristics adapted to their needs and profile (sector, activity, maturity, loyalty to BBVA, risk profile, proposed use of

funds, product and price).

We have also organized events with sustainability-related contents: trends, sustainable finance, risks, opportunities, energy

efficiency, renewable energy, clean transportation and agriculture.

The development of sustainable business in customers' companies, focused on promoting sustainable mobility, energy efficiency and

renewable energy, has led to agreements with third parties for the distribution of electric cars, to enhance energy saving projects and

the installation of solar panels.

113

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Finally, BBVA, in collaboration with a company specialized in managing European funds from the Next Generation EU program

approved by the European Commission, offers an advisory service to clients who promote Spanish projects related to the ecological

transition and sustainable mobility, among others. More than 1,000 companies have shown interest in this advisory service

Exclusions

As part of its competitive strategy, BBVA does not finance companies or projects in sectors included in the section "Environmental

and social framework" section of this report. In 2021 over 300 groups were classified within this framework.

Integration of ESG aspects in retail customer relations

The retail banking business units include SME banking and household customer banking.

Due diligence / customer insight

1.Due diligence process.

BBVA identifies, accredits and documents the activity carried out by our customers through the Know Your Customer process known

as KYC. BBVA's KYC process has been designed and implemented through a risk approach and allows a better knowledge of our

customers, their transactions and segmentation, channels, jurisdictions and transaction monitoring. KYC is not a static process, but

renewed periodically.

2.Analysis of environmental and social risks and opportunities.

BBVA is the first entity in Spain to offer the calculation of the carbon footprint to its individual customers thanks to its digital and data

analytics capabilities. This new service raises the awareness of the Bank's individual customers on the impact its actions have on the

environment, and help them transition to a more sustainable world. Adding the characteristics of housing (area, energy certification,

etc.) BBVA may value improvements in energy efficiency and offer advice. These recommendations include, for example, simple and

sustainable changes in habits that allow a reduction of the amounts in utility bills. Customers will also be able to see and/or buy one of

the sustainable products offered by BBVA. BBVA also analyzes the portfolio of auto loans and the mortgage portfolio of the retail

banking through the “Valora” tool.

As well as promoting the sustainability in the businesses it finances, BBVA Group has adhered to numerous sustainability initiatives,

as specified in the chapter "Participation in international initiatives" in this report.

ESG support for retail customers

a.Direct support for ESG

BBVA supports its customers to incorporate ESG practices through one-to-one meetings and visits, mass participation events, advice

on projects with technology and consulting firms and other advice services. BBVA advises its customers through digital channels and

its commercial branch network. It is an integrated model of service that ranges from raising awareness to project design and

management of public subsidies.

The managers, mobile banking and the commercial network offer a wide range of sustainable investment and finance products,

adapted to the situation in each of the geographies in which it operates. In Spain, BBVA already offers a sustainable alternative for all

its traditional products for SMEs and individuals. In all the countries, efforts are focused on sustainable mobility, housing reform with

energy efficiency, and the green mortgage.

Retail customers also have publicity information and a catalog of sustainable products on the transactional banking website. BBVA

makes available to its customers product information, sustainability and other advice, explaining product impact on the environment

by giving examples (savings in electricity consumption with leasing plans for LED lighting or an energy efficiency loan, fuel savings

when arranging leasing plans for electric cars / loans for environmentally-friendly cars, etc.).

b.ESG knowledge transfer

The transfer of ESG knowledge to retail customers is carried out in the same way as in the wholesale customer area, as specified in

the above section "I. Integration of ESG aspects in wholesale customer relations."

Support metrics

In 2021, the carbon footprint calculator had more than 500,000 visits.

Some 80 events have been organized in a variety of formats (webinars, panels of experts, forums, working breakfasts, encounters,

etc.) which have impacted 23,473 people: 3,364 connected (14%), 19,264 streaming (82%) and 845 attending in person (4%). They

include content related to sustainability: trends, sustainable finance, risks, opportunities, energy efficiency, renewable energy, clean

transportation and agriculture.

114

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.4.6 Contribution to the Sustainable Development Goals

The Sustainable Development Goals (SDGs) were adopted in 2015 within the framework of the United Nations 2030 Agenda for

Sustainable Development and have been signed by 193 countries. The 17 goals seek to eradicate poverty, protect the planet and

ensure prosperity for all. This initiative aspires to involve all interest groups, from governments to companies to civil society. Each of

the objectives, stated with a specific purpose, in turn lists several goals to achieve it and each goal has its own indicators, which serve

to determine the degree of achievement of each objective.

BBVA focuses on contributing to five SDGs through the development of its business, generating a greater positive impact by taking

advantage of the multiplier effect of banking. These SDGs are: 7, 12 and 13 (Climate Action); and 8 and 9 (Inclusive growth).

Additionally, BBVA contributes significantly to these and other SDGs through the direct impacts of its activity and through its

investment in the community.

Impact metrics

BBVA integrates the SDGs in its Sustainability Policy and in its Corporate Social Responsibility Policy, to contribute to them through

its direct impact as a company, the development of its business, its social action and the alliances to which BBVA is attached. To

report on this impact, methodological guidelines published by GRI, United Nation Global Compact and the World Business Council for

Sustainable Development22 and by the World Economic Forum have been used23.

115

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

22 GRI, the United Nations Global Compact and the World Business Council for Sustainable Development -WBCSD- (2016). SDG Compass. The guide for business action on the

SDGs.

23 World Economic Forum (2020). Toward Common Metrics and Consistent Reporting of Sustainable Value Creation.

1.Planet

SDG 7 AFFORDABLE AND CLEAN ENERGY

2021

2020

Direct impact

Environmentally certified area in m2 (%) (1)

39%

41%

Electricity usage per employee (MWh/occup)

5.76

6.02

Reduction of electricity usage per employee (%) (2)

(14)%

(10)%

Electricity coming from renewable sources (%) (2)

79%

71%

CO2 emissions per employee (T CO2/occup) (3)

0.94

0.80

CO2 emission reduction per employee (TCO2/occup) (2) (3)

(60)%

(66)%

Emissions offset (%)

100%

Energy consumed (megawatt-hour)

695,140.28

717,011.28

Join RE 100

✔

Indirect impact on our

clients

Financing of renewable energy projects (million €)

846

414

Carbon footprint calculator (number of enterprise users)

11,492

2,174

CO2 emissions avoided through the issuing of green bonds (T of CO2)(4)

n/a

1,307,860

Renewable energy generated from the issuing of green bonds (GWh/year)(4)

n/a

5,703

(1) The following seals/certifications are considered: Leed, ISO 14001, ISO 50001, EDGE, Zero Waste, WWWF Green Office, Green Seal. Previously this indicator was Employees

in certified buildings (%)

(2) With respect to base year 2019 (2020 consumptions are distorted by the effect of the pandemic)

(3) Included emissions Scope 1 (fuels in facilities and fleet and refrigerant gases), Scope 2 (electricity consumption; Market-based method) and Scope 3 (waste management,

business trips by plane and train and employee displacement)

(4) Data 2021 not available at the date of publication of this report.

SDG 12 RESPONSIBLE CONSUMPTION AND PRODUCTION

2021

2020

Direct impact

Reduction of water consumed per employee (%) (1)

(5)%

Reduction of paper consumed per employee (%) (1)

(32)%

(34)%

Water consumption per employee (m3/occup)

17.9

17.98

Paper consumption per employee (kg/occup)

33.8

32.65

Public water supplied (millions of cubic meters)

1.87

1.92

Paper consumed (T)

3,636

3,521

Hazardous waste (T)

119.55

31.35

Non-hazardous waste (T)

4,198

3,250

Waste recycled (T)

2,402

1,154

% contracts awarded to certified suppliers

97%

% local suppliers/total suppliers

98%

97%

Indirect impact on our

clients

Wastewater treated from the issuing of green bonds (m3/year) (2)

n/a

12,141,005

Waste treated from the issuing of green bonds (T/year) (2)

n/a

349,828

(1) With respect to base year 2019 (2020 consumptions are distorted by the effect of the pandemic)

(2) Data 2021 not available at the date of publication of this report.

SDG 13 CLIMATE ACTION

2021

2020

Direct impact

Scope 1 emissions (tons of CO2e) (1)

49,639

12,235

Scope 2 emissions (tons of CO2e) market-based method

42,355

68,155

Scope 2 emissions (tons of CO2e) location-based method

202,492

243,033

Scope 3 emissions (tons of CO2e) derived from plane business trips (2)

9,432

5,843

Indirect impact on our

clients

Green bond issued (€ million)

—

1,000

Pledge 2025: green mobilization (€ million)

22,042

10,747

Wholesale loan portfolio exposed to sectors sensitive to transition risks (%)

9.0%

9.1%

Total amount of operations analyzed under the Equator Principles (€ million)

18,648

12,061

(1) In the 2020 Scope 1 emissions, only those derived from the consumption of fuels in our facilities were taken into account. In the 2002 Scope 1 emissions1 , this scope has

been expanded to include emissions from the use of fuels in our vehicle fleets and refrigerant gases used in our air conditioning installations.

(2) In the 2020 Scope 3 emissions, only emissions from air travel were taken into account. In 2021, this scope has been expanded to include emissions from waste

management, train travel and employee commuting to work.

116

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.Prosperity

SDG 8 DECENT WORK AND ECONOMIC GROWTH

2021

2020

Direct impact

Financial value created: gross income (€ million)

21,066

20,166

Number of employees

110,432

123,174

Number of employees with different capacities

589

797

Number of suppliers

3,332

3,582

Suppliers annual turnover(€ million)

5,966

6,906

Indirect impact on our

clients

Financing for social entrepreneurs in Momentum Program (€ million)

—

1.2

Financing for businesses in neighborhoods with limited resources (€ million)

49.24

1,021.91

Businesses benefiting by social bonds issued (number) (1)

n/a

15,175

People (employees) benefiting by social bonds issued (number) (1)

n/a

207,628

Social bond issued (€ million)

1,000

Impact on community

investment

Investment in entrepreneurial initiatives (€ million)

8.0

7.7

People benefiting from initiatives to support entrepreneurship (million)

2.8

2.6

Entrepreneurs who receive financial support (million)

2.8

2.6

Entrepreneurs who receive non-financial support (number)

14,115

4,092

Unique users for pages with content related to entrepreneurship (million)

280,558

n.a.

(1) Data 2021 not available at the date of publication of this report.

SDG 9 INDUSTRY, INNOVATION AND INFRASTRUCTURE

2021

2020

Direct impact

Number of clients (million)

81.7

78.4

Financing for social infrastructure (€ million)

2,868

3,009

Impact on community

investment

Investment in science and research (€ million)

21.8

26.0

People benefiting from science and research initiatives (million)

6.3

3.6

(1) Includes people reached directly and through content (single user).

SDG 11 SUSTAINABLE CITIES AND COMMUNITIES

2021

2020

Indirect impact on our

clients

Loans financing low-income neighbourhood housing (€ million)

621

Social housing policy: refinancing agreements

84,600

85,000

Social housing granted to public entities

1,000

Mortgage loans (€ million)

91,324

91,428

Consumer loans (€ million)

31,026

29,571

Credit card loans (€ million)

12,936

12,016

Impact on community

investment

Investment in initiatives to support culture (€ million)

5.3

10.0

People benefiting from initiatives supporting culture (million)

1.9

1.4

(1) Includes people reached directly and through content (single user).

117

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

3.People

SDG 4 QUALITY EDUCATION

2021

2020

Direct impact

Investment in employee training (€ million)

31.8

Training per employee (hours per employee)

44.8

41.4

Employees who receive training (% of the total)

98%

92%

Employees who have finished the basic course on sustainability

57,210

31,589

Indirect impact on our

clients

% Digital clients who use financial health features (Spain)

53.3%

39.9%

Impact on community

investment

Investment in education programs (€ million)

Beneficiaries education for society (million)

0.3

0.6

Unique users who acquire open knowledge through ”Aprendemos juntos” (million)

18.5

13.3

BBVA volunteers who participate in Education initiatives (number)

2.5

1.7

Unique users that visit content on sustainability in www.bbva.com (number)

3.6

0.9

SDG 5 GENDER EQUALITY

2021

2020

Direct impact

% Women on the workforce

53%

54%

% Women board members

33%

% Women in senior management positions

27%

32%

% women in management positions

36%

43%

Promotions of women (% of total)

52%

54%

Women new hires (% of total)

49%

53%

Wage gap (%)

0.6%

1.1%

Indirect impact on our

clients

Loans to female entrepreneurs (€ million)

237

244

Gender Bonds intermediated (€ million)

—%

Impact on community

investment

% of clients Microfinance Foundation (women)

59%

60%

Bloomberg Gender-Equality Index

✔

BBVA Microfinance Foundation, top global contributor to gender equality initiatives

according to the OECD

✔

SDG 10 REDUCED INEQUALITIES

2021

2020

Direct impact

Number of ATMs (units)

29,148

31,000

Number of branches (units)

6,083

7,432

Indirect impact on our

clients

Financing for financial inclusion (€ million)

404

170

Number of clients belonging to financial inclusion segment Mexico (million)

8.3

7,6

Impact on community

investment

Financing for vulnerable entrepreneurs (€ million) (1)

1,114

944

Total number of Microfinance Foundation credit clients at the end of the year

(million)

0.86

0.84

% of Microfinance Foundation clients (rural)

34%

32%

% of Microfinance Foundation clients (primary education at most)

35%

38%

Investment in financial education programs and initiatives (€ million)

3.3

2.7

Beneficiaries of financial education programmes (million)

0.7

0.3

(1) 96.5% of clients are economically or socially vulnerable

118

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

4.Governance

SDG 16 PEACE, JUSTICE AND STRONG INSTITUTIONS

2021

2020

Direct impact

Corporate purpose that connects the main business with benefiting society

✔

Governance body with ESG competencies

✔

Taxes paid (€ million)

8,215

8,325

Anti-corruption policy

✔

Supplier ethics code

✔

BBVA and human rights

✔

Corporate Social Responsibility Policy

✔

Employees who have received code of conduct training

104,476

115,334

Employees who have received anti-corruption policy training

71,470

77,184

Complaints received through complaint channels

1,748

1,417

Employees who have received anti-money laundering training

97,106

97,573

Anti Money Laundering: nº investigation files

141,850

167,127

Anti Money Laundering: nº suspicious transactions reported to authorities

78,421

82,361

Anti Money Laundering: Engagement with governmental agencies and international

organizations

✔

Indirect impact on our

clients

Environmental and social framework sectors: energy, mining, defense,

infrastructure and agribusiness

✔

Human Rights Action Plan

✔

Number of complaints to the banking authority for every 10,000 active customers

Average time to resolve complaints (calendar days)

SDG 17 PARTNERSHIP FOR THE GOALS

2021

2020

Direct impact

RE 100; GECV, re -Source

✔

BBVA chairs REDI, the Business Network for LGTBI Diversity and Inclusion in

Spain

✔

✔ (member)

ERG (Employee Resource Group) Be Yourself, joining the United Nations

standards of conduct for the LGTBI community, joining REDI (Corporate Network

for Diversity and Inclusion in Spain), Inspiring Girls

✔

Indirect impact on our

clients

Signatory of the Principles for Responsible Banking and the Principles for

Responsible Investment

✔

Promoter of Green Bond Principles and Social Bond Principles

✔

Member of regional (EBF) and local (AEB, ABM Asobancaria, etc.) banking

associations

✔

Signatory of sectoral agreements: ANESE, Faconauto

✔

Signatory of the UNEP FI Collective Commitment to Climate Action

✔

Signatory of the Net Zero Banking Alliance

✔

n/a

Collective Committment to Financial Education & Inclusion

✔

n/a

Impact on community

investment

Number of volunteers (employees)

9,066

9,734

Number of hours of volunteer work

26,577

73,991

Member of United Nations Global Compact

✔

Member of the Thun Group of Banks on Human Rights

✔

Signatory of the Equator Principles

✔

Member of local, regional and international organizations that promote CSR

(Seres, CSR Europe, CECP, etc.)

✔

119

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

2.4.7Additional information on customer complaints

Customer Care Service and Customer Ombudsman in Spain

The activities of the Customer Care Service and Customer Ombudsman in 2021 were carried out in accordance with the stipulations

of Article 17 of the Ministerial Order (OM) ECO/734/2004, dated March 11, of the Ministry of the Economy, in compliance with the

competences and procedures established in the Customer Protection Charter in Spain of BBVA Group, approved on July 23, 2004 by

the Board of Directors of the Bank, with subsequent amendments (the latest on February 25, 2021).

Based on the above regulations, the Customer Care Service is in charge of handling and resolving customers complaints and claims

regarding products and services marketed and contracted in Spanish territory by BBVA Group entities.

In addition, in accordance with the aforementioned regulation, the Customer Ombudsman is made aware of and resolves, in the first

instance, all complaints and claims submitted by the participants and beneficiaries of the pension plans. It also resolves those related

to insurance and other financial products that BBVA Group Customer Care Service considers appropriate to transfer it, based on the

amount or particular complexity, as established under article 4 of the Customer Protection Charter. At the next level, the Customer

Ombudsman is made aware of and resolves the complaints and claims that the customers decide to submit for their consideration

after their claim or complaint has been dismissed by the Customer Care Service.

Activity report on the Customer Care Service in Spain

The Customer Care Service works to detect recurring, systemic or potential problems in the Entity, in compliance with European

claims guidelines established by the relevant authorities (ESMA and EBA). Its activity, therefore, goes beyond merely managing

claims, but rather, it works to prevent them and in cooperation with other BBVA departments.

The main types of claims received in 2021 were those related to the collection of fees for settling accounts, as well as those relating to

residential mortgages.

In 2021, the Customer Care Service received extra training on transparency regulations, the Mortgage Loan Act (Ley de Crédito

Inmobiliario) and the prevention of money laundering in MiFID itineraries and the new Second Chance Act (Ley de Segunda

Oportunidad). This guarantees that the managers of the Customer Care Service can remain up to date with the most important new

legislation and case-law affecting is activity.

Customer claims admitted to BBVA’s Customer Care Service in Spain amounted to 180,826 cases in 2021. In the same period

184,524 were resolved by the Customer Care Service itself (including claims pending at the close of 2020). Pending analysis are 3,147

claims as of December 31, 2021, and 22,426 cases were not admitted to processing due to a failure to comply with the requirements

of OM ECO/734.

COMPLAINTS HANDLED BY THE CUSTOMER CARE SERVICE BY COMPLAINT TYPE (PERCENTAGE)

Type

2021

2020

Resources

Assets products

Insurances

Collection and other services

Financial counselling and quality service

Credit cards

Securities and equity portfolios

Other

Total

100

COMPLAINTS HANDLED BY THE CUSTOMER CARE SERVICE ACCORDING TO RESOLUTION (NUMBER)

2021

2020

In favor of the person submiting the complaint

94,933

44,820

Partially in favor of the person submitting the complaint

17,225

12,669

In favor of the BBVA Group

72,366

37,755

Total

184,524

95,244

120

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

Activity report of the Customer Ombudsman in Spain

One more year, the Customer Ombudsman, along with the BBVA Group, once more achieved the objective of unifying criteria and

favoring customer protection and security, making progress in compliance with transparency and customer protection regulations. In

order to efficiently translate their observations and criteria on the matters submitted for their consideration, the Ombudsman

promoted several meetings with the Group’s areas and units (Insurance, Pension Plan Management, Business, Legal Services, etc.)

In 2021, 2,997 customer claims were filed at the Customer Ombudsman Office (compared to 4,941 in 2020). Of these, 98 were not

admitted to processing due to a failure to comply with the requirements of OM ECO/734/2004 and 125 were pending as of December

31, 2021.

A total of 56.75% of customers who submitted a complaint to the Customer Ombudsman in 2021 reported some level of satisfaction,

whether total or partial, because of the decision of the Officer of the Customer Ombudsman. Customers not satisfied by the response

of the Customer Ombudsman may have recourse to the official supervisory bodies (Bank of Spain, CNMV and Directorate-General for

Insurance and Pension Funds). 242 claims were filed by customers to supervisory bodies in 2021.

The Group continues making progress in the implementation of the different recommendations and suggestions of the Customer

Ombudsman with regard to adapting products to the customer profiles and the need for transparent, clear and responsible

information throughout the year. In 2021, these recommendations and suggestions focused on raising the level of transparency and

clarity of the information that the Group provides for its customers, both in terms of commercial offers available to them for each

product, and in compliance with the orders and instructions thereof, so that the following is guaranteed:

–An understanding by customers of the nature and risks of the financial products offered to them.

–The suitability of the product for the customer profile.

–The impartiality and clarity of the information that the Entity targets at customers, including advertising information.

COMPLAINTS HANDLED BY THE CUSTOMER OMBUDSMAN OFFICE BY COMPLAINT TYPE (NUMBER)

Type

2021

2020

Insurance and welfare products

685

1,097

Assets operations

401

1,810

Investment services

110

262

Liabilities operations

257

350

Other banking products (credit card, ATMs, etc.)

817

862

Collection and payment services

344

249

Other

383

311

Total

2,997

4,941

The categorization of the claims managed in the previous table follows the criteria established by the Complaints Department of the

Bank of Spain, in its requests for information.

COMPLAINTS HANDLED BY THE CUSTOMER OMBUDSMAN OFFICE ACCORDING TO RESOLUTION (NUMBER)

2020

Formal resolution

—

Estimate (in whole or in part)

1,861

2,433

Dismissed

1,320

2,196

Processing suspended

—

Total

3,181