K8MS7FD7N5Z2WQ51AZ71-20221231-en

Contents

CONSOLIDATED FINANCIAL STATEMENTS


Consolidated balance sheets ...........................................................................................................................................	4
Consolidated income statements ...................................................................................................................................	7
Consolidated statements of recognized income and expense .................................................................................	9
Consolidated statements of changes in equity ............................................................................................................	10
Consolidated statements of cash flows .........................................................................................................................	13

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS


1. Introduction, basis for the presentation of the Consolidated Financial Statements, Internal Control over Financial Reporting and other information ...................................................................................................................	14
2. Principles of consolidation, accounting policies and measurement bases applied and recent IFRS pronouncements ................................................................................................................................................................	17
3. BBVA Group ....................................................................................................................................................................	43
4. Shareholder remuneration system ............................................................................................................................	45
5. Earnings per share .........................................................................................................................................................	48
6. Operating segment reporting ......................................................................................................................................	49
7. Risk management ..........................................................................................................................................................	51
8. Fair value of financial instruments ..............................................................................................................................	102
9. Cash, cash balances at central banks and other demand deposits .....................................................................	115
10. Financial assets and liabilities held for trading .......................................................................................................	115
11. Non-trading financial assets mandatorily at fair value through profit or loss ...................................................	117
12. Financial assets and liabilities designated at fair value through profit or loss .................................................	117
13. Financial assets at fair value through other comprehensive income .................................................................	117
14. Financial assets at amortized cost ...........................................................................................................................	121
15. Hedging derivatives and fair value changes of the hedged items in portfolio hedges of interest rate risk	124
16. Investments in joint ventures and associates ........................................................................................................	127
17. Tangible assets .............................................................................................................................................................	129
18. Intangible assets ..........................................................................................................................................................	133
19. Tax assets and liabilities .............................................................................................................................................	135
20. Other assets and Liabilities ......................................................................................................................................	139
21. Non-current assets and disposal groups classified as held for sale and liabilities included in disposal groups classified as held for sale .................................................................................................................................	139
22. Financial liabilities at amortized cost .......................................................................................................................	144
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 .............................................................................	162
29. Treasury shares ...........................................................................................................................................................	164
30. Accumulated other comprehensive income (loss) ...............................................................................................	165
31. Non-controlling interest ..............................................................................................................................................	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


32. Capital base and capital management ....................................................................................................................	166
33. Commitments and guarantees given ......................................................................................................................	171
34. Other contingent assets and liabilities ....................................................................................................................	171
35. Purchase and sale commitments and future payment obligations ...................................................................	171
36. Transactions on behalf of third parties ...................................................................................................................	172
37. Net interest income .....................................................................................................................................................	172
38. Dividend income ..........................................................................................................................................................	172
39. Share of profit or loss of entities accounted for using the equity method .......................................................	173
40. Fee and commission income and expense ............................................................................................................	173
41. Gains (losses) on financial assets and liabilities, hedge accounting and exchange differences, net ..........	174
42. Other operating income and expense ....................................................................................................................	175
43. Income and expense from insurance and reinsurance contracts ......................................................................	175
44. Administration costs ...................................................................................................................................................	176
45. Depreciation and amortization ................................................................................................................................	178
46. Provisions or reversal of provisions .........................................................................................................................	179
47. Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification .....................................................................................................................................	179
48. Impairment or reversal of impairment of investments in joint ventures and associates ..............................	179
49. Impairment or reversal of impairment on non-financial assets ........................................................................	179
50. Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations ..............................................................................................................................................	180
51. Consolidated statements of cash flows ..................................................................................................................	180
52. Accountant fees and services ...................................................................................................................................	181
53. Related-party transactions ........................................................................................................................................	181
54. Remuneration and other benefits for the Board of Directors and members of the Bank's Senior Management .........................................................................................................................	183
55. Other information ........................................................................................................................................................	189
56. Subsequent events ......................................................................................................................................................	191
57. Explanation added for translation into English ......................................................................................................	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

APPENDICES


APPENDIX I. Additional information on subsidiaries and structured entities composing the BBVA Group as of December 31, 2022 ..................................................................................................................................................	194
APPENDIX II. Additional information on investments joint ventures and associates in the BBVA Group as of December 31, 2022 .......................................................................................................................................................	200
APPENDIX III. Changes and notifications of participations in the BBVA Group in 2022 ......................................	201
APPENDIX IV. Fully consolidated subsidiaries with more than 10% owned by non-Group shareholders as of December 31, 2022 .......................................................................................................................................................	203
APPENDIX V. BBVA Group’s structured entities in 2022. 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, 2022, 2021 and 2020 ..................................................	205
APPENDIX VII Consolidated balance sheets held in foreign currency as of December 31, 2022, 2021 and 2020 ......................................................................................................................................................................................	208
APPENDIX VIII. Consolidated income statements for the first and second half of 2022 and 2021 ...................	209
APPENDIX IX. Financial Statements of Banco Bilbao Vizcaya Argentaria, S.A. ....................................................	211
APPENDIX X. Information on data derived from the special accounting registry and other information bonds ....................................................................................................................................................................................	219
APPENDIX XI. Quantitative information on refinancing and restructuring operations and other requirement under Bank of Spain Circular 6/2012 .....................................................................................................	226
APPENDIX XII. Additional information on risk concentration ....................................................................................	232
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 ....................................................................	241

CONSOLIDATED MANAGEMENT REPORT

GLOSSARY

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, 2022, 2021 and 2020


ASSETS (Millions of Euros)
	Notes	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
CASH, CASH BALANCES AT CENTRAL BANKS AND OTHER DEMAND DEPOSITS	9	79,756	67,799	65,520
FINANCIAL ASSETS HELD FOR TRADING	10	110,671	123,493	105,878
Derivatives		39,908	30,933	40,183
Equity instruments		4,404	15,963	11,458
Debt securities		24,367	25,790	23,970
Loans and advances to central banks		1,632	3,467	53
Loans and advances to credit institutions		25,231	31,916	18,317
Loans and advances to customers		15,130	15,424	11,898
NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS	11	6,888	6,086	5,198
Equity instruments		6,511	5,303	4,133
Debt securities		129	128	356
Loans and advances to customers		247	655	709
FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS	12	913	1,092	1,117
Debt securities		913	1,092	1,117
FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME	13	58,980	60,421	69,440
Equity instruments		1,198	1,320	1,100
Debt securities		57,755	59,074	68,308
Loans and advances to credit institutions		26	27	33
FINANCIAL ASSETS AT AMORTIZED COST	14	422,061	372,676	367,668
Debt securities		43,606	34,781	35,737
Loans and advances to central banks		4,401	5,681	6,209
Loans and advances to credit institutions		16,031	13,276	14,575
Loans and advances to customers		358,023	318,939	311,147
DERIVATIVES - HEDGE ACCOUNTING	15	1,891	1,805	1,991
FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF INTEREST RATE RISK	15	(148)	5	51
JOINT VENTURES AND ASSOCIATES	16	916	900	1,437
Joint ventures		100	152	149
Associates		816	749	1,288
INSURANCE AND REINSURANCE ASSETS	23	210	269	306
TANGIBLE ASSETS	17	8,737	7,298	7,823
Properties, plant and equipment		8,441	7,107	7,601
For own use		7,911	6,874	7,311
Other assets leased out under an operating lease		530	233	290
Investment properties		296	191	222
INTANGIBLE ASSETS	18	2,156	2,197	2,345
Goodwill		707	818	910
Other intangible assets		1,449	1,379	1,435
TAX ASSETS	19	16,472	15,850	16,526
Current tax assets		1,978	932	1,199
Deferred tax assets		14,494	14,917	15,327
OTHER ASSETS	20	2,614	1,934	2,513
Insurance contracts linked to pensions		—	—	—
Inventories		325	424	572
Other		2,289	1,510	1,941
NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE	21	1,022	1,061	85,987
TOTAL ASSETS	3 / 6	713,140	662,885	733,797

(1) 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, 2022.

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, 2022, 2021 and 2020


LIABILITIES AND EQUITY (Millions of Euros)
	Notes	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
FINANCIAL LIABILITIES HELD FOR TRADING	10	95,611	91,135	84,109
Derivatives		37,909	31,705	41,680
Short positions		13,487	15,135	12,312
Deposits from central banks		3,950	11,248	6,277
Deposits from credit institutions		28,924	16,176	14,377
Customer deposits		11,341	16,870	9,463
FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS	12	10,580	9,683	10,050
Customer deposits		700	809	902
Debt certificates		3,288	3,396	4,531
Other financial liabilities		6,592	5,479	4,617
Memorandum item: Subordinated liabilities		—	—	—
FINANCIAL LIABILITIES AT AMORTIZED COST	22	528,629	487,893	490,606
Deposits from central banks		38,323	47,351	45,177
Deposits from credit institutions		26,935	19,834	27,629
Customer deposits		393,856	349,761	342,661
Debt certificates		55,429	55,763	61,780
Other financial liabilities		14,086	15,183	13,358
Memorandum item: Subordinated liabilities		12,509	14,808	16,488
DERIVATIVES - HEDGE ACCOUNTING	15	3,303	2,626	2,318
FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF INTEREST RATE RISK	15	—	—	—
LIABILITIES UNDER INSURANCE AND REINSURANCE CONTRACTS	23	11,848	10,865	9,951
PROVISIONS	24	4,933	5,889	6,141
Pensions and other post-employment defined benefit obligations		2,632	3,576	4,272
Other long term employee benefits		466	632	49
Provisions for taxes and other legal contingencies		685	623	612
Commitments and guarantees given		770	691	728
Other provisions		380	366	479
TAX LIABILITIES	19	2,742	2,413	2,355
Current tax liabilities		1,415	644	545
Deferred tax liabilities		1,326	1,769	1,809
OTHER LIABILITIES	20	4,880	3,621	2,802
LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE	21	—	—	75,446
TOTAL LIABILITIES		662,526	614,125	683,777

(1) 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, 2022.

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, 2022, 2021 and 2020


LIABILITIES AND EQUITY (Continued) (Millions of Euros)
	Notes	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
SHAREHOLDERS’ FUNDS		64,422	60,383	58,904
Capital	26	2,955	3,267	3,267
Paid up capital		2,955	3,267	3,267
Unpaid capital which has been called up		—	—	—
Share premium	27	20,856	23,599	23,992
Equity instruments issued other than capital		—	—	—
Other equity		63	60	42
Retained earnings	28	32,536	31,841	30,508
Revaluation reserves	28	—	—	—
Other reserves	28	2,345	(1,857)	(164)
Reserves or accumulated losses of investments in joint ventures and associates		(221)	(247)	(164)
Other		2,566	(1,610)	—
Less: treasury shares	29	(29)	(647)	(46)
Profit or loss attributable to owners of the parent		6,420	4,653	1,305
Less: Interim dividends	4	(722)	(532)	—
ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)	30	(17,432)	(16,476)	(14,356)
Items that will not be reclassified to profit or loss		(1,881)	(2,075)	(2,815)
Actuarial gains (losses) on defined benefit pension plans		(760)	(998)	(1,474)
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		(1,194)	(1,079)	(1,256)
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		72	2	(21)
Items that may be reclassified to profit or loss		(15,550)	(14,401)	(11,541)
Hedge of net investments in foreign operations (effective portion)		(1,408)	(146)	(62)
Foreign currency translation		(13,103)	(14,988)	(14,185)
Hedging derivatives. Cash flow hedges (effective portion)		(458)	(533)	10
Fair value changes of debt instruments measured at fair value through other comprehensive income		(562)	1,274	2,069
Hedging instruments (non-designated items)		—	—	—
Non-current assets and disposal groups classified as held for sale		—	—	644
Share of other recognized income and expense of investments in joint ventures and associates		(18)	(9)	(17)
MINORITY INTERESTS (NON-CONTROLLING INTERESTS)	31	3,624	4,853	5,471
Accumulated other comprehensive income (loss)		(3,112)	(8,414)	(6,949)
Other items		6,736	13,267	12,421
TOTAL EQUITY		50,615	48,760	50,020
TOTAL EQUITY AND TOTAL LIABILITIES		713,140	662,885	733,797

MEMORANDUM ITEM (OFF-BALANCE SHEET EXPOSURES) (Millions of Euros)
	Notes	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
Loan commitments given	33	136,920	119,618	132,584
Financial guarantees given	33	16,511	11,720	10,665
Other commitments given	33	39,137	34,604	36,190

(1) 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, 2022.

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, 2022, 2021 and 2020


CONSOLIDATED INCOME STATEMENTS (Millions of Euros)
	Notes	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
Interest and other income	37.1	31,432	23,015	22,389
Financial assets at fair value through other comprehensive income		3,110	1,880	1,392
Financial assets at amortized cost		25,258	18,364	18,357
Other interest income		3,064	2,770	2,640
Interest expense	37.2	(12,279)	(8,329)	(7,797)
NET INTEREST INCOME		19,153	14,686	14,592
Dividend income	38	123	176	137
Share of profit or loss of entities accounted for using the equity method	39	21	1	(39)
Fee and commission income	40	8,261	6,997	5,980
Fee and commission expense	40	(2,907)	(2,232)	(1,857)
Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net	41	64	134	139
Financial assets at amortized cost		8	27	106
Other financial assets and liabilities		56	106	33
Gains (losses) on financial assets and liabilities held for trading, net	41	562	341	777
Reclassification of financial assets from fair value through other comprehensive income		—	—	—
Reclassification of financial assets from amortized cost		—	—	—
Other gains (losses)		562	341	777
Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net	41	(67)	432	208
Reclassification of financial assets from fair value through other comprehensive income		—	—	—
Reclassification of financial assets from amortized cost		—	—	—
Other gains (losses)		(67)	432	208
Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net	41	150	335	56
Gains (losses) from hedge accounting, net	41	(45)	(214)	7
Exchange differences, net	41	1,275	883	359
Other operating income	42	528	661	492
Other operating expense	42	(3,438)	(2,041)	(1,662)
Income from insurance and reinsurance contracts	43	3,103	2,593	2,497
Expense from insurance and reinsurance contracts	43	(1,892)	(1,685)	(1,520)
GROSS INCOME		24,890	21,066	20,166
Administration costs		(9,432)	(8,296)	(7,799)
Personnel expense	44.1	(5,612)	(5,046)	(4,695)
Other administrative expense	44.2	(3,820)	(3,249)	(3,105)
Depreciation and amortization	45	(1,328)	(1,234)	(1,288)
Provisions or reversal of provisions	46	(291)	(1,018)	(746)
Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification	47	(3,379)	(3,034)	(5,179)
Financial assets measured at amortized cost		(3,303)	(3,017)	(5,160)
Financial assets at fair value through other comprehensive income		(76)	(17)	(19)
NET OPERATING INCOME		10,460	7,484	5,153
Impairment or reversal of impairment of investments in joint ventures and associates	48	42	—	(190)
Impairment or reversal of impairment on non-financial assets	49	(27)	(221)	(153)
Tangible assets		53	(161)	(125)
Intangible assets		(25)	(19)	(19)
Other assets		(55)	(41)	(9)
Gains (losses) on derecognition of non-financial assets and subsidiaries, net		(11)	24	(7)
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	50	(108)	(40)	444
PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS		10,356	7,247	5,248
Tax expense or income related to profit or loss from continuing operations	19	(3,529)	(1,909)	(1,459)
PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS		6,827	5,338	3,789
Profit (loss) after tax from discontinued operations	21	—	280	(1,729)
PROFIT (LOSS)		6,827	5,618	2,060
ATTRIBUTABLE TO MINORITY INTEREST (NON-CONTROLLING INTEREST)	31	407	965	756
ATTRIBUTABLE TO OWNERS OF THE PARENT		6,420	4,653	1,305

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

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 income statements for the years ended December 31, 2022, 2021 and 2020

(continued)


EARNINGS (LOSSES) PER SHARE (Euros)
	Notes	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
EARNINGS (LOSSES) PER SHARE (Euros)	5	0.99	0.67	0.14
Basic earnings (losses) per share from continuing operations		0.99	0.63	0.40
Diluted earnings (losses) per share from continuing operations		0.99	0.63	0.40
Basic earnings (losses) per share from discontinued operations		—	0.04	(0.26)
Diluted earnings (losses) per share from discontinued operations		—	0.04	(0.26)

(1) 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, 2022.

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, 2022, 2021 and 2020


CONSOLIDATED STATEMENTS OF RECOGNIZED INCOME AND EXPENSE (Millions of Euros)
	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
PROFIT (LOSS) RECOGNIZED IN INCOME STATEMENT	6,827	5,618	2,060
OTHER RECOGNIZED INCOME (EXPENSE)	810	(3,977)	(5,375)
ITEMS NOT SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT	190	358	(822)
Actuarial gains (losses) from defined benefit pension plans	354	218	(88)
Non-current assets and disposal groups held for sale	—	(3)	17
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	(121)	189	(796)
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	100	33	4
Income tax related to items not subject to reclassification to income statement	(143)	(80)	40
ITEMS SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT	621	(4,335)	(4,553)
Hedge of net investments in foreign operations (effective portion)	(1,172)	(117)	378
Valuation gains (losses) taken to equity	(1,172)	(117)	378
Transferred to profit or loss	—	—	—
Other reclassifications	—	—	—
Foreign currency translation	3,387	(2,256)	(4,873)
Translation gains (losses) taken to equity	3,387	(2,239)	(4,873)
Transferred to profit or loss	—	(17)	—
Other reclassifications	—	—	—
Cash flow hedges (effective portion)	97	(691)	230
Valuation gains (losses) taken to equity	116	(553)	230
Transferred to profit or loss	(19)	(137)	—
Transferred to initial carrying amount of hedged items	—	—	—
Other reclassifications	—	—	—
Debt securities at fair value through other comprehensive income	(2,454)	(1,139)	460
Valuation gains (losses) taken to equity	(2,484)	(1,082)	515
Transferred to profit or loss	30	(57)	(54)
Other reclassifications	—	—	—
Non-current assets and disposal groups held for sale	—	(663)	(492)
Valuation gains (losses) taken to equity	—	(30)	(472)
Transferred to profit or loss	—	(633)	(20)
Other reclassifications	—	—	—
Entities accounted for using the equity method	(7)	8	(13)
Income tax relating to items subject to reclassification to income statements	770	523	(243)
TOTAL RECOGNIZED INCOME (EXPENSE)	7,637	1,640	(3,315)
Attributable to minority interest (non-controlling interests)	1,351	(500)	(606)
Attributable to the parent company	6,286	2,141	(2,709)

(1) 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, 2022.

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, 2022, 2021 and 2020


CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros)
	Capital (Note 26)	Share Premium (Note 27)	Equity instruments issued other than capital	Other Equity	Retained earnings (Note 28)	Revaluation reserves (Note 28)	Other reserves (Note 28)	(-) Treasury shares (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
2022	Capital (Note 26)	Share Premium (Note 27)	Equity instruments issued other than capital	Other Equity	Retained earnings (Note 28)	Revaluation reserves (Note 28)	Other reserves (Note 28)	(-) Treasury shares (Note 29)	Profit or loss attributable to owners of the parent	(-) Interim dividends (Note 4)	Accumulated other comprehensive income (loss) (Note 30)	Accumulated other comprehensive income (loss) (Note 31)	Other (Note 31)	Total
Balances as of January 1, 2022 ⁽¹⁾	3,267	23,599	—	60	31,841	—	(1,857)	(647)	4,653	(532)	(16,476)	(8,414)	13,267	48,760
Total income/expense recognized	—	—	—	—	—	—	—	—	6,420	—	(134)	944	407	7,637
Other changes in equity	(313)	(2,743)	—	3	695	—	4,202	617	(4,653)	(190)	(822)	4,358	(6,938)	(5,783)
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	(313)	(2,743)	—	—	250	—	(355)	3,160	—	—	—	—	—	—
Dividend distribution	—	—	—	—	(1,463)	—	—	—	—	(722)	—	—	(185)	(2,370)
Purchase of treasury shares	—	—	—	—	—	—	—	(2,966)	—	—	—	—	—	(2,966)
Sale or cancellation of treasury shares	—	—	—	—	—	—	9	423	—	—	—	—	—	432
Reclassification of other equity instruments to financial liabilities	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Reclassification of financial liabilities to other equity instruments	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Transfers within total equity (2) (see Note 2.2.19)	—	—	—	—	2,234	—	2,709	—	(4,653)	532	(822)	4,358	(4,358)	—
Increase/Reduction of equity due to business combinations	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Share based payments	—	—	—	(22)	—	—	—	—	—	—	—	—	—	(22)
Other increases or (-) decreases in equity (2)	—	—	—	25	(326)	—	1,839	—	—	—	—	—	(2,395)	(857)
Balance as of December 31, 2022	2,955	20,856	—	63	32,536	—	2,345	(29)	6,420	(722)	(17,432)	(3,112)	6,736	50,615

(1) Balances as of December 31, 2021 as originally reported in the Consolidated Financial Statements for the year 2021.

(2) The headings "Transfers within equity" and "Other increases or decreases in equity" include the effects of the application of IAS 29 in the subsidiaries in Turkey (see Note 2.2.19) for amounts of €1,873 million in "Retained earnings", €1,862 million in "Accumulated

other comprehensive income (loss)" and, under the heading of "Non-controlling interests" include, €1,621 million in "Other" and €1,480 million in "Accumulated other comprehensive income (loss)".

The Notes and Appendices are an integral part of the consolidated statement of changes in equity for the year ended December 31, 2022.

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, 2022, 2021 and 2020 (continued)


CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros)
2021 ⁽¹⁾	Capital (Note 26)	Share Premium (Note 27)	Equity instruments issued other than capital	Other Equity	Retained earnings (Note 28)	Revaluation reserves (Note 28)	Other reserves (Note 28)	(-) Treasury shares (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 ⁽¹⁾	Capital (Note 26)	Share Premium (Note 27)	Equity instruments issued other than capital	Other Equity	Retained earnings (Note 28)	Revaluation reserves (Note 28)	Other reserves (Note 28)	(-) Treasury shares (Note 29)	Profit or loss attributable to owners of the parent	(-) Interim dividends (Note 4)	Accumulated other comprehensive income (loss) (Note 30)	Accumulated other comprehensive income (loss) (Note 31)	Other (Note 31)	Total
Balances as of January 1, 2021 ⁽²⁾	3,267	23,992	—	42	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)	—	17	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	—	—	—	—	—	—	17	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	—	—	—	28	(360)	—	(930)	—	—	—	—	—	1	(1,260)
Balance as of December 31, 2021	3,267	23,599	—	60	31,841	—	(1,857)	(647)	4,653	(532)	(16,476)	(8,414)	13,267	48,760

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

(2) 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, 2022.

Spanish-language version prevails

Consolidated statements of changes in equity for the years ended December 31, 2022, 2021 and 2020 (continued)


CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros)
	Capital (Note 26)	Share Premium (Note 27)	Equity instruments issued other than capital	Other Equity	Retained earnings (Note 28)	Revaluation reserves (Note 28)	Other reserves (Note 28)	(-) Treasury shares (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
2020 ⁽¹⁾	Capital (Note 26)	Share Premium (Note 27)	Equity instruments issued other than capital	Other Equity	Retained earnings (Note 28)	Revaluation reserves (Note 28)	Other reserves (Note 28)	(-) Treasury shares (Note 29)	Profit or loss attributable to owners of the parent	(-) Interim dividends (Note 4)	Accumulated other comprehensive income (loss) (Note 30)	Accumulated other comprehensive income (loss) (Note 31)	Other (Note 31)	Total
Balances as of January 1, 2020 ⁽²⁾	3,267	23,992	—	56	26,402	—	(125)	(62)	3,512	(1,084)	(7,234)	(3,527)	9,728	54,925
Effect of changes in accounting policies	—	—	—	—	2,986	—	6	—	—	—	(2,992)	(2,045)	2,045	—
Adjusted initial balance	3,267	23,992	—	56	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)	16	(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	—	—	—	—	2,585	—	(41)	—	(3,512)	1,084	(116)	(16)	16	—
Increase/Reduction of equity due to business combinations	—	—	—	—	—	—	—	—	—	—	—	—	—	—
Share based payments	—	—	—	(22)	—	—	—	—	—	—	—	—	—	(22)
Other increases or (-) decreases in equity	—	—	—	8	(399)	—	(4)	—	—	—	—	—	1	(394)
Balance as of December 31, 2020	3,267	23,992	—	42	30,508	—	(164)	(46)	1,305	—	(14,356)	(6,949)	12,421	50,020

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

(2) 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, 2022.

Spanish-language version prevails

Consolidated statements of cash flows for the years ended December 31, 2022, 2021 and

2020


CONSOLIDATED FINANCIAL STATEMENTS OF CASH FLOWS (Millions of Euros)
	Notes	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
A) CASH FLOWS FROM OPERATING ACTIVITIES		23,718	(1,242)	39,349
Of which hyperinflation effect from operating activities	2.2.19	2,692	—	—
Profit for the year		6,827	5,618	2,060
Adjustments to obtain the cash flow from operating activities		11,770	7,688	11,653
Depreciation and amortization		1,328	1,234	1,288
Other adjustments		10,442	6,454	10,365
Net increase/decrease in operating assets		(42,900)	(38,267)	(57,370)
Financial assets held for trading		14,658	(17,031)	(10,351)
Non-trading financial assets mandatorily at fair value through profit or loss		(421)	(908)	(241)
Other financial assets designated at fair value through profit or loss		179	25	97
Financial assets at fair value through other comprehensive income		(1,014)	7,116	(16,649)
Financial assets at amortized cost		(55,754)	(28,062)	(30,212)
Other operating assets		(548)	592	(15)
Net increase/decrease in operating liabilities		51,256	25,266	84,961
Financial liabilities held for trading		2,907	6,479	247
Other financial liabilities designated at fair value through profit or loss		293	(837)	647
Financial liabilities at amortized cost		48,161	19,682	84,853
Other operating liabilities		(105)	(58)	(787)
Collection/Payments for income tax		(3,234)	(1,546)	(1,955)
B) CASH FLOWS FROM INVESTING ACTIVITIES		(3,911)	(1,634)	(37)
Of which hyperinflation effect from investing activities	2.2.19	759	—	—
Investment		(4,506)	(12,472)	(1,185)
Tangible assets		(1,812)	(396)	(632)
Intangible assets		(630)	(550)	(491)
Investments in joint ventures and associates		(81)	(50)	(62)
Subsidiaries and other business units		(1,389)	—	—
Non-current assets classified as held for sale and associated liabilities	21	(594)	(11,476)	—
Other settlements related to investing activities		—	—	—
Divestments		596	10,838	1,148
Tangible assets		29	78	558
Intangible assets		—	—	—
Investments in joint ventures and associates		127	80	307
Subsidiaries and other business units		—	10	—
Non-current assets classified as held for sale and associated liabilities	21	440	10,670	283
Other collections related to investing activities		—	—	—
C) CASH FLOWS FROM FINANCING ACTIVITIES		(7,563)	(4,349)	(2,069)
Of which hyperinflation effect from financing activities	2.2.19	—	—	—
Payments		(7,996)	(4,786)	(5,316)
Dividend distribution (shareholders remuneration)		(2,185)	(926)	(1,065)
Subordinated liabilities		(2,258)	(2,301)	(2,820)
Treasury share amortization		(313)	—	—
Treasury share acquisition		(2,670)	(1,022)	(807)
Other items relating to financing activities		(571)	(538)	(624)
Collections		434	438	3,247
Subordinated liabilities		—	—	2,425
Treasury shares increase		—	—	—
Treasury shares disposal		434	438	822
Other items relating to financing activities		—	—	—
D) EFFECT OF EXCHANGE RATE CHANGES		(288)	(1,864)	(4,658)
E) NET INCREASE/DECREASE IN CASH OR CASH EQUIVALENTS (A+B+C+D)		11,957	(9,089)	32,585
F) CASH AND CASH EQUIVALENTS AT BEGINNING OF THE YEAR (2)		67,799	76,888	44,303
G) CASH AND CASH EQUIVALENTS AT END OF THE YEAR (E+F) (3)		79,756	67,799	76,888

COMPONENTS OF CASH AND EQUIVALENT AT END OF THE YEAR (Millions of Euros)
	Notes	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
Cash	9	6,533	6,877	6,447
Balance of cash equivalent in central banks	9	67,314	55,004	53,079
Other financial assets	9	5,909	5,918	5,994
Less: Bank overdraft refundable on demand		—	—	—
TOTAL CASH AND CASH EQUIVALENTS AT END OF THE YEAR		79,756	67,799	65,520
TOTAL CASH AND CASH EQUIVALENTS CLASSIFIED AS NON-CURRENT ASSETS AND DISPOSABLE GROUPS CLASSIFIED AS HELD FOR SALE IN THE UNITED STATES	21	—	—	11,368

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

(2) 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 3 and 21).

(3) 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 3 and 21).

The Notes and Appendices are an integral part of the consolidated statement of cash flows for the year ended December 31, 2022.

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 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, 2022, the BBVA Group had 203 consolidated entities and 43 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, 2021 were approved by the shareholders

at the Annual General Meeting (“AGM”) held on March 18, 2022.

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, 2022, 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, 2022, considering the

Bank of Spain Circular 4/2017, as well as its successive amendments, and with any other legislation governing financial reporting

which is applicable and with the format and mark-up requirements established in the EU Delegated Regulation 2019/815 of the

European Commission.

The BBVA Group’s Consolidated Financial Statements for the year ended December 31, 2022 were prepared by the Group’s Directors

(through the Board of Directors meeting held on February 9, 2023) 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, 2022, together with the consolidated results of its operations and cash flows generated during the year ended

December 31, 2022.

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 on the Consolidated Financial Statements were

applied in their preparation.

The amounts reflected in the 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.

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

1.3Comparative information

The information included in the consolidated financial statements for the years ended December 31, 2021 and 2020, is presented in

accordance with the applicable regulation, for the purpose of comparison with the information for the year ended December 31, 2022.

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.

1.5Responsibility 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, 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, 13 and 15).

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

The great macroeconomic and geopolitical uncertainty (see Note 7.1) has resulted in greater complexity in developing reliable

estimates and applying judgment. Therefore, while these estimates have been made on the basis of the best available information on

the matters analyzed, as of December 31, 2022, it is possible that events may take place in the future which could make it necessary

to amend these estimations (upward or downward), which would be carried out prospectively, recognizing the effects of the change in

estimation in the consolidated financial statements.

During 2022 there have been no other significant changes in the estimates made as of December 31, 2021 and 2020, other than those

indicated in these Consolidated Financial Statements.

1.6BBVA 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 financial

control units located in the different entities of BBVA Group.

In order to guarantee the necessary independence of the aforementioned internal financial control units, they are integrated within

the Regulation & Internal Control area, whose head reports to the Board of Directors through its Committees, and defines and

coordinates the Group's entire internal control model, based on two pillars:

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 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

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 control model, both the first and second line of defense

functions.

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

the Management as well as the management of issues related to internal control, both at a consolidated level and also in

each of the countries where the Group operates.

The RCA and RCS Finance (Internal Financial Control) units 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 evaluation on a regular basis by the Control areas (RCAs and RCSs), and annually 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 also complies with the requirements of the Sarbanes-Oxley Act (hereafter, “SOX”) for the preparation of the

consolidated Financial Statements, as a company with securities registered with the U.S. Securities and Exchange Commission

(“SEC”). The main senior executives of the Group are involved in the design and implementation of the internal control model with the

aim of making 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

accompanying the Consolidated Financial Statements for the year ended December 31, 2022.

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.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

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 consolidated income statement (see Note 31).

Note 3 includes information related to the main subsidiaries in the Group as of December 31, 2022. 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, 2022.

–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, 2022, 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.

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

– 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

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, 2022, 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, 2022, financial statements as of December 31 of all Group

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

financial statements as of November 30, 2022 were used.

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

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 separate financial statements as of and for the years ended December 31, 2022 and 2021.

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 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.

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 their management, which affect the performance of the business model;

–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.

In this sense, the Group has established policies and has developed procedures in each geographical area to determine

when the sales of financial assets classified in the amortized cost category are considered infrequent (even when

significant), or are insignificant (even when frequent), to ensure compliance with such business model.

Furthermore, it is considered that any sales that may occur because the financial asset is close to maturity, due to an

increase in credit risk, or to satisfy liquidity needs, are compatible with the amortized cost model.

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

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 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.

–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.

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 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.

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 that would otherwise arise from recognizing

or measuring such financial assets 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 and foreign exchange differences) are recognized as their net value, when applicable, 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 consolidated income statement (see 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

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

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” in the consolidated income statements (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 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. In the case of floating rate instruments, including inflation-linked bonds, the periodic updates of cash flows to reflect the

movement of interest rates and inflation impact the effective interest rate prospectively.

Net loss allowances of assets recorded under these headings arising in each year, calculated using the IFRS 9 model, 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:

–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 or generate

short-term results;

–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 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

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 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 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".

Hedging financial derivatives are used to hedge changes in the value of assets and liabilities, changes in cash flows, or the net

investment in a foreign business. Fair value hedging is established for fixed rate financial instruments, and cash flow hedges are used

for variable rate financial instruments. The Group also carries out exchange risk hedging operations.

Hedging accounting follows IAS 39, and the effectiveness of hedges is evaluated both retrospectively and prospectively, so that they

remain within a range between 80% and 125%. The ineffectiveness of hedges, defined as the difference between the change in value

of the hedging instrument and the hedged item in each period, attributable to the hedged risk, is recognized in the income statement.

This includes both the amount of the ineffectiveness of the hedges established to manage interest rate risk in the period, as well as

the ineffectiveness of the hedges established to manage exchange risk, which is mainly attributable to the temporary value of hedges

established to manage exchange rate risk (see Notes 15 and 41).

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 consolidated income statement (see Note 37).

–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 in the consolidated income statement at the time the gains or losses of the hedged item are

recorded in the income statement, at the time 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 relate to interest rate risk and inflation risk of financial

instruments, so their valuation changes are recognized under the heading "Interest and other income" or "Interest expense”

in the consolidated income statement (see Note 37).

–The changes in value 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).

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 hedges of net investments in foreign businesses, the valuation changes 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 under the heading “Hedging derivatives” of the assets or liabilities of the

consolidated balance sheets, as applicable. These valuation changes will be recognized in the consolidated income

statement when the investment in a foreign business 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

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 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, 2022, 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.

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

–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 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.

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 geographical areas 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):

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

–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.

–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, 2022, 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 (hereinafter, "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).

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 grouped 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:

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

–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).

Derecognition of the balance due to impairment on financial assets (write-offs)

Debt instruments are classified as written-off once, after being analyzed, it is reasonably considered that their recovery is remote due

to the notorious and irrecoverable deterioration of the solvency of the holder of the operation.

Based on their procedures and particularities, the Group entities recognize operations as a write-off where, following their analysis,

there are no reasonable expectations of recovery of the debt, taking into account aspects such as: the time elapsed since the

classification as doubtful operations due to delinquency, the coverage levels achieved, type of portfolio or product, bankruptcy status

of the holder and the existence of guarantees, their valuation and execution capacity. In those cases where the guarantee is

significant, there is the possibility of making partial write-offs on the non-guaranteed portion.

The classification of an operation as written-off, entails the recognition of losses for the carrying amount of the related debt and

results in a derecognition in the same amount from the balance sheet (see Note 7.2.5).

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

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).

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 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.

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

geographical 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

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

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

(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 in the consolidated income statement according to their nature.

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 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 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):


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

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

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, in which the Group starts with an investment, an associate (investee) or a joint venture,

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. If so, the amount that was recognized in the consolidated financial statements shall be

recorded 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:

–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.

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

2.2.7Intangible 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 in a business combination. 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 18.2).

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 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 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.

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 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 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.

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 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 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).

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 mainly

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. in 2021.

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).

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” 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. The collective layoff procedure carried out at BBVA, S.A. in 2021 complies

with these conditions.

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 shares" 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:

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,

except in those geographical areas where IAS 29 “Financial Reporting in Hyperinflationary Economies” applies (see Note

2.2.19). 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 Reporting 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

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, 2022, 2021 and 2020, 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. In the particular case of inflation-indexed bonds, interest income also includes the effect

of real inflation experienced in the period.

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 regard are:

a.Those relating to financial assets and liabilities measured at fair value through profit or loss, which are recognized

immediately in the income statement.

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:

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 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 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).

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 approaches 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.

Since 2009 and 2018, the economies of Venezuela and Argentina, respectively, have been considered hyperinflationary under the

above criteria. As a result, the financial statements of the BBVA Group’s entities located in such geographies have, therefore, been

adjusted to correct for the effects of inflation.

Additionally, since the first half of 2022, Turkey's economy was considered highly inflationary according to the aforementioned

criteria. Consequently, the financial statements of the BBVA Group entities located in Turkey have also been adjusted to correct them

for the effects of inflation in accordance with IAS 29, with retrospective application from January 1, 2022. The figures for years prior to

2022 have not been modified since the Group's presentation currency is the euro.

As a consequence of the application of IAS 29, the Group applies the following criteria in the financial statements of the Group

companies that operate in these three geographies:

–The historical cost of non-monetary assets and liabilities (see Notes 17, 18 and 19), assets contractually linked to changes in

prices and various headings in equity are adjusted to reflect changes in the purchasing power of the currency due to

inflation from their date of acquisition or inclusion in the consolidated balance sheet, or if this is later, with the limit of its

recoverable value. The restatement has been made using the Consumer Price Index.

–The different lines of the income statement are adjusted by the inflation index since their inception, with a corresponding

entry under the heading "Accumulated other comprehensive income (loss)".

–The loss of the net monetary position, which represents the loss of purchasing power of the entity due to maintaining an

excess of monetary assets not linked to inflation (mainly loans, credits and bonds) over monetary liabilities, is recorded in

the line "Other operating expense" in the income statement and with a credit to "Accumulated other comprehensive income

(loss)".

–All the components of the financial statements of the subsidiaries are converted at the closing exchange rate, recording the

conversion differences to the euro within "Accumulated other comprehensive income (loss)" as stated in IAS 21.

Turkey

The combined result derived from the application of the above criteria amounts to a loss of €2,711 million in 2022, of which €1,793

million is attributed to the parent company of the Group. This impact includes mainly the loss of the net monetary position, which

amounts to a gross amount of €2,323 million and is recorded in the line “Other operating expense” in the consolidated income

statement, partially offset by the positive impact of the revaluation of certain bonds linked to inflation, for a gross amount of €1,490

million, given that, under IAS 29, these types of bonds are considered protective assets (see Note 42).

The first application of IAS 29 in the Turkish subsidiaries led to an increase in equity of €130 million as of January 1, 2022, and is

mainly the result of the revaluation of tangible assets and inflation-linked bonds.

According to the Turkish Statistical Institute (Turkstat), accumulated inflation in 2022 stood at 64.3% (36.1% in 2021) and the

exchange rate used as of December 31, 2022 was 19.96 Turkish lira per euro (in 2021 the exchange rate used was 15.23 Turkish lira

per euro).

Argentina

The combined result derived from the application of the above criteria amounted to a loss of €1,031 million, of which €694 million is

attributed to the parent company of the Group in 2022 (in 2021 and 2020 this result amounted to €258 million and €174 million,

respectively). This impact includes mainly the loss of the net monetary position, which amounts to a gross amount of €822 million

and is recorded in the line “Other operating expense” in the consolidated income statement in 2022 (in 2021 and 2020 this result

amounted to €394 million and €244 million, respectively).

Furthermore, during 2022, 2021 and 2020 the impact on equity of Group entities located in Argentina derived from the application of

IAS 29 and the conversion to the euro (IAS 21) amounted to €242 million, €337 million and €(188) million, respectively, of which €157

million, €225 million and €(126) million, respectively, have been recorded within “Equity – Accumulated other comprehensive income

(loss)”, and €84 million, €112 million and €(62) million, respectively, within “Minority interests – Accumulated other comprehensive

income (loss)”.

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

Accumulated inflation estimated by the National Census Institute of Argentina (Indec) and BBVA Research for the year 2022 was

97.0% (in 2021 and 2020 inflation was 50.7% and 36.5%, respectively) and the exchange rate used as of December 31, 2022 was

188.51 Argentine pesos per euro (in 2021 and 2020 the exchange rate used was 116.37 and 103.25 Argentine pesos per euro,

respectively).

Venezuela

The combined result derived from the application of the above criteria amounted to a loss of €11 million, of which €6 million is

attributed to the parent company of the Group in 2022 (in 2021 and 2020 this result amounted to €6 million and €5 million,

respectively). This impact includes mainly the loss of the net monetary position, which amounts to a gross amount of €28 million and

is recorded in the line “Other operating expense” in the consolidated income statement in 2022 (in 2021 and 2020 this result

amounted to €14 and €7 million, respectively).

During 2022, 2021 and 2020 the impact on equity of Group entities located in Venezuela derived from the application of hyperinflation

(IAS 29) and the conversion to the euro (IAS 21) was not material for the Group.

Accumulated inflation for the year 2022, as estimated by BBVA Research, was 292% (in 2021 and 2020 inflation was 333% and

1,887%, respectively) and the exchange rate used as of December 31, 2022 was 19.79 Venezuelan bolivars per euro (in 2021 and

2020 the exchange rate used was 5,367 and 1,355,246.77 Venezuelan bolivars per euro, respectively).

2.3Recent IFRS pronouncements

Standards and interpretations that became effective in 2022

The following amendments to the IFRS standards or their interpretations (hereinafter “IFRIC” or "interpretation") became effective in

2022:

Minor changes to IFRS Standards (IAS 37 Provisions - Onerous contracts, IAS 16 Property, Plant and Equipment and IFRS 3

Business Combinations) 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 International Accounting Standards Board (hereinafter "IASB"), has issued minor amendments and improvements to various

IFRS to clarify the wording or correct minor consequences, or inconsistencies between the requirements of the Standards as of

January 1, 2022. The modified standards are: IAS 37 Provisions, IAS 16 Property, Plant and Equipment, IFRS 3 Business

Combinations, IFRS 1 First application of IFRS, IFRS 9 Financial Instruments, IAS 41 Agriculture and IFRS 16 Leases.

The amendments are effective for annual reporting periods beginning on or after January 1, 2022, with no significant impact on the

BBVA Group's consolidated financial statements.

Standards and interpretations issued but not yet effective as of December 31, 2022

The following new International Financial Reporting Standards and Interpretations or Modifications had been published at the date of

preparation of the consolidated financial statements, but are not mandatory as of December 31, 2022. 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 with the aim of helping

entities in the implementation of the standard and to facilitate the understanding of the financial statements, while maintaining the

fundamental principles of the original standard. Accordingly, an entity must apply IFRS 17 for annual reporting periods beginning on or

after January 1, 2023 (with at least one year of comparative information, i.e. for the Group, from January 1, 2022).

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 is 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, or the Simplified Model (Premium Allocation Approach).

With the implementation of IFRS 17, the valuation of insurance contracts is based on a model that uses updated assumptions at each

balance sheet date.

The General Model requires entities to value insurance contracts for the total of:

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

–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 that would represent the

compensation required for the uncertainty associated with the amount and timing of the expected cash flows;

–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.

According to IFRS 17, the amounts recognized in the income statement shall be classified into insurance revenue, insurance service

expenses and insurance finance income or expenses, which is a relevant change with respect to the disclosures under IFRS 4, as

concepts such as volume of premiums and variation in technical provisions would no longer exist. Insurance revenue and insurance

service expenses exclude any investment components. The Group has chosen to disaggregate the changes in the risk adjustment

between financial and non-financial, so that the change in the value of the risk adjustment derived from the effect of the time value of

money, and changes in it, is recorded as a financial result of the insurance. Insurance revenue is recognized over the period the entity

provides insurance coverage.

Since 2019, the Group has developed a project to implement IFRS 17 in order to harmonize the criteria in the Group, with the

participation of all involved areas and countries. A sound governance has been established in this project, through a Global Steering

Committee with representation from the senior management of the affected areas and countries, which periodically reviews its

progress. At the local level, each geographical area has defined a local governance structure with the participation of senior

management.

The project for the implementation of the standard in the Group was carried out during the years 2019, 2020 and 2021 and was

focused on the definition of criteria, the actuarial modelling of cash flows and components required by the standard, the data supply,

the technological adaptation of the systems, the preparation of accounting information, the governance of the reporting process to

the Group and the development of the transition.

During 2022, the Group has finished with the tasks mentioned above, as well as the calculation of the transition impact on the

consolidated financial statements and the preparation of the pro-forma financial statements under IFRS 17, according to the planning.

Moreover, the Group has developed an accounting policy on insurance contracts under IFRS 17 that establishes the accounting

criteria for the recognition of insurance contracts carried out by Group companies, and an Operational Guide to govern the calculation

process, which ensures adequate control in the preparation of the aforementioned financial information.

From the liabilities under insurance contracts held as of the transition date, January 1, 2022, the Group estimates that approximately

89% corresponded to long-term commitments valued using the Building Block Approach. These contracts have been valued in

transition using the fair value approach, given the impracticability of applying IFRS 17 retroactively, given the disproportionate cost

and difficulty of obtaining the historical data necessary to apply a full retrospective approach given the age of these products on the

balance sheet and their remaining duration. Its impact in transition will come mainly from the "interest rate effect", resulting from the

valuation of long-term insurance liabilities by the difference between the locked-in rate and the current rate, as the Group has chosen

the option to disaggregate the financial income or expense of the insurance between the income statements and accumulated other

comprehensive income. This effect will be partly offset by the associated financial assets, in some cases by the elimination of shadow

accounting and, in others, by the fair value measurement of certain financial asset portfolios, in order to mitigate accounting

asymmetries.

Another part of the impact, although to a lesser extent, comes from the different hypotheses used with respect to the calculations

under IFRS 4, including its additional components. However, the impact of "onerous" products is estimated to be residual.

The fair value approach contemplates the determination of the Contractual Service Margin or the loss component of the liability for

remaining coverage based on the difference between the fair value and the present value of the fulfillment flows. The application of

the fair value criterion in transition allows contracts issued more than one year apart to be included in the same group and therefore

not to differentiate by cohorts, an option that the Group has followed.

Regarding short-term contracts as of January 1, 2022, it is estimated that they represented approximately 11% of the total liabilities

covered by the Group's insurance contracts. Those are valued by the Premium Allocation Approach, and in transition following the full

retrospective approach, without significant differences in their accounting recognition compared with the previous situation.

Lastly, the contracts valued by the Variable Fee Approach in the Group represent a residual amount.

Consequently, the differences in accumulated other comprehensive income and in retained earnings basically come from long-term

contracts, although without generating a significant equity impact on the Group.

The methodology used to obtain the discount rate differs by entity and portfolio to which it is applied, highlighting the main

geographies, Mexico and Spain, respectively. In the first case, the top-down approach has been mainly applied and it has been verified

that the Internal Rate of Return (hereinafter "IRR") of the entity's asset portfolio converges with the IRR of a reference portfolio from

which the EIOPA (European Insurance and Occupational Pensions Authority) fundamental spread is discounted for. In the second

case, the top-down approach has been used for immunized portfolios, eliminating the differential for credit risk through the EIOPA

fundamental spread. However, in non-immunized portfolios, the bottom-up approach has been used, using the swap curve as the

risk-free curve.

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

To assess the risk adjustment, in most cases, information on the best estimate liability (BEL) and capital requirements have been

used, through a VaR methodology, the risk adjustment has been obtained.

The BBVA Group has defined the coverage units in accordance with the requirements of the standard, and made the decision not to

change the treatment of accounting estimates made in previous interim closings when applying IFRS 17.

The Group has not adopted the European exception on annual cohorts in cash-flow matched products.

Finally, based on the analysis carried out up to the date of preparation of these consolidated financial statements, the impact in equity

on the consolidated financial statements of the BBVA Group as a result of the entry of IFRS 17 is estimated not to be significant.

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 to clarify how deferred taxes arising in transactions that simultaneously give rise to

temporary differences in assets and liabilities for the same amount, such as, among others, leases or decommissioning obligations,

should be accounted for.

Under the amendments, the initial recognition exemption in IAS 12 from recognizing deferred tax when they recognize assets or

liabilities for the first time would not apply to a transaction that at the time of the transaction gives rise to equal and offsetting

amounts of taxable and deductible temporary differences. The purpose of the amendments has been to reduce the diversity in the

presentation of information on deferred taxes in said transactions. The amendments entered into force on January 1, 2023. No

significant impact is expected on BBVA's consolidated financial statements.

Amendment to IFRS 16 "Leases"

The IASB has issued an amendment to IFRS 16 to clarify certain aspects related with the requirements for sale and leaseback

transactions. The new requirements established that the seller-lessee shall determine ‘lease payments’ or ‘revised lease payments’ in

a way that the seller-lessee would not recognize any amount of the gain or loss that relates to the right of use retained by the seller-

lessee. The amendments will be effective for annual reporting periods beginning on or after 1 January 2024, with early application

permitted. No significant impact is expected on the BBVA Group´s consolidated financial statements.

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, 2022:

–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, 2022, 2021 and 2020, broken down

by the Group’s entities according to their activity:


Contribution to Consolidated Group total assets. Entities by main activities (Millions of Euros)
	2022	2021	2020
Banking and other financial services	678,788	631,683	703,304
Insurance and pension fund managing companies	31,136	29,657	28,667
Other non-financial services	3,217	1,545	1,826
Total	713,140	662,885	733,797

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, Turkey and South America, 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 financial sector, insurance sector and asset management sector.

–Mexico. The BBVA Group operates in Mexico, not only in the banking sector, but also in the insurance sector and the asset

management sector, through BBVA Mexico.

–Turkey. The Group’s activity in Turkey is mainly carried out through the Garanti BBVA Group in the financial, insurance and

asset management sectors.

–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, Chile and Venezuela. It has a representative office in

Sao Paulo (Brazil) and another one in Santiago (Chile). The Group owns more than 50% of most of the Group entities based

in these countries. Appendix I shows entities in respect of which the BBVA Group owns less than 50% as of December 31,

2022, (see Note 2.1).

–Rest of Europe. Group's activity in Europe (excluding Spain) is carried out by banking and financial institutions, mainly in

Switzerland, the Netherlands and Romania and the BBVA Bank's branches in Germany, Belgium, France, Italy, Portugal and

the United Kingdom.

–The 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 agency of BBVA Mexico in Houston, participations in technology companies through funds

and investment vehicles, 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).

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

Significant transactions in the Group in 2022

Investments

Announcement of the agreement with Neon Payments Limited

On February 14, 2022, BBVA announced the agreement with the company Neon Payments Limited (the "Company" in this section) for

the subscription of 492,692 preference shares, representing approximately 21.7% of its share capital, through a share capital

increase and in consideration of approximately USD 300 million (equal to approximately €263 million, using the applicable 1.14 EUR/

USD exchange rate as of February 11, 2022).

The Company, which is incorporated and domiciled in the United Kingdom, is the owner of 100% of the shares of the Brazilian

company Neon Pagamentos S.A.

As of February 14, 2022, BBVA was already the indirect owner of approximately 10.2% of the share capital of the Company through

companies where BBVA owns more than 99% of the share capital. As of December 31, 2022, BBVA held, directly and indirectly,

approximately 29.2% of the share capital of the Company. Despite owning more than 20% of the share capital, BBVA's ability to

influence the Company´s financial and operating decisions policies is very limited, so the investment is recognized under the heading

"Non-trading financial assets mandatorily at fair value through profit or loss" (see Note 11).

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

On November 15, 2021, BBVA announced a voluntary takeover bid (hereinafter "VTB") addressed to the 2,106,300,000 shares1 not

controlled by BBVA, which represented 50.15% of the total share capital of Türkiye Garanti Bankası A.Ş (hereinafter "Garanti BBVA").

BBVA submitted for authorization an application of the VTB to the supervisor of the securities markets in Turkey (Capital Markets

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

On March 31, 2022, CMB approved the offer information document and on the same day BBVA announced the commencement of the

VTB acceptance period on April 4, 2022. On April 25, 2022 BBVA informed of an increase of the cash offer price per Garanti BBVA

share from that initially announced (12.20 Turkish lira) to 15.00 Turkish lira.

On May 18, 2022, BBVA announced the finalization of the offer acceptance period, with the acquisition of 36.12% of Garanti BBVA’s

share capital. The total amount paid by BBVA was approximately 22,758 million Turkish lira (equivalent to approximately €1,390

million2 including the expenses associated with the transaction and net of the collection of the dividends corresponding to the stake

acquired).

The transaction resulted in a capital gain of approximately €924 million (including the impacts after the application of IAS 29, see

Note 2.2.19). An amount of €3,609 million was recorded under the heading “Other reserves” and there was a reclassification to

“Accumulated other comprehensive income (loss)” corresponding to the 36.12% acquired from minority interests to “Accumulated

other comprehensive income (loss)” of the parent company for an amount of €-2,685 million. The total derecognition associated with

the transaction of the heading “Minority interests” considering “Other items” and “Accumulated other comprehensive income (loss)”

amounted to €-2,541 million.

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

In relation to the rest of the effects of the application of IAS 29 "Financial Reporting in hyperinflationary economies" on the entities of

the Group in Turkey, see Note 2.2.19 to these Consolidated Financial Statements.

Significant transactions in the Group in 2021

Divestitures

Sale of BBVA’s U.S. Bancshares, Inc. 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, as a consequence of the referred sale, amounted to approximately USD 11,500 million

(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, Inc. since the announcement of the transaction and of its

closing 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

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 in which Garanti BBVA shares are listed at Borsa Istanbul.

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

1, 2021) and a profit net of taxes of €582 million. The calculation of the impact on Common Equity Tier 1 was 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 the institutional and wholesale business in the United States that it currently carries out

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.

Note 21 to these Consolidated Financial Statements shows a breakdown of the financial information of the companies sold in the

United States as of December 31, 2021 and 2020 and their results for the first five months of 2021 and the year ended December 31,

2020.

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.

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

European Central Bank (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 by means of Relevant Information number 247679, determining as the 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

Cash distributions

BBVA notified on January 29, 2021, by means of an Inside Information filing with the CNMV (hereinafter, “Inside Information”), that it

intended to resume its shareholder remuneration policy announced on February 1, 2017, by means of Relevant Information number

247679 in 2021, contingent upon the repealing of recommendation ECB/2020/62 and the absence of further restrictions or

limitations.

The Annual General Shareholders' Meeting held on April 20, 2021 approved, in the third item of its agenda, a cash distribution from

the share premium account of BBVA of €0.059 gross for each of the Bank's outstanding shares which are entitled to participate in the

aforementioned distribution, all this in compliance with recommendation ECB/2020/62 on dividend payments during the COVID-19

pandemic, which was paid on April 29, 2021. The total amount was €393 million and was recognized under the heading “Total Equity

– Shareholder's Funds – Share Premium” of the consolidated balance sheet as of December 31, 2021 (see Note 27).

On July 23, 2021, the ECB 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

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 institution in the context of its ordinary supervisory process, eliminating the remaining restrictions on dividend and share

buyback related matters established in recommendation ECB/2020/62.

In line with the above, BBVA communicated by means of an Inside Information on September 30, 2021 that the Board of Directors of

BBVA had approved the payment of a cash interim dividend of €0.08 gross (€0.0648 net of withholding tax) per each outstanding

BBVA share on account of the 2021 dividend. 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.

Amendment of Shareholder Remuneration Policy

BBVA's Board of Directors announced, on November 18, 2021, the amendment of the Group's shareholder remuneration policy

(announced on February 1, 2017 by means of Relevant Information number 247679), establishing as a policy to distribute annually

between 40% and 50% of the consolidated ordinary profit for each year (excluding amounts and items of an extraordinary nature

included in the consolidated income statement), compared to the previous policy that established a distribution between 35% and

40%.

This policy is implemented through the distribution of an interim dividend for the year (which is expected to be paid in October of each

year) and a final dividend or final distribution (which is expected to be paid at the end of the year and once the application of the result

is approved, foreseeably in April of each year), with the possibility of combining cash distributions with share buybacks (the execution

of the share buyback program scheme described below is considered as extraordinary shareholder remuneration and is therefore not

included in the scope of the policy), all subject to the corresponding authorizations and approvals applicable at any given time.

Shareholder remuneration during financial year 2022

Cash distributions

During the 2022 financial year, the Annual General Shareholders' Meeting and the Board of Directors approved the payment of the

following cash amounts:

–The Annual General Meeting of BBVA held on March 18, 2022, approved, under item 2 of the Agenda, a cash distribution

from the voluntary reserves account as additional shareholder remuneration for the 2021 fiscal year, for an amount equal to

€0.23 (€0.1863 net of withholding tax) per outstanding BBVA share entitled to participate in this distribution, which was

paid on April 8, 2022. The total amount paid, after deducting treasury shares held by the Group's companies, amounted to

€1,463 million.

–The Board of Directors communicated by means of an Inside Information on September 29, 2022 that the Board of

Directors of BBVA approved the payment of a cash interim dividend of €0.12 (€0.0972 net of withholding tax) per

outstanding BBVA share against 2022 results. The total amount paid to shareholders on October 11, 2022, after deducting

treasury shares held by the Group's companies, amounted to €722 million and is recognized under the heading “Total

Equity- Interim Dividends” of the consolidated balance sheet as of December 31, 2022.

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 by the Board of Directors of BBVA on September 28, 2022 was

the following:


Available amount for interim dividend payments (Millions of Euros)
	August 31, 2022
Profit of BBVA, S.A., after the provision for income tax	2,828
Maximum amount distributable	2,828
Amount of proposed interim dividend	724
BBVA cash balance available to the date	46,768

Other shareholder remuneration

On February 1, 2023, it was announced that a cash distribution for the amount of €0.31 gross per share in April as a final dividend for

the year 2022 and the execution of a share buyback program of BBVA for an amount of €422 million were planned to propose to the

corresponding corporate bodies for consideration, subject to obtaining the corresponding regulatory authorizations and the

communication of the specific terms and conditions of the program before the inception of its execution.

Share buyback program

On October 26, 2021, BBVA obtained the pertinent authorization from the ECB to buy back up to 10% of its share capital for a

maximum of €3,500 million, in one or several tranches and over the course of a 12-month period (the “Authorization”).

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

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 share buyback program scheme 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, executed in various tranches up to a maximum of

€3,500 million, with the aim of reducing BBVA's share capital (the “Program Scheme”), notwithstanding the possibility of terminating

or cancelling the Program Scheme 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 scope of the Program Scheme (the "First Tranche") for the purpose of

reducing BBVA's share capital, which was notified by means of Inside Information on October 29, 2021.

On November 19, 2021, BBVA notified by means of Inside Information that the First Tranche would be executed externally, starting on

November 22, 2021, through J.P. Morgan AG as lead manager, for a maximum amount of €1,500 million, for the purchase of a

maximum of 637,770,016 shares representing, approximately, 9.6% of BBVA's share capital. By means of Other Relevant Information

filing dated March 3, 2022, BBVA announced the completion of the execution of the First Tranche upon reaching the maximum

monetary amount of €1,500 million, having acquired 281,218,710 own shares representing, approximately, 4.22% of BBVA's share

capital as of that date. On June 15, 2022, BBVA notified the partial execution of the share capital reduction resolution adopted by the

Annual General Shareholders’ Meeting of BBVA held on 18 March 2022, through the reduction of BBVA’s share capital in a nominal

amount of €137,797,167.90 and the consequent redemption, charged to unrestricted reserves, of 281,218,710 own shares of €0.49

par value each acquired derivatively by the Bank in execution of the First Tranche and which were held in treasury shares (see Notes

26, 27 and 29).

On February 3, 2022, BBVA notified by means of Inside Information that its Board of Directors had agreed, within the scope of the

Program Scheme, to carry out a second buyback program for the repurchase of own shares (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.

As a continuation of the previous communication, on March 16, 2022 BBVA informed by means of Inside Information that it had

agreed to execute the Second Tranche: i) through the execution of a first segment for an amount of up to €1,000 million, and with a

maximum number of shares to be acquired of 356,551,306 shares (the "First Segment"), externally through Goldman Sachs

International as lead manager, who would execute the purchase transactions through the broker Kepler Cheuvreux, S.A.; and (ii) once

execution of the First Segment had been completed, through the execution of a second segment that would complete the Framework

Program (the "Second Segment").

By means of Other Relevant Information dated May 16, 2022, BBVA announced the completion of the execution of the First Segment

upon reaching the maximum monetary amount of €1,000 million, having acquired 206,554,498 shares representing, approximately,

3.1% of BBVA's share capital as of said date.

On June 28, 2022, BBVA communicated through Inside Information the agreement to complete the Program Scheme by executing

the Second Segment, for a maximum amount of €1,000 million and a maximum number of own shares to be acquired of

149,996,808. The execution of the Second Segment took place through Citigroup Global Markets Europe AG as lead manager, as

BBVA informed through Inside Information on June 29, 2022. By means of Other Relevant Information dated August 19, 2022, BBVA

announced the completion of the execution of the Second Segment upon reaching the maximum number of shares (149,996,808)

representing, approximately, 2.3% of BBVA's share capital as of said date (which amounted to approximately €660 million). On

September 30, 2022, BBVA notified through Other Relevant Information an additional partial execution of the share capital reduction

resolution adopted by the Annual General Shareholders’ Meeting of BBVA held on March 18, 2022, through the reduction of BBVA’s

share capital in a nominal amount of €174,710,139.94 and the consequent redemption, charged to unrestricted reserves, of

356,551,306 own shares of €0.49 par value each acquired derivatively by the Bank in execution of the First Segment and Second

Segment of the share buyback program scheme and which were held in treasury shares (see Notes 26, 27 and 29).

Proposal on allocation of earnings for 2022

Below is included a breakdown of the distribution of the Bank´s earnings for financial year 2022, which the Board of Directors will

submit to the Annual General Meeting for approval.


Allocation of earnings (Millions of Euros)
	2022
Profit (loss) for the year	4,816
Distribution
Interim dividends	724
Final dividend	1,869
Reserves / Accumulated gains	2,223

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

5.Earnings per share

Basic and diluted earnings per share are calculated in accordance with the criteria established by IAS 33 "Earnings per share". For

more information see Glossary.

The calculation of earnings per share is as follows:


Basic and Diluted Earnings per Share
	2022	2021	2020
Numerator for basic and diluted earnings per share (millions of euros)
Profit attributable to parent company	6,420	4,653	1,305
Adjustment: Additional Tier 1 securities (1)	(313)	(359)	(387)
Profit adjusted (millions of euros) (A)	6,107	4,293	917
Profit (loss) from continued operations (net of remuneration of Additional Tier 1 capital instruments)	6,107	4,014	2,646
Profit (loss) from discontinued operations (net of non-controlling interest) (B) (See Note 21)	—	280	(1,729)
Denominator for basic earnings per share (number of shares outstanding)
Weighted average number of shares outstanding	6,424	6,668	6,668
Average treasury shares	(9)	(12)	(13)
Share buyback program (2)	(225)	(255)	—
Adjusted number of shares - Basic earnings per share (C)	6,189	6,401	6,655
Adjusted number of shares - diluted earnings per share (D)	6,189	6,401	6,655
Earnings (losses) per share	0.99	0.67	0.14
Basic earnings (losses) per share from continuing operations (Euros per share) A-B/C	0.99	0.63	0.40
Diluted earnings (losses) per share from continuing operations (Euros per share) A-B/D	0.99	0.63	0.40
Basic earnings (losses) per share from discontinued operations (Euros per share) B/C	—	0.04	(0.26)
Diluted earnings (losses) per share from discontinued operations (Euros per share) B/D	—	0.04	(0.26)

(1) Remuneration in the year related to contingent convertible securities, recognized in equity (see Note 22.4).

(2) On August 19, 2022, BBVA announced the completion of the execution of the share buyback program. In order to calculate the attributable earnings per share in 2022, it

includes the average number of shares taking into account the two redemptions of shares which took place in 2022. In the year ended December 31, 2021, it takes into account 112

million shares acquired under the shares buyback program and the estimated number of shares pending to be acquired under the first tranche of the share buyback program as of

December 31, 2021 (see Note 4).

As of December 31, 2022, 2021 and 2020, 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.

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, 2022, the structure of the information by operating segments reported by the BBVA Group remains the same as

that as of the closing of the 2021 financial year.

The BBVA Group's areas or operating segments are summarized below:

–Spain includes mainly the banking, insurance and asset management business that the Group carries out in Spain, including

the proportional share of results of the new company that emerged from the bancassurance agreement reached with

Allianz at the end of 2020 (see Note 3).

–Mexico includes the banking, insurance and asset management business in this country as well as the activity that BBVA

Mexico carries out through its agency in Houston.

–Turkey reports the activity of the Garanti BBVA group that is mainly carried out in this country and, to a lesser extent, in

Romania and the Netherlands.

–South America includes the banking, finance, insurance and asset management business carried out mainly in Argentina,

Chile, Colombia, Peru, Uruguay and Venezuela.

–Rest of Business mainly includes the wholesale activity carried out in Europe (excluding Spain), the United States and

(through BBVA branches located therein) Asia.

The 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; 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 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 condensed consolidated income statement

of the Corporate Center.

Finally, the costs related to the Banco Bilbao Vizcaya Argentaria, S.A. collective layoff procedure and closing of the offices carried out

in Spain in 2021, recorded 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", respectively (see Notes 24, 46, 49 and 50).

The breakdown of the BBVA Group’s total assets by operating segments as of December 31, 2022, 2021 and 2020 is as follows:


Total Group assets by operating segments (Millions of Euros)
	2022	2021 ⁽¹⁾	2020 ⁽¹⁾
Spain	427,193	413,430	408,022
Mexico	143,405	118,106	110,236
Turkey	66,043	56,245	59,585
South America	62,067	56,124	55,436
Rest of Business	49,952	40,328	35,194
Subtotal assets by operating segments	748,660	684,233	668,474
Corporate Center and adjustments (2)	(35,520)	(21,348)	65,323
Total assets BBVA Group	713,140	662,885	733,797

(1) In the first quarter of 2022 the Group changed the allocation criteria for certain expenses related to global technology projects between the Corporate Center and the business

areas. Also in the first quarter of 2022, an equity team from the Global Markets unit was transferred from Spain to New York, with the corresponding transfer of the costs

associated with this reallocation from Spain to Rest of Business. Therefore, to ensure that year-on-year comparisons are homogeneous, the figures corresponding to the financial

years 2021 and 2020 have been revised, which has not affected the consolidated financial information of the Group.

(2) The balance of 2020 corresponds mainly to the Group companies included within the scope of the USA Sale to PNC.

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, 2022, 2021 and 2020:


Main margins and profit by operating segments (Millions of euros)
	Operating Segments
	BBVA Group	Spain	Mexico	Turkey	South America	Rest of Business	Corporate Center and adjustments (1)
2022
Net interest income	19,153	3,784	8,378	2,631	4,137	332	(109)
Gross income	24,890	6,145	10,839	3,185	4,261	790	(329)
Operating profit (loss) before tax	10,356	2,625	5,690	1,644	1,429	277	(1,309)
Net attributable profit (loss) (2)	6,420	1,678	4,182	509	734	240	(922)
2021 ⁽³⁾
Net interest income	14,686	3,501	5,836	2,370	2,859	283	(163)
Gross income	21,066	5,890	7,603	3,422	3,162	776	212
Operating profit (loss) before tax	7,247	2,075	3,505	1,952	940	346	(1,571)
Profit (loss) after tax from discontinued operations	280	—	—	—	—	—	280
Net attributable profit (loss) (2)	4,653	1,548	2,551	739	476	276	(938)
2020 ⁽³⁾
Net interest income	14,592	3,562	5,415	2,783	2,701	295	(164)
Gross income	20,166	5,568	7,025	3,573	3,225	838	(63)
Operating profit (loss) before tax	5,248	816	2,457	1,521	876	278	(702)
Profit (loss) after tax from discontinued operations	(1,729)	—	—	—	—	—	(1,729)
Net attributable profit (loss) (2)	1,305	647	1,749	563	432	221	(2,307)

(1) Adjustments include: (I) the impact of the purchase of offices in Spain in 2022 in the transaction with Merlin Properties (see Note 17); (II) the costs associated with the

collective layoff procedure and the closing of offices in 2021 (see Note 24); and (III) the capital gain from the bancassurance transaction with Allianz in 2020 (see Note 3).

(2) See Note 55.2.

(3) In the first quarter of 2022 the Group changed the allocation criteria for certain expenses related to global technology projects between the Corporate Center and the business

areas. Also in the first quarter of 2022, an equity team from the Global Markets unit was transferred from Spain to New York, with the corresponding transfer of the costs

associated with this reallocation from Spain to Rest of Business. Therefore, to ensure that year-on-year comparisons are homogeneous, the figures corresponding to the financial

years 2021 and 2020 have been revised, which has not affected the consolidated financial information of the Group.

The accompanying Consolidated Management Report presents the consolidated income statements and the consolidated balance

sheets by operating segments.

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

The 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 analyses 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 (hereinafter "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, including the below:

–Macroeconomic and geopolitical risks

The Group is sensitive to the deterioration of economic conditions or the alteration of the institutional environment of the countries in

which it operates, and especially Spain, Mexico and Turkey. Additionally, the Group is exposed to sovereign debt, especially in these

areas. Furthermore, the Group has recently increased its shareholding stake in Türkiye Garanti Bankası A.Ş. (Garanti BBVA) in an

additional 36.12% (reaching 85.97%) as a result of the voluntary takeover bid for the shares of Garanti BBVA not already owned by

BBVA announced in November 2021.

In addition to the significant macroeconomic problems triggered by the COVID-19 pandemic, the global economy is currently facing a

number of extraordinary challenges. Russia’s invasion of Ukraine, the largest military attack on a European state since World War II,

has led to significant disruption, instability and volatility in global markets, as well as higher inflation (including by contributing to

further increases in the prices of oil, gas and other commodities and further disrupting supply chains) and lower economic growth.

The European Union, the United States and other governments have imposed significant sanctions and export controls against Russia

and Russian interests and additional sanctions and controls cannot be ruled out.

The conflict has represented a significant supply shock for the global economy, which has hampered economic growth and added to

the inflationary pressures, mainly in European countries, due to their relatively significant economic ties with Ukraine and Russia. The

economic effects are being felt mainly through the higher commodity prices, mainly of energy commodities, despite their moderation

over the last few months in 2022. While the Group’s direct exposure to Ukraine and Russia is limited, the war could adversely affect

the Group’s business, financial condition and results of operations. Geopolitical and economic risks have also increased lately as a

result of trade tensions between the United States and China, Brexit and the rise of populism, among others. Growing tensions may

lead, among others things, to a deglobalization of the world economy, an increase in protectionism, a general reduction of

international trade in goods and services and a reduction in the integration of financial markets, any of which could materially and

adversely affect the Group’s business, financial condition and results of operations.

Moreover, the world economy could be vulnerable to other factors such as the aggressive interest rate hikes by central banks due to

growing and widespread inflationary pressures, which could cause a significant growth slowdown - and, even, a sharp economic

recession - as well as financial crises. The central banks of many developed and emerging economies have significantly augmented

policy rates over the last year and the process of tightening monetary conditions is likely to continue going forward in many

economies. The United States Federal Reserve (FED) and the European Central Bank have raised policy interest rates respectively by

425 and 250 basis points throughout 2022 and further adjustments are expected to be announced in the coming months (such as the

rise in the Fed's 0.25 basis points and the ECB's 0.5 basis points, announced on February 1 and February 2, 2023, respectively),

taking them up to around 5.0% in the first case and 3.75% in the case of the interest rates for refinancing operations in the Eurozone.

The Group’ s results of operations have been affected by the increases in interest rates adopted by central banks in an attempt to

tame inflation, contributing to the rise in funding costs. Further, increases in interest rates could adversely affect the Group by

reducing the demand for credit, limiting its ability to generate credit for its clients and leading to an increase in the default rate of its

counterparties.

Another risk is a sharp slowdown in the global GDP growth caused by a deceleration in the Chinese economy, due to the disruptions

generated by the coronavirus infections following the flexibilization of the COVID-19 policies or other factors, such as the imbalances

on real estate markets.

The Group bears, among others, the following general risks with respect to the economic and institutional environment in which it

operates: a deterioration in economic activity in the countries in which it operates, including recession scenarios; more persistent

inflationary pressures, which could trigger a more severe tightening of monetary conditions; stagflation due to more intense or

prolonged supply crises; changes in exchange rates; an unfavorable evolution of the real estate market; very high oil and gas prices

could have a negative impact on disposable income levels in areas that are net energy importers, such as Spain or Turkey, to which

the Group is particularly exposed; changes in the institutional environment of the countries in which the Group operates could give

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

rise to sudden and sharp drops in GDP and/or changes in regulatory or government policy, including in terms of exchange controls

and restrictions on the distribution of dividends or the imposition of new taxes or charges; a growth in the public debt or in the

external deficit could lead to a downward revision of the credit ratings of the sovereign debt and even a possible default or

restructuring of said debt; and episodes of volatility in the markets, which could cause the Group significant losses.

Any of these factors may have a significant adverse impact on the Group's business, financial condition and results of operations.

–Risks relating to the political, economic and social conditions in Turkey

In May 2022, the Group increased its shareholding stake in Garanti BBVA (Turkey) from 49.85% to 85.97% following the completion

of a voluntary takeover bid (see Note 3).

Turkey has, from time to time, experienced volatile political, economic and social conditions. As of the date of the approval of these

Consolidated Financial Statements, Turkey is facing an economic crisis characterized by strong depreciation of the Turkish lira, high

inflation (the Turkish Statistical Institute, TUIK, established the inflation rate at 64.3% for the twelve months ended December 31,

2022; see Note 2.2.19 for information on the impact of the application of IAS 29), a soaring trade deficit, depletion of the central

bank’s foreign reserves and rising external financing costs. Continuing unfavorable economic conditions in Turkey, such as the

elevated inflation and devaluation of the Turkish lira, may result in a potential deterioration in the purchasing power and

creditworthiness of our clients (both individual and corporate).

Additionally, certain ongoing geopolitical and domestic political factors, referred to in this section, as well as continuing regional

conflicts (such as in Syria, Armenia/Azerbaijan), may pose further strain on the country’s economy.

There can be no assurance that these and other factors will not have an impact on Turkey and will not cause further deterioration of

the Turkish economy, which may have a material adverse effect on the Turkish banking sector and the Group’s business, financial

condition and results of operations in Turkey.

–Risks associated with pandemics such as the COVID-19

The COVID-19 (coronavirus) pandemic has adversely affected the world economy, and economic activity and conditions in the

countries in which the Group operates. Among other challenges, these countries have had to deal with 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 been slowed down by the impact of government support measures, including bank payment deferrals, credit

with public guarantee and direct aid measures. With the outbreak of COVID-19, the Group experienced a decline in its activity. For

example, the granting of new loans to individuals decreased during lockdowns. In addition, in several countries, including Spain, the

Group closed a significant number of its branches and reduced the opening hours of working with the public, with central services

teams having to work remotely. Furthermore, the Group has been affected 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, changes to the terms of payment deferrals and the granting of

guarantees or public guarantees for credit granted to companies and self-employed persons, the adoption of further similar measures

or the modification or termination of those already approved, as well as changes in the financial assets purchase programs by the

ECB.

Furthermore, pandemics like the COVID-19 pandemic could 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,

compounded by ongoing supply bottlenecks could, in some cases, make it more difficult for the Group to maintain the required

service levels.

Further, pandemics such as the COVID-19 pandemic may exacerbate other risks disclosed in this section, including but not limited to

risks associated with the credit quality of the Group’s borrowers and counterparties or collateral, any withdrawal of ECB funding, the

Group’s exposure to sovereign debt and rating downgrades, the Group’s ability to comply with its regulatory requirements, including

MREL (Minimum Requirement for Own Funds and Eligible Liabilities) and other capital requirements, and the deterioration of

economic conditions or changes in the institutional environment.

–Regulatory and reputational risks

Financial institutions are exposed to a complex and ever-changing regulatory environment defined by governments and regulators.

Regulatory activity in recent years has affected multiple areas, including changes in accounting standards; strict regulation of capital,

liquidity and remuneration; bank charges (such as the new tax for banks recently approved in Spain, see Note 19.6) and taxes on

financial transactions; regulations affecting mortgages, banking products and consumers and users; recovery and resolution

measures; stress tests; prevention of money laundering and terrorist financing; market abuse; conduct in the financial markets; anti-

corruption; and requirements as to the periodic publication of information. Governments, regulatory authorities and other institutions

continually make proposals to strengthen the resistance of financial institutions to future crises. Further, there is an increasing focus

on the climate-related financial risk management capabilities of banks. Any change in the Group’s business that is necessary to

comply with any particular regulations at any given time, especially in Spain, Mexico or Turkey, could lead to a considerable loss of

income, limit the Group’s ability to identify business opportunities, affect the valuation of its assets, force the Group to increase its

prices and, therefore, reduce the demand for its products, impose additional costs on the Group or otherwise adversely affect its

business, financial condition and results of operations.

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 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 Group could arise and might affect the regular course of business.

–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. Any attack, failure

or deficiency in the Group’s systems could, among other things, lead to the misappropriation of funds of the Group’s clients or the

Group itself and the unauthorized disclosure, destruction or use of confidential information, as well as prevent the normal operation of

the Group and impair its ability to provide services and carry out its internal management. In addition, any attack, failure or deficiency

could result in the loss of customers and business opportunities, damage to computers and systems, violation of regulations

regarding data protection and/or other regulations, exposure to litigation, fines, sanctions or interventions, loss of confidence in the

Group’ s security measures, damage to its reputation, reimbursements and compensation, and additional regulatory compliance

expenses and could have a significant adverse impact on the Group’ s business, financial condition and results of operations.

Regarding legal risks, the financial sector faces an environment of increasing regulatory and litigious pressure, and thus, the various

Group entities are frequently 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 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

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, 2022, the Group had €685 million in provisions for the proceedings it is facing (included in the line "Provisions for

taxes and other legal contingencies" in the consolidated balance sheet) (see Note 24), of which €524 million correspond to legal

contingencies and €161 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 July 29, 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 information obtained in the internal investigation hired by the entity in

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2019 to contribute to the clarification of the facts. As of the date of the preparation 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.

–Climate change risks

Climate change presents both short, medium and long-term risks to the Group and its customers, and these risks are expected to

increase over time. The Group's activities or those of its customers and/or counterparties could be negatively affected by, among

others, the following risks:

–Transition Risks: Risks linked to the transition to a low-carbon economy as a response to climate change, and that come

from changes in legislation, the market, consumers, etc., to mitigate and address the requirements derived from climate

change. Transition risks include:

a.Legal and regulatory risks: Legislative or regulatory changes related to the way banks manage climate risk or that

otherwise affect banking practices or the disclosure of climate-related information may lead to increased costs

and compliance risks, operational and credit. Group customers and counterparties may also face similar

challenges.

b.Technological risks: Among others, those risks derived from the transition costs to low-emission technologies or

from non-adaptation to them, which could eventually reduce the credit capacity of the Group's customers.

c.Market risks: BBVA is exposed to risks of a considerable increase in the cost of financing for customers with

greater exposure to climate change risk, in such a way that their solvency or credit rating is affected. BBVA is also

exposed to risks derived from changes in demand, changes in supply or the cost of energy, among others.

d.Reputational risks: The perception of climate change as a risk by society, shareholders, customers, governments

and other interested parties continues to increase, encompassing the operations and strategy of the financial

sector. This may lead to increased scrutiny of activities, policies, objectives and the way in which aspects related

to climate change are disclosed. The Group's reputation may be damaged if its efforts to reduce environmental

and social risks are deemed insufficient.

–Physical risks: Risks that come from climate change and can be caused by greater frequency and severity of extreme

weather events or long-term weather changes, and that can lead to physical damage to the assets of the Group or its

customers, the interruption of their operations, disruptions in the supply chain or increased expenses necessary to deal with

them, thus impacting the value of assets or the solvency of customers.

Any of these factors may have a material adverse effect on the Group’s business, financial condition and results of operations.

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.

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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 Global Risk Management (hereinafter "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.

Support measures

Since the beginning of the pandemic, the Group offered COVID-19 support measures to its customers in all the geographic areas

where it operates, consisting of both deferrals on existing loans and new public-guaranteed lending. Deferral support schemes have

expired in all geographical areas. Measures related to new government-guaranteed loans remained in force in Spain and Peru in 2022:

Spain:

–The Official Credit Institute (ICO by its Spanish acronym) published several support programs aimed at the self-employed,

small and medium-sized enterprises (hereinafter "SMEs") and companies, through which a guarantee of between 60% and

80% was granted by the ICO (for a term of up to 5 years for new financing granted under RDL Mar/2020, RDL Nov/2020,

RDL 5/2021 and the Code of Good Practices).

–In March 2022, the Council of Ministers agreed to modify the Code of Good Practices to lessen access conditions given the

difficulties of clients, which are facing sharp increases in costs due to their special exposure to tensions in the prices of

energy and other raw materials.

–As an additional measure of the Code of Good Practices, the Council of Ministers approved the agreement to establish the

possibility of term extensions of ICO financing given to self-employed and companies, after June 30, 2022, after the expiry

of the Temporary Framework of state support approved by the European Commission.

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

Practices, establishes a new Code of Good Practices easing the interest rates hike on mortgage loans agreements related to primary

residences, and provides for other structural measures aiming to improve the loan market. BBVA has adhered to the new Code of

Good Practices with effect from January 1, 2023.

Peru:

–There were public support programs such as Reactiva, Crecer or FAE aimed at companies and micro-enterprises with

government guaranteeing amounts ranging from 60% to 98%, depending on the program and the type of company.

–Through a Decree published in May 2022, for loans granted under the Reactiva program, both the maturity and grace period

of such loans could be extended. The ability to benefit from this measure expires on June 30, 2023, following the extension

of the initial period that ended December 31, 2022.

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

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, 2022 and 2021 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 2022	—	18,103	18,103	1,791,756	13,955	248,009	32,059	8.2%
December 2021	189	21,743	21,931	2,188,720	16,093	264,809	38,025	10.9%

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The outstanding balance of existing loans for which a payment deferral was granted (split by those existing at year-end and those in

respect of which the deferral had been 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, 2022 and 2021 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		Financing with public guarantees
	2022	2021	2022	2021	2022	2021	2022	2021
Group	—	189	18,103	21,743	18,103	21,931	13,955	16,093
Households	—	107	12,974	14,904	12,974	15,011	1,302	1,376
Of which: Mortgages	—	97	9,542	10,195	9,542	10,291	5	6
SMEs	—	44	2,725	3,950	2,725	3,994	9,672	10,911
Non-financial corporations	—	37	2,315	2,766	2,315	2,803	2,964	3,788
Other	—	—	90	122	90	122	18	18


Amount of financing with public guarantees of the Group by stages (Millions of Euros)
	Stage 1 and 2		Stage 3		Total
	2022	2021	2022	2021	2022	2021
Group	13,109	15,526	847	568	13,955	16,093
Households	1,240	1,347	62	29	1,302	1,376
Of which: Mortgages	5	6	—	—	5	6
SMEs	9,041	10,522	631	389	9,672	10,911
Non-financial corporations	2,811	3,639	153	149	2,964	3,788
Other	17	18	—	—	18	18

In Spain, in the case of a doubtful transaction with an ICO guarantee, the Ministry of Economic Affairs and Digital Transformation

becomes the principal obligee of the guaranteed obligations from the time of communication to the ICO of the execution of the

guarantee. This also occurs in the event of early maturity of the debt, without prejudice to the fact that payments are made according

to the schedule initially agreed between the client and the entity. From that moment on, the original debt with the client will be

derecognized, simultaneously recognizing a credit right before the Ministry for the guaranteed amount.

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 geographical area makes the necessary adaptations to capture its particularities. The methodology, assumptions

and observations used by each geographical area 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 geographical area 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.

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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.

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.

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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 geographical area 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.

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).

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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 geographical area 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.

–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 geographical area and for each portfolio, taking into

account their particularities and based on the principles described. The thresholds set by each geographical area 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. Specifically, in BBVA, S.A.'s wholesale portfolio the relative threshold is from 160% to 180%

and the absolute threshold ranges from 30 to 100 basis points; in the retail portfolio the relative threshold is between 150% and

200% while the absolute threshold ranges between 50 and 100 basis points. For BBVA Mexico, the relative threshold for the

wholesale portfolio is between 180% and 200% and the absolute threshold is between 30 basis points and 75 basis points. For the

majority of the retail portfolio, the relative threshold is in the range of 170% and 250% and the absolute threshold between 10 and 100

basis points.

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.

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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 the 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.

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.

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–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. For this reason, practically all accounting and prudential authorities in a

coordinated manner issued recommendations or measures with respect to how situations caused by COVID-19 should be treated for

purposes of the expected loss estimation models under IFRS 9 in the year 2020. The BBVA Group considered these

recommendations in calculating expected credit risk losses under IFRS 9 based on the assumption that the economic situation

caused by the COVID-19 pandemic would be transitory and that it would be accompanied by a recovery, in light of the uncertainties

regarding its gravity and duration. Therefore, to calculate such losses, various scenarios were considered, recording the one that, in

the opinion of the Bank, best reflected the economic prospects and the set of recommendations from authorities.

In 2021, once the most critical phase of the pandemic was overcome, the forward-looking information incorporated in the calculation

of expected losses was in line with the macroeconomic perspectives published by BBVA Research, as was usual until the beginning of

the pandemic.

BBVA Research forecasts a maximum of five years for the macroeconomic variables. The following forecasts (favorable, base and

unfavorable scenarios) of the Gross Domestic Product (GDP) growth, unemployment rate and House Price Index (HPI), for the most

relevant countries where they represent a significant factor, carried out by BBVA Research, were used for the calculation of the ECL

as of December 31, 2022:


Positive scenario of GDP, unemployment rate and HPI for the main geographies
	Spain			Mexico			Turkey
Date	GDP	Unemployment	HPI	GDP	Unemployment	HPI	GDP	Unemployment
2022	4.90 %	12.27 %	(2.96) %	2.97 %	3.28 %	0.84 %	7.59 %	10.00 %
2023	1.85 %	11.35 %	(0.61) %	1.45 %	3.04 %	4.23 %	6.61 %	8.85 %
2024	3.60 %	9.75 %	1.58 %	2.33 %	2.99 %	3.07 %	(0.70) %	10.76 %
2025	3.00 %	8.36 %	1.67 %	1.91 %	3.01 %	4.18 %	3.91 %	11.78 %
2026	2.95 %	7.02 %	2.20 %	1.78 %	3.01 %	3.26 %	3.90 %	11.81 %
2027	2.93 %	5.87 %	2.31 %	1.81 %	3.00 %	4.39 %	3.86 %	11.81 %


	Peru		Argentina		Colombia
Date	GDP	Unemployment	GDP	Unemployment	GDP	Unemployment
2022	4.00 %	7.67 %	7.42 %	11.97 %	8.78 %	11.41 %
2023	5.12 %	7.28 %	3.86 %	9.39 %	2.04 %	12.20 %
2024	3.15 %	6.79 %	(1.02) %	7.68 %	2.07 %	12.77 %
2025	2.19 %	6.60 %	2.79 %	6.77 %	2.44 %	12.65 %
2026	2.21 %	6.52 %	2.87 %	6.89 %	3.11 %	12.15 %
2027	2.21 %	6.49 %	3.62 %	6.81 %	3.28 %	10.47 %

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


Base scenario of GDP, unemployment rate and HPI for the main geographies
	Spain			Mexico			Turkey
Date	GDP	Unemployment	HPI	GDP	Unemployment	HPI	GDP	Unemployment
2022	4.61 %	12.78 %	(3.50) %	2.56 %	3.32 %	0.95 %	5.47 %	10.53 %
2023	1.20 %	12.83 %	(2.41) %	0.58 %	3.20 %	4.14 %	3.02 %	10.30 %
2024	3.37 %	11.38 %	0.55 %	2.05 %	3.17 %	2.90 %	(1.50) %	11.75 %
2025	2.98 %	9.95 %	1.30 %	1.84 %	3.15 %	4.19 %	3.78 %	12.15 %
2026	2.95 %	8.58 %	1.74 %	1.76 %	3.14 %	3.27 %	3.78 %	12.00 %
2027	2.93 %	7.18 %	1.86 %	1.79 %	3.13 %	4.37 %	3.74 %	12.00 %


	Peru		Argentina		Colombia
Date	GDP	Unemployment	GDP	Unemployment	GDP	Unemployment
2022	2.69 %	7.72 %	5.00 %	12.35 %	8.05 %	11.49 %
2023	2.54 %	7.48 %	(0.50) %	10.40 %	0.72 %	12.45 %
2024	2.42 %	7.03 %	(2.04) %	8.60 %	1.81 %	13.06 %
2025	2.19 %	6.80 %	2.70 %	7.38 %	2.44 %	12.94 %
2026	2.21 %	6.70 %	2.73 %	7.38 %	3.10 %	12.43 %
2027	2.21 %	6.68 %	3.49 %	7.30 %	3.28 %	10.65 %


Negative scenario of GDP, unemployment rate and HPI for the main geographies

	Spain			Mexico			Turkey
Date	GDP	Unemployment	HPI	GDP	Unemployment	HPI	GDP	Unemployment
2022	4.33 %	13.26 %	(4.13) %	2.17 %	3.37 %	1.03 %	3.35 %	11.04 %
2023	0.58 %	14.26 %	(4.02) %	(0.28) %	3.38 %	3.97 %	(0.79) %	11.76 %
2024	3.15 %	12.95 %	(0.40) %	1.77 %	3.35 %	2.69 %	(2.49) %	12.82 %
2025	2.93 %	11.53 %	0.79 %	1.77 %	3.30 %	4.04 %	3.70 %	12.53 %
2026	2.91 %	10.14 %	0.99 %	1.72 %	3.27 %	3.24 %	3.70 %	12.19 %
2027	2.89 %	8.77 %	1.10 %	1.75 %	3.26 %	4.37 %	3.66 %	12.16 %


	Peru		Argentina		Colombia
Date	GDP	Unemployment	GDP	Unemployment	GDP	Unemployment
2022	1.39 %	7.77 %	2.66 %	12.71 %	7.30 %	11.57 %
2023	(0.05) %	7.69 %	(5.10) %	11.38 %	(0.59) %	12.71 %
2024	1.67 %	7.27 %	(3.29) %	9.49 %	1.50 %	13.34 %
2025	2.19 %	7.02 %	2.59 %	7.97 %	2.44 %	13.21 %
2026	2.21 %	6.91 %	2.57 %	7.83 %	3.10 %	12.70 %
2027	2.21 %	6.88 %	3.33 %	7.78 %	3.28 %	10.86 %

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

The estimate for the next five years of the following rates, used in the measurement of the expected loss as of December 31, 2021,

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
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 %


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 %

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
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 %

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. The variation in the expected loss for the Group and the main

portfolios and geographical areas is shown below:


Expected loss variation as of December 31, 2022

	BBVA Group				Spain			Mexico				Turkey
GDP	Total Portfolio	Retail	Companies	Fixed income	Total Portfolio	Companies	Retail	Total Portfolio	Companies	Retail	Total Portfolio	Companies	Retail
- 100 bps	223	151	67	3	118	54	62	67	3	63	19	5	12
+100 bps	(195)	(135)	(55)	(3)	(95)	(42)	(52)	(63)	(3)	(60)	(18)	(5)	(11)
Housing price
- 100 bps						1	23			4
+100 bps						(1)	(22)			(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


Expected loss variation as of December 31, 2021

	BBVA Group				Spain			Mexico			Turkey
GDP	Total Portfolio	Retail	Companies	Fixed income	Total Portfolio	Companies	Retail	Total Portfolio	Companies	Retail	Total Portfolio	Companies	Retail
- 100 bps	237	165	46	3	92	19	58	72	3	65	17	6	11
+100 bps	(224)	(158)	(44)	(3)	(88)	(18)	(57)	(69)	(4)	(61)	(17)	(6)	(10)
Housing price
- 100 bps						4	54			5
+100 bps						(4)	(53)			(5)

Additional adjustments to expected loss measurement

The Group periodically reviews its individual estimates and its models for the collective estimate of expected losses as well as the

effect of macroeconomic scenarios on them. In addition, the Group may supplement the expected losses to account for the effects

that may not be included, either by considering additional risk factors, or by the incorporation of sectorial particularities or

particularities that may affect a set of operations or borrowers, following a formal internal approval process established for this

purpose.

During 2022, in the case of Spain, the expected losses of operations considered unlikely to pay were reviewed, adjusting, in the model,

the severity of these transactions to align it with that of impaired loans, which resulted in the recording of an additional provision of

€250 million in the income statement for the year 2022. Similarly, during 2021, for clients benefiting from the measures of RDL

6/2012, loss given default were reviewed, resulting in an adjustment whose remaining amount at the end of 2022 was €138 million,

with no significant variation in year.

The complementary adjustments pending allocation to specific operations or clients as of December 31, 2022 totaled €302 million, of

which €170 million corresponded to BBVA, S.A., €92 million to Mexico, €25 million to Peru, €11 million to Colombia and €5 million to

Chile. In comparison, as of December 31, 2021, the complementary adjustments pending allocation to specific operations or clients

amounted to €311 million, of which €226 million corresponded to Spain, €68 million to Mexico and €18 million euros to Peru. The

variation in the year is due to, on the one hand, the revision or partial consumption of the adjustments that were deemed necessary in

connection with payment deferrals, public guarantees or sectors most affected by the pandemic and, on the other hand, the

additional losses amounting to €150 million relating to exposures to the corporate portfolios mainly of Spain, Mexico, Peru and

Colombia (wholesale borrowers and small and medium enterprises), which could be more affected by the economic context of high

inflation, interest rates or energy prices.

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

BBVA Group’s credit risk exposure by headings in the consolidated balance sheets as of December 31, 2022, 2021 and 2020 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:


Maximum credit risk exposure (Millions of Euros)
	Notes	December 2022	Stage 1	Stage 2	Stage 3
Financial assets held for trading		70,763
Equity instruments	10	4,404
Debt securities	10	24,367
Loans and advances	10	41,993
Non-trading financial assets mandatorily at fair value through profit or loss		6,888
Equity instruments	11	6,511
Debt securities	11	129
Loans and advances	11	247
Financial assets designated at fair value through profit or loss	12	913
Derivatives (trading and hedging)		53,101
Financial assets at fair value through other comprehensive income		59,100
Equity instruments	13	1,198
Debt securities		57,876	57,028	822	26
Loans and advances to credit institutions	13	26	26	—	—
Financial assets at amortized cost		433,445	386,048	33,873	13,523
Debt securities		43,700	43,433	237	30
Loans and advances to central banks		4,420	4,420	—	—
Loans and advances to credit institutions		16,066	15,997	69
Loans and advances to customers		369,260	322,199	33,568	13,493
Total financial assets risk		624,210
Total loan commitments and financial guarantees		192,568	181,427	9,993	1,147
Loan commitments given	33	136,920	130,459	6,283	177
Financial guarantees given	33	16,511	15,214	1,015	281
Other commitments given	33	39,137	35,753	2,695	689
Total maximum credit exposure		816,778


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	10	15,963
Debt securities	10	25,790
Loans and advances	10	50,807
Non-trading financial assets mandatorily at fair value through profit or loss		6,086
Equity instruments	11	5,303
Debt securities	11	128
Loans and advances	11	655
Financial assets designated at fair value through profit or loss	12	1,092
Derivatives (trading and hedging)		43,687
Financial assets at fair value through other comprehensive income		60,495
Equity instruments	13	1,320
Debt securities		59,148	58,587	561	—
Loans and advances to credit institutions	13	27	27	—	—
Financial assets at amortized cost		383,870	334,772	34,418	14,680
Debt securities		34,833	34,605	205	22
Loans and advances to central banks		5,687	5,687	—	—
Loans and advances to credit institutions		13,295	13,285	10	—
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	33	119,618	112,494	6,953	171
Financial guarantees given	33	11,720	10,146	1,329	245
Other commitments given	33	34,604	30,274	3,789	541
Total maximum credit exposure		753,730

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	10	11,458
Debt securities	10	23,970
Loans and advances	10	30,268
Non-trading financial assets mandatorily at fair value through profit or loss		5,198
Equity instruments	11	4,133
Debt securities	11	356
Loans and advances	11	709
Financial assets designated at fair value through profit or loss	12	1,117
Derivatives (trading and hedging)		46,302
Financial assets at fair value through other comprehensive income		69,537
Equity instruments	13	1,100
Debt securities		68,404	67,995	410	—
Loans and advances to credit institutions	13	33	33	—	—
Financial assets at amortized cost		379,857	334,552	30,607	14,698
Debt securities		35,785	35,759	6	20
Loans and advances to central banks		6,229	6,229	—	—
Loans and advances to credit institutions		14,591	14,565	20	6
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	33	132,584	124,104	8,214	265
Financial guarantees given	33	10,665	9,208	1,168	290
Other commitments given	33	36,190	32,414	3,300	477
Total maximum credit exposure		747,145

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").

As of December 31, 2022, there are no financial assets classified as purchased or originated credit impaired in the consolidated

balance sheets of the BBVA Group.

The breakdown by geographical area 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, 2022, 2021 and 2020 is shown below:


December 2022 (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 (1)	214,126	187,037	19,621	7,468	(4,860)	(518)	(759)	(3,583)	209,266	186,519	18,862	3,885
Mexico	74,252	66,971	5,342	1,939	(2,496)	(955)	(475)	(1,066)	71,756	66,017	4,866	873
Turkey (2)	39,547	32,755	4,436	2,356	(2,105)	(224)	(358)	(1,523)	37,443	32,531	4,078	833
South America (3)	40,288	34,401	4,166	1,721	(1,768)	(318)	(345)	(1,105)	38,519	34,083	3,821	615
Others	1,047	1,035	3	9	(8)	—	—	(7)	1,039	1,035	3	2
Total (4)	369,260	322,199	33,568	13,493	(11,237)	(2,014)	(1,938)	(7,284)	358,023	320,185	31,629	6,208
Of which: individual					(2,164)	(21)	(604)	(1,539)
Of which: collective					(9,073)	(1,994)	(1,334)	(5,745)

(1) Spain includes all countries where BBVA, S.A. operates.

(2) Turkey includes all countries in which Garanti BBVA operates.

(3) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.

(4) 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, 2022, the

remaining balance was €190 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.

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 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 (1)	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 (2)	33,472	26,497	4,134	2,841	(2,058)	(224)	(424)	(1,410)	31,414	26,273	3,711	1,431
South America (3)	36,335	30,166	4,425	1,744	(1,736)	(277)	(362)	(1,096)	34,599	29,889	4,062	648
Others	996	984	3	9	(8)	(1)	—	(7)	988	983	3	2
Total (4)	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)

(1) Spain includes all countries where BBVA, S.A. operates.

(2) Turkey includes all countries in which Garanti BBVA operates.

(3) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.

(4)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 (1)	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 (2)	39,633	30,832	5,806	2,995	(2,338)	(246)	(535)	(1,557)	37,295	30,586	5,272	1,438
South America (3)	34,499	28,484	4,312	1,703	(1,870)	(320)	(460)	(1,090)	32,629	28,165	3,852	612
Others	925	912	5	8	(7)	(1)	—	(6)	918	911	4	2
Total (4)	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)

(1) Spain includes all countries where BBVA, S.A. operates.

(2) Turkey includes all countries in which Garanti BBVA operates.

(3) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.

(4) 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.

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, 2022, 2021 and 2020 is shown below:


December 2022 (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	20,922	20,582	302	38	(30)	(8)	(11)	(11)	20,892	20,574	291	27
Other financial corporations	12,802	12,548	238	17	(37)	(15)	(12)	(10)	12,765	12,533	226	6
Non-financial corporations	171,006	149,579	15,087	6,340	(5,495)	(675)	(991)	(3,829)	165,510	148,903	14,096	2,511
Households	164,530	139,491	17,941	7,098	(5,675)	(1,316)	(925)	(3,434)	158,855	138,175	17,017	3,663
Loans and advances to customers	369,260	322,199	33,568	13,493	(11,237)	(2,014)	(1,938)	(7,284)	358,023	320,185	31,629	6,208

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


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	62	(37)	(13)	(5)	(19)	19,682	19,274	364	43
Other financial corporations	9,826	9,672	131	24	(23)	(8)	(6)	(9)	9,804	9,664	125	15
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	76	(48)	(14)	(9)	(25)	19,391	19,149	191	51
Other financial corporations	9,856	9,747	95	14	(39)	(25)	(6)	(7)	9,817	9,722	88	7
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

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, 2022, 2021 and 2020 is shown below:


December 2022 (Millions of Euros)
	Central banks	General governments	Credit institutions	Other financial corporations	Non-financial corporations	Households	Total	Gross carrying amount
On demand and short notice	—	6	—	352	2,810	933	4,101	4,266
Credit card debt	—	1	—	3	2,029	16,865	18,898	19,985
Commercial debtors		1,021	24	370	24,510	85	26,011	26,254
Finance leases	—	195	—	13	8,040	322	8,571	8,857
Reverse repurchase loans	302	—	5,251	102	—	—	5,655	5,674
Other term loans	3,802	19,438	4,009	7,995	126,949	139,925	302,118	311,553
Advances that are not loans	296	232	6,772	3,930	1,333	811	13,374	13,430
LOANS AND ADVANCES	4,401	20,892	16,057	12,765	165,670	158,943	378,728	390,019
By secured loans
Of which: mortgage loans collateralized by immovable property		297	—	337	23,970	95,056	119,659	122,719
Of which: other collateralized loans	498	5,382	5,073	548	6,635	2,209	20,345	20,675
By purpose of the loan
Of which: credit for consumption						51,344	51,344	54,718
Of which: lending for house purchase						95,249	95,249	96,716
By subordination
Of which: project finance loans					7,942		7,942	8,530

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 2021 (Millions of Euros)
	Central banks	General governments	Credit institutions	Other financial corporations	Non-financial corporations	Households	Total	Gross carrying amount
On demand and short notice	—	6	—	321	2,339	495	3,161	3,345
Credit card debt	—	—	—	1	1,504	12,523	14,030	14,949
Commercial debtors		791	—	476	18,191	66	19,524	19,766
Finance leases	—	191	—	14	7,388	317	7,911	8,256
Reverse repurchase loans	1,192	—	2,788	23	—	—	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	42,294	45,236
Of which: lending for house purchase						95,209	95,209	96,612
By subordination
Of which: project finance loans					8,863		8,863	9,423


December 2020 (Millions of Euros)
	Central banks	General governments	Credit institutions	Other financial corporations	Non-financial corporations	Households	Total	Gross carrying amount
On demand and short notice	—	7	—	502	1,798	528	2,835	3,021
Credit card debt	—	—	—	2	1,485	11,605	13,093	14,220
Commercial debtors		898	—	317	14,262	67	15,544	15,796
Finance leases	—	197	—	6	7,125	322	7,650	8,013
Reverse repurchase loans	472	—	1,914	—	71	—	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	48	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	39,799	43,037
Of which: lending for house purchase						94,098	94,098	95,751
By subordination
Of which: project finance loans					10,721		10,721	11,032

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.

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 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).

The summary of the offsetting effect (via netting and collateral) for derivatives and securities operations as of December 31,

2022 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, 2022, 2021 and 2020, 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, 2022, 2021 and 2020, 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
	Maximum exposure to credit risk	Residential properties	Commercial properties	Cash	Others	Financial
December 2022	13,493	2,537	849	3	52	984
December 2021	14,657	2,875	1,068	5	33	886
December 2020	14,678	2,717	789	18	52	575

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 value of guarantees received as of December 31, 2022, 2021 and 2020, is the following:


Guarantees received (Millions of Euros)
	2022	2021	2020
Value of collateral	125,963	117,362	116,900
Of which: guarantees normal risks under special monitoring	12,826	11,768	11,296
Of which: guarantees non-performing risks	3,440	3,981	3,577
Value of other guarantees	40,050	48,680	47,012
Of which: guarantees normal risks under special monitoring	4,963	7,404	4,045
Of which: guarantees non-performing risks	984	886	575
Total value of guarantees received	166,013	166,042	163,912

The maximum credit risk exposure of impaired financial guarantees and other commitments at December 31, 2022, 2021 and 2020

amounts to €1,147 million, €957 million and €1,032 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.

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, focus on the rating of customers: 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.

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, 2022:


Internal rating	Probability of default (basis points)
Reduced List (22 groups)	Average	Minimum from >=	Maximum
AAA	1	—	2
AA+	2	2	3
AA	3	3	4
AA-	4	4	5
A+	5	5	6
A	8	6	9
A-	10	9	11
BBB+	14	11	17
BBB	20	17	24
BBB-	31	24	39
BB+	51	39	67
BB	88	67	116
BB-	150	116	194
B+	255	194	335
B	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
CC	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 of the gross carrying amount of loans and advances to customers, in percentage terms, of

the BBVA Group, based on their probability of default within 12 months used in the calculation of the expected loss under IFRS 9, and

their stages, as of December 31, 2022, 2021 and 2020:


Probability of default (basis points)
	2022		2021		2020
	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	5.1	—	5.8	—	4.0	—
2 to 5	18.9	0.3	15.7	0.1	10.2	0.1
5 to 11	16.3	0.5	15.2	0.2	7.7	0.1
11 to 39	18.2	0.8	18.7	0.6	26.8	0.5
39 to 194	20.3	2.3	19.1	2.5	24.0	2.3
194 to 1,061	10.5	3.0	12.2	3.8	15.1	3.4
1,061 to 2,121	1.2	0.9	1.9	1.5	1.5	1.2
> 2,121	0.6	1.1	0.8	1.9	0.6	2.5
Total	91.0	9.0	89.4	10.6	89.9	10.1

The table below outlines the distribution of the BBVA Group by probability of default within 12 months used in the calculation of the

expected loss under IFRS 9, and by stages of the gross carrying amount of contingent risk and commitments, in percentage terms, as

of December 31, 2022:

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


Probability of default (basis points)
	2022
	Subject to 12 month ECL (stage 1)	Subject to lifetime ECL (stage 2)
	%	%
0 to 2	6.3	0.2
2 to 5	20.4	0.2
5 to 11	26.9	0.9
11 to 39	19.8	0.7
39 to 194	14.6	1.1
194 to 1,061	6.1	1.5
1,061 to 2,121	0.6	0.2
> 2,121	0.2	0.4
Total	94.8	5.2

7.2.5Impaired loan risks

The breakdown of loans and advances within financial assets at amortized cost by counterparties, including their respective gross

carrying amount, impaired amount and accumulated impairment as of December 31, 2022, 2021 and 2020 is as follows:


December 2022 (Millions of Euros)
	Gross carrying amount	Impaired loans and advances	Accumulated impairment	Impaired loans and advances as a % of the total
Central banks	4,420	—	(19)	—%
General governments	20,922	38	(30)	0.2%
Credit institutions	16,066	—	(35)	—%
Other financial corporations	12,802	17	(37)	0.1%
Non-financial corporations	171,006	6,340	(5,495)	3.7%
Agriculture, forestry and fishing	4,475	153	(151)	3.4%
Mining and quarrying	5,006	179	(105)	3.6%
Manufacturing	44,583	869	(794)	1.9%
Electricity, gas, steam and air conditioning supply	15,344	650	(534)	4.2%
Water supply	875	21	(16)	2.4%
Construction	8,349	784	(537)	9.4%
Wholesale and retail trade	30,974	1,184	(945)	3.8%
Transport and storage	11,051	319	(343)	2.9%
Accommodation and food service activities	8,003	451	(329)	5.6%
Information and communications	7,498	113	(47)	1.5%
Financial and insurance activities	7,446	200	(188)	2.7%
Real estate activities	11,349	718	(527)	6.3%
Professional, scientific and technical activities	3,948	169	(151)	4.3%
Administrative and support service activities	4,021	180	(124)	4.5%
Public administration and defense; compulsory social security	268	8	(12)	2.9%
Education	556	35	(29)	6.4%
Human health services and social work activities	2,108	138	(53)	6.6%
Arts, entertainment and recreation	927	68	(79)	7.3%
Other services	4,224	101	(530)	2.4%
Households	164,530	7,098	(5,675)	4.3%
LOANS AND ADVANCES	389,745	13,493	(11,291)	3.5%

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


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	62	(37)	0.3 %
Credit institutions	13,295	—	(19)	— %
Other financial corporations	9,826	24	(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	22	(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	9	(11)	4.5 %
Education	582	43	(34)	7.4 %
Human health services and social work activities	1,888	48	(41)	2.5 %
Arts, entertainment and recreation	1,011	209	(95)	20.7 %
Other services	3,250	84	(447)	2.6 %
Households	153,714	7,281	(5,253)	4.7 %
LOANS AND ADVANCES	349,037	14,657	(11,142)	4.2 %

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


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	76	(48)	0.4 %
Credit institutions	14,591	6	(16)	— %
Other financial corporations	9,856	14	(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	47	(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	17	(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	73	(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	5	(4)	3.5 %
Education	665	54	(43)	8.1 %
Human health services and social work activities	1,812	67	(59)	3.7 %
Arts, entertainment and recreation	1,131	46	(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 %

The changes during the years 2022, 2021 and 2020 of impaired financial assets and guarantees given are as follows:


Changes in impaired financial assets and guarantees given (Millions of Euros)
	2022	2021	2020
Balance at the beginning	15,467	15,478	16,770
Additions	8,084	8,556	9,533
Decreases (1)	(5,742)	(4,555)	(5,024)
Net additions	2,342	4,001	4,509
Amounts written-off	(2,771)	(3,613)	(3,603)
Exchange differences and other	(517)	(399)	(968)
Discontinued operations	—	—	(1,230)
Balance at the end	14,521	15,467	15,478

(1) Reflects the total amount of impaired loans derecognized from the consolidated balance sheet throughout the period as a result of monetary recoveries as well as mortgage

foreclosures and real estate assets received in lieu of payment.

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 during the years 2022, 2021 and 2020 in financial assets derecognized from the 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	2022	2021	2020
Balance at the beginning		21,990	22,001	26,245
Companies held for sale (1)		—	—	(4,646)
Increase		2,871	3,709	3,440
Decrease:		(2,431)	(3,605)	(2,715)
Re-financing or restructuring		(2)	(1)	(7)
Cash recovery	47	(390)	(423)	(339)
Foreclosed assets		(25)	(17)	(479)
Sales (2)		(1,498)	(2,437)	(1,223)
Debt forgiveness		(368)	(599)	(607)
Time-barred debt and other causes		(147)	(129)	(60)
Net exchange differences		165	(116)	(323)
Balance at the end		22,595	21,990	22,001

(1) The balance of 2020 relates mainly to the Group companies included in the agreement for the sale of the U.S. business to PNC (see Notes 3 and 21).

(2) 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 loss allowances during 2022, 2021

and 2020 are recorded on the consolidated balance sheet as of December 31, 2022, 2021 and 2020 in order to cover the estimated

impairment or reversal of impairment on loans and advances measured at amortized cost.


Changes in gross accounting balances of loans and advances at amortized cost. Year 2022 (Millions of Euros)
	Stage 1	Stage 2	Stage 3	Total
Balance at the beginning	300,167	34,213	14,657	349,037
Transfers of financial assets:	(5,041)	3,914	1,128	—
Transfers from stage 1 to stage 2	(12,726)	12,726	—	—
Transfers from stage 2 to stage 1	8,537	(8,537)	—	—
Transfers to stage 3	(1,941)	(1,831)	3,773	—
Transfers from stage 3	1,089	1,556	(2,645)	—
Net annual origination of financial assets	44,465	(4,201)	258	40,522
Becoming write-offs	(63)	(35)	(2,432)	(2,530)
Foreign exchange	2,447	18	(461)	2,004
Modifications that do not result in derecognition	(2)	29	113	140
Other	643	(301)	231	573
Balance at the end	342,616	33,636	13,493	389,745

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 2022 (Millions of Euros)
	Stage 1	Stage 2	Stage 3	Total
Balance at the beginning	(1,990)	(2,091)	(7,061)	(11,142)
Transfers of financial assets:	63	33	(1,570)	(1,473)
Transfers from stage 1 to stage 2	110	(397)	—	(287)
Transfers from stage 2 to stage 1	(91)	374	—	283
Transfers to stage 3	51	204	(1,917)	(1,662)
Transfers from stage 3	(7)	(148)	347	193
Net annual origination of allowances	(406)	(273)	(663)	(1,342)
Becoming write-offs	186	30	1,890	2,106
Foreign exchange	(87)	248	—	161
Modifications that do not result in derecognition	—	48	(160)	(112)
Other	168	64	279	511
Balance at the end	(2,065)	(1,942)	(7,284)	(11,291)

For the year ended December 31, 2022, 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 €3,379 million (€3,034

million and €5,179 million for the years ended December 31, 2021 and 2020, respectively) (see Note 47). Additionally, as of December

31, 2021, the Group estimated 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. In terms of allowances for impairment, the impact of this update was considered non-

significant.

During 2022, the macroeconomic environment has deteriorated, with a downward revision of growth expectations in an inflationary

environment with a generalized increase in energy commodity prices and interest rates. This has resulted in an increase in allowances

for impairment of financial assets with respect to the previous year, through additional adjustments in an environment of global

growth throughout the year and through the adjustments reflected in the portfolios and sectors most vulnerable to this environment.


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)
Foreign exchange	(6,054)	(1,902)	(216)	(8,172)
Modifications that do not result in derecognition	187	1,642	189	2,018
Other	224	29	(261)	(8)
Balance at the end	300,167	34,213	14,657	349,037


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	45	56	2,694	2,795
Foreign exchange	70	(270)	719	519
Modifications that do not result in derecognition	12	(79)	(122)	(189)
Other	297	106	298	701
Balance at the end	(1,990)	(2,091)	(7,061)	(11,142)

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


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)
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	81	218	(1,950)	(1,652)
Transfers from stage 3	(3)	(59)	144	83
Net annual origination of allowances	(872)	(795)	(1,329)	(2,996)
Becoming write-offs	—	—	2,567	2,568
Foreign exchange	227	256	721	1,204
Modifications that do not result in derecognition	12	(118)	(177)	(283)
Other	160	618	25	803
Discontinued operations	401	444	278	1,123
Balance at the end	(2,037)	(2,289)	(7,815)	(12,141)

The loss allowances recorded in the balance sheet to cover the impairment or reversal of impairment estimated in the debt securities

amounted to €214, €126 and €145 million as of December 31, 2022, 2021 and 2020, respectively. The variation is mainly due to

changes in credit risk variations, mainly in Garanti BBVA, BBVA, S.A. and BBVA Argentina.

Additionally, the loss allowances recorded in the balance sheet to cover the impairment or reversal of the impairment estimated in

the commitments and guarantees given amounted to €770, €691 and €728 million as of December 31, 2022, 2021 and 2020,

respectively (see Note 24). The variation is mainly driven by changes due to origination and acquisition in Garanti BBVA.

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.

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 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.

–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 the later of: i) the time at which the restructuring measures were extended, ii) the

time when the exposure was classified as deteriorated, iii) the end of any grace period included in restructuring agreements.

–The customer does not have past due payments and objective criteria, demonstrating the borrower´s ability to pay, have

been verified.

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 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 or, if later, the date

of reclassification from the deteriorated category. 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 required the adaptation of the repayment schedule of a large volume of

loans in all geographies and portfolios. In general, support was given through the granting of deferrals that comply with the principles

established by the EBA, which allowed for the application of a differential accounting and prudential treatment.

Renewals and renegotiations are classified as normal risk, provided that there is no significant increase in risk. This classification is

applicable initially, and in the event of any deterioration, the criteria established in the existing policy are followed. In this sense, the

aforementioned conditions are considered, including, among others, the requirement that the facility is not more than 30 days past

due and that it has not been 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 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 consolidated balance sheets is set forth in

Appendix XII.

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

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.

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, BBVA 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 in the banking book due to adverse movements

in market risk factors.

In the Group, the following types of structural risks are defined, according to their nature: interest rate risk, credit spread risk,

exchange rate risk and equity risk.

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 scope of structural risks in the Group excludes market risks in the trading book that are clearly delimited and separated and are

part of the Market Risks category.

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.

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 a broad 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.

7.3.1Interest rate risk and credit spread in the banking book

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 maintain the spread

risk at levels aligned with the total volume of the investment portfolio and the equity of the Group.

These functions fall 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.

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

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 registered at fair value 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.

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. Stress tests

incorporate extreme scenarios both in market interest rates and in behavioral assumptions, in addition to the assessment of market

scenarios by BBVA Research and the set of prescriptive scenarios defined according to EBA guidelines.

The internal measurement systems and models are subjected to a process of review and continuous improvement in order to keep

them aligned with EBA guidelines.

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.

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 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.

In addition, the behavior modeling incorporates, where appropriate, the relationship between the evolution of the balance of deposits

and the levels of market interest rates, especially in low rate environments. Consequently, the effect of rate variations on the stability

of the deposits as well as the potential migration between the different types of products (on demand and time deposits) in each

interest rate scenario are incorporated.

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.

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 the fixed income portfolio in the

banking book classified as Hold to Collect & Sale (HtC&S) in terms of sensitivities of the main currencies for the BBVA Group in 2022:


Sensitivity to interest-rate and credit spread analysis. Year 2022
	Interest rate risk				Credit spread
	Impact on net interest income (1)		Impact on economic value (2)		Impact on economic value (2)
	100 basis point increase	100 basis point decrease (3)	100 basis point increase	100 basis point decrease (3)	100 basis point increase
Euro	[1.5% , 3.5%]	[-1.5% , -0.5%]	[0.5% , 1.5%]	[-1.5% , -0.5%]	[-1.5% , -0.5%]
Mexican peso	[0.5% , 1.5%]	[-1.5% , -0.5%]	[-1.5% , -0.5%]	[0.5% , 1.5%]	[-0.5% , 0.5%]
U.S. dollar	[0.5% , 1.5%]	[-1.5% , -0.5%]	[0.5% , 1.5%]	[-1.5% , -0.5%]	[-0.5% , 0.5%]
Turkish lira	[-0.5% , 0.5%]	[-0.5% , 0.5%]	[-0.5% , 0.5%]	[-0.5% , 0.5%]	[-0.5% , 0.5%]
Other	[-0.5% , 0.5%]	[-0.5% , 0.5%]	[-0.5% , 0.5%]	[-0.5% , 0.5%]	[-0.5% , 0.5%]
BBVA Group	[3.5% , 5.5%]	[-5.5% , -3.5%]	[0.5% , 1.5%]	[-1.5% , -0.5%]	[-3.5% , -1.5%]

(1) Percentage of "12 months" net interest income for the BBVA Group.

(2) Percentage of CET1 (Fully Loaded) for BBVA Group

(3) In Euro and Pound sterling (included in "Other"), negative interest rates scenarios are allowed up to plausible levels.

The year 2022 was characterized by a change in the cycle in terms of monetary policy as a result of the high inflation rates observed in

most Western economies. The effects of the high energy prices and the bottlenecks in the supply chain, which still persisted due to

the COVID-19 pandemic, were exacerbated from March onwards by the outbreak of the war between Russia and Ukraine. In this

context, the central banks embarked on a restrictive monetary policy strategy with interest rate hikes, which is still in force and is

expected to last during most of 2023.

At an aggregate level, BBVA continues to maintain a moderate risk profile, in accordance with the established objective, having

positive sensitivity to interest rate hikes in the net interest income.

Regarding relevant events in the financial markets, the ECB began the process of raising interest rates in July 2022 with the aim of

curbing inflation, with a rise of 250 basis points in the year, and the FED, for its part, implemented increases of 425 basis points in

2022. Although, additional increases are expected in 2023 (such as the rise in the Fed's 0.25 basis points and the ECB's 0.5 basis

points, announced on February 1 and February 2, 2023, respectively) since inflation remains at high levels. In relation to fixed income

markets, valuations have been affected by the strong general increase in interest rates and the widening of risk premiums, in line with

inflation expectations, which are expected to continue above reference levels. Spanish and Italian debt spreads worsened with

widenings relative to the German curve, especially in the case of Italy. As for Mexico and South America, the flattening movements

have been similar to those of the United States, continuing with the rate hike cycle. Turkey, for its part, has set the monetary policy

rate at 9.0%, making successive cuts of 500 basis points between August and November 2022.

The most relevant aspects related to the main geographical areas are the following:

–Spain has a balance sheet characterized by a high proportion of variable-rate loans (basically mortgages and corporate

lending) and liabilities composed mainly by customer demand deposits. The ALCO portfolio acts as a management lever,

hedging the bank's balance sheet by mitigating its sensitivity to interest rate fluctuations. The balance sheet interest rate

risk profile remained stable during the year, Spain being the geographical area of the Group with the highest positive

sensitivity to rates.

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

At the end of September 2022 the ECB set the benchmark interest rate at 2.5%, the marginal deposit facility rate at 2% and

the marginal loan facility rate at 2.75%. Thus, the European benchmark interest rates (EURIBOR) showed significant

increases in the year. In this regard, customer spread is starting to benefit from interest rate hikes, which is expected to

continue in the coming quarters.

–Mexico continues to show a balance between fixed and variable interest rates positions, which limits sensitivity to interest

rates fluctuations. In terms of assets that are most sensitive to interest rate fluctuations, the commercial portfolio stands

out, while consumer loans and mortgages are mostly at a fixed rate. With regard to customer funds, there is a high

proportion of non-interest bearing deposits, which are insensitive to interest rate movements. The ALCO portfolio is

invested primarily in fixed-rate sovereign bonds with limited maturities. The monetary policy rate stands at 10.50%, 500

basis points above the end-of-year level of 2021. Regarding client spread, there has been an improvement in 2022, favored

by both the contained cost of deposits and the positive evolution of yields on loans.

–In Turkey, the sensitivity of loans, which are mostly fixed-rate but with relatively short maturities, and the ALCO portfolio

limit the sensitivity of deposits on the liability side. The interest rate risk is thus limited, both in Turkish lira and in foreign

currencies. However, the economic value risk increased in 2022 mainly due to the compulsory purchases of bonds required

by the local supervisor. Customer spread improved in 2022 due to the lower cost of deposits.

–In South America, the interest rate risk profile remains low as most countries in the area have a fixed/variable composition

and maturities that are very similar for assets and liabilities, with limited net interest income sensitivity. In addition, in

balance sheets with several currencies, interest rate risk is managed for each of the currencies, showing a limited level of

risk. The central banks of Peru and Colombia rose the benchmark interest rates by 500 and 900 basis points, respectively,

in 2022. Customer spreads improved in Peru, impacted by the interest rates hike, while falling in Colombia, as liabilities

(mainly deposits) repriced faster than assets following the sharp interest rates hike.

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 year 2022 was characterized by the

weakness of the euro, especially pronounced in the first nine months of the year. Thus, the US dollar, which for some part of the year

was trading below parity, closed the year with an appreciation of 6.2% against the euro. Among the emerging currencies, the Mexican

peso appreciated strongly (11.0% against the euro) on the back of the positive perception of the country's fundamentals and the

aforementioned weakness of the euro. The lira was again penalized in 2022 (-23.7%) by an unorthodox economic policy in a context

of high inflation. As for the performance of South American currencies, the Peruvian sol was solid (11.0%), while the Chilean peso,

somewhat more volatile, managed to appreciate against the euro (4.4%). The Colombian peso (-12.1%) and the Argentine peso

(-38.3%) depreciated against the euro.

BBVA maintains management policies for the main investments in emerging countries in respect of, in average terms, between 40%

and 50% of the aggregate attributable profit in non-euro currencies expected to be generated by the group in the next twelve months

and around 70% of the aggregate excess capital in non-euro currencies. In relation to the CET1 capital ratio, the estimated impact at

the end of 2022 of a 10% depreciation in the relevant currency was as follows: Mexican peso (-5 basis points); Turkish lira (-5 basis

points) and U.S. dollar (+19 basis points).

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 years 2022, 2021 and 2020, 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	2022	2021	2020
Mexican peso	19.1	14.0	4.9
Turkish lira	3.5	4.7	4.5
Peruvian sol	0.7	0.3	0.4
Chilean peso	0.4	0.6	0.3
Colombian peso	0.9	1.1	1.4
Argentine peso	1.9	0.6	0.9

7.3.3Equity risk in the banking book

Equity risk in the banking book 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 main structural equity portfolios is a responsibility of the specialized units of

the corporate areas of Global ALM, Strategy & M&A and Client Solutions (Banking for Growth Companies). Their activity is subject to

the corporate structural equity risk management policy, 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 United States were negatively affected in 2022 by the tightening of financial conditions carried out

by the Central Banks due to the rise in inflation. In many cases, the adjustment in share prices is attributed mainly to a correction in

the valuation metrics than to a significant deterioration in relation to the expectation of corporate profits. The Spanish stock market

closed the year with smaller falls than those presented by the main indices of other geographies in the euro area.

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 €-24 million as of December 31, 2022, compared to €-27 million as of December 31, 2021. 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.

7.3.4 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

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

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

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 geographical area has defined its own governance structure with the participation of senior

management. The coordination among geographical areas 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 geographical areas 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.

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 official discontinuation date for LIBORs exUSD (GBP, CHF, EUR, JPY), LIBOR USD 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 such discontinuation

dates. 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. However, the FCA

has announced its decision to continue publishing the synthetic LIBOR JPY for all its terms until December 31, 2022, the synthetic

LIBOR GBP 1 month and 6 months until March 31, 2023 and the synthetic LIBOR GBP 3 month until March 2024.

Moreover, the European Commission, through what is known as the "Statutory Fallback", provides a legal safeguard for EONIA

contracts and for LIBOR CHF (which entered into force on January 1, 2022), so that in the contracts subject to this measure, said

indices are automatically replaced, by legal requirement, with the new indices. BBVA maintains non-significant balances in the

aforementioned synthetic LIBOR GBP and synthetic LIBOR JPY, which already have a transition solution communicated and agreed

with the clients pending execution in systems at the beginning of 2023.

Regarding LIBOR USD, references will be discontinued in the terms still in force on June 30, 2023 (except for the one-week and two-

month terms that were already discontinued in 2021, as we have said previously). Currently the different international regulators are

studying the application of legal safeguards similar to the one mentioned above. Such is the case in the United States, where a federal

law has already been approved to designate a statutory fallback in contracts that do not contemplate or regulate a transition of the

LIBOR USD index.

In this regard, the BBVA Group is actively working to modify all its contracts referenced to LIBOR USD to the corresponding RFRs

(SOFR). As of December 31, 2022, the Group continues to maintain financial assets and liabilities whose contracts are referenced to

LIBOR USD including, among others, for loans, deposits and debt issuances as well as underlying derivative financial instruments.

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.

Below is the BBVA Group's exposure to financial assets and liabilities maturing after the transition dates of these IBORs to their

corresponding RFRs. The table shows, in the case of loans and advances, asset and liability debt instruments, deposits and

commitments, their gross amounts and, in the case of derivatives, their notional value, in each case as of December 31, 2022:

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)
Synthetic LIBOR GBP and JPY	76	—	—	—	—
LIBOR USD with maturity > June 30, 2023	16,539	171	1,977	159	423,468
Total	16,615	171	1,977	159	423,468

The 96% of the exposure of derivative instruments is either settled by Clearing Houses (mainly the London Clearing House) or are

operations with counterparties currently adhering to the International Swaps and Derivatives Association (ISDA) protocols,

specifically the following: ISDA 2020 IBOR Fallback Protocol and June 2022 Benchmark Module of the ISDA 2021 Fallback Protocol.

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 and credit spread, 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.

–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 (hereinafter “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. Additionally, for certain positions, other risks need to be considered, such as a credit

spread, base, volatility or correlation risk.

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 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 63%, 77% and 72% of the Group’s trading-book market risk as of December 31, 2022, 2021

and 2020. 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 specific

metrics according to market activities, (VaR (Value at Risk), economic capital, 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.

–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.

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

Market risk in 2022

The Group’s market risk related to its trading portfolio remained in 2022 at low levels compared to other risks managed by BBVA,

particularly credit risk. This is due to the nature of the business. In 2022, the average VaR was €27 million, below the figure of 2021,

with a maximum level in the year reached on January 12, 2022 of €36 million. The evolution in the BBVA Group’s market risk during

2022, 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 54% of the total at December 31, 2022 (this figure includes the spread risk). The relative weight of this

risk has slightly decreased compared with the close of 2021 (57%). Exchange-rate risk accounted for 22% of the total risk, increasing

its weight with respect to December 2021 (16%), while equity, volatility and correlation risk has increased, with a weight of 11% at the

close of 2022 (vs. 9% at the end of 2021).

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, 2022, 2021 and 2020 the VaR was €29 million, €31 million and €28 million, respectively, with the following

breakdown:


VaR by Risk Factor (Millions of Euros)
	Interest/Spread risk	Currency risk	Stock-market risk	Vega/Correlation risk	Diversification effect (1)	Total
2022
VaR average in the year	33	8	3	7	(23)	27
VaR max in the year	35	12	2	11	(24)	36
VaR min in the year	25	10	2	11	(28)	19
End of period VaR	32	13	7	5	(28)	29
2021
VaR average in the year	33	10	2	11	(28)	29
VaR max in the year	32	13	4	1	(14)	36
VaR min in the year	27	9	1	10	(25)	22
End of period VaR	34	9	5	11	(29)	31
2020
VaR average in the year	29	12	4	11	(28)	27
VaR max in the year	39	20	10	20	(14)	39
VaR min in the year	20	3	1	6	(39)	18
End of period VaR	32	12	2	11	(29)	28

(1) 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 2022, 2021 and 2020:

–"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, 2021 and the year ended December 31, 2022, 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 no negative exception in BBVA, S.A. In BBVA Mexico, there were two negative exceptions.

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 analysis

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.

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, 2022 is as follows:


Impact of the stress test (Millions of Euros)
0	Europe	Mexico	Peru	Venezuela	Argentina	Colombia	Turkey
Expected shortfall	(86)	(42)	(7)	—	(8)	(4)	(22)

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, 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”) in ISDA and Appendix III in CMOF 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.

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, 2022, 2021 and 2020:


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-B)	Financial instruments	Cash collateral received/ pledged	Net amount (E=C-D)
December 2022
Trading and hedging derivatives	10 / 15	52,354	10,554	41,800	29,251	11,461	1,088
Reverse repurchase, securities borrowing and similar agreements		47,111	—	47,111	47,217	970	(1,077)
Total assets		99,465	10,554	88,911	76,468	12,431	11
Trading and hedging derivatives	10 / 15	51,767	10,554	41,213	31,063	9,498	651
Repurchase, securities lending and similar agreements		54,382	—	54,382	53,439	586	357
Total liabilities		106,149	10,554	95,594	84,502	10,084	1,008
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)

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:

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 LMU composed of the parent company and the bank subsidiaries in each

geographical area, 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 liquidity and funding 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 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.

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.

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 2022, in an environment of higher uncertainty, liquidity conditions have remained comfortable in all the countries where the

BBVA Group operates. It should be noted that the war in Ukraine has not had a significant impact on the liquidity and funding situation

of the BBVA Group units.

The performance of the indicators show that the robustness of the funding structure remained steady during 2022, 2021 and 2020, in

the sense that all LMU held self-funding levels with stable customer resources above the requirements.


LtSCD by LMU
	2022	2021	2020
Group (average)	96 %	95 %	95 %
BBVA, S.A.	98 %	98 %	97 %
BBVA Mexico	98 %	93 %	98 %
Garanti BBVA	83 %	81 %	95 %
Other LMU	96 %	93 %	86 %

With respect to LCR, the Group has maintained a liquidity buffer at both a consolidated and individual level in 2022. As a result, the

ratio has remained comfortably above 100%, with the consolidated ratio as of December 31, 2022 standing at 159%.

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

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

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 201%, or 42 basis points above the required level.


LCR main LMU
0	2022	2021	2020
Group	159 %	165 %	149 %
BBVA, S.A.	186 %	190 %	173 %
BBVA Mexico	199 %	245 %	196 %
Garanti BBVA	185 %	211 %	183 %

One of the key elements in BBVA's Group liquidity and funding management is the targeted 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 this respect, the Group has maintained for the last 12 months an average volume of high quality liquid assets (HQLA) amounting to

€140.3 billion, among which, 95% correspond to maximum quality assets (LCR Level 1).

The table below shows the liquidity available by instrument as of December 31, 2022, 2021 and 2020 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
	2022	2021	2020	2022	2021	2020	2022	2021	2020	2022	2021	2020
Cash and withdrawable central bank reserves	48,271	35,258	39,330	12,865	12,146	8,930	6,731	8,179	6,153	5,265	6,469	6,831
Level 1 tradable assets	33,081	37,272	48,858	13,974	13,881	9,205	9,165	5,549	7,019	7,836	6,036	6,237
Level 2A tradable assets	3,450	5,234	5,119	47	74	106	—	—	—	—	—	—
Level 2B tradable assets	3,471	9,492	6,080	35	28	11	—	—	—	1	2	—
Other tradable assets	22,708	27,870	20,174	467	343	421	285	722	701	1,035	934	745
Non tradable assets eligible for central banks	—	—	—	—	—	—	—	—	—	—	—	—
Cumulated counterbalancing capacity	110,981	115,127	119,560	27,388	26,472	18,672	16,181	14,449	13,873	14,136	13,440	13,814

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, stood at 135% as of December 31,

2022.

The NSFR of BBVA Group and its main LMU at December 31, 2022, 2021 and 2020, was the following:


NSFR main LMU
	2022	2021	2020 ⁽¹⁾
Group	135 %	135 %	127 %
BBVA, S.A.	125 %	126 %	121 %
BBVA Mexico	143 %	149 %	138 %
Garanti BBVA	166 %	162 %	154 %

(1) 2020 Ratio calculated based on the Basel requirements.

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, 2022,

2021 and 2020:


December 2022. 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	9,227	66,497	—	—	—	—	—	—	—	—	75,724
Deposits in credit entities	—	3,870	319	433	434	468	242	183	6	83	6,040
Deposits in other financial institutions	3	2,199	1,012	746	516	344	971	816	551	830	7,988
Reverse repo, securities borrowing and margin lending	—	31,049	5,743	3,368	1,432	1,127	4,582	1,354	2,400	289	51,343
Loans and advances	99	24,622	32,009	25,622	14,827	16,766	41,049	32,510	43,828	96,201	327,534
Securities' portfolio settlement	1	4,031	4,107	8,200	4,305	4,746	18,417	8,744	23,307	31,480	107,338


December 2022. 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	—	1,841	4,434	1,050	3,148	2,017	6,318	9,423	13,282	18,145	59,658
Deposits from financial institutions	2,176	7,885	628	806	56	694	648	211	396	399	13,899
Deposits from other financial institutions and international agencies	7,392	5,760	1,465	464	379	758	700	293	594	727	18,532
Customer deposits	302,667	38,951	18,542	6,776	2,575	2,870	1,476	1,276	798	273	376,203
Security pledge funding	—	51,638	14,543	17,736	866	1,503	8,136	1,524	3,493	575	100,013
Derivatives, net	—	(253)	24	(1,010)	(23)	175	40	(153)	(466)	(3,717)	(5,383)


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	8	26	6,056
Deposits in other financial institutions	2	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	10	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 from financial institutions	1,936	4,257	415	825	183	924	496	146	146	579	9,907
Deposits from 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)

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) ⁽¹⁾
	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	2	39	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

(1) It includes the balance of the companies in the United States (see Notes 3 and 21).


December 2020. Contractual maturities (Millions of Euros) ⁽¹⁾
	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 from financial institutions	8,838	7,859	254	741	152	726	825	189	166	371	20,120
Deposits from 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)	15	(961)	(85)	134	(400)	(157)	(264)	(159)	(2,599)

(1) It includes the balance of the companies in the United States (see Notes 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:

–BBVA, S.A. has maintained a sound liquidity position. Commercial activity has generated liquidity due to greater growth in

customer deposits above loan growth, especially in the last quarter of the year. In December, the Bank began the repayment

of the TLTRO III program for an amount of €12 billion, corresponding to approximately one third of the total drawdown

amount. On the other hand, in order to maintain sufficient collateral available, mortgage coverage and territorial bonds have

been issued for an amount of €2 billion, held in treasury shares. Likewise, mortgage securitizations held in treasury shares

have been issued, generating collateral for an amount of €4.4 billion.

–In BBVA Mexico, commercial activity has drained liquidity during 2022, due to the growth in lending activity that exceeded

the growth of customer funds. Despite this, BBVA Mexico continues to hold a comfortable liquidity position that is deemed

to be adequate and has carried out a cost-efficient funding management in an environment of rising rates.

–In Turkey, in the year 2022, the lending gap in local currency has been reduced, due to a greater growth in Turkish lira-

denominated deposits than in loans. The lending gap in foreign currency has increased due to reductions in foreign currency

deposits as a result of the measures established to encourage Turkish lira deposits, partially offset by lower loans in foreign

currency. Garanti BBVA continues to maintain a stable liquidity position which is considered to be adequate. For its part, the

Central Bank of Turkey has continued to implement measures in order to reduce the dollarization of the economy.

–In South America, the liquidity situation remains adequate throughout the region. In Argentina, liquidity continues to

increase in the system and in BBVA due to a higher growth in deposits than in loans in local currency. In BBVA Colombia,

lending activity grew more than funds, though this did not compromise the liquidity position of the bank due to the increase

in longer-term deposits. BBVA Peru maintained solid liquidity levels, thanks to the solid growth of deposits in an

environment of reduced local currency lending due to the expiration of loans covered by COVID-19 programs. The recent

political instability has not had a material impact on liquidity.

The main wholesale financing transactions carried out by the companies of the BBVA Group are listed below:

100

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

–In relation to BBVA, S.A. during the year 2022 it has made an issuance of senior non-preferred debt in an amount of €1,000

million, two series of senior non-preferred debt securities in an aggregate amount of USD 1,750 million, six series of senior

preferred debt securities in an aggregate amount of €4,065 million, a senior preferred bond (green bond) issuance for

€1,250 million and two senior preferred bond (green bond) issuances in an aggregate amount of 425 million Swiss francs.

Additionally, in May 2022, the convertible preferred shares (CoCos) issued by BBVA in May 2017 were redeemed early and

in June 2022 a loan securitization transaction was completed in connection with vehicle financing loans for an amount of

€1,200 million.

–For its part, BBVA México issued a sustainable bond for 10,000 million Mexican pesos (approximately €480 million),

consequently becoming the first private bank to carry out an issue of this type in Mexico, taking as reference the TIIE rate

(Interbank Equilibrium Interest Rate used in Mexico).

–Garanti BBVA renewed 100% of a syndicated loan indexed to environmental, social and corporate governance criteria

consisting of two separate tranches of USD 283.5 million and €290.5 million, respectively, both maturing in one year. It also

renewed the second part of a syndicated loan (USD 155 million or €239 million) with a ratio of 65% in line with its strategy

and in line with the banks of the peer group. Garanti BBVA also carried out a sustainable financing round of USD 75 million in

2022.

–BBVA Colombia closed a financing with International Finance Corporation (IFC) for USD 60 million over 3 years. A financing

transaction of USD 200 million over 5 years and another of USD 40 million over 3 years was also carried out.

7.5.4Asset encumbrance

As of December 31, 2022, 2021 and 2020, 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
	2022	2021	2020	2022	2021	2020	2022	2021	2020	2022	2021	2020
Assets	92,916	114,336	121,999				620,257	548,548	614,260
Equity instruments	819	307	2,134	819	307	2,134	11,293	22,280	14,556	11,293	22,280	14,556
Debt securities	33,533	31,557	29,379	32,291	29,527	26,112	93,238	89,307	100,108	93,238	89,307	100,108
Loans and advances and other assets	58,563	82,472	90,486				515,726	436,962	499,595

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.

As of December 31, 2022, 2021 and 2020, 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
	2022	2021	2020	2022	2021	2020	2022	2021	2020
Collateral received	40,701	40,905	30,723	9,415	17,029	8,652	1,279	1,719	1,071
Equity instruments	323	289	239	759	265	204	—	—	—
Debt securities	40,378	40,616	30,484	8,656	16,764	8,448	1,279	1,719	1,071
Loans and advances and other assets	—	—	—	—	—	—	—	—	—
Own debt securities issued other than own covered bonds or ABSs	—	—	3	92	50	94	—	—	—

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.

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

As of December 31, 2022, 2021 and 2020, 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
	2022	2021	2020	2022	2021	2020
Book value of financial liabilities	122,400	137,242	131,352	128,628	151,275	147,523
Derivatives	15,950	15,368	16,611	16,699	15,191	16,348
Deposits	95,728	109,311	98,668	99,077	120,957	111,726
Outstanding subordinated debt	10,722	12,563	16,073	12,852	15,127	19,449
Other sources	731	620	653	4,989	3,966	5,202

8.Fair 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.

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, 2022, the affected instruments at fair value accounted for approximately 0.57% of financial assets and

0.43% of the Group’s financial liabilities. Model selection and validation is undertaken by control areas outside the business

areas.

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8.1Fair value of financial instruments

The fair value of the Group’s financial instruments in the consolidated balance sheets and its corresponding carrying amounts, as of

December 31, 2022, 2021 and 2020 are presented below:


Fair value and carrying amount of the financial instruments (Millions of Euros)
		2022		2021		2020
	Notes	Carrying Amount	Fair Value	Carrying Amount	Fair Value	Carrying Amount	Fair Value
ASSETS
Cash, cash balances at central banks and other demand deposits	9	79,756	79,756	67,799	67,799	65,520	65,520
Financial assets held for trading	10	110,671	110,671	123,493	123,493	105,878	105,878
Non-trading financial assets mandatorily at fair value through profit or loss	11	6,888	6,888	6,086	6,086	5,198	5,198
Financial assets designated at fair value through profit or loss	12	913	913	1,092	1,092	1,117	1,117
Financial assets at fair value through other comprehensive income	13	58,980	58,980	60,421	60,421	69,440	69,440
Financial assets at amortized cost	14	422,061	419,060	372,676	377,451	367,668	374,267
Derivatives – Hedge accounting	15	1,891	1,891	1,805	1,805	1,991	1,991
LIABILITIES
Financial liabilities held for trading	10	95,611	95,611	91,135	91,135	84,109	84,109
Financial liabilities designated at fair value through profit or loss	12	10,580	10,580	9,683	9,683	10,050	10,050
Financial liabilities at amortized cost	22	528,629	525,052	487,893	488,733	490,606	491,006
Derivatives – Hedge accounting	15	3,303	3,303	2,626	2,626	2,318	2,318

Not all financial assets and liabilities are recorded at fair value. Information on financial instruments recorded at fair value and

subsequently information of those recorded at amortized cost is provided (including their fair value although this value is not used

when accounting for these instruments).

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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 consolidated balance sheets, broken down by level used

to determine their fair value as of December 31, 2022, 2021 and 2020:


Fair Value of Financial Instruments by Levels (Millions of Euros)
	2022			2021			2020
	Level 1	Level 2	Level 3	Level 1	Level 2	Level 3	Level 1	Level 2	Level 3
ASSETS
Financial assets held for trading	22,710	85,636	2,325	32,371	87,736	3,386	32,555	71,938	1,386
Equity instruments	4,369	—	34	15,925	—	37	11,367	31	60
Debt securities	16,284	7,934	148	11,877	13,725	189	12,790	11,123	57
Loans and advances	1,262	39,562	1,169	615	47,279	2,913	2,379	26,741	1,148
Derivatives	795	38,140	974	3,954	26,732	247	6,019	34,043	121
Non-trading financial assets mandatorily at fair value through profit or loss	5,720	151	1,017	4,378	522	1,186	3,826	381	992
Equity instruments	5,457	40	1,014	4,158	394	751	3,612	57	465
Debt securities	19	111	—	—	128	—	4	324	28
Loans and advances	245	—	3	220	—	435	210	—	499
Financial assets designated at fair value through profit or loss	913	—	—	916	176	—	939	178	—
Equity instruments	—	—	—	—	—	—	—	—	—
Debt securities	913	—	—	916	176	—	939	178	—
Loans and advances	—	—	—	—	—	—	—	—	—
Financial assets at fair value through other comprehensive income	48,235	10,237	508	52,157	7,545	719	60,976	7,866	598
Equity instruments	1,040	58	100	1,178	36	106	961	34	105
Debt securities	47,169	10,179	408	50,952	7,509	613	59,982	7,832	493
Loans and advances	26	—	—	27	—	—	33	—	—
Derivatives – Hedge accounting	4	1,887	—	63	1,733	9	120	1,862	8
LIABILITIES
Financial liabilities held for trading	20,611	73,871	1,129	26,215	64,305	615	27,587	56,127	395
Trading derivatives	746	36,161	1,002	4,755	26,560	389	7,402	34,046	232
Short positions	13,354	133	—	15,124	11	—	11,805	504	3
Deposits	6,511	37,577	127	6,335	37,733	226	8,381	21,577	159
Financial liabilities designated at fair value through profit or loss	—	8,990	1,590	1	8,243	1,439	—	8,558	1,492
Customer deposits	—	700	—	—	809	—	—	902	—
Debt certificates	—	1,698	1,590	1	1,956	1,439	—	3,038	1,492
Other financial liabilities	—	6,592	—	—	5,479	—	—	4,617	—
Derivatives – Hedge accounting	100	3,179	25	53	2,573	—	53	2,250	15

The following table sets forth the main valuation techniques, hypothesis and inputs used in the estimation of fair value of the financial

instruments recorded at amortized cost classified under Levels 2 and 3, based on the type of financial asset and liability and the

corresponding balances as of December 31, 2022, 2021 and 2020.

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Fair value of Financial Instruments by levels. (Millions of Euros)
	2022		2021		2020		Valuation techniques	Observable inputs	Unobservable inputs
	Level 2	Level 3	Level 2	Level 3	Level 2	Level 3	Valuation techniques	Observable inputs	Unobservable inputs
ASSETS
Financial assets held for trading	85,636	2,325	87,736	3,386	71,938	1,386
Equity instruments	—	34	—	37	31	60	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	7,934	148	13,725	189	11,123	57	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	39,562	1,169	47,279	2,913	26,741	1,148	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	38,140	974	26,732	247	34,043	121
Interest rate							Interest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows Caps/Floors: Black 76, Hull-White and SABR Bond options: Black 76 Swaptions: Black, Hull-White and LGM Other Interest rate Options: Black 76, Hull- White and 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	151	1,017	522	1,186	381	992
Equity instruments	40	1,014	394	751	57	465	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	111	—	128	—	324	28	Present-value method (Discounted future cash flows)	- Issuer credit risk - Current market interest rates	- Prepayment rates - Issuer credit risk - Recovery rates
Loans and advances	—	3	—	435	—	499	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	—	Present-value method (Discounted future cash flows)	- Issuer credit risk - Current market interest rates
Financial assets at fair value through other comprehensive income	10,237	508	7,545	719	7,866	598
Equity instruments	58	100	36	106	34	105	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	10,179	408	7,509	613	7,832	493	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	1,887	—	1,733	9	1,862	8
Interest rate							Interest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows Caps/Floors: Black, Hull-White and SABR Bond options: Black 76 Swaptions: Black 76, Hull-White and LGM Other Interest rate Options: Black 76, Hull- White and 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

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Fair Value of Financial Instruments by Levels.(Millions of Euros)
	2022		2021		2020
	Level 2	Level 3	Level 2	Level 3	Level 2	Level 3	Valuation techniques	Observable inputs	Unobservable inputs
LIABILITIES
Financial liabilities held for trading	73,871	1,129	64,305	615	56,127	395
Deposits	37,577	127	37,733	226	21,577	159	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	36,161	1,002	26,560	389	34,046	232
Interest rate							Interest rate products (Interest rate Swaps, call money Swaps and FRA): Discounted cash flows Caps/Floors: Black 76, Hull-White and SABR Bond options: Black 76 Swaptions: Black 76, Hull-White and LGM Other Interest rate Options: Black 76, Hull-White, SABR and 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	133	—	11	—	504	3	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	8,990	1,590	8,243	1,439	8,558	1,492	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	3,179	25	2,573	—	2,250	15
Interest rate							Interest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows Caps/Floors: Black 76, Hull-White and SABR Bond options: Black 76 Swaptions: Black, Hull-White and LGM Other Interest rate Options: Black 76, Hull-White, SABR and 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

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.

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–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 (Credit Default Swaps). 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.

Unobservable inputs

Quantitative information of unobservable inputs used to calculate level 3 valuations is presented below as of December 31, 2022, 2021

and 2020.

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Unobservable inputs. December 2022
Financial instrument	Valuation technique(s)	Significant unobservable inputs	Min	Average	Max	Units
Debt Securities	Present value method	Credit spread	—	111	1,538	bp
	Present value method	Recovery rate	0 %	39 %	40 %	%
	Comparable Pricing		2 %	94 %	139 %	%
Equity/Fund instruments (1)	Net Asset Value
Equity/Fund instruments (1)	Comparable Pricing
Loans and advances	Present value method	Repo funding curve	0.71 %	3.48 %	5.52 %	Abs Repo rate
Credit Derivatives	Gaussian Copula	Correlation default	26 %	44 %	58 %	%
Credit Derivatives	Black 76	Price volatility	—	—	—	Vegas
Equity Derivatives	Option models on equities, baskets of equity, funds	Dividends (2)
		Correlations	(93 %)	59 %	99 %	%
		Volatility	7.81	32.62	98.71	Vegas
FX Derivatives	Option models on FX underlyings	Volatility	5.32	11.93	20.73	Vegas
IR Derivatives	Option models on IR underlyings	Beta	0.25 %	2 %	18 %	%
		Correlation rate/credit	(100 %)		100 %	%
		Correlation rate/inflation	51 %	66 %	76 %	%

(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.

(2) The range of unobservable dividends is too wide range to be relevant.


Unobservable inputs. December 2021
Financial instrument	Valuation technique(s)	Significant unobservable inputs	Min	Average	Max	Units
Debt Securities	Present value method	Credit spread	3	125	2,374	bp
	Present value method	Recovery rate	0 %	37 %	40 %	%
	Comparable Pricing		0.1 %	97 %	144 %	%
Equity/Fund instruments (1)	Net Asset Value
Equity/Fund instruments (1)	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	35 %	43 %	53 %	%
Credit Derivatives	Black 76	Price volatility	—	—	—	Vegas
Equity Derivatives	Option models on equities, baskets of equity, funds	Dividends (2)
		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 %	18 %	%
		Correlation rate/credit	(100 %)		100 %	%
		Credit default volatility	—	—	—	Vegas

(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.

(2) The range of unobservable dividends is too wide range to be relevant.

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Unobservable inputs. December 2020
Financial instrument	Valuation technique(s)	Significant unobservable inputs	Min	Average	Max	Units
Debt securities	Present value method	Credit spread	4	47	564	bp
	Present value method	Recovery rate	0 %	37 %	40 %	%
	Comparable pricing		0.1 %	100 %	144 %	%
Equity/Fund instruments (1)	Net asset value
Equity/Fund instruments (1)	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 %	45 %	61 %	%
Credit derivatives	Black 76	Price volatility	—	—	—	Vegas
Equity OTC option	Option models on equities, baskets of equity, funds	Dividends (2)
		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 %	18 %	%
		Correlation rate/Credit	(100 %)		100 %	%
		Credit default Volatility	—	—	—	Vegas

(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.

(2) 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 inherent and

counterparties´ default criteria, funding valuation risk and valuation risks due to valuation uncertainty and related to the prudent

valuation criteria. The above is aligned with the regulatory requirements (EBA CRR 105.10) and considers the 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.

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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.

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 related amounts recognized in the consolidated balance sheet as of December 31, 2022, related to

OCA were €333 million.

The amounts recognized in the consolidated balance sheets as of December 31, 2022, 2021 and 2020 related to the valuation

adjustments incorporated to the credit assessment derivative assets amounted to €-158 million €-121 million and €-142 million,

respectively as Credit Valuation Adjustments (CVA), and amounted to €135 million, €104 million and €124 million, respectively as

Debit Valuation Adjustment (DVA). 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, 2022 and 2021 corresponding to the mentioned adjustments

was a net impact of €0 million, and for the year ended 2020 was a loss of €-29 million.

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, 2022, 2021 and 2020, €-16 million, €-11 million and €-9 million related to the FVA were recognized in

the consolidated balance sheet, being the impact on results €-7 million, €-1 million and €-1 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 positions 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, 2022 corresponding to the mentioned adjustments was a net impact of €-43 million. An

adjustment was also made as of December 31, 2022 on financial assets at fair value through other comprehensive income for a total

of €-19 million.

Financial assets and liabilities classified as level 3

The changes in the balance of level 3 financial assets and liabilities included in the consolidated balance sheets are as follows:


Financial assets level 3: Changes in the year (Millions of Euros)
	2022		2021		2020
	Assets	Liabilities	Assets	Liabilities	Assets	Liabilities
Balance at the beginning	5,301	2,054	2,984	1,902	3,316	2,103
Changes in fair value recognized in profit and loss (1)	289	(131)	338	143	611	296
Changes in fair value not recognized in profit and loss	(62)	14	(47)	(10)	(89)	(4)
Acquisitions, disposals and liquidations (2)	(864)	782	2,531	156	(725)	(652)
Net transfers to level 3	(750)	74	(436)	(80)	549	199
Exchange differences and others	(64)	(50)	(69)	(56)	(160)	(35)
Discontinued operations (3)			—	—	(518)	(5)
Balance at the end	3,850	2,743	5,301	2,054	2,984	1,902

(1) Profit or loss that is attributable to gains or losses relating to those financial assets and liabilities held as of December 31, 2022, 2021 and 2020. Valuation adjustments are

recorded under the heading “Gains (losses) on financial assets and liabilities (net)”.

(2) 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.

(3)The balance of 2020 corresponds mainly to the companies in the United States included in the USA Sale (see Notes 3 and 21).

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

In 2022, the net volume of exposures classified as level 3 has been reduced. This reduction is mainly concentrated in repurchase

agreements positions, derived from the rotation of the portfolio towards positions with better observability in the equity market of the

inputs applied at their fair value. Additionally, the reduction in the volume of level 3 exposures of repurchase agreement positions is

mitigated by the increase in the volume of level 3 exposures in derivatives, for which there is worse observability in the market of the

inputs applied in their fair value.

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, and despite the improvement in the inputs used to value these assets in

the market, there was an increase in the volume of exposures classified as level 3 which mainly corresponded to the temporary

acquisitions of assets.

In 2020, there was a reduction 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.

For the years ended December 31, 2022, 2021 and 2020, the profit/loss on sales of financial instruments classified as level 3

recognized in the 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, 2022, 2021 and

2020 are at the following amounts in the consolidated balance sheets as of December 31, 2022, 2021 and 2020:


Transfers among levels. December 2022 (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		683	1	1,909	340	24	911
Non-trading financial assets mandatorily at fair value through profit or loss		—	—	243	—	53	2
Financial assets designated at fair value through profit or loss		—	—	123	—	—	—
Financial assets at fair value through other comprehensive income		1,723	—	715	—	18	83
Derivatives – Hedge accounting		—	—	—	—	—	—
Total		2,407	1	2,990	340	95	996
LIABILITIES
Financial liabilities held for trading		524	—	239	141	—	258
Financial liabilities designated at fair value through profit or loss		—	—	—	221	—	55
Derivatives – Hedge accounting		—	—	—	25	—	—
Total		524	—	239	387	—	313

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Transfer among levels (Millions of Euros)
		2021						2020
	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 2	Level 3	Level 1	Level 3	Level 1	Level 2
ASSETS
Financial assets held for trading		924	2	35	184	10	637	1,460	11	203	548	4	98
Non-trading financial assets mandatorily at fair value through profit or loss		8	—	—	—	14	23	9	11	4	—	—	17
Financial assets designated at fair value through profit or loss		—	—	—	—	—	—	143	—	—	—	—	—
Financial assets at fair value through other comprehensive income		596	17	506	50	—	6	484	—	135	96	—	6
Derivatives – Hedge accounting		—	—	—	—	—	—	—	—	—	8	—	—
Total		1,528	19	542	234	24	665	2,096	22	342	652	4	121
LIABILITIES
Financial liabilities held for trading		562	—	24	57	15	95	8	3	—	180	—	13
Financial liabilities designated at fair value through profit or loss		—	—	—	38	—	65	—	—	—	56	—	27
Derivatives – Hedge accounting		—	—	—	—	—	—	—	—	—	—	—	—
Total		562	—	24	95	15	160	8	3	—	236	—	40

The amount of financial instruments that were transferred among levels of valuation during the year ended December 31, 2022

corresponds to the above changes in the classification among levels since such financial instruments modified some of their features.

Specifically, transfers among Levels 1 and 2 occured mainly in derivatives and debt securities. Transfers from Level 2 to level 3 were

mainly related to derivatives and deposits at fair value through profit or loss, and in relation to transfers from Level 3 to Level 2, this

generally affected derivatives and loans and advances held for trading.

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 based on the criteria defined by

the Global Valuation area in line with the official regulatory requirements for Prudent Valuation metrics, 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, 2022, 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:

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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
	2022	2021	2022	2021	2022	2021	2022	2021
ASSETS
Financial assets held for trading	33	33	(33)	(57)	—	—	—	—
Loans and advances	1	4	(1)	(4)	—	—	—	—
Debt securities	—	24	—	(24)	—	—	—	—
Equity instruments	25	1	(25)	(25)	—	—	—	—
Derivatives	6	5	(6)	(5)	—	—	—	—
Non-trading financial assets mandatorily at fair value through profit or loss	135	35	(136)	(36)	—	—	—	—
Loans and advances	—	16	—	(5)	—	—	—	—
Debt securities	17	10	(19)	(10)	—	—	—	—
Equity instruments	118	9	(118)	(21)	—	—	—	—
Financial assets designated at fair value through profit or loss	—	—	—	—	—	—	—	—
Financial assets at fair value through other comprehensive income	—	—	—	—	25	41	(25)	(43)
Total	168	68	(169)	(93)	25	41	(25)	(43)
LIABILITIES
Financial liabilities held for trading	7	3	(7)	(3)	—	—	—	—
Total	7	3	(7)	(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.

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The following table presents the fair value of key financial instruments carried at amortized cost in the consolidated balance sheets as

of December 31, 2022, 2021 and 2020, 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)
	2022			2021			2020
	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	79,463	—	293	67,581	—	218	65,355	—	165
Financial assets at amortized cost	34,555	13,393	371,112	33,213	13,033	331,205	35,196	15,066	324,005
LIABILITIES
Financial liabilities at amortized cost	77,112	266,194	181,746	91,870	243,847	153,016	90,839	255,278	144,889

The main valuation techniques and inputs used to estimate the fair value of financial instruments accounted for at amortized 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, 2022, 2021 and 2020:


Fair Value of financial Instruments at amortized cost by valuation technique (Millions of Euros)
	2022		2021		2020		Valuation technique(s)	Main inputs used
	Level 2	Level 3	Level 2	Level 3	Level 2	Level 3	Valuation technique(s)	Main inputs used
ASSETS
Financial assets at amortized cost	13,393	371,112	13,033	331,205	15,066	324,005	Present-value method (Discounted future cash flows)
Loans and advances to central banks	—	142	—	—	—	—		- Credit spread - Prepayment rates - Interest rate yield
Loans and advances to credit institutions	1,289	14,711	863	12,329	1,883	12,641		- Credit spread - Prepayment rates - Interest rate yield
Loans and advances to customers	1,571	355,247	3,416	318,059	3,904	310,924		- Credit spread - Prepayment rates - Interest rate yield
Debt securities	10,533	1,012	8,755	817	9,279	440		- Credit spread - Interest rate yield
LIABILITIES
Financial liabilities at amortized cost	266,194	181,746	243,847	153,016	255,278	144,889
Deposits from central banks	—	300	—	300	—	207	Present-value method (Discounted future cash flows)	- Issuer´s credit risk - Prepayment rates - Interest rate yield
Deposits from credit institutions	20,546	6,231	14,853	4,916	22,914	4,633
Deposits from customers	230,821	160,278	209,345	137,803	210,097	129,525
Debt certificates	7,240	8,368	10,014	4,391	14,413	4,848
Other financial liabilities	7,587	6,568	9,636	5,606	7,854	5,676

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 had 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.

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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

consolidated balance sheets is as follows:


Cash, cash balances at central banks and other demand deposits (Millions of Euros)
	Notes	2022	2021	2020
Cash on hand		6,533	6,877	6,447
Cash balances at central banks (1)		67,314	55,004	53,079
Other demand deposits		5,909	5,918	5,994
Total	8.1	79,756	67,799	65,520

(1) The variation is mainly due to an increase in balances 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 consolidated balance sheets is as follows:


Financial assets and liabilities held for trading (Millions of Euros)
	Notes	2022	2021	2020
ASSETS
Derivatives (1)		39,908	30,933	40,183
Equity instruments (2)	7.2.2	4,404	15,963	11,458
Credit institutions		317	816	633
Other sectors		4,086	15,147	10,824
Debt securities	7.2.2	24,367	25,790	23,970
Issued by central banks		821	936	1,011
Issued by public administrations		20,703	21,946	19,942
Issued by financial institutions		1,365	1,130	1,479
Other debt securities		1,477	1,778	1,538
Loans and advances	7.2.2	41,993	50,807	30,268
Loans and advances to central banks		1,632	3,467	53
Reverse repurchase agreement		1,632	3,467	53
Loans and advances to credit institutions		25,231	31,916	18,317
Reverse repurchase agreement (3)		25,201	31,901	18,310
Loans and advances to customers		15,130	15,424	11,898
Reverse repurchase agreement		14,832	14,916	11,295
Total assets	8.1	110,671	123,493	105,878
LIABILITIES
Derivatives (1)		37,909	31,705	41,680
Short positions		13,487	15,135	12,312
Deposits		44,215	44,294	30,117
Deposits from central banks		3,950	11,248	6,277
Repurchase agreement		3,950	11,248	6,277
Deposits from credit institutions		28,924	16,176	14,377
Repurchase agreement		28,573	15,632	14,035
Customer deposits		11,341	16,870	9,463
Repurchase agreement		11,302	16,824	9,418
Total liabilities	8.1	95,611	91,135	84,109

(1) The variation is mainly due to the evolution of exchange rate derivatives at BBVA, S.A.

(2) The variation is mainly due to sales at BBVA, S.A.

(3) The variation corresponds mainly to the evolution of "Reverse repurchase agreement" of BBVA, S.A.

As of December 31, 2022, 2021 and 2020 “Short positions” include €12,544 million, €14,298 million and €11,696 million, respectively,

held with general governments.

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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, 2022, 2021 and 2020, trading derivatives were mainly

contracted in over-the-counter (OTC) markets, with counterparties, consisting primarily of credit institutions and other financial

corporations, and are related to foreign-exchange, interest-rate and equity risk.

Below is a breakdown by type of risk and market, of the fair value and notional amounts of derivatives recognized in the 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)
	2022			2021			2020
	Assets	Liabilities	Notional amount - Total	Assets	Liabilities	Notional amount - Total	Assets	Liabilities	Notional amount - Total
Interest rate	19,563	18,220	4,286,531	15,782	15,615	3,902,760	26,451	26,028	3,252,066
OTC	19,558	18,215	4,278,249	15,774	15,610	3,884,561	26,447	26,020	3,233,718
Organized market	5	5	8,282	8	5	18,199	3	8	18,348
Equity instruments	3,067	3,770	76,749	2,802	4,123	72,656	2,626	4,143	72,176
OTC	1,810	2,127	52,739	775	1,930	48,695	584	1,836	42,351
Organized market	1,257	1,643	24,010	2,028	2,192	23,962	2,042	2,307	29,825
Foreign exchange and gold	16,971	15,528	589,705	12,104	11,471	533,395	10,952	11,216	461,898
OTC	16,954	15,505	580,850	12,090	11,445	526,590	10,942	11,216	457,180
Organized market	17	23	8,855	14	26	6,805	10	—	4,719
Credit	299	383	43,450	236	490	19,937	153	292	23,411
Credit default swap	293	282	41,760	236	254	18,121	146	156	21,529
Credit spread option	—	—	—	—	—	—	—	—	—
Total return swap	7	101	1,665	—	236	1,815	7	136	1,882
Other	—	—	25	—	—	—	—	—	—
Commodities	9	8	60	8	7	149	1	1	26
DERIVATIVES	39,908	37,909	4,996,495	30,933	31,705	4,528,897	40,183	41,680	3,809,577
Of which: OTC - credit institutions	28,385	26,454	1,205,895	21,069	22,488	1,073,921	24,432	27,244	958,017
Of which: OTC - other financial corporations	5,745	4,493	3,587,546	3,300	3,075	3,257,382	8,211	8,493	2,663,978
Of which: OTC - other	4,501	5,290	161,882	4,514	3,919	148,629	5,484	3,627	134,690

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

The breakdown of the balance under this heading in the consolidated balance sheets is as follows:


Non-trading financial assets mandatorily at fair value through profit or loss (Millions of Euros)
	Notes	2022	2021	2020
Equity instruments (1)	7.2.2	6,511	5,303	4,133
Debt securities	7.2.2	129	128	356
Loans and advances to customers	7.2.2	247	655	709
Total	8.1	6,888	6,086	5,198

(1) In 2022, an agreement was announced with Neon Payments Limited for the subscription of preferred shares representing approximately 21.7% of its capital stock (see Note 3).

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

The breakdown of the balance under these headings in the consolidated balance sheets is as follows:


Financial assets and liabilities designated at fair value through profit or loss (Millions of Euros)
	Notes	2022	2021	2020
ASSETS
Debt securities	7.2.2 / 8.1	913	1,092	1,117
LIABILITIES
Customer deposits		700	809	902
Debt certificates issued		3,288	3,396	4,531
Other financial liabilities: Unit-linked products		6,592	5,479	4,617
Total liabilities	8.1	10,580	9,683	10,050

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 consolidated balance sheets is as follows:


Financial assets at fair value through other comprehensive income (Millions of Euros)
	Notes	2022	2021	2020
Equity instruments	7.2.2	1,198	1,320	1,100
Debt securities (1)		57,755	59,074	68,308
Loans and advances to credit institutions	7.2.2	26	27	33
Total	8.1	58,980	60,421	69,440
Of which: loss allowances of debt securities		(121)	(74)	(97)

(1) The variation, in 2021 corresponds mainly to changes in the portfolio of financial assets issued by governments in BBVA, S.A.

During financial years 2022, 2021 and 2020, 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”.

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13.2Equity instruments

The breakdown of the balance under the heading "Equity instruments" of the consolidated financial statements as of December 31,

2022, 2021 and 2020 is as follows:


Financial assets at fair value through other comprehensive income. Equity instruments (Millions of Euros)
	2022				2021				2020
	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	—	(1,274)	960	2,235	—	(1,146)	1,088	2,182	—	(1,309)	873
Foreign companies shares	102	44	(8)	138	98	35	(8)	125	100	38	(17)	121
The United States	43	—	—	44	29	—	—	29	27	—	—	27
Mexico	1	30	—	31	1	28	—	29	1	33	—	34
Turkey	—	7	—	7	—	4	—	5	2	4	—	6
Other countries	57	7	(8)	56	69	2	(8)	63	70	1	(17)	54
Subtotal listed equity instruments	2,336	44	(1,282)	1,098	2,333	35	(1,154)	1,214	2,282	38	(1,326)	995
Unlisted equity instruments
Spanish companies shares	6	7	—	12	5	7	—	11	5	1	—	5
Foreign companies shares	25	64	(2)	87	55	41	(1)	95	58	43	(1)	100
The United States	—	—	—	—	—	—	—	—	—	—	—	—
Mexico	1	—	—	1	—	—	—	1	—	—	—	1
Turkey	6	—	—	6	3	—	—	3	5	—	—	5
Other countries	19	64	(2)	81	51	41	(1)	91	52	43	(1)	94
Subtotal unlisted equity instruments	31	71	(2)	100	60	48	(1)	107	62	44	(1)	105
Total	2,367	115	(1,284)	1,198	2,393	83	(1,155)	1,320	2,344	82	(1,327)	1,100

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13.3Debt securities

The breakdown of the balance under the heading “Debt securities” of the consolidated financial statements as of December 31, 2022,

2021 and 2020, broken down by issuers, is as follows:


Financial assets at fair value through other comprehensive income. Debt securities (Millions of Euros)
	2022				2021				2020
	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	17,799	154	(524)	17,429	15,889	656	—	16,544	28,582	801	(16)	29,367
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	865	10	(20)	854	1,125	51	—	1,176	1,363	76	—	1,439
Other issuers	500	5	(10)	495	612	24	(1)	635	867	40	(1)	906
Subtotal	19,164	169	(555)	18,779	17,625	731	(2)	18,355	30,811	917	(17)	31,712
Foreign debt securities
Mexico	11,566	3	(759)	10,810	11,097	32	(359)	10,769	9,107	291	(3)	9,395
Government and other government agency	11,013	2	(736)	10,278	10,467	21	(348)	10,141	8,309	271	(1)	8,579
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	130	—	(10)	119	120	3	(6)	118	113	5	—	118
Other issuers	423	2	(12)	413	509	7	(6)	510	685	15	(2)	698
Italy	4,568	53	(106)	4,515	7,407	213	(12)	7,608	3,897	367	—	4,263
Government and other government agency	4,402	52	(104)	4,349	7,274	212	(12)	7,474	3,789	366	—	4,154
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	39	—	—	39	47	—	—	47	48	—	—	48
Other issuers	127	1	(1)	126	86	1	—	87	60	1	—	61
Japan	2,920	7	(1)	2,926	4,961	7	—	4,968	4,551	1	(3)	4,549
Government and other government agency	2,824	6	—	2,830	4,906	7	—	4,913	4,492	—	(3)	4,489
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	14	—	(1)	13	18	—	—	18	—	—	—	—
Other issuers	82	1	—	83	36	1	—	37	59	1	—	60
The United States	5,245	39	(263)	5,020	3,900	44	(18)	3,926	4,642	52	(3)	4,691
Government and other government agency	2,956	17	(257)	2,716	1,754	7	(17)	1,744	2,307	9	(1)	2,315
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	89	1	—	89	114	2	—	116	186	3	—	188
Other issuers	2,200	21	(6)	2,215	2,032	35	(1)	2,065	2,149	40	(2)	2,187
Turkey	3,213	700	(56)	3,858	2,888	199	(168)	2,920	3,456	90	(73)	3,473
Government and other government agency	3,213	700	(56)	3,858	2,888	199	(168)	2,920	3,456	90	(73)	3,473
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	—	—	—	—	—	—	—	—	—	—	—	—
Other issuers	—	—	—	—	—	—	—	—	—	—	—	—
Other countries	11,928	194	(274)	11,848	10,298	286	(55)	10,529	9,892	372	(39)	10,225
Other foreign governments and government agency	3,093	120	(154)	3,059	2,488	115	(29)	2,574	2,177	136	(14)	2,300
Central banks	3,098	8	(12)	3,094	1,698	3	(5)	1,696	1,599	21	(8)	1,611
Credit institutions	2,087	40	(59)	2,068	2,306	92	(16)	2,382	2,468	116	(8)	2,576
Other issuers	3,649	27	(49)	3,627	3,807	76	(6)	3,877	3,648	99	(8)	3,738
Subtotal	39,440	996	(1,459)	38,977	40,551	780	(612)	40,719	35,545	1,172	(120)	36,596
Total	58,605	1,165	(2,014)	57,755	58,176	1,511	(614)	59,074	66,356	2,089	(137)	68,308

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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, 2022, 2021 and 2020 are as follows:


Debt securities by rating
	2022		2021		2020
	Fair value (Millions of Euros)	%	Fair value (Millions of Euros)	%	Fair value (Millions of euros)	%
AAA	3,339	5.8 %	2,413	4.1%	4,345	6.4%
AA+	490	0.8 %	586	1.0%	595	0.9%
AA	416	0.7 %	646	1.1%	449	0.7%
AA-	472	0.8 %	327	0.6%	406	0.6%
A+	3,866	6.7 %	6,179	10.5%	5,912	8.7%
A	1,663	2.9 %	1,676	2.8%	2,112	3.1%
A-	20,350	35.2 %	18,760	31.8%	31,614	46.3%
BBB+	11,423	19.8 %	11,465	19.4%	8,629	12.6%
BBB	7,328	12.7 %	10,961	18.6%	4,054	5.9%
BBB-	964	1.7 %	1,310	2.2%	5,116	7.5%
BB+ or below	7,202	12.5 %	4,379	7.4%	4,731	6.9%
Unclassified	241	0.4 %	372	0.6%	345	0.5%
Total	57,755	100.0 %	59,074	100.0 %	68,308	100.0 %

13.4Gains/losses

The changes in the gains/losses (net of taxes) in 2022, 2021 and 2020 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 consolidated balance sheets are as follows:


Other comprehensive income - Changes in gains (losses) (Millions of Euros)
		Debt securities			Equity instruments
	Notes	2022	2021	2020	2022	2021	2020
Balance at the beginning		1,274	2,069	1,760	(1,079)	(1,256)	(403)
Valuation gains and losses		(2,694)	(1,058)	489	(167)	183	(803)
Amounts transferred to income		20	(63)	(72)
Amounts transferred to Reserves					(2)	—	(73)
Income tax and other		838	325	(107)	54	(7)	23
Balance at the end	30	(562)	1,274	2,069	(1,194)	(1,079)	(1,256)

In 2022, 2021 and 2020, equity instruments presented a decrease of €167 million, 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 changes in Telefonica’s share price.

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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 consolidated balance sheets, according to the nature of the financial

instrument, is as follows:


Financial assets at amortized cost (Millions of Euros)
	Notes	2022	2021	2020
Debt securities		43,606	34,781	35,737
Central banks		21	15	—
Government		40,389	32,130	28,727
Credit institutions		1,177	817	783
Other financial corporations		857	525	5,027
Non-financial corporations		1,162	1,295	1,200
Loans and advances to central banks		4,401	5,681	6,209
Loans and advances to credit institutions		16,031	13,276	14,575
Reverse repurchase agreements		5,251	2,788	1,914
Other loans and advances		10,780	10,488	12,661
Loans and advances to customers	7.2.2	358,023	318,939	311,147
Government		20,892	19,682	19,391
Other financial corporations		12,765	9,804	9,817
Non-financial corporations		165,510	140,993	136,424
Other		158,855	148,461	145,515
Total	8.1	422,061	372,676	367,668
Of which: impaired assets of loans and advances to customers	7.2.2	13,493	14,657	14,672
Of which: loss allowances of loans and advances	7.2.5	(11,291)	(11,142)	(12,141)
Of which: loss allowances of debt securities		(93)	(52)	(48)

During financial years 2022, 2021 and 2020, 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”.

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14.2Debt securities

The breakdown of the balance under the heading “Debt securities” in the consolidated balance sheets, according to the issuer of the

debt securities, is as follows:


Financial assets at amortized cost. Debt securities. (Millions of Euros)
	2022				2021				2020
	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	18,397	10	(1,330)	17,077	17,693	1,326	(7)	19,013	13,656	1,212	—	14,868
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	—	—	—	—	—	—	—	—	—	—	—	—
Other issuers	144	1	(18)	127	337	10	(6)	341	4,835	59	(7)	4,887
Subtotal	18,541	11	(1,348)	17,204	18,031	1,336	(13)	19,353	18,492	1,271	(7)	19,756
Foreign debt securities
Mexico	10,743	—	—	10,743	8,464	182	(138)	8,508	7,771	534	(16)	8,289
Government and other government agencies	9,806	—	—	9,806	7,669	170	(131)	7,708	6,963	479	—	7,442
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	745	—	—	745	614	11	—	625	632	55	—	687
Other issuers	192	—	—	192	181	1	(7)	175	176	—	(16)	160
The United States	2,412	—	(10)	2,402	93	—	—	93	52	—	(26)	26
Government and other government agencies	2,159	—	(5)	2,154	10	—	—	10	14	—	—	14
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	28	—	(2)	27	26	—	—	26	23	—	(16)	7
Other issuers	224	—	(3)	221	57	—	—	57	15	—	(10)	5
Turkey	5,332	—	—	5,332	2,634	143	(95)	2,682	3,628	95	(25)	3,698
Government and other government agencies	5,325	—	—	5,325	2,628	143	(95)	2,676	3,621	95	(25)	3,691
Central banks	—	—	—	—	—	—	—	—	—	—	—	—
Credit institutions	6	—	—	6	5	—	—	5	6	—	—	6
Other issuers	—	—	—	—	—	—	—	—	1	—	—	1
Other countries	6,578	44	(343)	6,280	5,559	289	(37)	5,812	5,795	505	(1)	6,299
Other foreign governments and other government agency	4,701	32	(311)	4,423	4,144	257	(28)	4,374	4,473	467	(1)	4,939
Central banks	21	—	(1)	21	—	—	—	—	—	—	—	—
Credit institutions	397	2	(11)	389	171	—	—	171	122	—	—	122
Other issuers	1,458	10	(21)	1,448	1,243	32	(9)	1,267	1,200	38	—	1,238
Subtotal	25,065	45	(353)	24,757	16,750	614	(270)	17,094	17,245	1,134	(68)	18,311
Total	43,606	56	(1,701)	41,961	34,781	1,950	(284)	36,447	35,737	2,405	(75)	38,067

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

As of December 31, 2022, 2021 and 2020, 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
	2022		2021		2020
	Carrying amount (Millions of Euros)	%	Carrying amount (Millions of Euros)	%	Carrying amount (Millions of Euros)	%
AAA	3,068	7.0%	143	0.4%	151	0.4%
AA+	217	0.5%	77	0.2%	74	0.2%
AA	86	0.2%	76	0.2%	64	0.2%
AA-	108	0.2%	69	0.2%	48	0.1%
A+	13	—%	62	0.2%	42	—%
A	592	1.4%	619	1.8%	590	1.7%
A-	17,050	39.1%	16,312	46.9%	16,736	46.8%
BBB+	11,037	25.3%	9,336	26.8%	7,919	22.2%
BBB	4,265	9.8%	3,853	11.1%	942	2.6%
BBB-	535	1.2%	527	1.5%	4,499	12.6%
BB+ or below	5,967	13.7%	3,120	9.0%	3,928	11.0%
Unclassified	667	1.5%	587	1.7%	743	2.1%
Total	43,606	100.0%	34,781	100.0%	35,737	100.0%

14.3Loans and advances to customers

The breakdown of the balance under this heading in the consolidated balance sheets, according to their nature, is as follows:


Loans and advances to customers (Millions of Euros)
	2022	2021	2020
On demand and short notice	4,101	3,161	2,835
Credit card debt	18,898	14,030	13,093
Trade receivables	25,987	19,524	15,544
Finance leases	8,571	7,911	7,650
Reverse repurchase agreements	102	23	71
Other term loans	294,059	268,047	267,031
Advances that are not loans	6,305	6,243	4,924
Total	358,023	318,939	311,147

The heading “Financial assets at amortized cost – Loans and advances to customers” in the 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, 2022, 2021 and 2020:


Loans and advances maturing in more than one year by fixed and variable rate (Millions of Euros)
	2022			2021			2020
	Domestic	Foreign	Total	Domestic	Foreign	Total	Domestic	Foreign	Total
Fixed rate	59,394	67,874	127,269	56,756	62,228	118,984	46,104	66,444	112,548
Variable rate	69,647	53,440	123,087	75,544	44,237	119,781	86,710	41,452	128,162
Total	129,042	121,314	250,356	132,300	106,465	238,765	132,814	107,895	240,710

As of December 31, 2022, 2021 and 2020, 51%, 50% and 47%, respectively, of "Loans and advances to customers" with maturity

greater than one year have fixed-interest rates and 49%, 50% and 53%, respectively, have variable interest rates.

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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 consolidated balance sheets

corresponding to these securitized loans are as follows:


Securitized loans (Millions of Euros)
	2022	2021	2020
Securitized mortgage assets	23,290	23,695	23,953
Other securitized assets	5,495	6,547	6,144
Total	28,784	30,242	30,098

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 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)
	2022	2021	2020
ASSETS
Derivatives - Hedge accounting	1,891	1,805	1,991
Fair value changes of the hedged items in portfolio hedges of interest rate risk	(148)	5	51
LIABILITIES
Derivatives - Hedge accounting	3,303	2,626	2,318
Fair value changes of the hedged items in portfolio hedges of interest rate risk	—	—	—

As of December 31, 2022, 2021 and 2020, 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

amortized cost portfolio and 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.

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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 consolidated balance

sheets are as follows:


Derivatives - Hedge accounting. Breakdown by type of risk and type of hedge (Millions of Euros)
	2022		2021		2020
	Assets	Liabilities	Assets	Liabilities	Assets	Liabilities
Interest rate	656	376	697	322	989	525
OTC	656	376	697	322	989	525
Organized market	—	—	—	—	—	—
Equity	—	—	—	—	—	—
OTC	—	—	—	—	—	—
Organized market	—	—	—	—	—	—
Foreign exchange and gold	259	83	463	135	435	350
OTC	259	83	463	135	435	350
Organized market	—	—	—	—	—	—
Credit	—	—	—	—	—	—
Commodities	—	—	—	—	—	—
Other			—	—	—	—
FAIR VALUE HEDGES	915	459	1,160	457	1,424	874
Interest rate	470	2,763	228	1,786	154	1,055
OTC	454	2,763	226	1,786	154	1,041
Organized market	16		2	—	—	15
Equity	—	—	—	—	—	—
Foreign exchange and gold	239	46	180	79	225	55
OTC	239	45	180	79	225	50
Organized market	—	1	—	—	—	5
Credit	—	—	—	—	—	—
Commodities	—	—	—	—	—	—
Other	—	—	—	—	—	—
CASH FLOW HEDGES	708	2,809	408	1,865	379	1,111
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION	213	26	198	196	166	139
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK	7	8	18	95	18	170
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK	48	1	21	13	3	23
DERIVATIVES-HEDGE ACCOUNTING	1,891	3,303	1,805	2,626	1,991	2,318
of which: OTC - credit institutions	1,577	2,911	1,454	2,248	1,718	1,965
of which: OTC - other financial corporations	297	391	349	378	273	333

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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 (1)		Remaining adjustments for discontinued micro hedges including hedges of net positions (1)		Hedged items in portfolio hedge of interest rate risk
	2022	2021	2022	2021	2022	2021	2022	2021
ASSETS
Financial assets measured at fair value through other comprehensive income	13,994	20,333	(1,024)	(52)	2	11	—	—
Interest rate	13,602	20,285
Foreign exchange and gold	327	—
Other	66	49
Financial assets measured at amortized cost	4,838	8,273	(485)	168	13	5	1,179	1,997
Interest rate	4,835	8,270
Foreign exchange and gold	3	2
LIABILITIES
Financial liabilities measured at amortized costs	34,898	24,567	1,299	(690)	—	—	—	—
Interest rate	34,894	24,563
Foreign exchange and gold	5	5

(1) The balance of discontinued hedges is not significant.

The following is the breakdown, by their notional maturities, of the hedging instruments as of December 31, 2022:


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	2,697	5,629	31,055	12,944	52,325
Of which: Interest rate	2,697	5,524	29,031	12,944	50,196
CASH FLOW HEDGES	4,495	17,900	27,732	3,051	53,178
Of which: Interest rate	4,430	17,900	25,777	2,932	51,040
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION	5,292	4,738	—	—	10,031
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK	87	27	1,609	1,067	2,790
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK	340	140	573	65	1,118
DERIVATIVES-HEDGE ACCOUNTING	12,912	28,434	60,969	17,128	119,442

In 2022, 2021 and 2020, there was no reclassification in the 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 the years ended December 31,

2022, 2021 and 2020 were not material.

IBOR Reform

The transition from IBOR indices to the new risk free rates (RFR) (see Note 7.3.4) 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.

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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,

2022 is the following:


Hedges affected by the IBOR reform (Millions of Euros)
	LIBOR USD	LIBOR GBP	Other	Total
Cash flow hedges	1,061	—	316	1,377
Fair value hedges	7,276	369	657	8,302

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 consolidated balance sheets is as follows:


Joint ventures and associates. Breakdown by entities (Millions of Euros)

Joint ventures	2022	2021	2020
Altura Markets, S.V., S.A.	42	76	77
RCI Colombia	36	40	36
Desarrollo Metropolitanos del Sur, S.L.	—	18	17
Other	22	18	19
Subtotal	100	152	149
Associates
Divarian Propiedad, S.A.U.	—	—	567
Metrovacesa, S.A.	259	259	285
BBVA Allianz Seguros y Reaseguros, S.A.	248	254	250
Atom Holdco Ltd	132	77	64
Solaris SE	66	61	39
Cofides	31	28	25
Redsys servicios de procesamiento, S.L.	20	19	14
Servicios Electrónicos Globales S.A. de CV	23	15	11
Other	37	35	33
Subtotal	816	749	1,288
Total	916	900	1,437

Details of the joint ventures and associates as of December 31, 2022 are shown in Appendix II.

The following is a summary of the changes in the years ended December 31, 2022, 2021 and 2020 under this heading in the

consolidated balance sheets:


Joint ventures and associates. Changes in the year (Millions of Euros)
	Notes	2022	2021	2020
Balance at the beginning		900	1,437	1,488
Acquisitions and capital increases		87	22	257
Disposals and capital reductions		(88)	(1)	(47)
Transfers and changes of consolidation method		—	(559)	(7)
Share of profit and loss	39	20	1	(39)
Exchange differences		(1)	9	(27)
Dividends, valuation adjustments and others		(2)	(9)	(188)
Balance at the end		916	900	1,437

During the year 2022, the most significant changes under the heading "Investment in joint ventures and associates" correspond to

capital increases in Atom Holdco Limited. During the year 2022 Atom Holdco Limited, the owner of 100% of the shares of Atom Bank

PLC, was created. BBVA became a shareholder of Atom Holdco Limited under the same terms and conditions as those previously

applicable under the agreement with Atom Bank PLC.

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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.

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, 2022, 2021 and 2020 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, 2022, 2021 and 2020 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, 2022, a reversal of impairment was recorded for €42 million; while for the year ended December 31, 2021, there was no

impairment recorded in the Group’s consolidated income statement; and for the year ended December 31, 2020, €190 million were

recorded due to impairment (see Note 48).

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17.Tangible assets

The breakdown and movement of the balance and changes of this heading in the 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 2022 (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
	Notes				Own use	Investment Properties
Cost
Balance at the beginning		4,350	67	5,388	3,154	162	147	267	13,535
Additions		366	71	475	578	19	95	122	1,726
Retirements		(4)	—	(140)	(1,620)	(1)	(19)	—	(1,784)
Acquisition of subsidiaries in the year (1)		1,392	—	—	—	—	—	—	1,392
Disposal of entities in the year		—	—	—	—	—	—	—	—
Transfers		(21)	(54)	(40)	(274)	33	(4)	—	(360)
Exchange difference and other (2)		171	9	150	32	—	23	193	580
Balance at the end		6,255	93	5,833	1,871	214	242	582	15,089

Accrued depreciation
Balance at the beginning		900	—	3,833	811	47	17	33	5,641
Additions	45	108	—	393	295	18	5	—	818
Additions transfer to discontinued operations		—	—	—	—	—	—	—	—
Retirements		(2)	—	(132)	(244)	—	(13)	—	(392)
Acquisition of subsidiaries in the year		—	—	—	—	—	—	—	—
Disposal of entities in the year		—	—	—	—	—	—	—	—
Transfers		11	—	52	(220)	6	13	—	(139)
Exchange difference and other		47	—	59	11	—	2	19	138
Balance at the end		1,064	—	4,204	653	70	23	52	6,066

Impairment
Balance at the beginning		114	—	—	427	34	21	—	596
Additions	49	(29)	—	4	(45)	16	2	—	(53)
Additions transfer to discontinued operations		—	—	—	—	—	—	—	—
Retirements		—	—	—	—	—	—	—	—
Acquisition of subsidiaries in the year		—	—	—	—	—	—	—	—
Disposal of entities in the year		—	—	—	—	—	—	—	—
Transfers		(1)	—	—	(7)	—	21	—	13
Exchange difference and other		70	—	(4)	(309)	—	(26)	—	(270)
Balance at the end		154	—	—	65	50	17	—	286
Net tangible assets

Balance at the beginning		3,336	67	1,555	1,916	81	109	234	7,298
Balance at the end		5,036	93	1,629	1,153	94	201	530	8,737

(1) The variation in 2022 corresponds mainly to the closing of the transaction with Merlin Properties in which 100% of the shares of Tree Inversiones Inmobiliarias, SOCIMI, S.A.

were acquired by BBVA Group.

(2) The variation in 2022 corresponds mainly to the effect of the IAS 29 implementation in Turkey (see Note 2.2.19).

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Tangible assets. Breakdown by type of assets and changes in the year 2021 (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	Investment properties	Assets leased out under an operating lease	Total
Cost
Balance at the beginning		4,380	52	5,515	3,061	123	201	345	13,677
Additions		58	31	262	230	4	—	—	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)	35	1	—	(147)
Exchange difference and other		29	(7)	(79)	(44)	—	(54)	(78)	(233)
Balance at the end		4,350	67	5,388	3,154	162	147	267	13,535

Accrued depreciation
Balance at the beginning		833	—	3,859	582	27	16	54	5,371
Additions	45	79	—	358	284	15	4	—	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)	5	1	—	(39)
Exchange difference and other		30	—	(108)	(34)	—	—	(21)	(134)
Balance at the end		900	—	3,833	811	47	17	33	5,641

Impairment
Balance at the beginning		149	—	—	274	26	34	—	483
Additions (1)	49	—	—	1	151	8	1	—	161
Additions transfer to discontinued operations		—	—	—	—	—	—	—	—
Retirements		—	—	—	—	—	—	—	—
Acquisition of subsidiaries in the year		—	—	—	—	—	—	—	—
Disposal of entities in the year		—	—	—	—	—	—	—	—
Transfers		(24)	—	17	—	—	2	—	(5)
Exchange difference and other		(11)	—	(18)	2	—	(16)	—	(43)
Balance at the end		114	—	—	427	34	21	—	596
Net tangible assets

Balance at the beginning		3,398	52	1,656	2,205	70	151	291	7,823
Balance at the end		3,336	67	1,555	1,916	81	109	234	7,298

(1) 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).

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Tangible assets. Breakdown by type of assets and changes in the year 2020 (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
	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		6,001	56	6,351	3,516	101	216	337	16,578
Additions		157	54	255	183	0	2	—	651
Retirements		(10)	(23)	(294)	(157)	(3)	(11)	—	(498)
Acquisition of subsidiaries in the year		—	—	—	—	—	—	—	—
Companies held for sale (1)		(925)	(31)	(366)	(294)	—	—	—	(1,616)
Transfers		(248)	(2)	(5)	(60)	25	18	—	(272)
Exchange difference and other		(595)	(2)	(426)	(127)	—	(24)	8	(1,166)
Balance at the end		4,380	52	5,515	3,061	123	201	345	13,677

Accrued depreciation
Balance at the beginning		1,253	—	4,344	370	11	15	74	6,067
Additions	45	83	—	370	312	12	3	1	781
Additions transfer to discontinued operations (1)		24	—	20	32	—	—	—	76
Retirements		(2)	—	(248)	(10)	—	—	—	(260)
Acquisition of subsidiaries in the year		—	—	—	—	—	—	—	—
Companies held for sale (1)		(373)	—	(321)	(71)	—	—	—	(765)
Transfers		(42)	—	(12)	(9)	4	1	—	(58)
Exchange difference and other		(110)	—	(294)	(42)	—	(3)	(21)	(470)
Balance at the end		833	—	3,859	582	27	16	54	5,371

Impairment
Balance at the beginning		212	—	—	191	14	26	—	443
Additions	49	18	—	26	68	12	1	—	125
Retirements		—	—	—	—	—	—	—	—
Acquisition of subsidiaries in the year		—	—	—	—	—	—	—	—
Companies held for sale (1)		(8)	—	—	—	—	—	—	(8)
Transfers		(68)	—	—	10	—	7	—	(51)
Exchange difference and other		(5)	—	(26)	5	—	—	—	(26)
Balance at the end		149	—	—	274	26	34	—	483
Net tangible assets

Balance at the beginning		4,536	56	2,007	2,955	76	175	263	10,068
Balance at the end		3,398	52	1,656	2,205	70	151	290	7,823

(1) Amount is mainly due to the companies in the United States included in the USA Sale (see Notes 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, 2022, 2021 and 2020, the cost of fully amortized tangible assets that remained in use were €2,443, €2,318 and

€2,299 million respectively while its recoverable residual value was not significant.

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As of December 31, 2022, 2021 and 2020 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 area (number of branches)
	2022	2021	2020
Spain (1)	1,886	1,895	2,482
Mexico	1,733	1,716	1,746
South America	1,418	1,434	1,514
The United States	—	—	639
Turkey	972	1,006	1,021
Rest	31	32	30
Total	6,040	6,083	7,432

(1) 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 was carried out

at Banco Bilbao Vizcaya Argentaria, S.A. (see Notes 24 and 49).

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, 2022, 2021 and 2020:


Tangible assets by Spanish and foreign subsidiaries. Net assets values (Millions of euros)
	2022 ⁽¹⁾	2021 ⁽²⁾	2020
BBVA and Spanish subsidiaries	4,285	3,873	4,294
Foreign subsidiaries	4,452	3,425	3,529
Total	8,737	7,298	7,823

(1) The variation in 2022 corresponds mainly to the closing of the transaction with Merlin Properties in which 100% of the shares of Tree Inversiones Inmobiliarias, SOCIMI, S.A.

were acquired by BBVA Group.

(2) 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).

Purchase of Tree Inversiones Inmobiliarias SOCIMI, S.A. (Tree) to Merlin Properties SOCIMI, S.A.

On June 15, 2022, BBVA acquired from Merlin Properties SOCIMI, S.A. the shares representing the entire share capital of Tree

Inversiones Inmobiliarias SOCIMI, S.A. (hereinafter “Tree”) for an amount of €1,988 million. This company has 662 properties leased

to BBVA that were part of the set of properties that BBVA sold between 2009 and 2010 under a sale and leaseback agreement. Prior

to that date, these properties were registered as "Rights of use" in the consolidated balance sheet of the BBVA Group under the

headings "Tangible assets - Property, plant and equipment" and "Tangible assets - Investment property", while the payment

obligation was reflected under the heading "Financial liabilities at amortized cost – Other financial liabilities", in accordance with IFRS

16 Leases.

The Tree purchase transaction has been considered an asset purchase given that the Group has determined that it is not acquiring a

set of activities that present elements that could constitute a business. After the closing of this transaction, the BBVA Group has once

again become owner of the properties and recorded them at their acquisition price in the Group's consolidated financial statements

as of June 30, 2022. The assets acquired that are not used for the Bank's activity are recorded under the heading "Non-current assets

and disposal groups classified as held for sale and liabilities included in disposal groups classified as held for sale" (see Note 21).

The impact of the transaction amounted to €-201 million (losses net of taxes) which have been registered under the headings "Gains

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

amount of €-134 million and “Tax expense or income related to profit or loss from continuing operations” for an amount of €-67

million in the consolidated income statement of the BBVA Group.

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18.Intangible assets

18.1Goodwill

The breakdown of the balance under this heading in the 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 (1)	Mexico	Turkey (2)	Colombia	Chile	Other	Total

Balance as of December 31, 2019	3,846	550	346	164	27	22	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	27	8	910
Additions	—	—	—	—	—	—	—
Exchange difference	—	26	(102)	(9)	(3)	—	(88)
Impairment	—	—	—	—	—	(4)	(4)
Companies held for sale	—	—	—	—	—	—	—
Other	—	—	—	—	—	—	—
Balance as of December 31, 2021	—	504	152	134	24	4	818
Additions	—	—	—	—	—	—	—
Exchange difference	—	55	—	(16)	1	1	41
Impairment	—	—	—	—	—	—	—
Companies held for sale	—	—	—		—	—	—
Other	—		(152)	—	—	—	(152)
Balance as of December 31, 2022	—	559	—	118	25	5	707

(1) Since the USA sale agreement, the United States is no longer considered a CGU (see Note 3).

(2) As a result of the application of IAS 29, as indicated in Note 2.2.19, the book value of the Turkish CGU exceeded the existing recoverable value as of December 31, 2021, and as

a consequence the goodwill as well as other intangible assets (see Note 18.2) assigned to the Turkish CGU were derecognized.

Goodwill in business combinations

There were no significant business combinations during 2022, 2021 and 2020.

Impairment Test

As mentioned in Note 2.2.7, 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.

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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.

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, 2022, 2021 and 2020 are as follows:


Impairment test assumptions CGU goodwill in Mexico
	2022	2021	2020
Discount rate (1)	12.7 %	14.5 %	15.3 %
Growth rate	6.3 %	5.7 %	5.7 %

(1) After tax discount rates.

In accordance with paragraph 33.c of IAS 36, as of December 31, 2022, the Group used a growth rate of 6.3% 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. The table below shows, in a simplified way, the

relative variation by which the CGU recoverable amount would increase (or decrease) as a result of a reasonable variation (in basis

points) of each of the key assumptions, considered in isolation as of December 31, 2022, where, in each case, their value in use would

continue to exceed their book value:


Sensitivity analysis for main assumptions - Mexico
	Increase of 50 basis points (1)	Decrease of 50 basis points (1)
Discount rate	(7 %)	8 %
Growth rate	5 %	(5 %)

(1) 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

As a result of the application of IAS 29 in 2022, as indicated in Note 2.2.19, the book value of the Turkish CGU exceeded the existing

recoverable value as of December 31, 2021 and as a consequence the goodwill as well as other intangible assets (see Note 18.2)

assigned to the Turkish CGU were derecognized.

The main significant assumptions used in the impairment test of this CGU as of December 31, 2021 were a discount rate (after tax) of

27.0% and a growth rate of 7.0% (21.0% and 7.0% respectively as of December 31, 2020).

Goodwill - The United States CGU

Since the USA sale in 2021, the United States 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.

The main significant assumptions used in the impairment test of this CGU as of March 31, 2020 were a discount rate (after tax) of

10.3% and a growth rate of 3.0%.

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.

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18.2Other intangible assets

The breakdown of the balance and changes of this heading in the consolidated balance sheets, according to the nature of the related

items, is as follows:


Other intangible assets (Millions of Euros)
	2022	2021	2020
Computer software acquisition expense	1,393	1,239	1,202
Other intangible assets with an infinite useful life	13	12	12
Other intangible assets with a definite useful life	43	128	221
Total	1,449	1,379	1,435

The changes of this heading during the years ended December 31, 2022, 2021 and 2020, are as follows:


Other intangible assets (Millions of Euros)
	Notes	Computer software			Other intangible assets			Total of intangible assets
		2022	2021	2020	2022	2021	2020	2022	2021	2020
Balance at the beginning		1,239	1,202	1,598	140	233	412	1,379	1,435	2,010
Additions		592	470	452	—	—	8	592	470	460
Amortization in the year	45	(490)	(446)	(448)	(20)	(48)	(59)	(510)	(494)	(507)
Amortization transfer to discontinued operations (1)		—	—	(77)	—	—	(3)	—	—	(80)
Exchange differences and other		80	29	(38)	(63)	(45)	(91)	17	(16)	(129)
Impairment		(25)	(15)	(6)	—	—	—	(25)	(15)	(6)
Decreases by companies held for sale (1)		—	—	(279)	—	—	(34)	—	—	(313)
Balance at the end		1,396	1,239	1,202	56	140	233	1,453	1,379	1,435

(1) Amount is mainly due to the companies in the United States included in the USA Sale (see Notes 3 and 21).

As of December 31, 2022, 2021 and 2020, the cost of fully amortized intangible assets that remained in use were €3,490 million,

€2,992 million and €2,622 million respectively, while their recoverable value was not significant.

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 BBVA consolidated tax group in Spain, in 2022, the tax assessments issued as a result of the tax authorities'

inspection activities for 2014 to 2016 became final. These assessments were signed in 2021 and were signed in conformity, except for

those corresponding to 2016, for which a partial disagreement has been expressed. The impacts of the conclusion of these audits

were accounted for in 2021 and did not have a material effect on the 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,

the inspection procedure for the fiscal year 2017 continues in BBVA México, S.A. corresponding to Corporate Income Tax and Value

Added Tax.

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

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actual liabilities is remote and, in any case, the tax charge which might arise therefore would not materially affect the Group’s

consolidated financial statements.

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 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)
	2022		2021		2020
	Amount	Effective tax %	Amount	Effective tax %	Amount	Effective tax %
Profit or (-) loss before tax	10,356		8,399		3,576
From continuing operations	10,356		7,247		5,248
From discontinued operations	—		1,152		(1,672)
Taxation at Spanish corporation tax rate 30%	3,107		2,519		1,073
Lower/higher effective tax rate from foreign entities (1)	315		(332)		(181)
Mexico	(205)	26 %	(109)	27 %	(32)	29 %
Chile	(8)	13 %	(5)	22 %	(2)	23 %
Colombia	24	37 %	—	30 %	3	31 %
Peru	(16)	27 %	5	31 %	(7)	28 %
Turkey	621	70 %	(125)	23 %	(73)	25 %
USA	17	17 %	(62)	19 %	(75)	16 %
Others	(118)		(36)		5
Revenues with lower tax rate (dividends/capital gains)	(25)		(30)		(49)
Equity accounted earnings	(6)		—		12
USA Sale effect	—		544		—
Other effects (2)	138		80		661
Income tax	3,529		2,781		1,516
Of which: Continuing operations	3,529		1,909		1,459
Of which: Discontinued operations	—		872		57

(1) 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.

(2) In 2020, related mainly to the impact of the goodwill impairment of the United States' CGU that amounted to €2,084 million. This impact did not have associated any

Corporate Income Tax (CIT) expense credit (once the 30% tax rate is applied, the effect amounted to €625 million).

The effective income tax rate for the Group in the years ended December 31, 2022, 2021 and 2020 is as follows:


Effective tax rate (Millions of Euros)
	2022	2021	2020
Income from:
Consolidated tax group in Spain	2,222	655	259
Other Spanish entities	(462)	5	7
Foreign entities	8,596	6,587	4,982
Gains (losses) before taxes from continuing operations	10,356	7,247	5,248
Tax expense or income related to profit or loss from continuing operations	3,529	1,909	1,459
Effective tax rate	34.1%	26.3 %	27.8 %

In 2022, in general, in the main countries in which the Group operates, there were no changes in the nominal corporate income tax

rate compared to the previous year (including in Turkey, where the tax rate of 25% was maintained), except in the case of Colombia,

where the applicable tax rate has changed from 34% of the previous year to 38%. On the other hand, in 2021, the changes in the

nominal corporate income tax rate, with respect to the previous year, in the main countries in which the Group operates, were in

Turkey (from 22% to 25%), Argentina (from 30% to 35%) and Colombia (from 36% to 34%).

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19.4Income tax recognized in equity

In addition to the income tax expense recognized in the 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)
	2022	2021	2020
Charges/credits to total equity
Debt securities and others	701	(174)	(230)
Equity instruments	(56)	(33)	(43)
Total	645	(207)	(273)

19.5Current and deferred taxes

The balance under the heading "Tax assets" in the consolidated balance sheets includes the balances receivable from the tax

authorities relating to current and deferred tax assets. The balance under the “Tax liabilities” heading includes the balances payable in

respect of 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)
	2022	2021	2020
Tax assets
Current tax assets (1)	1,978	932	1,199
Deferred tax assets	14,494	14,917	15,327
Pensions	422	416	439
Financial Instruments	1,302	1,408	1,292
Loss allowances	1,834	1,676	1,683
Other	1,184	1,101	1,069
Secured tax assets	8,689	9,304	9,361
Tax losses	1,063	1,012	1,483
Total	16,472	15,850	16,526
Tax liabilities
Current tax liabilities (1)	1,415	644	545
Deferred tax liabilities	1,326	1,769	1,809
Financial Instruments	568	1,124	908
Other	758	645	901
Total	2,742	2,413	2,355

(1) The increase in current tax assets relates mainly to a higher tax receivable by the tax group in Spain for the refund of the 2022 corporate income tax as a result of the

instalment payments made in the year. On the other hand, the increase in current tax liabilities mainly corresponds to a higher tax payable in both Mexico and Turkey in relation to

the estimated corporate income tax for the year 2022.

The most significant variations of the deferred tax assets and liabilities in the years 2022, 2021 and 2020 were derived from the

following items:


Deferred tax assets and liabilities. Annual variations (Millions of Euros)
	2022		2021		2020
	Deferred assets	Deferred liabilities	Deferred assets	Deferred liabilities	Deferred assets	Deferred liabilities
Balance at the beginning	14,917	1,769	15,327	1,809	15,318	1,928
Pensions	6	—	(23)	—	(17)	—
Financials instruments	(106)	(556)	116	216	(94)	(106)
Loss allowances	158	—	(7)	—	47	—
Others	83	113	32	(256)	24	(13)
Guaranteed tax assets	(615)	—	(57)	—	(2)	—
Tax losses	51	—	(471)	—	51	—
Balance at the end	14,494	1,326	14,917	1,769	15,327	1,809

With respect to the changes in deferred tax assets and liabilities in 2022 contained in the above table, the following should be pointed

out:

–Guaranteed tax assets decreased mainly due to the utilization in the year of deferred tax assets converted into a receivable

from the tax authorities, which was recognized in the Spanish tax group's corporate income tax return for the year 2020,

and as a result of the offsetting of these assets in the Spanish tax group's estimated corporate income tax return for 2022.

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–The increase in tax assets for tax losses is due to the fact that, despite the fact that in 2022 the tax Group in Spain

generated positive taxable income, which allowed for the offset of tax losses and deductions, new deductions were

generated during the year to avoid double taxation and, additionally, the filing of the 2021 corporate income tax return also

led to an increase in the balance of these tax assets for tax losses.

–The evolution of deferred tax assets (other than those guaranteed and those linked to tax losses) net of deferred tax

liabilities is due, among other things, to the exchange rate effect, especially in the case of Mexico and Turkey, the effects

associated with the valuations of financial instruments, the effect in Argentina associated with the tax revaluation of fixed

assets, the impacts linked to the application of IAS 29 in Turkey which are largely associated with the changes in accounting

valuations arising from its consideration as a hyperinflationary economy and, finally, the operation of corporate income tax,

where the differences between accounting and taxation give rise to constant movements in deferred taxes.

Of the deferred tax assets and liabilities contained in the table above, those included in Note 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, 2022, 2021 and 2020, 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 consolidated balance sheets,

amounted to €88, €93 and €106 million, respectively.

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)
	2022	2021	2020
Pensions	1,622	1,759	1,924
Loss allowances	7,067	7,545	7,437
Total	8,689	9,304	9,361

As of December 31, 2022, non-guaranteed net deferred tax assets of the above table amounted to €4,478 million (€3,844 and €4,156

million as of December 31, 2021 and 2020, respectively), which broken down by major geographies is as follows:

–Spain: Net deferred tax assets recognized in Spain totaled €2,407 million as of December 31, 2022 (€2,342 and €2,590

million as of December 31, 2021 and 2020, respectively). €1,050 million of the figure recorded in the year ended December

31, 2022 for net deferred tax assets related to tax credits and tax loss carry forwards and €1,357 million relate to temporary

differences.

–Mexico: Net deferred tax assets recognized in Mexico amounted to €1,628 million as of December 31, 2022 (€1,121 and

€1,036 million as of December 31, 2021 and 2020, respectively). Practically all of deferred tax assets as of December 31,

2022 relate to temporary differences.

–South America: Net deferred tax assets recognized in South America amounted to €198 million as of December 31, 2022

(€65 and €126 million as of December 31, 2021 and 2020, respectively). Practically all the deferred tax assets are related to

temporary differences.

–Turkey: Net deferred tax assets recognized in Turkey amounted to €228 million as of December 31, 2022 (€302 and €395

million as of December 31, 2021 and 2020, respectively). All the deferred tax assets are related to temporary differences.

Based on the information available as of December 31, 2022, 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 and 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 losses and deductions for which, in general, there is no legal

period for offsetting, amounting to approximately €2,048 million, which are mainly originated by Catalunya Banc.

19.6Other Contributions

On December 28, 2022, the Law for the establishment of the temporary tax on credit institutions and financial credit establishments

was published in the Official State Gazette.

This law establishes an obligation to pay a non-taxable equity benefit of public nature during the years 2023 and 2024 to those credit

institutions that operate in Spain whose aggregated amount of interest income and fee and commission income generated,

corresponding to the year 2019, equals or exceeds €800 million.

The amount of the benefit to be paid will be the result of applying the percentage of 4.8% to the sum of the net interest income and

fee and commission income and expense derived from the activity carried out in Spain, as shown in the income statement of the tax

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consolidation group to which the credit institutions belongs, corresponding to the calendar year prior to the year in which the

obligation to pay arose. The payment obligation arises on the first day of the calendar year of fiscal years 2023 and 2024.

The estimated impact for 2023 is €225 million and has been recorded on January 1, 2023 in the heading "Other operating expense" of

the consolidated income statement.

20.Other assets and liabilities

The composition of the balance of these captions of the consolidated balance sheets is:


Other assets and liabilities (Millions of Euros)
	2022	2021	2020
ASSETS
Inventories	325	424	572
Transactions in progress	93	131	160
Accruals	1,490	730	756
Other items	706	649	1,025
Total	2,614	1,934	2,513
LIABILITIES
Transactions in progress	44	48	75
Accruals	2,566	2,137	1,584
Other items (1)	2,269	1,436	1,144
Total	4,880	3,621	2,802

(1) The increases relate mainly to the Bank in Spain for items pending settlement.

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 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)
	2022	2021	2020
ASSETS
Foreclosures and recoveries	1,070	1,218	1,398
Other assets from tangible assets (1)	1,063	563	480
Companies held for sale (2)	40	41	84,792
Accrued amortization (3)	(93)	(112)	(89)
Impairment losses (1)	(1,057)	(650)	(594)
Total	1,022	1,061	85,987
LIABILITIES
Companies held for sale (2)	—	—	75,446
Total	—	—	75,446

(1) The variation in 2022 corresponds mainly to the reclassification of offices previously in own use and now closed after the closing of the transaction with Merlin Properties (see

Note 17). 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).

(2) It includes mainly BBVA’s stake in BBVA USA in 2020 (see Note 3).

(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 Note 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 year ended December 31, 2020 were classified under the heading "Profit (loss) after tax from

discontinued operations" of the consolidated income statements.

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The condensed consolidated balance sheets as of December 31, 2021 and 2020, 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 year 2020 are provided below:

Condensed consolidated balance sheets of companies sold in the United States


CONDENSED CONSOLIDATED BALANCE SHEETS (Millions of Euros)
	2021	2020
Cash, cash balances at central banks and other demand deposits	—	11,368
Financial assets held for trading	—	821
Non-trading financial assets mandatorily at fair value through profit or loss	—	13
Financial assets at fair value through other comprehensive income	—	4,974
Financial assets at amortized cost	—	61,558
Derivatives - Hedge accounting	—	9
Tangible assets	—	799
Intangible assets	—	1,949
Tax assets	—	360
Other assets	—	1,390
Non-current assets and disposal groups classified as held for sale	—	16
TOTAL ASSETS	—	83,257
Financial liabilities held for trading	—	98
Financial liabilities at amortized cost	—	73,132
Derivatives - Hedge accounting	—	2
Provisions	—	157
Tax liabilities	—	201
Other liabilities	—	492
TOTAL LIABILITIES	—	74,082
Actuarial gains (losses) on defined benefit pension plans	—	(66)
Hedge of net investments in foreign operations (effective portion)	—	(432)
Foreign currency translation	—	801
Hedging derivatives. Cash flow hedges (effective portion)	—	250
Fair value changes of debt instruments measured at fair value through other comprehensive income	—	70
ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)	—	622

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Condensed consolidated income statements of companies sold in the United States


CONDENSED CONSOLIDATED INCOME STATEMENTS (Millions of Euros)
	2021 ⁽¹⁾	2020
Interest and other income	974	2,638
Interest expense	(53)	(429)
NET INTEREST INCOME	921	2,209
Dividend income	2	4
Fee and commission income	285	677
Fee and commission expense	(86)	(183)
Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net	(4)	19
Gains (losses) on financial assets and liabilities held for trading, net	26	90
Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net	2	8
Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net	2	5
Gains (losses) from hedge accounting, net	(1)	4
Exchange differences, net	5	19
Other operating income	9	19
Other operating expense	(30)	(63)
GROSS INCOME	1,132	2,808
Administration costs	(661)	(1,462)
Depreciation and amortization	(80)	(205)
Provisions or reversal of provisions	4	2
Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification	(66)	(729)
NET OPERATING INCOME	330	413
Impairment or reversal of impairment on non-financial assets	—	(2,084)
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	3	2
PROFIT (LOSS) BEFORE TAX	330	(1,671)
Tax expense or income related to profit or loss	(80)	(57)
PROFIT (LOSS) AFTER TAX	250	(1,729)
Profit (loss) after tax from the sale	29	—
PROFIT (LOSS) FOR THE PERIOD	280	(1,729)
ATTRIBUTABLE TO MINORITY INTEREST (NON-CONTROLLING INTEREST)	—	—
ATTRIBUTABLE TO OWNERS OF THE PARENT (2)	280	(1,729)

(1) Corresponds to the first five months of 2021 (See Note 3).

(2) Cumulative profit net of taxes earned and recognized by BBVA Group in relation to the sale of BBVA USA Bancshares was €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.

Condensed consolidated statements of cash flows of companies sold in the United States


CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Millions of Euros)
	2021 ⁽¹⁾	2020
A) CASH FLOWS FROM OPERATING ACTIVITIES	62	6,874
B) CASH FLOWS FROM INVESTING ACTIVITIES	(34)	(145)
C) CASH FLOWS FROM FINANCING ACTIVITIES	(26)	(65)
D) EFFECT OF EXCHANGE RATE CHANGES	60	(974)
INCREASE (DECREASE) NET CASH AND CASH EQUIVALENTS (A+B+C+D)	62	5,690

(1) Corresponds to the first five months of 2021 (See Note 3).

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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

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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 2022, 2021 and 2020, are as

follows:


Non-current assets and disposal groups classified as held for sale (Millions of Euros)
	Notes	Foreclosed assets			Property, Plant and Equipment (1)			Companies held for sale (2)			Total
Cost (a)		2022	2021	2020	2022	2021	2020	2022	2021	2020	2022	2021	2020
Balance at the beginning		1,218	1,398	1,648	452	391	258	41	84,792	1,716	1,711	86,581	3,622
Additions		211	245	285	1	—	—	2	522	83,266	214	768	83,551
Contributions from merger transactions		—	—	—	592	—	—	—	—	—	592	—	—
Retirements (sales and other decreases)		(353)	(298)	(288)	(110)	(39)	(45)	(2)	(83,172)	(190)	(465)	(83,509)	(523)
Transfers, other movements and exchange differences (2)		(6)	(127)	(228)	35	100	180	(2)	(2,100)	—	27	(2,128)	(48)
Disposals by companies held for sale		—	—	(19)	—	—	(2)			—	—	—	(21)
Balance at the end		1,070	1,218	1,398	970	452	391	39	41	84,792	2,078	1,711	86,581

Impairment (b)
Balance at the beginning		381	386	411	269	208	132	—	—	—	650	594	543
Additions	50	64	36	74	158	62	29	—	—	—	221	97	103
Additions transfer to discontinued operations		—	—	—	—	—	—	—	—	—	—	—	—
Contributions from merger transactions		—	—	—	—	—	—	—	—	—	—	—	—
Retirements (sales and other decreases)		(102)	(65)	(56)	(46)	(13)	(13)	—	—	—	(148)	(78)	(69)
Other movements and exchange differences		13	24	(42)	320	12	60	—	—	—	333	36	18
Disposals by companies held for sale		—	—	(1)	—	—	—	—	—	—	—	—	(1)
Balance at the end		356	381	386	701	269	208	—	—	—	1,057	650	594
Balance at the end of net carrying value (a)-(b)		714	837	1,012	269	183	183	39	41	84,792	1,022	1,061	85,987

(1) Net of accumulated amortization until assets were reclassified as “Non-current assets and disposal groups classified as held for sale”.

(2) In 2020, the variation corresponds mainly to the USA Sale agreement of BBVA USA (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, 2022, 2021 and 2020 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, 2022, 2021 and 2020, assets from foreclosures and recoveries, net of impairment losses, by nature of the asset,

amounted to €478 million, €608 million and €747 million in assets for residential use; €199 million, €202 million and €215 million in

assets for tertiary use (industrial, commercial or office) and €34 million, €19 million and €21 million in assets for agricultural use,

respectively.

As of December 31, 2022, 2021 and 2020, the average sale time of assets from foreclosures or recoveries was between 2 and 3 years.

During the years 2022, 2021 and 2020, 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 €43 million, €62 million and €78 million,

respectively; with an average financing of 37% of the sales price during 2022.

As of December 31, 2022, 2021 and 2020, the amount of the profits arising from the sale of assets financed by Group companies that

are not recognized in the consolidated income statement is not significant.

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22.Financial liabilities at amortized cost

22.1Breakdown of the balance

The breakdown of the balance under these headings in the consolidated balance sheets is as follows:


Financial liabilities measured at amortized cost (Millions of Euros)
	2022	2021	2020
Deposits	459,114	416,947	415,467
Deposits from central banks	38,323	47,351	45,177
Demand deposits	205	8	163
Time deposits and other	33,534	41,790	38,274
Repurchase agreements	4,584	5,553	6,740
Deposits from credit institutions	26,935	19,834	27,629
Demand deposits	11,434	7,601	7,196
Time deposits and other	11,787	8,599	16,079
Repurchase agreements	3,714	3,634	4,354
Customer deposits	393,856	349,761	342,661
Demand deposits	316,082	293,015	266,250
Time deposits and other	75,516	55,479	75,666
Repurchase agreements	2,259	1,267	746
Debt certificates	55,429	55,763	61,780
Other financial liabilities	14,086	15,183	13,358
Total	528,629	487,893	490,606

The amount recorded in "Deposits from central banks - Time deposits" includes the drawdowns of the TLTRO III facilities of the

European Central Bank, mainly by BBVA S.A., amounting to €26,711 million as of December 31, 2022, €38,692 million as of December

31, 2021 and €35,032 million as of December 31, 2020, after the partial repayment made in December 2022 (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, reached a given lending performance threshold.

Additionally, the maximum borrowing amount was increased to 55% of the eligible loans (from 50% previously). This meant that the

interest rate applicable to the outstanding operations was -1% provided that the lending objectives were 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 was recognized for the period from June 24, 2020 to June 23, 2022.

In its monetary policy decision of October 27, 2022, the ECB decided to adjust the interest rates applicable to TLTRO III from

November 23, 2022 and offer credit institutions additional voluntary early repayment dates for these operations. In this sense, up to

November 23, 2022, outside of special periods, the interest rate applicable to each drawdown is the average rate of the deposit

facilities from the beginning of each drawdown until November 23. From November 23, 2022 until the maturity date or early

redemption date of the corresponding TLTRO III operation, the interest rate applicable to the remaining TLTRO III operations will be

indexed to the average applicable key ECB interest rates over this period. In December 2022, BBVA began the repayment of the

TLTRO III program for an amount of €12 billion, corresponding to approximately a third of the total drawn amount.

The positive income generated by the drawdowns of the TLTRO III facilities was recorded under the heading of "Interest and other

income – Other income" in the consolidated income statements (see Note 37.1), while the negative remuneration generated by the

drawdowns of the TLTRO III facilities are recorded under "Interest expense" in the consolidated income statement.

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22.2Deposits from credit institutions

The breakdown by geographical area and the nature of the related instruments of this heading in the consolidated balance sheets is as

follows:


Deposits from credit institutions (Millions of Euros)
	Demand deposits	Time deposits and other (1)	Repurchase agreements	Total
December 2022
Spain	1,215	1,429	67	2,709
Mexico	855	732	—	1,587
Turkey	10	633	29	672
South America	844	2,251	—	3,095
Rest of Europe	3,613	2,944	1,669	8,226
Rest of the world	4,897	3,797	1,949	10,645
Total	11,434	11,787	3,714	26,935
December 2021
Spain	1,671	375	—	2,047
Mexico	444	558	—	1,002
Turkey	83	672	37	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	1,751
Mexico	689	672	188	1,549
Turkey	8	580	28	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	67	10,228
Total	7,196	16,079	4,354	27,629

(1) Subordinated deposits are included amounting to €24, €14 and €12 million as of December 31, 2022, 2021 and 2020, respectively.

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22.3Customer deposits

The breakdown by geographical area of this heading in the 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 2022
Spain	188,803	13,389	2	202,194
Mexico	64,671	12,916	630	78,217
Turkey	22,117	17,254	747	40,118
South America	27,083	14,505	—	41,587
Rest of Europe	11,670	14,224	880	26,774
Rest of the world	1,737	3,228	—	4,965
Total	316,082	75,516	2,259	393,856
December 2021
Spain	181,565	10,407	2	191,974
Mexico	53,359	10,383	505	64,247
Turkey	19,725	13,644	6	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	2	188,757
Mexico	43,768	10,514	117	54,398
Turkey	17,906	16,707	8	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

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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)
	2022	2021	2020
In Euros	35,611	36,289	42,462
Promissory bills and notes	1,079	319	860
Non-convertible bonds and debentures	16,979	15,712	14,538
Covered bonds (1)	7,665	9,930	13,274
Hybrid financial instruments (2)	959	366	355
Securitization bonds	2,501	2,302	2,538
Wholesale funding	139	438	2,331
Subordinated liabilities	6,289	7,221	8,566
Convertible perpetual certificates	3,000	3,500	4,500
Non-convertible preferred stock	—	—	159
Other non-convertible subordinated liabilities	3,289	3,721	3,907
In foreign currencies	19,819	19,475	19,318
Promissory bills and notes	351	579	1,024
Non-convertible bonds and debentures	9,323	7,885	8,691
Covered bonds (1)	114	178	217
Hybrid financial instruments (2)	3,724	2,843	455
Securitization bonds	—	4	4
Wholesale funding	111	412	1,016
Subordinated liabilities	6,196	7,574	7,911
Convertible perpetual certificates	1,876	1,771	1,633
Non- convertible preferred stock	—	—	35
Other non-convertible subordinated liabilities	4,320	5,803	6,243
Total	55,429	55,763	61,780

(1) Including mortgage-covered bonds (see Appendix X). In years 2022, 2021 and 2020 there were several maturities of mortgage bonds.

(2) Corresponds to structured note issuances with embedded derivatives that have been segregated according to IFRS 9.

22.4.1Subordinated liabilities

The breakdown of this heading in the consolidated balance sheets is as follows:


Memorandum item: Subordinated liabilities at amortized cost (Millions of Euros)
	2022	2021	2020
Subordinated deposits	24	14	12
Subordinated certificates	12,485	14,794	16,476
Preferred stock	—	—	194
Compound convertible financial instruments	4,876	5,271	6,133
Other non-convertible subordinated liabilities	7,609	9,523	10,149
Total	12,509	14,808	16,488

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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:

Perpetual Contingent Convertible Securities

The Annual General Shareholders' Meeting of BBVA held on March 17, 2017, resolved, under agenda item five, to confer authority on

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 date the resolution was adopted, up to the maximum overall amount of €8 billion

or its equivalent in any other currency. Likewise, the Annual General Shareholders' Meeting resolved to confer on the Board of

Directors 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

carried to cover the conversion of the mandatory convertible issues in use of 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 under the Annual General Shareholders'

Meeting 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 has made since 2020 the following contingently convertible issuance that qualifies as additional tier 1

capital of the Bank and the Group in accordance with Regulation (EU) 575/2013:

–On July 15, 2020, BBVA carried out an issuance of perpetual contingent convertible securities (additional tier 1

instruments), with exclusion of shareholders' pre-emptive subscription rights, 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.

Furthermore, the Annual General Shareholders' Meeting of BBVA held on April 20, 2021, resolved, under agenda item five, to

authorize the Board of Directors of BBVA, with sub-delegation powers, to issue convertible securities, whose conversion is contingent

and which are intended to meet regulatory requirements for their eligibility as capital instruments (CoCos), in accordance with the

solvency regulations applicable from time to time, subject to the legal and statutory provisions that may be applicable at any time.

The Board of Directors may make issues on one or several times within the maximum term of five years from the date on which this

resolution was adopted, up to the maximum overall amount of €8 billion or its equivalent in any other currency. The Board of

Directors may also resolve to exclude, either fully or partially, the pre-emptive subscription rights of shareholders within the

framework of a concrete issuance, complying in all cases with the legal requirements and limitations established for this purpose at

any given time. Likewise, the authority conferred by the Annual General Meeting of Shareholders held on March 17, 2017 under its

agenda item five was repealed in the unused part.

As of the date hereof the Bank has not made use of the authority granted by the BBVA General Shareholders' Meeting held on April

20, 2021.

These perpetual securities issued must 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 type of issuances made by the Bank 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, throughout the

financial years 2020, 2021 and 2022:

–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 was obtained.

–On April 14, 2021, the Bank early redeemed the issuance of contingently convertible preferred securities (additional tier 1

instruments) carried out by the Bank on April 14, 2016, for an amount of €1 billion on the First Reset Date of the issuance

and once the prior consent from the Regulator was obtained.

–On May 24, 2022, the Bank early redeemed the issuance of contingently convertible preferred securities (additional tier 1

instruments) carried out by the Bank on May 24, 2017, for an amount of €500 million on the First Reset Date and once the

prior consent from the Regulator was obtained.

Convertible Securities

Subsequently, the Annual General Shareholders' Meeting of BBVA held on March 18, 2022, resolved, under agenda item five, to confer

authority on the Board of Directors of BBVA, with sub-delegation powers, to issue securities convertible into new BBVA shares (other

than contingently convertible securities, envisaged to meet regulatory requirements for their eligibility as capital instruments (CoCos)

referred to in the resolutions adopted by BBVA's Annual General Shareholders' Meeting held on April 20, 2021, under agenda item

five), subject to provisions in the law and in BBVA's bylaws that may be applicable at any time, on one or several occasions within the

maximum term of five years to be counted as from the date on which the resolution was adopted, up to a maximum total amount of

€6 billion, or the equivalent in any other currency. The Board of Directors may also resolve to exclude, either fully or partially, the pre-

emptive subscription rights of shareholders within the framework of a specific issuance, complying in all cases with the legal

requirements and limitations established for this purpose at any given time.

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

As of the date hereof the Bank has not made use of the authority granted by the BBVA General Shareholders' Meeting held on March

18, 2022.

22.5Other financial liabilities

The breakdown of the balance under this heading in the consolidated balance sheets is as follows:


Other financial liabilities (Millions of Euros)
	2022	2021	2020
Lease liabilities (1)	1,398	2,560	2,674
Creditors for other financial liabilities	3,589	2,657	2,408
Collection accounts	3,426	3,839	3,275
Creditors for other payment obligations (2)	5,673	6,127	5,000
Total	14,086	15,183	13,358

(1) The variation in 2022 corresponds mainly to the closing of the transaction with Merlin Properties for which 100% of the shares of Tree Inversiones Inmobiliarias, SOCIMI, S.A.

were acquired by BBVA Group (see Note 17).

(2) In 2021, this caption includes the amount committed for the acquisition of own shares under the share buyback program (see Notes 2.2.14 and 4).

A breakdown of the maturity of the lease liabilities, due after December 31, 2022 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	142	260	305	691	1,398

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 geographical area. 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 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, 2022, 2021 and 2020, the balance under this heading amounted to €210 million, €269 million and €306 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 consolidated balance sheets. The breakdown of

the balance under this heading is as follows:

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Technical reserves (Millions of Euros)
	2022	2021	2020
Mathematical reserves	10,396	9,495	8,731
Individual life insurance (1)	8,682	7,265	6,268
Group insurance (2)	1,714	2,230	2,463
Provision for unpaid claims reported	612	706	672
Provisions for unexpired risks and other provisions	839	664	548
Total	11,848	10,865	9,951

(1) Provides coverage in the event of death, disability and serious illness.

(2) The insurance policies purchased by employers (other than BBVA Group) on behalf of their 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
2022	2,264	732	1,836	7,016	11,848
2021	1,808	290	1,664	7,103	10,865
2020	1,227	950	1,616	6,158	9,951

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, 2022, 2021 and 2020 used in the calculation of the mathematical

reserves for insurance products in Spain and Mexico, respectively:

Mathematical reserves

2022

2021

2020

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 (1)

GRMF

80-2,

GKM

80 /

GKMF

95,

PASEM,

GKMF

80/95,

PERFM

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

individual

Table of

CNSF M

2013

0.25%-

2.85%

4.30%

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 %

Group

insurance (2)

PERFM

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

grupo

Depending

on the

portfolio

5.50%

PERFM

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

grupo

Depending

on the

portfolio

5.50 %

PERFM

2000

Tables of

the

Comisión

Nacional

Seguros

y Fianzas

2000-

grupo

Depending

on the

portfolio

5.50 %

(1) Provides coverage in the case of one or more of the following events: death, disability and / or serious illness.

(2) Insurance policies purchased by companies (other than BBVA Group entities) on behalf of their employees.

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24.Provisions

The breakdown of the balance under this heading in the consolidated balance sheets, based on type of provisions, is as follows:


Provisions. Breakdown by concepts (Millions of Euros)
	Notes	2022	2021	2020
Provisions for pensions and similar obligations (1)	25	2,632	3,576	4,272
Other long term employee benefits (2)	25	466	632	49
Provisions for taxes and other legal contingencies	7.1	685	623	612
Provisions for contingent risks and commitments		770	691	728
Other provisions (3)		380	366	479
Total		4,933	5,889	6,141

(1) The variation is mainly due to the lower valuation of defined benefit commitments after the interest rate hike in Spain and benefit payments.

(2) The variation is mainly explained by the collective layoff procedure that was carried out at Banco Bilbao Vizcaya Argentaria, S.A. in 2021.

(3) Individually non-significant provisions, for various concepts and corresponding to different geographical areas.

The change in provisions for pensions and similar obligations for the years ended December 31, 2022, 2021 and 2020 is as follows:


Provisions for pensions, other post-employment obligations for defined benefit plans, and other long term employee benefits. Changes over the year (Millions of Euros)
	Notes	2022	2021	2020
Balance at the beginning		3,576	4,272	4,631
Charges to income for the year		26	141	298
Interest expense and similar charges		75	37	44
Personnel expense	44.1	43	49	49
Provision expense		(92)	56	205
Charges (credits) to equity (1)	25	(433)	(206)	191
Transfers and other changes (2)		23	(21)	(71)
Benefit payments	25	(492)	(608)	(654)
Employer contributions	25	(67)	(4)	(124)
Balance at the end		2,632	3,576	4,272

(1) Correspond to actuarial losses (gains) arising from certain post-employment defined-benefit commitments for pensions recognized in “Equity” (see Note 2.2.11).

(2) In 2020, it includes the amount of the USA Sale (see Notes 3 and 21).


Provisions for taxes, legal contingencies and other provisions. Changes over the year (Millions of Euros)
	2022	2021	2020
Balance at beginning	990	1,091	1,134
Additions (1)	417	1,175	555
Acquisition of subsidiaries	—	—	—
Unused amounts reversed during the year	(130)	(227)	(215)
Amount used and other variations (1)	(211)	(1,050)	(383)
Balance at the end	1,065	990	1,091

(1) In 2021, it includes the initial recognition of the estimated cost of the collective layoff procedure that was 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.

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 a maximum of 2,935 employees. The agreement also

included the closing of 480 offices. The cost of the process amounted to €994 million before taxes, of which €754 million

corresponded to the collective layoff and €240 million to the closing of offices (see Notes 17, 21, 46, 49 and 50). By the time the

procedure was over, 2,899 employees had accepted the agreement and effectively departed BBVA.

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

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 subject to lawsuits and 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, 2022, the provisions made in relation to

judicial proceedings and arbitrations, where so required, are adequate and reasonably cover the liabilities that might arise, if any, from

such proceedings and arbitrations. 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, 2022, 2021 and 2020 is provided

below:


Net defined benefit liability (asset) on the consolidated balance sheet (Millions of Euros)
	Notes	2022	2021	2020
Pension commitments		3,661	4,218	4,539
Early retirement commitments		606	952	1,247
Medical benefits commitments		1,448	1,377	1,562
Other long term employee benefits		466	632	49
Total commitments		6,181	7,180	7,398
Pension plan assets		1,608	1,494	1,608
Medical benefit plan assets		1,476	1,494	1,484
Total plan assets (1)		3,084	2,988	3,092

Total net liability / asset		3,097	4,193	4,305
Of which: Net asset on the consolidated balance sheet (2)		(1)	(15)	(16)
Of which: Net liability on the consolidated balance sheet for provisions for pensions and similar obligations (3)	24	2,632	3,576	4,272
Of which: Net liability on the consolidated balance sheet for other long term employee benefits (4)	24	466	632	49

(1) In Turkey, the foundation responsible for managing the benefit commitments holds an additional asset of €188 million as of December 31, 2022 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.

(2) Recorded under the heading “Other Assets - Other” of the consolidated balance sheet (see Note 20).

(3) Recorded under the heading “Provisions - Provisions for pensions and similar obligations” of the consolidated balance sheet.

(4) 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 was carried out at Banco Bilbao Vizcaya Argentaria, S.A.

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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 2022, 2021 and 2020 is as

follows:


Consolidated income statement impact (Millions of Euros)
	Notes	2022	2021	2020
Interest and other expense		75	37	44
Interest expense		342	257	265
Interest income		(267)	(220)	(220)
Personnel expense		130	120	121
Defined contribution plan expense	44.1	87	71	72
Defined benefit plan expense	44.1	43	49	49
Provisions or (reversal) of provisions	46	(89)	61	210
Early retirement expense		—	100	224
Past service cost expense		34	(28)	(8)
Remeasurements (1)		(126)	(16)	(11)
Other provision expense		3	6	4
Total impact on consolidated income statement: expense (income)		116	218	375

(1) 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, 2022, 2021 and 2020 are as follows:


Equity impact (Millions of Euros)
	2022	2021	2020
Defined benefit plans	(363)	52	161
Post-employment medical benefits	(71)	(257)	30
Total impact on equity: debit (credit)	(433)	(206)	191

In 2022, the aggregate impact of this heading amounted to a credit of €433 million driven by the variation in financial assumptions,

gains of €558 million from commitments in Spain, and losses of €72 million for commitments in Mexico. These amounts are offset by

other minor effects of actuarial experience in these geographical areas and financial, demographic and experience effects in other

geographical areas.

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 a debit of €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.

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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, 2022, 2021 and 2020 is presented below:


Defined benefits (Millions of Euros)
	2022			2021			2020
	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	6,547	2,988	3,560	7,348	3,092	4,256	8,116	3,493	4,622
Current service cost	45	—	45	53	—	53	53	—	53
Interest income/expense	333	267	65	253	220	33	261	219	42
Contributions by plan participants	10	10	—	5	5	—	4	4	—
Employer contributions	—	67	(67)	—	4	(4)	—	124	(124)
Past service costs (1)	34	—	34	75	—	75	219	—	219
Remeasurements:	(741)	(240)	(501)	(406)	(184)	(223)	364	176	187
Return on plan assets (2)	—	(240)	240	—	(184)	184	—	176	(176)
From changes in demographic assumptions	(29)	—	(29)	(121)	—	(121)	57	—	57
From changes in financial assumptions	(812)	—	(812)	(259)	—	(259)	276	—	276
Other actuarial gains and losses	100	—	100	(27)	—	(27)	30	—	30
Benefit payments	(676)	(184)	(492)	(765)	(158)	(608)	(839)	(185)	(654)
Settlement payments	(4)	(4)	—	(1)	(1)	—	—	—	—
Business combinations and disposals (3)	—	—	—	(2)	1	(3)	(371)	(327)	(44)
Effect on changes in foreign exchange rates	161	180	(20)	(24)	8	(32)	(459)	(409)	(50)
Conversions to defined contributions	—	—	—	—	—	—	—	—	—
Other effects	7	—	7	13	—	13	1	(3)	4
Balance at the end	5,715	3,084	2,631	6,547	2,988	3,560	7,348	3,092	4,256
Of which: Spain	2,546	147	2,399	3,670	206	3,464	4,288	249	4,039
Of which: Mexico	2,426	2,329	97	2,150	2,149	1	2,219	2,122	97
Of which: The United States	—	—	—	—	—	—	—	—	—
Of which: Turkey	418	315	103	272	209	63	367	282	85

(1) Including gains and losses arising from settlements.

(2) Excluding interest, which is recorded under "Interest income or expense".

(3) The amount in 2020 in mainly due to the companies in the United States included in the USA Sale (see Notes 3 and 21).

The balance under the heading “Provisions - Pensions and other post-employment defined benefit obligations” of the consolidated

balance sheet as of December 31, 2022 includes €201 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.

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The following table sets out the key actuarial assumptions used in the valuation of these commitments as of December 31, 2022, 2021

and 2020:


Actuarial assumptions (%)
	2022			2021			2020
	Spain	Mexico	Turkey	Spain	Mexico	Turkey	Spain	Mexico	Turkey
Discount rate	3.91 %	10.68 %	17.79 %	0.74 %	9.68 %	19.10 %	0.53 %	8.37 %	13.00 %
Rate of salary increase	—	4.50 %	15.86 %	—	4.00 %	16.60 %	—	4.00 %	11.20 %
Rate of pension increase	—	4.41 %	14.36 %	—	2.95 %	15.10 %	—	1.94 %	9.70 %
Medical cost trend rate	—	8.04 %	18.56 %	—	7.00 %	19.30 %	—	7.00 %	13.90 %
Mortality tables	PER 2020	EMSSA09	TUIK 2019	PER 2020	EMSSA09	CSO2001	PER 2020	EMSSA09	CSO2001

In Spain, the discount rate shown as of December 31, 2022, corresponds to the weighted average rate, the actual discount rates used

are 3.75% and 4% 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	2022		2021		2020
	Basis points change	Increase	Decrease	Increase	Decrease	Increase	Decrease
Discount rate	50	(321)	350	(282)	307	(354)	390
Rate of salary increase	50	1	(1)	2	(2)	4	(4)
Rate of pension increase	50	32	(39)	28	(26)	29	(27)
Medical cost trend rate	50	119	(106)	109	(98)	145	(129)
Change in obligation from each additional year of longevity		113	—	170	—	211	—

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 included a fund related to the

collective layoff procedure that was carried out in Banco Bilbao Vizcaya Argentaria, S.A. in 2021. As of December 31, 2022, 2021 and

2020, the actuarial liabilities for the outstanding awards amounted to €466 million, €632 million and €49 million, respectively. These

commitments are recorded under the heading "Provisions - Other long-term employee benefits" of the 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 2021 and 2020 the 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 and 781 employees during

2021 and 2020, respectively (0 employees in 2022). 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, 2022, 2021 and 2020, the

value of these commitments amounted to €606 million, €952 million and €1,247 million, respectively.

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The change in the benefit plan obligations and plan assets during the year ended December 31, 2022 was as follows:


Post-employment commitments 2022 (Millions of Euros)
	Spain	Mexico	Turkey	Rest of the world
Defined benefit obligation
Balance at the beginning	3,670	779	272	449
Current service cost	4	7	13	3
Interest income or expense	53	84	42	10
Contributions by plan participants	—	—	8	1
Employer contributions	—	—	—	—
Past service costs (1)	—	1	2	3
Remeasurements:	(677)	107	166	(122)
Return on plan assets (2)	—	—	—	—
From changes in demographic assumptions	—	—	(37)	8
From changes in financial assumptions	(643)	73	82	(132)
Other actuarial gains and losses	(34)	34	122	2
Benefit payments	(511)	(77)	(15)	(13)
Settlement payments	—	(1)	—	(3)
Business combinations and disposals	—	—	—	—
Effect on changes in foreign exchange rates	—	85	(70)	(9)
Conversions to defined contributions	—	—	—	—
Other effects	7	—	—	—
Balance at the end	2,546	985	418	318
Of which: Vested benefit obligation relating to current employees	2,491
Of which: Vested benefit obligation relating to retired employees	55

Plan Assets
Balance at the beginning	206	655	209	424
Current service cost	—	—	—	—
Interest income or expense	2	69	33	6
Contributions by plan participants	—	—	8	1
Employer contributions	—	41	22	3
Past service costs (1)	—	—	—	—
Remeasurements:	(34)	(45)	104	(121)
Return on plan assets (2)	(34)	(45)	104	(121)
From changes in demographic assumptions	—	—	—	—
From changes in financial assumptions	—	—	—	—
Other actuarial gains and losses	—	—	—	—
Benefit payments	(27)	(77)	(9)	(12)
Settlement payments	—	(1)	—	(3)
Business combinations and disposals	—	139	—	—
Effect on changes in foreign exchange rates	—	72	(52)	(6)
Conversions to defined contributions	—	—	—	—
Other effects	—	—	—	—
Balance at the end	147	853	315	293

Net liability (asset)
Balance at the beginning	3,464	124	63	24
Current service cost	4	7	13	3
Interest income or expense	51	14	10	4
Contributions by plan participants	—	—	—	—
Employer contributions	—	(41)	(22)	(3)
Past service costs (1)	—	1	2	3
Remeasurements:	(643)	152	62	(1)
Return on plan assets (2)	34	45	(104)	121
From changes in demographic assumptions	—	—	(37)	8
From changes in financial assumptions	(643)	73	82	(132)
Other actuarial gains and losses	(34)	34	122	2
Benefit payments	(484)	—	(6)	(1)
Settlement payments	—	—	—	—
Business combinations and disposals	—	(139)	—	—
Effect on changes in foreign exchange rates	—	13	(18)	(3)
Conversions to defined contributions	—	—	—	—
Other effects	7	—	—	—
Balance at the end	2,399	132	103	25

(1) Including gains and losses arising from settlements.

(2) Excluding interest, which is recorded under "Interest income or expense".

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The change in net liabilities (assets) during the years ended December 31, 2021 and 2020 was as follows:


Post-employment commitments (Millions of Euros)
	2021: Net liability (assets)				2020: Net liability (assets)
	Spain	Mexico	Turkey	Rest of the world	Spain	Mexico	The United States	Turkey	Rest of the world
Balance at the beginning	4,039	28	85	27	4,326	72	52	86	38
Current service cost	5	5	16	3	5	5	1	18	3
Interest income or expense	20	1	9	1	28	6	2	8	1
Contributions by plan participants	—	—	—	—	—	—	—	—	—
Employer contributions	11	(2)	(11)	(1)	—	(86)	—	(14)	(1)
Past service costs (1)	75	—	2	2	224	(1)	—	2	3
Remeasurements:	(98)	128	10	(5)	95	62	(4)	18	(14)
Return on plan assets (2)	8	49	(11)	19	(41)	(31)	(35)	23	(26)
From changes in demographic assumptions	—	(4)	—	(2)	60	—	(3)	—	—
From changes in financial assumptions	(61)	84	(18)	(7)	79	(19)	34	54	17
Other actuarial gains and losses	(45)	(2)	39	(15)	(3)	112	—	(59)	(5)
Benefit payments	(599)	(1)	(6)	(1)	(643)	(1)	(2)	(6)	(1)
Settlement payments	—	—	—	—	—	—	—	—	—
Business combinations and disposals	—	(40)	—	(2)	—	(19)	(44)	—	—
Effect on changes in foreign exchange rates	—	5	(43)	1	—	(10)	(5)	(26)	(4)
Conversions to defined contributions	—	—	—	—	—	—	—	—	—
Other effects	12	—	—	—	3	—	—	—	—
Balance at the end	3,464	124	63	24	4,039	28	—	85	27

(1) Includes gains and losses from settlements.

(2) 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 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, 2022 the value of these separate assets was €1,656 million, (€2,326 and

€2,572 million as of December 31, 2021 and 2020, 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 consolidated balance sheet reflects the value of the obligations net of the fair value of the qualifying

insurance policies. As of December 31, 2022, 2021 and 2020, the value of the aforementioned insurance policies (€147, €206 and

€249 million, respectively) exactly match the value of the corresponding obligations and therefore no amount for this item has been

recorded in the 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 €292 million as of December 31, 2022 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.

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25.1.2Medical benefit commitments

The change in defined benefit obligations and plan assets during the years 2022, 2021 and 2020 was as follows:


Medical benefits commitments (Millions of Euros)
	2022			2021			2020
	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	1,377	1,494	(116)	1,562	1,484	77	1,580	1,532	48
Current service cost	19	—	19	24	—	24	21	—	21
Interest income or expense	144	157	(14)	131	129	2	117	120	(3)
Contributions by plan participants	—	—	—	—	—	—	—	—	—
Employer contributions	—	—	—	—	1	(1)	—	22	(22)
Past service costs (1)	28	—	28	(5)	—	(5)	(8)	—	(8)
Remeasurements:	(215)	(144)	(71)	(377)	(119)	(257)	95	66	30
Return on plan assets (2)	—	(144)	144	—	(119)	119	—	66	(66)
From changes in demographic assumptions	—	—	—	(115)	—	(115)	—	—	—
From changes in financial assumptions	(191)	—	(191)	(257)	—	(257)	110	—	110
Other actuarial gain and losses	(23)	—	(23)	(4)	—	(4)	(15)	—	(15)
Benefit payments	(60)	(60)	—	(49)	(48)	—	(37)	(37)	—
Settlement payments	—	—	—	—	—	—	—	—	—
Business combinations and disposals	—	(139)	139	—	(39)	39	—	(19)	19
Effect on changes in foreign exchange rates	155	167	(11)	90	86	4	(207)	(201)	(6)
Other effects	—	—	—	—	—	—	—	—	—
Balance at the end	1,448	1,476	(28)	1,377	1,494	(116)	1,562	1,484	77

(1) Including gains and losses arising from settlements.

(2) 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, 2022, 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)
	2023	2024	2025	2026	2027	2028 - 2032
Commitments in Spain	522	384	326	279	242	794
Commitments in Mexico	159	171	180	189	198	1,148
Commitments in Turkey	19	16	20	24	31	265
Total	700	571	526	493	471	2,208

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.

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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, 2022, 2021 and

2020:


Plan assets breakdown (Millions of Euros)
	2022	2021	2020
Cash or cash equivalents	169	24	38
Debt securities (government bonds)	2,270	2,394	2,707
Mutual funds	—	1	1
Asset-backed securities	—	—	—
Structured debt	—	—	—
Insurance contracts	183	148	140
Total	2,622	2,566	2,887
Of which: Bank account in BBVA	7	3	4
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, 2022, 2021 and 2020:


Investments in listed markets (Millions of Euros)
	2022	2021	2020
Cash or cash equivalents	169	24	38
Debt securities (Government bonds)	2,270	2,394	2,707
Mutual funds	—	1	1
Total	2,439	2,418	2,747
Of which: Bank account in BBVA	7	3	4
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, 2022, almost all of the assets related to employee commitments corresponded to

fixed income securities.

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.

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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 consolidated balance sheet (see Note 44.1).

26.Common stock

As of December 31, 2022 BBVA’s share capital amounted to €2,954,757,116.36 divided into 6,030,116,564 shares, while as of each of

December 31, 2021 and 2020 BBVA’s share capital amounted to €3,267,264,424.20 divided into 6,667,886,580 shares. The

decrease was the result of the partial executions of the share capital reduction resolution adopted by the Ordinary General

Shareholders' Meeting of BBVA held on March 18, 2022, under item seven of its agenda, which were notified by means of Other

Relevant Information on June 15, 2022 and on September 30, 2022 (see Note 4).

As of December 31, 2022, 2021 and 2020, the shares were fully subscribed and paid-up registered, all of the same class and series, at

€0.49 par value each, represented through book-entry accounts. All of the Bank´s 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 capital.

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, 2022, 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, 2022, 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 14.88%, 2.12%, and 6.84% 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.

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 to BBVA 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 Annual General Shareholders' Meeting held on March 18, 2022 resolved, under agenda item four, to confer authority on the

Board of Directors of BBVA to increase BBVA's share capital, on one or several occasions, within the legal term of five years to be

counted as from the date on which this resolution was adopted, up to the maximum amount corresponding to 50% of BBVA's share

capital at the time of this authorization. Likewise, the Annual General Shareholders' Meeting resolved to confer on the Board of

Directors authority to totally or partially exclude shareholders' pre-emptive subscription rights within the framework of a specific

issue of shares that may be made thereunder.

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However, the power to exclude pre-emptive subscription rights was limited, such that the nominal amount of any share capital

increases resolved or effectively carried out with the exclusion of pre-emptive subscription rights in use of this authority and those

that may be resolved or carried out to cover the conversion of convertible issuances that may equally be made with the exclusion of

pre-emptive subscription rights in use of the authority delegated to issue securities convertible into new BBVA shares (other than

contingently convertible securities, envisaged to meet regulatory requirements for their eligibility as capital instruments (CoCos)) as

resolved by BBVA's Annual General Shareholders' Meeting held on March 18, 2022 under agenda item five (without prejudice to anti-

dilution adjustments), may not exceed the nominal maximum overall amount of 10% of BBVA's share capital at the time of this

authorization. This authority repealed the authority conferred by the Annual General Meeting of Shareholders held on March 17, 2017

under its agenda item four, which BBVA did not use.

As of the date of this document, the Bank has not exercised the authority conferred by the General Shareholders' Meeting.

Capital Decrease

BBVA's Annual General Shareholders' Meeting held on March 18, 2022 resolved, under agenda item seven, to approve the share

capital reduction of BBVA by up to a maximum amount of 10% of the share capital on the date of this resolution, through the

redemption of own shares acquired derivatively by BBVA, both those acquired by virtue of the authorization granted by the BBVA

General Shareholders' Meeting held on March 16, 2018 under item three of the agenda, and those that may be acquired by virtue of

the authorization granted by the General Shareholders' Meeting held on March 18, 2022 under item six of the agenda, through any

mechanism whose objective or purpose is redemption. The implementation period of this resolution will end on the date of the next

Annual General Shareholders' Meeting, being rendered null and void from that date in respect of the amount not executed. The

Annual General Shareholders' Meeting conferred authority on the Board of Directors of BBVA, with sub-delegation powers, to totally

or partially execute the aforementioned share capital reduction, on one or more occasions, repealing the resolution adopted by the

Annual General Shareholders' Meeting held on April 20, 2021 under agenda item six, which BBVA did not use.

Within the framework of the share buyback program (see Note 4), BBVA has executed the following share capital reductions during

the financial year 2022:

–On June 15, 2022, BBVA notified the partial execution of the share capital reduction resolution adopted by the Annual

General Shareholders’ Meeting of BBVA held on 18 March 2022, through the reduction of BBVA’s share capital in a nominal

amount of €137,797,167.90 and the consequent redemption, charged to unrestricted reserves, of 281,218,710 own shares

of €0.49 par value each acquired derivatively by the Bank in execution of the First Tranche of the share buyback program

Scheme and which were held as treasury shares.

–On September 30, 2022, BBVA notified through Other Relevant Information an additional partial execution of the share

capital reduction resolution adopted by the Annual General Shareholders’ Meeting of BBVA held on 18 March 2022, through

the reduction of BBVA’s share capital in a nominal amount of €174,710,139.94 and the consequent redemption, charged to

unrestricted reserves, of 356,551,306 own shares of €0.49 par value each acquired derivatively by the Bank in execution of

the First Segment and Second Segment of the Second Tranche of the share buyback program Scheme and which were held

as treasury shares.

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, 2022, the balance under this heading in the consolidated balance sheets was €20,856 million. As of December 31,

2021 and 2020, the balance under this heading was €23,599 and €23,992 million, respectively (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).

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28.Retained earnings, revaluation reserves and other reserves

28.1Breakdown of the balance

The breakdown of the balance under this heading in the consolidated balance sheets is as follows:


Retained earnings, revaluation reserves and other reserves. Breakdown by concepts (Millions of Euros)
	2022	2021	2020
Legal reserve	591	653	653
Restricted reserve	482	761	120
Voluntary reserves (1)	3,906	3,994	8,117
Total reserves holding company (2)	4,979	5,409	8,890
Consolidation reserves attributed to the Bank and subsidiary consolidated companies	29,902	24,575	21,454
Total	34,881	29,984	30,344

(1) The variation in 2021 is mainly due to the allocation of earnings of BBVA, S.A. and the share buyback program (see Note 4).

(2) 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, 2022, 2021 and 2020, the Bank’s restricted reserves are as follows:


Restricted reserves. Breakdown by concepts (Millions of Euros)
	2022	2021	2020
Restricted reserve for retired capital (1)	400	88	88
Restricted reserve for Parent Company shares and loans for those shares (2)	80	672	30
Restricted reserve for redenomination of capital in euros	2	2	2
Total	482	761	120

(1) The change in 2022 is a consequence of the partial executions of the capital reduction resolution adopted by BBVA's General Shareholders' Meeting held on March 18, 2022

(see Note 26).

(2) The balance of 2021 is mainly due to the share buyback program (see Note 4).

Until 2021, the restricted reserve for retired capital resulted from the reduction of the nominal par value of the BBVA shares made in

April 2000. In 2022 includes the reserve corresponding to the share capital reduction in 2022.

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.

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.

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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 consolidated balance sheets is as follows:


Retained earnings, revaluation reserves and other reserves. Breakdown by company or corporate group (Millions of Euros)
	2022	2021	2020
Retained earnings (losses), revaluation reserves and other reserves
Holding Company	14,003	12,467	15,014
BBVA Mexico Group	13,839	13,894	12,890
Garanti BBVA Group	5,710	3,043	2,509
BBVA Provincial Group	1,720	1,721	1,731
BBVA Argentina Group	1,456	1,423	1,302
BBVA Colombia Group	1,510	1,393	1,287
BBVA Peru Group	1,065	1,031	984
Corporación General Financiera, S.A.	338	322	920
Forum Servicios Financieros S.A.	632	604	619
Sociedades inmobiliarias CX	263	277	251
BBV America, S.L.	299	270	262
BBVA Seguros, S.A.	284	239	(35)
Pecri Inversión, S.L.	119	118	114
BBVA Uruguay Group	118	106	87
Bilbao Vizcaya Holding, S.A.	144	68	77
Compañía de Cartera de Inversiones, S.A.	65	42	59
Gran Jorge Juan, S.A.	61	57	42
BBVA USA Group	—	—	(1,098)
Anida Grupo Inmobiliario	(525)	(556)	(594)
Sociedades inmobiliarias Unnim	(647)	(655)	(617)
Anida Operaciones Singulares, S.A.	(5,529)	(5,512)	(5,409)
Other	177	(121)	112
Subtotal (1)	35,102	30,231	30,508
Other reserves or accumulated losses of investments in joint ventures and associates
Atom Holdco Limited	(169)	(158)	(91)
Metrovacesa, S.A.	(84)	(84)	(84)
Other	32	(5)	11
Subtotal	(221)	(247)	(164)
Total	34,881	29,984	30,344

(1) 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.

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29.Treasury shares

In the years ended December 31, 2022, 2021 and 2020 the Group entities performed the following transactions with shares issued by

the Bank:


Treasury shares (Millions of Euros)
	2022		2021		2020
	Number of Shares	Millions of Euros	Number of Shares	Millions of Euros	Number of Shares	Millions of Euros
Balance at beginning	127,633,399	647	14,352,832	46	12,617,189	62
+ Purchases	598,457,024	2,966	203,530,570	1,022	234,691,887	807
- Sales and other changes	(720,605,009)	(3,583)	(90,250,003)	(417)	(232,956,244)	(830)
+/- Derivatives on BBVA shares	—	—	—	(4)	—	7
+/- Other changes	—	—	—	—	—	—
Balance at the end	5,485,414	29	127,633,399	647	14,352,832	46
Of which:
Held by BBVA, S.A.	—	3	112,733,730	574	592,832	9
Held by Corporación General Financiera, S.A.	5,454,516	26	14,899,669	72	13,760,000	37
Held by other subsidiaries	30,898	—	—	—	—	—
Average purchase price in Euros	4.96	—	5.02	—	3.44	—
Average selling price in Euros	4.99	—	4.89	—	3.63	—
Net gains or losses on transactions (Shareholders' funds-Reserves)		9		17		—

In 2022 and 2021 there were transactions included in the share buyback program (see Note 4).

The percentages of treasury shares held by the Group in the years ended December 31, 2022, 2021 and 2020 are as follows:


Treasury Share
	2022			2021			2020
	Min	Max	Closing	Min	Max	Closing	Min	Max	Closing
% treasury share	0.078%	7.492%	0.094%	0.108 %	1.922 %	1.914 %	0.008 %	0.464 %	0.215 %

The number of BBVA shares accepted by the Group in pledge of loans as of December 31, 2022, 2021 and 2020 is as follows:


Shares of BBVA accepted in pledge
	2022	2021	2020
Number of shares in pledge	23,437,363	29,372,853	39,407,590
Nominal value (in Euros)	0.49	0.49	0.49
% of share capital	0.39%	0.44%	0.59%

The number of BBVA shares owned by third parties but under management of a company within the Group as of December 31, 2022,

2021 and 2020 is as follows:


Shares of BBVA owned by third parties but managed by the Group
	2022	2021	2020
Number of shares owned by third parties	18,686,027	17,645,506	18,266,509
Nominal value (in Euros)	0.49	0.49	0.49
% of share capital	0.31%	0.26%	0.27%

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30.Accumulated other comprehensive income (loss)

The breakdown of the balance under this heading in the consolidated balance sheets is as follows


Accumulated other comprehensive income (loss). Breakdown by concepts (Millions of Euros)
	Notes	2022	2021	2020
Items that will not be reclassified to profit or loss		(1,881)	(2,075)	(2,815)
Actuarial gains (losses) on defined benefit pension plans		(760)	(998)	(1,474)
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	(1,194)	(1,079)	(1,256)
Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk		72	2	(21)
Items that may be reclassified to profit or loss		(15,550)	(14,401)	(11,541)
Hedge of net investments in foreign operations (effective portion)		(1,408)	(146)	(62)
Mexican peso		(1,751)	(681)	(362)
Turkish lira		358	555	317
Other exchanges		(15)	(19)	(18)
Foreign currency translation		(13,103)	(14,988)	(14,185)
Mexican peso		(2,813)	(4,503)	(5,220)
Turkish lira		(6,601)	(6,607)	(4,960)
Argentine peso		(869)	(1,024)	(1,247)
Venezuela Bolívar		(1,850)	(1,858)	(1,860)
Other exchanges		(971)	(995)	(898)
Hedging derivatives. Cash flow hedges (effective portion)		(458)	(533)	10
Fair value changes of debt instruments measured at fair value through other comprehensive income	13.4	(562)	1,274	2,069
Non-current assets and disposal groups classified as held for sale (1)		—	—	644
Share of other recognized income and expense of investments in joint ventures and associates		(18)	(9)	(17)
Total		(17,432)	(16,476)	(14,356)

(1) Corresponds mainly to BBVA USA in 2020 (see Notes 3 and 21).

The balances recognized under these headings are presented net of tax.

The main changes in 2022 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 Argentine peso (38.3%), the Turkish lira (23.7%) and the Colombian peso

(12.1%), partially offset by the appreciation against the euro of the Mexican peso (11.0%) and Peruvian sol (11.0%), and the

application of IAS 29 in Turkey (see Note 2.2.19) and the recognition under "Foreign currency translation" of the 36.12% acquired

from minority interest (see Note 3).

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31.Non-controlling interest

The breakdown by groups of consolidated entities under the heading “Minority interests (non-controlling interest)” of total equity in

the consolidated balance sheets is as follows:


Non-controlling interests. Breakdown by subgroups (Millions of Euros)
	2022	2021	2020
Garanti BBVA (1)	1,180	2,851	3,692
BBVA Peru	1,469	1,212	1,171
BBVA Argentina	687	557	416
BBVA Colombia	73	76	70
BBVA Venezuela	95	70	65
Other entities	119	87	56
Total	3,624	4,853	5,471

(1) The change corresponds mainly to the voluntary takeover bid for the entire share capital of Türkiye Garanti Bankası A.Ş. completed on May 18, 2022 (see Note 3).

These amounts are broken down by groups of consolidated entities under the heading “Attributable to minority interests (non-

controlling interests)” in the consolidated income statements:


Profit attributable to non-controlling interests. Breakdown by subgroups (Millions of Euros)
	2022	2021	2020
Garanti BBVA (1)	29	758	579
BBVA Peru	236	143	126
BBVA Argentina	83	26	38
BBVA Colombia	5	9	6
BBVA Venezuela	22	3	2
Other entities	32	25	5
Total	407	965	756

(1) The change corresponds mainly to the IAS 29 implementation and the voluntary takeover bid for the entire share capital of Türkiye Garanti Bankası A.Ş. completed on May 18,

2022 (see Notes 2.2.19 and 3).

Dividends distributed to non-controlling interest of the Group during the year 2022 are: BBVA Banco Continental Group €109 million,

BBVA Garanti Group €49 million and other Group entities €27 million.

32.Capital base and capital management

32.1Capital base

As of December 31, 2022, 2021 and 2020, 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.

Regarding the minimum capital requirements, the ECB informed the Group that the Pillar 2 requirement would remain at 1.5% (of

which at least 0.84% must be CET1) since March 1, 2022. Therefore, BBVA should maintain a CET1 capital ratio of 8.60% and a total

capital ratio of 12.76% at a consolidated level, which once updated taking into account the countercyclical buffer as of December 31,

2022, are 8.63% and 12.79%, respectively).

In addition, after the latest SREP (Supervisory Review and Evaluation Process) decision, applicable as from January 1, 2023, the ECB

has informed the Group that it must maintain a total capital ratio of 13.00% and a CET1 capital ratio of 8.75% at the consolidated

level, which include the consolidated Pillar 2 requirement of 1.71% (at least 0.96% must be CET1), of which 0.21% (0.12% must be

CET1) is determined on the basis of the ECB's prudential provisioning expectation which, as of January 1, 2023, will no longer be

treated as a deduction from CET1, with a 19 basis points positive effect on fully-loaded CET1 ratio as of December 31, 2022.

The BBVA Group has set the objective of maintaining a fully-loaded CET1 ratio at a consolidated level between 11.5% and 12.0%,

increasing the target distance to the minimum requirement (8.63% until December 31, 2022 and 8.75% since January 1, 2023) at 287

and 337 basis points (275 and 325 basis points since January 1, 2023). At closing of the financial year 2022, the fully-loaded CET1

ratio was above this target management range.

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A reconciliation of the main figures between the accounting and regulatory own funds as of December 31, 2022, 2021 and 2020 is

shown below:


Eligible capital resources (Millions of Euros)
	Notes	2022 ⁽¹⁾	2021	2020
Capital	26	2,955	3,267	3,267
Share premium	27	20,856	23,599	23,992
Retained earnings, revaluation reserves and other reserves	28	34,881	29,984	30,344
Other equity instruments, net		63	60	42
Treasury shares	29	(29)	(647)	(46)
Profit (loss) attributable to the parent company	5	6,420	4,653	1,305
Interim dividend		(722)	(532)	—
Total equity		64,422	60,384	58,904
Accumulated other comprehensive income (loss)	30	(17,432)	(16,476)	(14,356)
Non-controlling interest	31	3,624	4,853	5,472
Shareholders' equity		50,615	48,760	50,020
Goodwill and other intangible assets		(1,395)	(1,484)	(3,775)
Deductions		(1,395)	(1,484)	(3,775)
Differences from solvency and accounting perimeter		(123)	(130)	(186)
Equity not eligible at solvency level		(123)	(130)	(186)
Other adjustments and deductions (2)		(6,357)	(7,197)	(3,128)
Common Equity Tier 1 (CET 1)		42,740	39,949	42,931
Additional Tier 1 before Regulatory Adjustments		5,193	5,737	6,666
Total Regulatory Adjustments to Additional Tier 1		—	—	—
Tier 1		47,933	45,686	49,597
Tier 2		5,930	7,383	8,548

Total Capital (Total Capital=Tier 1 + Tier 2)		53,863	53,069	58,145
Total Minimum equity required		43,115	39,275	45,042

(1) Provisional data.

(2) 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 in 2021 (see Note 4) and the amount of shareholders remuneration pending to be distributed.

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The Group’s eligible own funds and risk-weighted assets (RWAs) in accordance with the aforementioned applicable regulation as of

December 31, 2022, 2021 and 2020 are shown below:


Amount of capital CC1 (Millions of Euros)
	2022 ⁽¹⁾	2021	2020
Capital and share premium	23,810	26,866	27,259
Retained earnings and equity instruments	31,436	30,745	29,974
Other accumulated income and other reserves	(13,952)	(17,200)	(14,023)
Minority interests	1,853	2,800	3,656
Net interim attributable profit	3,814	2,573	860
Common Equity Tier I (CET1) before other regulatory adjustments	46,962	45,784	47,726
Goodwill and intangible assets	(1,395)	(1,484)	(3,455)
Direct, indirect and synthetic holdings in own Common Equity Tier I instruments (2)	(356)	(2,800)	(366)
Deferred tax assets	(1,057)	(1,009)	(1,478)
Other deductions and filters	(1,414)	(542)	504
Total common equity Tier 1 regulatory adjustments	(4,222)	(5,835)	(4,795)
Common equity TIER 1 (CET1)	42,740	39,949	42,931
Capital instruments and share premium accounts classified as liabilities and qualifying as Additional Tier I	4,875	5,265	6,130
Qualifying Tier 1 capital included in consolidated AT1 capital issued by subsidiaries and held by third parties	318	472	536
Additional Tier 1 (CET 1) before regulatory adjustments	5,193	5,737	6,666
Transitional CET 1 adjustments	—	—	—
Total regulatory adjustments to additional Tier 1	—	—	—
Additional Tier 1 (AT1)	5,193	5,737	6,666
Tier 1 (Common equity TIER 1+ additional TIER 1)	47,933	45,686	49,597
Capital instruments and share premium accounted as Tier 2	3,510	4,324	4,540
Qualifying Tier 2 capital included in consolidated T2 capital issued by subsidiaries and held by third parties	2,310	2,516	3,410
Credit risk adjustments	213	722	604
Tier 2 before regulatory adjustments	6,033	7,562	8,554
Tier 2 regulatory adjustments	(103)	(179)	(6)
Tier 2	5,930	7,383	8,547
Total capital (Total capital=Tier 1 + Tier 2)	53,863	53,069	58,145
Total RWA	337,102	307,795	353,273
CET 1 (phased-in)	12.68 %	12.98 %	12.15 %
Tier 1 (phased-in)	14.22%	14.84%	14.04%
Total capital (phased-in)	15.98%	17.24%	16.46%

(1) Provisional data.

(2) With respect to 2021, it includes mainly the amount of shares pending to be acquired under the share buyback program based on the maximum limit authorized by the ECB for

the BBVA Group as of December 31, 2021 (see Note 4).

As of December 31, 2022, the Common Equity Tier 1 (CET1) fully-loaded ratio stood at 12.61% which represented a reduction of -14

basis points with respect to 2021, with the CET1 phased-in ratio at 12.68%, which represented a reduction of -30 basis points with

respect to 2021. The difference between the CET1 fully-loaded ratio and the CET1 phased-in ratio 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 the corporate transactions carried out during the year, with a combined impact of -38

basis points of CET1. These operations are the agreement reached with Neon Payments Limited in the first quarter of 2022, the

voluntary takeover bid for Garanti BBVA and the acquisition of 100% of Tree from Merlin in the second quarter of 2022 (see Notes 3

and 17). In addition, these ratios include the positive impact of the partial reversion of the share buyback program, as well as the

offsetting in equity of the effects of hyperinflation on earnings. Excluding these impacts during the year, the organic generation of

profits, net of shareholder remuneration and payments made in respect of BBVA’s contingent convertible bonds (CoCos),

contributed by +106 basis points to the CET1 ratio and offset the increase in RWAs, the market evolution as well as the supervisory

effects.

Fully-loaded risk-weighted assets (RWAs) increased by approximately €30,000 million, mainly as a result of organic generation and

the supervisory effects abovementioned.

The fully-loaded additional Tier 1 capital ratio (AT1) stood at 1.54% (1.54% phased-in) at December 31, 2022, which included a

reduction of €500 million due to the early redemption of a series of CoCos issued in 2017.

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The fully-loaded Tier 2 ratio stood at 1.79%, which represents a reduction of -58 basis points compared to December 31, 2021, mainly

explained by the RWA growth during the year as well as the reduction in the computability of provisions from internal credit models.

The phased-in Tier 2 ratio stood at 1.76%. The difference with the fully-loaded Tier 2 ratio relates mainly to the transitional treatment

of certain subordinated issuances.

As result of the above, the total fully-loaded capital ratio stood at 15.94% as of December 31, 2022, and the total phased-in ratio stood

at 15.98%.

Regarding MREL (Minimum Requirement for Own Funds and Eligible Liabilities) requirements, on March 8, 2022, the Bank announced

that it had received a communication from the Bank of Spain of its minimum level of own funds and eligible liabilities requirement

(MREL), as determined by the Single Resolution Board (SRB), repealing and superseding the previous MREL requirement

communicated in May 2021.

In accordance with this new MREL communication, BBVA has to reach, by January 1, 2022, a volume of own funds and eligible

liabilities equal to 21.46% of the total RWAs of its resolution group (the "MREL in RWAs"), of which 13.5% of the total RWAs of BBVA’s

resolution group has to be fulfilled with subordinated instruments (the "MREL in RWAs subordination requirement"). The MREL in

RWAs and the MREL in RWAs subordination requirement do not include the combined capital buffer requirement which, according to

applicable regulations and supervisory criteria, is currently 3.26% (setting the MREL in RWAs including the combined capital buffer

requirement at 24.72% and the MREL in RWAs subordination requirement including the combined capital buffer requirement at

16.76%).

As of December 31, 2022 BBVA met the MREL in RWAs requirement, being this ratio 26.45%. Finally, as of December 31, 2022, the

MREL in Leverage Ratio (LR) is 11.14% and the subordination ratios in terms of RWA and in terms of LR were 21.74% and 9.16%,

respectively.

32.2Leverage ratio

The leverage ratio (LR) is a regulatory measure complementing capital designed to promote the 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 Group’s current or

potential leverage of a given balance-sheet position (Leverage ratio exposure).

Breakdown of leverage ratio as of December 31, 2022, 2021 and 2020, calculated according to CCR, is as follows:


Leverage ratio
	2022 ⁽¹⁾	2021	2020
Tier 1 (millions of Euros) (a)	47,933	45,686	49,597
Exposure to leverage ratio (millions of Euros) (b)	738,413	671,789	741,095
Leverage ratio (a)/(b) (percentage)	6.49 %	6.80 %	6.69 %

(1) Provisional data.

Finally, as of December 31, 2022, the phased-in leverage ratio, which includes the transitory treatment of certain capital elements

(mainly the impact of IFRS 9), stood at 6.5%. Since March 2022, certain exposures to central banks are no longer excluded from the

leverage ratio exposure in accordance with Regulation (EU) 2019/876 ("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 Risk Appetite Framework (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;

–Comply with regulatory and internal management requirements at all times; and

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–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 with respect to the regulations and procedures that, ensure

adequate capital management.

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33.Commitments and guarantees given

The breakdown of the balance under these headings in the consolidated balance sheets is as follows:


Commitments and guarantees given (Millions of Euros)
	Notes	2022	2021	2020
Loan commitments given	7.2.2	136,920	119,618	132,584
Of which: impaired		177	171	265
Central banks		—	—	—
General governments		3,031	3,483	2,919
Credit institutions		15,407	16,085	11,426
Other financial corporations		5,895	4,583	5,862
Non-financial corporations		68,120	59,475	71,011
Households		44,467	35,991	41,366
Financial guarantees given	7.2.2	16,511	11,720	10,665
Of which: impaired (1)		281	245	290
Central banks		—	—	1
General governments		96	162	132
Credit institutions		475	312	339
Other financial corporations		1,263	1,026	587
Non-financial corporations		14,541	10,039	9,376
Households		135	181	231
Other commitments given	7.2.2	39,137	34,604	36,190
Of which: impaired (1)		689	541	477
Central banks		—	2	124
General governments		215	212	199
Credit institutions		4,134	4,266	5,285
Other financial corporations		1,758	1,753	2,902
Non-financial corporations		32,858	28,224	27,496
Households		171	147	182
Total	7.2.2	192,568	165,941	179,440

(1) In December 2020, it includes the balance of the Group's businesses in the United States included in the USA Sale (see Notes, 3 and 21). Non-performing financial guarantees

given amounted to €970, €786, and €767 million, respectively, as of December 31, 2022, 2021 and 2020.

As of December 31, 2022 and 2021, the provisions for loan commitments, financial guarantees and other commitments given,

recorded in the consolidated balance sheet amounted to €243, €175 and €353; and €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 2022, 2021 and 2020, 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, 2022, 2021 and 2020 there were no material contingent assets or liabilities other than those disclosed in the

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.

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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)
	2022	2021	2020
Financial instruments entrusted to BBVA by third parties	352,139	356,985	357,022
Conditional bills and other securities received for collection	11,738	10,795	10,459
Securities lending	3,223	2,605	5,285
Total	367,100	370,385	372,766

37.Net interest income

37.1Interest and other income

The breakdown of the interest and other income recognized in the consolidated income statement is as follows:


Interest and other income. Breakdown by origin (Millions of Euros)
	2022	2021	2020
Financial assets held for trading	2,079	1,084	1,189
Financial assets at fair value through other comprehensive income	3,110	1,880	1,392
Financial assets at amortized cost	25,258	18,364	18,357
Insurance activity	1,309	1,084	1,021
Adjustments of income as a result of hedging transactions	(825)	(84)	(112)
Other income (1)	501	686	542
Total	31,432	23,015	22,389

(1) Includes, among others, the net interest income accrued from funds obtained through TLTRO III operations, which amounted to €177 million, €384 million and €211 million, as

of December 31, 2022, 2021 and 2020, respectively (see Note 22.1).

The amounts recognized in consolidated equity in connection with hedging derivatives for the years ended December 31, 2022, 2021

and 2020 and the amounts derecognized from the consolidated equity and taken to the consolidated income statements during those

years are included in the “Consolidated statements of recognized income and expense”.

37.2Interest expense

The breakdown of the balance under this heading in the consolidated income statements is as follows:


Interest expense. Breakdown by origin (Millions of Euros)
	2022	2021	2020
Financial liabilities held for trading	1,140	1,339	742
Financial liabilities designated at fair value through profit or loss	58	52	61
Financial liabilities at amortized cost	9,985	6,130	6,346
Adjustments of expense as a result of hedging transactions	(232)	(360)	(413)
Insurance activity	919	773	721
Cost attributable to pension funds	76	52	57
Other expense	333	342	284
Total	12,279	8,329	7,797

38.Dividend income

The balances for this heading in the 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)
	2022	2021	2020
Non-trading financial assets mandatorily at fair value through profit or loss	15	64	15
Financial assets at fair value through other comprehensive income	108	112	122
Total	123	176	137

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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 €21 million as

of December 31, 2022, compared with the positive impact of €1 million and the negative impact of €39 million recorded as of

December 31, 2021 and 2020, respectively.

40.Fee and commission income and expense

The breakdown of the balance under these headings in the consolidated income statements is as follows:


Fee and commission income. Breakdown by origin (Millions of Euros)
	2022	2021	2020
Bills receivables	26	23	27
Demand accounts	424	425	322
Credit and debit cards and POS	3,499	2,628	2,089
Checks	162	136	136
Transfers and other payment orders	812	664	555
Insurance product commissions	261	215	159
Loan commitments given	259	234	185
Other commitments and financial guarantees given	420	364	349
Asset management	1,228	1,250	1,100
Securities fees	266	267	367
Custody securities	193	169	135
Other fees and commissions	711	622	556
Total	8,261	6,997	5,980

The breakdown of fee and commission expense under these heading in the consolidated income statements is as follows:


Fee and commission expense. Breakdown by origin (Millions of Euros)
	2022	2021	2020
Demand accounts	5	5	5
Credit and debit cards	1,884	1,427	1,130
Transfers and other payment orders	133	120	97
Commissions for selling insurance	70	51	54
Custody securities	92	55	52
Other fees and commissions	723	574	519
Total	2,907	2,232	1,857

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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 consolidated income statement is as follows:


Gains (losses) on financial assets and liabilities, hedge accounting and exchange differences, net (Millions of Euros)
	2022	2021	2020
Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net	64	134	139
Financial assets at amortized cost	8	27	106
Other financial assets and liabilities	56	106	33
Gains (losses) on financial assets and liabilities held for trading, net	562	341	777
Reclassification of financial assets from fair value through other comprehensive income	—	—	—
Reclassification of financial assets from amortized cost	—	—	—
Other gains (losses)	562	341	777
Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net	(67)	432	208
Reclassification of financial assets from fair value through other comprehensive income	—	—	—
Reclassification of financial assets from amortized cost	—	—	—
Other gains (losses)	(67)	432	208
Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net	150	335	56
Gains (losses) from hedge accounting, net	(45)	(214)	7
Subtotal gains (losses) on financial assets and liabilities	663	1,027	1,187
Exchange differences, net	1,275	883	359
Total	1,938	1,910	1,546

The breakdown of the balance (excluding exchange rate differences) under this heading in the 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)
	2022	2021	2020
Debt instruments	(2,266)	158	848
Equity instruments	(1,099)	2,059	(28)
Trading derivatives and hedge accounting	1,361	(1,866)	277
Loans and advances to customers	(241)	100	128
Customer deposits	274	55	(79)
Other	2,635	522	42
Total	663	1,027	1,187

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The breakdown of the balance of the impact of the derivatives (trading and hedging) under this heading in the consolidated income

statements is as follows:


Derivatives - Hedge accounting (Millions of Euros)
	2022	2021	2020
Derivatives
Interest rate agreements	522	73	269
Securities agreements	1,653	(1,500)	(36)
Commodity agreements	4	3	1
Credit derivative agreements	16	(255)	(89)
Foreign-exchange agreements	(658)	40	88
Other agreements	(131)	(12)	37
Subtotal	1,406	(1,651)	270
Hedging derivatives ineffectiveness		—
Fair value hedges	(51)	(235)	5
Hedging derivative	(229)	90	(151)
Hedged item	178	(325)	156
Cash flow hedges	6	21	2
Subtotal	(45)	(214)	7
Total	1,361	(1,866)	277

In addition, in the years ended December 31, 2022, 2021 and 2020, under the heading “Exchange differences, net" in the consolidated

income statements negative amounts of €37 million, €41 million and €57 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 consolidated income statements is as follows:


Other operating income (Millions of Euros)
	2022	2021	2020
Gains from sales of non-financial services	284	301	244
Other operating income	244	360	248
Total	528	661	492

The breakdown of the balance under the heading “Other operating expense” in the consolidated income statements is as follows:


Other operating expense (Millions of Euros)
	2022	2021	2020
Change in inventories	134	151	124
Contributions to guaranteed banks deposits funds	997	829	800
Hyperinflation adjustment (1)	1,687	585	348
Other operating expense	620	475	390
Total	3,438	2,041	1,662

(1) See Note 2.2.19. It includes €832 million related to Turkey and €822 million related to Argentina.

43.Income and expense from insurance and reinsurance contracts

The detail of the headings “Income and expense from insurance and reinsurance contracts” in the consolidated income statements is

as follows:


Income and expense from insurance and reinsurance contracts (Millions of Euros)
	2022	2021	2020
Income from insurance and reinsurance contracts	3,103	2,593	2,497
Expense from insurance and reinsurance contracts	(1,892)	(1,685)	(1,520)
Total	1,212	908	977

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The table below shows the contribution of each insurance product to the Group´s income for the years ended December 31, 2022,

2021 and 2020:


Income by type of insurance product (Millions of Euros)
	2022	2021	2020
Life insurance	665	622	497
Individual	585	583	439
Group insurance	79	39	59
Non-Life insurance	547	286	480
Home insurance	—	—	91
Other non-life insurance products	547	286	389
Total	1,212	908	977

44.Administration costs

44.1Personnel expense

The breakdown of the balance under this heading in the consolidated income statements is as follows:


Personnel expense (Millions of Euros)
	Notes	2022	2021	2020
Wages and salaries		4,317	3,933	3,610
Social security costs		710	668	671
Defined contribution plan expense	25	87	71	72
Defined benefit plan expense	25	43	49	49
Other personnel expense		454	325	293
Total		5,612	5,046	4,695

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, 2022, 2021 and 2020, corresponding to the remuneration plans

based on equity instruments in each year, amounted to €32 million, €33 million and €16 million, respectively. These amounts have

been recognized with a corresponding entry under the heading “Shareholders’ funds - Other equity” in the 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 or instruments linked to

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.

In 2022, 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 BBVA Senior Management (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 BBVA 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.

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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, the rest of the 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 the rest of the members of

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 March 18, 2022 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 February 9, 2022.

–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 2022, in accordance with the applicable remuneration policies, the right to receive a total amount of 3,420,608 BBVA shares

or instruments linked to BBVA shares corresponding mostly to the Upfront Portion of 2021 Annual Variable Remuneration and other

variable components of remuneration, was accrued by the Identified Staff.

Additionally, according to the Remuneration Policy applicable in 2017, during 2022 a total amount of 106,072 BBVA shares

corresponding to the second payment of the Deferred Portion of 2017 Annual Variable Remuneration of executive directors and the

rest of the members of Senior Management were delivered.

Finally, according to the Remuneration Policy applicable in 2018, during 2022 a total amount of 3,739,044 BBVA shares were

delivered to the Identified Staff corresponding to the first payment of the Deferred Portion of 2018 Annual Variable Remuneration of

executive directors and the rest of the members of Senior Management and to the full Deferred Portion of the 2018 Annual Variable

Remuneration of the rest of the Identified Staff.

Detailed information on the delivery of shares to executive directors and the rest of the members of Senior Management of BBVA who

held this position as of December 31, 2022, is included in Note 54.

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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 Brazil 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 2022 a total of 21,774 BBVA shares corresponding to the upfront

portion of 2021 annual variable remuneration were delivered to these staff in Portugal and Brazil.

Additionally, during 2022 a total of 3,517 BBVA shares corresponding to the first third of the deferred portion of 2020 annual variable

remuneration were delivered to these staff in Portugal and Brazil as well as a total of 425 euros as adjustments for updates (for shares

delivered in Brazil), and a total of 4,422 BBVA shares corresponding to the second third of the deferred portion of 2019 annual

variable remuneration and 1,203 euros as adjustments for updates (for shares delivered in Brazil), and a total of 5.083 BBVA shares

corresponding to the last third of the deferred portion of 2018 annual variable remuneration and 2,195 euros as adjustments for

updates (for shares delivered in Brazil).

44.2Other administrative expense

The breakdown of the balance under this heading in the consolidated income statements is as follows:


Other administrative expense. Breakdown by main concepts (Millions of Euros)
	2022	2021	2020
Technology and systems	1,394	1,176	1,088
Communications	195	175	172
Advertising	282	207	186
Property, fixtures and materials	440	380	404
Taxes other than income tax	370	347	344
Surveillance and cash courier services	214	179	161
Other expense	925	786	749
Total	3,820	3,249	3,105

45.Depreciation and amortization

The breakdown of the balance under this heading in the consolidated income statements for the years ended December 31, 2022,

2021 and 2020 is as follows:


Depreciation and amortization (Millions of Euros)
	Notes	2022	2021	2020
Tangible assets	17	818	740	781
For own use		501	437	453
Right-of-use assets		312	299	324
Investment properties and other		5	3	3
Intangible assets	18.2	510	494	507
Total		1,328	1,234	1,288

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46.Provisions or reversal of provisions

For the years ended December 31, 2022, 2021 and 2020, the net provisions recognized in this income statement line item were as

follows:


Provisions or reversal of provisions (Millions of Euros)
	Notes	2022	2021	2020
Pensions and other post-employment defined benefit obligations	25	(89)	61	210
Commitments and guarantees given		87	8	192
Pending legal issues and tax litigation		210	135	208
Other provisions (1)		84	814	136
Total		291	1,018	746

(1) 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 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	2022	2021	2020
Financial assets at fair value through other comprehensive income - Debt securities		76	17	19
Financial assets at amortized cost (1)		3,303	3,017	5,160
Of which: recovery of written-off assets by cash collection	7.2.5	(390)	(423)	(339)
Total		3,379	3,034	5,179

(1) In 2020, the amount included the negative impact of the update of the macroeconomic scenario following the COVID-19 pandemic.

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" included a reversal of

impairment of €42 million in the year ended 2022. This heading did not include any impairment or reversal of impairment in the year

ended 2021, and included an impairment of €190 million for the year ended December 31, 2020 (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 consolidated income statements are

as follows:


Impairment or reversal of impairment on non-financial assets (Millions of Euros)
	Notes	2022	2021	2020
Tangible assets (1)	17	(53)	161	125
Intangible assets		25	19	19
Others		55	41	9
Total		27	221	153

(1) 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).

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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 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	2022	2021	2020
Gains on sale of real estate		102	39	116
Impairment of non-current assets held for sale (1)	21	(221)	(97)	(103)
Gains (losses) on sale of investments classified as non-current assets held for sale (2)		11	10	431
Gains on sale of equity instruments classified as non-current assets held for sale		—	8	—
Total		(108)	(40)	444

(1) In 2022 it includes the closing of the transaction with Merlin Properties in which 100% of the shares of Tree Inversiones Inmobiliarias, SOCIMI, S.A. were acquired by the BBVA

Group (see Note 17). In 2021, it included the impairment due to the closure 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).

(2) 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 2022, 2021 and 2020 of the financial liabilities from financing activities is the following:


Liabilities from financing activities (Millions of Euros)
	Liabilities at amortized cost: Debt certificates			Of which: Issuances of subordinated liabilities (1)
	2022	2021	2020	2022	2021	2020
	2022	2021	2020	2022	2021	2020
Balance at the beginning	55,763	61,780	63,963	14,794	17,248	17,675
Cash flows	(678)	(5,728)	3,003	(1,945)	(1,941)	(8)
Non-cash changes	344	(289)	(5,186)	(364)	(513)	(419)
Acquisition	—	—	—	—	—	—
Disposal	—	—	—	—	(772)	—
Disposals by companies held for sale (2)	—	—	(3,160)	—	—	—
Foreign exchange movement	344	(289)	(2,026)	(364)	259	(419)
Fair value changes		—	—		—	—
Balance at the end	55,429	55,763	61,780	12,485	14,794	17,248

(1) There were €24, €14 and €12 million of subordinated deposits as of December 31, 2022, 2021 and 2020, respectively (see Note 22.4 and Appendix VI). In addition, there were

coupon payments on subordinated liabilities for €313, €359 and €387 million in 2022, 2021 and 2020, respectively. 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.

(2) Includes mainly the balance of the USA Sale perimeter (see Notes 3 and 21).

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52.Accountant fees and services

The details of the fees for the services contracted by entities of the BBVA Group for the year ended December 31, 2022, with their

respective auditors and other audit entities are as follows:


Fees for Audits conducted and other related services (1) (Millions of Euros)
	2022
Audits of the companies audited by firms belonging to the EY worldwide organization and other reports related with the audit (2)	24.8
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 EY worldwide organization	1.0
Fees for audits conducted by other firms	0.1

(1) Regardless of the billed year.

(2) Including fees pertaining to annual legal audits (€21.8 million as of December 31, 2022).

In the year ended December 31, 2022, certain entities in the BBVA Group contracted other services (other than audits) as follows:


Other Services rendered (Millions of Euros)
	2022
Firms belonging to the EY worldwide organization	0.1

This total of contracted services includes the detail of the services provided by Ernst & Young, 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 (1) (Millions of Euros)
	2022
Legal audit of BBVA,S.A. or its companies under control	7.6
Other audit services of BBVA, S.A. or its companies under control	5.2
Limited Review of BBVA, S.A. or its companies under control	1.4
Reports related to issuances	0.4
Assurance services and other required by the regulator	0.8

(1) Services provided by Ernst & Young, 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, 2022, 2021

and 2020, the following are the transactions with related parties:

53.1Transactions with significant shareholders

As of December 31, 2022, 2021 and 2020, there were no shareholders considered significant (see Note 26).

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53.2Transactions with BBVA Group entities

The balances of the main captions in the 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)
	2022	2021	2020
Assets
Loans and advances to credit institutions	9	9	148
Loans and advances to customers	1,842	2,031	1,743
Debt securities	7	7	—
Liabilities
Deposits from credit institutions	1	1	—
Customer deposits	204	296	791
Memorandum accounts
Financial guarantees given	136	154	132
Other commitments given	751	1,056	1,400
Loan commitments given	10	11	11

The balances of the main captions in the 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)
	2022	2021	2020
Income statement
Interest and other income	20	16	20
Interest expense	2	—	1
Fee and commission income	5	8	5
Fee and commission expense	40	31	34

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 consolidated financial statements.

53.3Transactions with members of the Board of Directors and Senior Management

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.


Balance at 31st December of each year (thousands of Euros)
	2022				2021				2020
	Directors	Related parties of Directors	Senior Management (1)	Related parties of Senior Management	Directors	Related parties of Directors	Senior Management (1)	Related parties of Senior Management	Directors	Related parties of Directors	Senior Management (1)	Related parties of Senior Management
Loans and credits	668	1,880	6,321	764	765	207	5,419	573	—	—	5,349	580
Bank guarantees	—	—	10	—	—	—	10	—	—	—	10	25
Business credit	—	—	—	—	—	—	—	—	—	—	—	—

(1) 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.

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54.Remuneration and other benefits for the Board of Directors and members of the

Bank's Senior Management

Remuneration received by non-executive directors

The remuneration of the non-executive directors who are members of the Board of Directors during the financial years 2022 and 2021

is as follows, individually and by remuneration item:


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
	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)	2022	2021
José Miguel Andrés Torrecillas	129	167	66			115		50	527	527
Jaime Caruana Lacorte	129	167	165	107					567	567
Raúl Galamba de Oliveira	129			107			43	53	332	278
Belén Garijo López	129		66		107	46			349	349
Connie Hedegaard ( 2)	107								107	0
Sunir Kumar Kapoor (3)	32						11		43	172
Lourdes Máiz Carro	129		66		43				238	238
José Maldonado Ramos	129	167				46			342	342
Ana Peralta Moreno	129		66		43				238	238
Juan Pi Llorens	129			214		46	43	27	458	512
Ana Revenga Shanklin	129			107			29		264	236
Susana Rodríguez Vidarte	129	167		107		46			449	449
Carlos Salazar Lomelín	129				43				172	172
Jan Verplancke	129				43		43		214	214
Total (4)	1,684	667	431	642	278	301	168	130	4,300	4,293

(1) Amounts perceived in 2022 and 2021 by José Miguel Andrés Torrecillas, as Deputy Chair of the Board, Juan Pi Llorens, as Lead Director (until 28 April 2022) and Raúl Galamba

de Oliveira (from its appointment as Lead Director on 28 April 2022).

(2) Director appointed by the General Meeting held on 18 March 2022. Remuneration received based on date of acceptance of office.

(3) Director who left office on 18 March 2022. Remuneration for the term of office in 2022.

(4) Includes amounts corresponding to membership of the Board and its various committees during the 2022 and 2021 financial year.

In addition, in financial years 2022 and 2021, Carlos Salazar Lomelín received €90 thousand and €101 thousand, respectively, as per

diems for his membership of the management body of BBVA México, S.A. and Grupo Financiero BBVA México, S.A. de C.V. and the

BBVA México strategy forum.

Also, during the 2022 and 2021 financial years, €110 thousand and €102 thousand was paid out, respectively, in healthcare and

casualty insurance premiums for non-executive directors.

Remuneration system with deferred delivery of shares for non-executive directors

BBVA has a fixed remuneration system with deferred delivery of shares 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.

During the financial years 2022 and 2021, the following " theoretical shares" derived from the remuneration system with deferred

delivery of shares have been allocated to the non-executive directors, in an amount equivalent to 20% of the total annual fixed cash

allocation received by each of them in the financial years 2021 and 2020, respectively:

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	2022		2021
	Theoretical shares allocated	Theoretical shares accumulated as of December 31	Theoretical shares allocated	Theoretical shares accumulated as of December 31
José Miguel Andrés Torrecillas	19,253	118,025	22,860	98,772
Jaime Caruana Lacorte	20,733	77,705	25,585	56,972
Raúl Galamba de Oliveira	10,177	19,677	9,500	9,500
Belén Garijo López	12,741	90,589	15,722	77,848
Connie Hedegaard (1)	0	0	0	0
Sunir Kumar Kapoor (2)	6,270	0	7,737	30,652
Lourdes Máiz Carro	8,696	64,356	10,731	55,660
José Maldonado Ramos	12,493	136,477	15,416	123,984
Ana Peralta Moreno	8,696	35,092	10,731	26,396
Juan Pi Llorens	18,703	134,599	23,079	115,896
Ana Revenga Shanklin	8,611	16,179	7,568	7,568
Susana Rodríguez Vidarte	16,400	177,775	20,237	161,375
Carlos Salazar Lomelín	6,270	11,912	5,642	5,642
Jan Verplancke	7,835	29,251	9,024	21,416
Total (3)	156,878	911,637	183,832	791,681

(1) Director appointed by the General Meeting held on 18 March 2022, therefore the allocation of theoretical shares is not due until 2023.

(2) Director who left office on 18 March 2022. In application of the system, he received a total of 36,922 BBVA shares after leaving office, which is equivalent to the total of

theoretical shares accumulated up to that date.

(3) The number of theoretical shares allocated in 2022 and 2021 to each non-executive director is equivalent to 20% of the total fixed annual cash allocation received in 2021 and

2020, respectively, based on the average of the closing prices of BBVA shares during the 60 trading sessions prior to the General Meetings of 18 March 2022 and 20 April 2021,

which were €5.47 and €4.44 per share, respectively.

Remuneration received by executive directors

The remuneration of executive directors for the financial years 2022 and 2021 in application of the BBVA Directors' Remuneration

Policy approved by the General Meeting of 20 April 2021 is shown below, individually and by remuneration item:


Annual Fixed Remuneration (thousands of Euros)
	2022	2021
Chair	2,924	2,924
Chief Executive Officer	2,179	2,179
Total	5,103	5,103

In addition, in accordance with the conditions established in the BBVA Directors' Remuneration Policy, during the 2022 and 2021

financial years, the Chief Executive Officer received €654 thousand each year as "cash in lieu of pension" (equivalent to 30% of his

Annual Fixed Remuneration) as he does not have a retirement pension (see the "Pension commitments with executive directors"

section of this Note), and €600 thousand as mobility allowance.


Remuneration in kind (thousands of Euros)

Furthermore, during the financial years 2022 and 2021, remuneration in kind was paid to executive directors, including insurance and

other premiums, amounting to €283 thousand and €328 thousand in the case of the Chair, and €155 thousand and €158 thousand in

the case of the Chief Executive Officer, respectively.


Annual Variable Remuneration (AVR)
	2022 (2)		2021 (1)
	In cash (thousands of Euros)	In shares	In cash (thousands of Euros)	In shares
Chair	926	158,169	849	159,235
Chief Executive Officer	712	121,646	645	120,977
Total	1,639	279,815	1,494	280,212

(1) Remuneration corresponding to the initial portion (40%) of the Annual Variable Remuneration for the financial year 2021 paid in

2022. The Annual Variable Remuneration for the financial year 2021 is subject to the deferral, vesting and payment rules and the

other conditions applicable to Annual Variable Remuneration set out in the BBVA Directors' Remuneration Policy.

(2) Remuneration corresponding to the upfront portion (40%) of the Annual Variable Remuneration for the financial year 2022, which

will be paid, if the conditions are met, during the first quarter of the financial year 2023, in equal parts in cash and BBVA shares. The

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remaining 60% will be deferred (40% in cash and 60% in shares) for a period of five years (Deferred Portion) and paid, if conditions

are met, proportionally at the end of each of the five years of deferral, in an amount equal to 20% of the Deferred Portion each year.

The Deferred Portion may be reduced, but never increased, depending on the results of the multi-year performance indicators

determined by the Board of Directors at the beginning of the financial year 2022. After the end of the financial year corresponding to

the third year of deferral, the results of the multi-year performance indicators shall determine the ex post adjustments, if any, to 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 remaining rules set forth in the BBVA Directors’ Remuneration Policy regarding the Annual Variable Remuneration of

executive directors will be applicable to 2022 Annual Variable Remuneration, including: (i) a withholding period of one year after

delivery of the BBVA shares received; (ii) the prohibition of hedging strategies or insurance that may undermine the effects of

alignment with prudent risk management; (iii) update of the Deferred Portion in cash in accordance with the CPI; (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 2022.


Deferred Annual Variable Remuneration from previous financial years
		2022 (2)		2021 (1)
	Deferred AVR	In cash (thousands of Euros)	In shares	In cash (thousands of Euros)	In shares
Chair	2021	215	57,325	—	—
	2020	0	0	—	—
	2019	513	136,587	—	—
	2018	128	35,795	364	107,386
	2017	154	27,898	146	27,898
Subtotal		1,011	257,605	510	135,284

Chief Executive Officer	2021	164	43,552	—	—
	2020	0	0	—	—
	2019	460	122,572	—	—
	2018	—	—	332	61,282
	2017	—	—	—	—
Subtotal		624	166,124	332	61,282
Total		1,635	423,729	842	196,566

(1) Deferred remuneration from previous financial years to be awarded after 2021 year-end. Award to the Chair and the Chief

Executive Officer took place in 2022, in the percentages applicable in each case in accordance with the vesting and payment rules

established in the remuneration policies in force in each financial year:

•2018 Deferred AVR: in 2022, the first payment was made (60% of the Deferred Portion) in the case of the Chair and the full

payment in the case of the Chief Executive Officer, including in both cases the update of their portion in cash. This

remuneration is associated with their previous positions as Chief Executive Officer and President & CEO of BBVA USA,

respectively.

•2017 Deferred AVR: in 2022, the Chair was paid the second payment (20% of the Deferred Portion), including the update of

his portion in cash. This remuneration is associated with his former position as Chief Executive Officer.

(2) Deferred remuneration from previous years to be awarded after 2022 year-end. Award to the Chair and/or Chief Executive Officer

will take place in 2023 in the percentages applicable in each case in accordance with the vesting and payment rules established in the

remuneration policies in force in each financial year:

•2021 Deferred AVR: corresponding to the first payment (20% of the Deferred Portion) to the executive directors, including the

update of their portion in cash. Thereafter, 80% of the 2021 Deferred AVR will be deferred for both executive directors and, if

the conditions are met, it will be paid in 2024, 2025, 2026 and 2027.

•2019 Deferred AVR: corresponding to the first payment (60% of the Deferred Portion) to the executive directors, including the

update of their portion in cash, and after having verified that no reduction was applicable based on the result of the multi-year

performance indicators determined in 2019 by the Board of Directors. Thereafter, 40% of the 2019 Deferred AVR will be

deferred for both executive directors and, if the conditions are met, it will be paid in 2024 and 2025.

•2018 Deferred AVR: corresponds to the second payment (20% of the Deferred Portion) to the Chair, including the update of

his portion in cash. Following this, 20% of the 2018 Deferred AVR will be deferred and if the conditions are met, it will be paid

in 2024. This remuneration is associated with his previous position as Chief Executive Officer.

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•2017 Deferred AVR: corresponds to the third and final payment (20% of the Deferred Portion) to the Chair, including the

update of his portion in cash. Following this, the payment to the Chair of the 2017 Deferred AVR will be finalized. This

remuneration is associated with his previous position as Chief Executive Officer.

Pension commitments with executive directors

The Bank has not assumed any pension obligations with non-executive directors.

With regard to the executive directors, the BBVA Directors' Remuneration Policy establishes a pension framework whereby, in the

case of the Chair, he is eligible to receive a retirement pension, paid in either income or capital, when he reaches the legally

established retirement age, provided that he does not leave his position as a result of serious dereliction of his duties. 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 in the Chair's defined contribution system, established in the BBVA

Directors' Remuneration Policy approved by the General Meeting in 2021, is €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 Chair's contract is terminated before he reaches retirement age for reasons other than serious dereliction of

duties, the retirement pension payable to the Chair upon him reaching the legally established retirement age will be calculated based

on the funds accumulated through the contributions made by the Bank up to that date, as per the terms set out, plus the

corresponding accumulated yield, with no additional contributions to be made by the Bank as of the time of termination.

With respect to the commitments in favor of the Chair 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 accordance with the foregoing, in the financial year 2022, an amount of €451 thousand has been registered, comprising the agreed

annual contribution to cover the retirement contingency, which is €439 thousand, and an amount of €12 thousand corresponding to

the upward adjustment of the "discretionary pension benefits" for the financial year 2021, which were declared at the end of that year

and which corresponded to the contribution to the accumulated fund in 2022. €473 thousand in premiums for death and disability has

also been paid.

As of December 31, 2022, the total accumulated amount of the fund to meet the retirement commitments for the Chair amounted to

€22,771 thousand.

With regard to the agreed annual contribution for the retirement contingency corresponding to the 2022 financial year, 15% (€66

thousand) was registered 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 Annual Variable Remuneration for the Chair for the 2022 financial

year and was determined to amount to €85 thousand, which represents an upward adjustment of €19 thousand. These “discretionary

pension benefits” will be included in the accumulated fund in the 2023 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 and those in

his contract, the Bank has not undertaken any retirement commitments, although 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. In accordance with the above, in the

2022 financial year, the Bank paid the Chief Executive Officer the amount of fixed remuneration in the form of "cash in lieu of

pension", as described in the "Remuneration received by executive directors" section of this Note.

However, the Bank has undertaken commitments to cover the death and disability contingencies for the Chief Executive Officer, for

which the corresponding annual insurance premiums are paid. To this end, in 2022, €285 thousands of euros have been recognized

for this concept.


Executive directors (thousands of Euros)
	Contributions (1)				Funds accumulated
	Retirement		Death and disability		Funds accumulated
	2022	2021	2022	2021	2022	2021
Chair	451	340	473	574	22,771	24,546
Chief Executive Officer	—	—	285	295	—	—
Total	451	340	758	869	22,771	24,546

(1) Contributions recognized to meet pension commitments to executive directors in financial years 2022 and 2021. In the case of the Chair, these correspond to the sum of the

annual retirement pension contribution and the adjustment made to the "discretionary pension benefits" for the financial years 2021 and 2020, the contribution to which was to be

made in the financial years 2022 and 2021, respectively, and with the death and disability premiums. In the case of the Chief Executive Officer, the contributions recognized

correspond exclusively to the insurance premiums paid by the Bank in 2022 and 2021 to cover the contingencies of death and disability, given that, in his case, the Bank has not

undertaken any commitments to cover the retirement contingency .

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

Remuneration received by Senior Management

The remuneration of all Senior Management, excluding executive directors, for the financial years 2022 and 2021 (16 members with

such status as of December, 31 2022 and 2021), in application of the BBVA Group General Remuneration Policy applicable to them, is

shown below by remuneration item:


Annual Fixed Remuneration (thousands of Euros)
	2022	2021
Senior Management Total	18,149	16,435


Remuneration in kind (thousands of Euros)

During the financial years 2022 and 2021, remuneration in kind, including insurance and other premiums, has been paid to all Senior

Management, excluding executive directors, for an aggregate total amount of €1,093 thousand and €1,409 thousand, respectively.


Annual Variable Remuneration (AVR)
	2022 (2)		2021 (1)
	In cash (thousands of Euros)	In shares	In cash (thousands of Euros)	In shares
Senior Management Total	2,143	365,746	1,849	346,106

(1) Remuneration corresponding to the upfront portion (40%) of the Annual Variable Remuneration for the financial year 2021 paid in

the first half of 2022. The Annual Variable Remuneration for the financial year 2021 is subject to the deferral, vesting and payment

rules and the other conditions applicable to Annual Variable Remuneration set out in the BBVA Group General Remuneration Policy.