58 slides from Banco Bilbao Vizcaya Argentaria's debt investor presentation, May 2020
Slide 1: Fixed Income Presentation 1Q20
Creating Opportunities Fixed Income Presentation 1Q20
Slide 2: Disclaimer
Disclaimer This document is only provided for information purposes and does not constitute, nor should it be interpreted as, an offer to sell or exchange or acquire, or an invitation for offers to buy securities issued by any of the aforementioned companies. Any decision to buy or invest in securiti
Slide 3: Index
BBVA Creating Opportunities Index 01 About BBVA 02 BBVA’s Strengths a Strong and low volatile Operating Income « Sound capital position & proven capacity to generate capital « Comfortable liquidity position a Funding Plan « Digital edge as a competitive advantage 03 Ratings Annex
Slide 4: About BBVA
QO] About BBVA Creating Opportunities
Slide 5: About BBVA
About BBVA BBVA’S GLOBAL PRESENCE MAR.20 issets customers 31€bn 78.5m ww o- \ ne er countries q . . employees >30 ¢ 126,041 digital customers 33.3m branches 7,694 Fixed Income Presentation 1920 ys DIVERSIFICATION UNDER A DECENTRALIZED MODEL MAR.20 TOTAL ASSETS “) GROSS INCOME“) MAR. 2020 3M20 pee on
Slide 6: BBVA's strengths
O02 BBVA‘s strengths Creating Opportunities
Slide 7: We face this crisis from a position of strength
Fixed Income Presentation 1Q20 fz We face this crisis from a position of strength a ae 2 | a Strong and low volatile Operating Income Sound capital position and proven capacity to generate capital i ges Digital edge as a competitive Comfortable liquidity position advantage
Slide 8: Strong and low volatile Operating Income
Strong and low volatile Operating Income Creating Opportunities
Slide 9: A proven track record of earnings resilience and low volatility
Fixed Income Presentation 1920 fo A proven track record of earnings resilience and low volatility... STRONG AND LOW VOLATILE ...EVEN UNDER STRESSED SCENARIOS OPERATING INCOME... / EBA STRESS TEST 2018: ADVERSE SCENARIO / OPERATING INCOME/ RWAS NET ATTRIBUTABLE PROFIT 2018-2020 (2008-2019 AVERAGE, %)
Slide 10: A trend maintained in 1Q20
...a trend that has been maintained in 1Q20... / OPERATING INCOME / EFFICIENCY RATIO (1Q20 YoY; %) (%; € CONSTANT) -401 bps 61.9% 14.1% [ ° 49.0% r 45.0% 2.1% BBVA European Peer Group 12M19 3M20 3M20 Average BBVA BBva European Peer Group Average European Peer Group: BARC, BNPP, CASA, CS, CMZ, DB, HS
Slide 11: Absorbing the frontloading of Covid-19 impairments
Fixed Income Presentation 1920 yu ...allowing us to absorb the frontloading of Covid-19 impairments 68 p6 5.1 54 49 NPL Ratio a1 40 2039 38 36 (%) 86 ‘ 74 Coverage ratio 62 6 7 60 64 70 65 73 7 (%) 2.15 257 i 133° 119 18? 4.25 1.02 Cost of Risk 1.06 gga 0,89 1.01 | he YtD (%) CoR ex-Covid impairment
Slide 12: Macro provisioning based on BBVA Research scenarios
Fixed Income Presentation 1920 gg Macro provisioning based on BBVA Research current incomplete “v-shaped” scenarios == Range, upper bound APR-20 Macro scenarios by country on 7 ange, ound APR-20 GDP LEVELS CURRENT AND PREVIOUS FORECASTS (2019=100) ~~ prov oustorscast FER2O @ 4 GLOBAL (GDP YoY%) Hm /
Slide 13: Impairments breakdown by business area
Spain USA Mexico Turkey Argentina Colombia Peru Rest TOTAL ed macro adjustment plus specific provisions for most a / IMPAIRMENTS BREAKDOWN (€M CONSTANT) Recurrent Impairments 143 146 453 234 25 66 54 20 1,142 COVID-19 Frontloaded Impairments* 517 280 320 169 38) 64 42 2 1,433 Total Impairments 660 4
Slide 14: Highest provision frontloading among European peers
Fixed Income Presentation 1920 yi BBVA, the highest provision frontloading among European peers / COST OF RISK (%, 1920) BBV) es 5 7 PEERI 2.34% PEER 2 1.65% PEER 3 1.29% PEER 4 1.16% PEER 5. 1.01% PEERAVG 7-8, © .93% PEER6 0.88% PEER7 0.76% PEER 8 0.71% PEERQ 0.68% PEER 10 0.68% PEER 1 0.63% PEER 1
Slide 15: Business Areas
Creating Opportunities Business Areas
Slide 16: Colombia, Peru, Argentina market positions
Colombia #4 Peru #2 Argentina #4 10.3% 20.4% 7.7%
Slide 17: Spain
| Spain Profit & Loss Net Interest Income Net Fees and Commissions Net Trading Income Other Income & Expenses Gross Income Operating Expenses Operating Income Impairment on Financial Assets Provisions & other gains (losses) Income Before Tax Income Tax Net Attributable Profit 7 ACTIVITY (war-20) / K
Slide 18: USA
@ | USA Fixed Income Presentation 1920 fis 7 ACTIVITY (war-20) Profit & Loss (CONSTANT €) QoQ Net Interest Income 549 13.3 -10.7 -6.3 €Bn €Bn 200 Net Fees and Commissions 176 13.5 169 12.6 70.1 +8.1% 70.9 49 4% Net Trading Income 93 122.0 128.4 164.4 Other Income & Expenses 4 465 1A na. Mortgages [1
Slide 19: Mexico
B-) | Mexico Fixed Income Presentation 1920 fio 7 ACTIVITY (war-20) Profit & Loss (CONSTANTS) GG Q0Q €Bn Net Interest Income 1,545 44 3.0 -0.6 €Bn 68.9 +7.6% Net Fees and Commissions 296 -0.1 14 115 50.5 +7.8% Net Trading Income 78 267 25.1 181 Mortgages [89 41.3% Other Income & Expenses 7 808 78.5
Slide 20: 12.3 12.6 7.7 9.9 11.8 12.4 4.6
12.3 12.6 7.7 9.9 11.8 12.4 4.6
Slide 21: South America
» | South America Net Attributable Profit AConstant' A Current! 1Q20 vs 1019 (%) vs 1019 (%) Colombia 8 -84.5 -85.8 Peru 30 -30.7 -30.3 Argentina 8 70.4 -87.0 Other* 24 15.8 -26.1 South America 70 -53.8 -63.8 (1) Venezuelan currentém (2) Other includes BBVA Forum, Venezuela, Paraguay, Uruguay and Bo
Slide 22: Sound capital position
Sound capital positi Creating Opportunities
Slide 23: Proven track record in capital generation and resilience under stress
Fixed Income Presentation 1920 fs A proven track record in capital generation and superior resilience under stress / BBVA GROUP CET1 FULLY LOADED (%) +23€BN 10.84% 2.3x 6.20% 2008 1Q20 PEER1 BBVA PEER 2 PEER 3 PEER 4 PEERS PEER 6 PEERS AVG PEER? PEERS PEERQ PEER 10 PEER 11 PEER 12 European Peer BARC
Slide 24: 1Q20 CET1 ratio evolution
Fixed Income Presentation 1920 BB In 1Q20, CET1 ratio was impacted by strong activity, market related impacts and provision frontloading / CET1 FULLY-LOADED QUARTERLY EVOLUTION (%, BPS) -90 bps 33 bps 11.74% Hi Ll — -26 bps | “3 bps 10.84% -50 bps | 3 bps : -47 bps | Dec-19 Net Earnings COVID-19 AT
Slide 25: CET1 ratio sensitivity to market movements
Fixed Income Presentation 1920 BB CET] ratio sensitivity to market movements “’) / TO CURRENCY DEPRECIATION BBVA GROUP FX HEDGING POLICY CAPITAL poticy BBVA hedges c.70% of the excess capital (what is not naturally hedged by the ratio) coaL Reduce consolidated CET] ratio volatility as a result of FX
Slide 26: Moving to a CET1 management buffer target
Fixed Income Presentation 1920 f 2c Moving from a CET] target of 11.5%-12% toa 225-275 bps CET1 management buffer target / CET1 FULLY-LOADED- BBVA GROUP (%) FROM: %CET1 TARGET TO: CET] MANAGEMENT BUFFER 9.279% sone 11.5-12.0% 225-275bps | 10.84% 2/70 5-275 bps 8.59% CET1 Management ° cer Management
Slide 27: 2020 SREP requirement
T2: 2.38% 0.00% AT1: 1.78% 0.75% 2.50% 0.84% 4.50% 2020 CET1 SREP 2020 Total Capital Requirement SREP Requirement BBVA Group Total capital ratio phased-in Mar.20
Slide 28: Lowest SREP requirement among peers
Fixed Income Presentation 1920 f 2s Lowest SREP requirement among peers / CET1 SREP REQUIREMENT / DISTANCE TO MDA BASED ON 2020 REQUIREMENT POST P2R TIERING MAR.20 (BPS) 555 10.48% 5 oo 436 * 9.31% 9.08% 9.05% 8.86% 8.86% 8.65% 8.59% 355326 237 2377 og7 | l 156 - v 9 © 6 © & @ - vs om 3 6 © 5 @ « ce
Slide 29: High quality capital
Fixed Income Presentation 1920 Ba High quality capital / RWA / TOTAL ASSETS / LEVERAGE RATIO FULLY-LOADED MAR.20 MAR.20 BBVA a 5 ()°/, PEER1 6.6% PEER 1 A1% BBVA a 60) PEER 2 38% PEER 2 5.8% PEER3 36% PEER3 5.5% PEER 4 36% PEER 4 5.4% PEER 5. 35% PEER 5. 5.3% PEER 6 30% PEER6 5.3% PEERS AVG, LE 29%
Slide 30: BBVA Group RWA Distribution
BBVA Group RWA Distribution / TOTAL RWAS FULLY-LOADED MAR.20 368,827 €Mn 30% m™ Spain 110,929 m USA 68,765 ™@ Mexico 53,522 m Turkey 59,163 m South America 44,876 m Rest of Eurasia 18,878 ™ Corporate Center 12,692 anne dit Valuation Adjustment. 35% IRB Models CVA 0.4% FX Risk 1.0% Trading Act. Risk
Slide 31: High level of Available Distributable Items
Fixed Income Presentation 1920 p30 High level of Available Distributable Items (ADIs) / BBVA, S.A.- PARENT COMPANY DEC.19, €BN €9.2 Bn BBVA, S.A. ADIs: € 0.3 Bn = ADIs 2019 AT1 net coupons Significant payment capacity from distributable items despite conservative calculation (Share Premium not inclu
Slide 32: Comfortable liquidity position
Comfortable liqui position Creating Opportunities
Slide 33: Liquidity ratios well above 100% minimum requirements
Fixed Income Presentation 1Q2( Liquidity ratios well above 100% minimum requirements / BBVA GROUP LIQUIDITY AND FUNDING METRICS MAR.20 South Eurozone?) USA Mexico Turkey 5 America LTD 101% 98% 103% 95% 95% LCR 156% 144%°8 146% 153% >100% NSFR 114% 112% 127% 151% >100% LCR Group NSFR Group 134% 120%
Slide 34: Guidelines for managing Liquidity & Funding
BBVA guidelines for managing Liquidity & Funding a Self-sufficient subsidiaries from a liquidity point of view, with robust supervision and control by parent company a Retail profile of BBVA Group balance sheet with limited dependence on wholesale funding
Slide 35: Self-sufficient business model: Multiple Point of Entry
Fixed Income Presentation 1920 EE Principles of BBVA Group's self-sufficient business model: Multiple Point of Entry Qsursiciaries | Self-sufficienfbalance-sheet 2 management em ge 4 Own capital an agement wy. “ ‘om (Market access ncredit, : name and ratin (Responsible for doing ‘ locally sts Corpor
Slide 36: Funding plan
Funding plan Creating Opportunities
Slide 37: 2020 Funding Plan
Fixed Income Presentation 1920 37 2020 Funding Plan: keep optimizing our total capital and funding structure 7 BBVA, S.A. (€bn) Issued 20201!) 2020 YTD (subject to market conditions) The potential Ist call option of the 2016€ 1 Bn NC5 AT] Maintain both buckets tulfilled and endow AT could be pre-fin
Slide 38: Broaden geographical diversification of market access
Fixed Income Presentation 1920 yee Broaden geographical diversification of access to market 4 MEDIUM & LONG-TERM WHOLESALE FUNDING MATURITIES MAR.20, €BN 20.2 EURO bn 66 6.1 7.0 57 ( Ability to access Py | - z funding markets in USA oo - all our main € 3.2bn 0.2 ae a 0.0 a subsidiaries using 35 a di
Slide 39: Digital edge as a competitive advantage
Digital edge as a competitive advanta Creating Opportunities
Slide 40: Our digital edge is a competitive advantage
Fixed Income Presentation 1920 f40 In this context, our digital edge is a competitive advantage 7 REMOTE CHANNELS 7 REMOTE CAPABILITIES / DIGITAL SALES % OF ACTIVITY INCREASE “2) % VISITS TO “MY CONVERSATIONS" % OF TOTAL UNITS SALES MTD + 32% } +35% } 03.4% 59.9% ; a son 59.0% Transaction volume My
Slide 41: Reorienting clients to remote and digital channels
Reorienting our clients to remote and digital channels -. . . . . a Continue to provide an essential service to the | oen | economies where we operate 93% f 3% 03% } a, Digital Mobile I Digital customers customers sales Data as of March 2020.
Slide 42: Ratings
O3 Ratings Creating Opportunities
Slide 43: BBVA S.A. Ratings
BBVA S.A. Ratings “” BBVA LONG TERM SENIOR UNSECURED RATINGS Stable outlook (Jun. 19%, 2019) Negative outlook (Apr. 29%, 2020) Rating Watch Negative (Mar. 27, 2020) Stable outlook (Apr. 154 2020) 6999 Fixed Income Presentation 1920 yo BBVA RATINGS BY TYPE OF INSTRUMENT Moody's S&P Fitch DBRS Investm
Slide 44: Annex
Annex _..BBVA « BBVA Group 1020 Profit & Loss « ALCO portfolio « Sovereign Exposure by geography 4 Outstanding loan commitments to non-financial corporations Stages breakdown by business area Exposure at default to most vulnerable sectors in the current environment Book Value of the main subsidiarie
Slide 45: BBVA Group 1Q20 Profit & Loss
BBVA Group 1Q20 Profit & Loss Change 1Q20/1Q19 BBVA Group Net Interest Income 4,556 3.6 75 Net Fees and Commissions 1,258 3.6 6.3 Net Trading Income 594 39.5 54.6 Other Income & Expenses 75 na. na. Gross Income 6,484 7.2 11.4 Operating Expenses -2,918 -0.1 2.2 Operating Income 3,566 14.1 20.3 Impair
Slide 46: ALCO portfolio
Fixed Income Presentation 1920 & ALCO portfolio 7 ALCO PORTFOLIO BREAKDOWN BY REGION (€ BN) Amort Cost Fair Value 524 508 543 fines Ciena South America ca 27 m 3.2 March 2020 CeBN) BN) Guration Mexico . 6.3 6.6 South America 0.1 3.2 1.3years Turkey Be a | >) Mexico 1.0 5.6 1.8years USA | 11.9 | 124
Slide 47: Sovereign Exposure by geography
Sovereign Exposure by geography “’) Fixed Income Presentation 1920 a7 Sovereign Trading Short eans securities Positions MAR.20, € bn Amortized Cost debt securities (HTC) Spain 13.7 Italy 3.8 Portugal 0.0 Mexico 17 USA 6.8 Turkey 4] All Others Le a EC Be (1) Risk balances according to EBA criteria. T
Slide 48: Outstanding loan commitments to non-financial corporations
€ bn USA1 24.7 Spain 16.4 Eurasia 13.4 Turkey 2.5 South America 2.3 Mexico 1.9 Total Group 61.2
Slide 49: Stages breakdown by business area
Stages breakdown by business area / CREDIT RISK BREAKDOWN BY BUSINESS AREA (Mar-20,€ MN) BBVA GROUP Stage1 Stage 2 Stage 3 Bs] mexico Stage1 Stage 2 Stage 3 (eh COLOMBIA Stage1 Stage 2 Stage 3 389,830 36,820 15,998 2,852 2,546 8,349 L SPAIN Stage1 Stage 2 Stage 3 ‘SSRARGENTINA Fixed Income Presentat
Slide 50: Exposure at default to most vulnerable sectors
Fixed Income Presen tation 1920 so Exposure at default to most vulnerable sectors in the current environment / BREAKDOWN BY SECTORS (Mar-20) Leisure’ 10.41 Developer Real Estate 5.64 Retailers non food 5.44 Upstream & Oilfield services” 4.70 Air & Marine transportation 1.88 Total EAD to the most vul
Slide 51: Book Value of the main subsidiaries
Fixed Income Presentation 1020 Ei Book Value of the main subsidiaries “'.~) € BN, MAR 20 Mexico. — &. Qe EEETITETTTTTTTTTLTTTETL ELLE USA & 1 EERE EEE LLL LLL ELLE ELE Turkey 3 9 EAA, Peru 1.2 mm Colombia 1.1 Hl Argentina O.9 Hil Chile 0.3 @ Venezuela 0,17 I (1) Includes the initial investment + BBV
Slide 52: Main Subsidiaries Ratings
Fixed Income Presentation 1920 ysz Main Subsidiaries Ratings © LONG TERM SENIOR UNSECURED RATINGS BBVA Mexico BBVA USA Garanti BBVA BBVA Argentina BBVA Colombia BBVA Peru investment J AAA/Aza AAA/Aaa AAA/Aaa AAA/Aaa AAA/Aga AAA/Aaa grade AA+/Aal AA+/Aal AA+/Aal AA+/Aal AA+/Aal AA+/Aal AA/Aa2 AA/Aa2
Slide 53: Capital Base: BBVA Group & BBVA, S.A.
Fixed Income Presentation 1920 yo Capital Base: BBVA Group & BBVA, S.A. PHASED-IN CAPITAL RATIOS FULLY-LOADED CAPITAL RATIOS MAR.20 (%) 20.14 2.45 MB Tier 2 15.39 ES 264 2.65 , Bi Additional Tier 1 MM 166 11.08 18.05 MceTl BBVA Group BBVA, S.A. CET1 € 40,852 m €31,005m ATI €6,120m €5,442m T2 €9,753m
Slide 54: BBVA, S.A. SREP Requirement and Distance to MDA
T2: 2.38% 0.00% AT1: 1.78% 2.50% 0.84% 4.50% 2020 CET1 SREP 2020 Total Capital BBVA, S.A. Total Requirement SREP Requirement capital ratio phased-in Mar.20
Slide 55: Debt Issuances 2018 - 2020YTD
Nominal Product Issue Date Call Date Maturity Coupon currency SNP Feb-20 - Aug-26 CHF160 M 0,125% Tier 2 Jan-20 Jan-25 Jan-30 € 1,000 M 1,000% SNP Jan-20 - Jan-27 € 1,250 M 0,500% SP Nov-19 - Nov-26 € 1,000 M 0,375% SNP Oct-19 - Oct-24 € 1,000 M 0,375% AT1 Aug-19 Mar-25 Perp $ 1,000 M 6,500% SNP Jun
Slide 56: Called notes 2018 - 2020YTD
Fixed Income Presentation 1920 a Called notes — 2018 — 2020YTD BBVA follows an economic call policy Outstanding currency (M) ' € 1.500 6.75% Sabadell €488 3ME + 5.25% € 1.500 3.50% € 1.500 7.00% $ 1.500 9.00% € 257 3ME+0.80% Conte anated Tier 2 Octo5 Jan-18 €99 3ME+0.80%
Slide 57: Sustainable Finance: Pledge 2025
Sustainable Finance: Pledge 2025 Fixed Income Presentation 1920 Ei BBVA STRATEGY ON CLIMATE CHANGE AND SUSTAINABLE DEVELOPMENT We To finance We will help to create the scale of capital mobilisation to halt global climate change & attain the UN Sustainable Development Goals Green finance 2025 PLEDGE
Slide 58: BBVA
BBVA