Banco Bilbao Vizcaya Argentaria, S.a. · BME:BBVA
Banco Bilbao Vizcaya Argentaria — BBVA — Debt Investor Presentation (November 2020)
62 slides from Banco Bilbao Vizcaya Argentaria's debt investor presentation, November 2020
Slide 1: Fixed Income Presentation 3Q20
Creating Opportunities Fixed Income Presentation 3Q20
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 O01 About BBVA 02 BBVA's Strengths « Resilient Operating Income 4 Business areas 4 Sound capital position & proven capacity to generate capital 4 Comfortable liquidity position a Funding Plan 4 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 SEP.20 otal assets customers 727 €bn 80 m a vm e countries employees >30 t. - 124,110 t digital customers 36m branches 7,565 Fixed Income Presentation 3Q20 ys DIVERSIFICATION UNDER A DECENTRALIZED MODEL SEP.20 TOTAL ASSETS“) GROSS INCOME“) SEP.20 9M20 Emergin Devel
Slide 6: BBVA's strengths
O02 BBVA‘s strengths Creating Opportunities
Slide 7: We face current challenges from a position of strength
Fixed Income Presentation 320 fi We face current challenges from a position of strength a wt a Resilient Operating Income Sound capital position and proven capacity to generate capital i ges Digital edge as a competitive Comfortable liquidity position ee
Slide 8: Resilient Operating Income
Resilient Operating Income Creating Opportunities
Slide 9: Proven track record of earnings resilience and low volatility
Fixed Income Presentation 3Q20 fo A proven track record of earnings resilience and low volatility... STRONG AND LOW VOLATILE ...EVEN UNDER STRESSED SCENARIOS OPERATING INCOME... / OPERATING INCOME/ RWAS Z EBA STRESS TEST 2018: ADVERSE SCENARIO 2008-9M20 annualized (average, %) NET ATTRIBUTABLE PROFI
Slide 10: Operating income and efficiency trend maintained in 9M20
...a trend that has been maintained in 9M20O... / OPERATING INCOME / EFFICIENCY RATIO (%; € Constant) (%; € Constant) ‘crors } ~ 3% (Current €) | ) rp“ bps 03.3% 9,626 8,204 50.0% | | 45.6% 9M19 9M20 12M19 9M20 European Peer Group* *European Peer Group: BARC, BNPP, CASA, CS, CMZ, DB, HSBC, ISP, LBG,
Slide 11: Prudent and proactive risk management
Fixed Income Presentation 3Q20 fu ..with a continued prudent and proactive risk management ——— RISKFRAMEWORK ——— 6.8 58 NPL Rati 41 40% BAA 46 39 ag. atio 38363738 A Risk Management Model based (%) on prudence and proactivity 86 85 85 2 74 70 65 73 77 Coverage ratio 62 61 ” (%) 60 64 RISK MANAGEMENT
Slide 12: Deferrals' payment evolution better than expected
Fixed Income Presentation 3Q20 & Deferrals’ payment evolution better than expected / TOTAL LOAN DEFERRALS 7 EXPIRED LOAN DEFERRALS GRANTED PAYMENT BEHAVIOR (YTD SEP. 30, 2020; %) (YTD SEP. 30, 2020; %) er — 2% Restructuring solutions 9 8.9% [ 11% 2%deferrals OF TOTAL LOANS! a 8% Inprogress? RETAIL C
Slide 13: Business Areas
Creating Opportunities BUSINESS Areas
Slide 14: Well-diversified footprint with leadership positioning
Fixed Income Presentation 3Q20 ya A well-diversified footprint with leadership positioning / BREAKDOWN BY BUSINESS AREA / LEADERSHIP POSITIONING MARKET SHARE (%) AND RANKING TOTAL ASSETS © SEP.20 Rest of USA (Sunbelt) #4 south Eurasia merica 3% tv) 0 7% amy 13.3% 5.9% Turkey C4 8% | Pee 70% Mexico 9
Slide 15: 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 Frovisions & other gains (losses) Income Before Tax Income Tax Net Attributable Profit / KEY RATIOS CUSTOMER
Slide 16: USA
= | USA 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 / KEY RATIOS CUSTOMER
Slide 17: Mexico
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 Incorne Tax Net Attributable Profit / KEY RATIOS CUSTOMER SPREAD (
Slide 18: Turkey
Net Interest Income Net Fees and Commissicns Net Trading Inceme Other Income & Expenses Gross Income Operating Expenses Operating Income Impairment on Financial Assets Provisions & other gains (losses) Income Before Tax Income Tax Non-controlling Interest Net Attributable Profit / KEY RATIOS CUSTOME
Slide 19: South America
Fixed Income Presentation 3Q20 fis » | South America / ACTIVITY (seEP-20) (€ CONSTANT) Net Attributable Profit ACons %6 C 5 yYtD v E vs 9 412.0% Colombia z . . YoY Peru YoY pn Argentina 84 -28.2 ns. 49.9 +19.4% Other? €Bn .! . i 33.8 +13.1% South America Colombia [:: +10.3% Colombia 10.9 +7.3% (1) V
Slide 20: Expected 2021 trends
Fixed Income Present tation 3020 a Expected 2021 trends According to our current macro expectations: aCore revenue growth in constant euros aCost control as a key management priority @COR below 2020 level
Slide 21: Sound capital position
Sound capital positi Creating Opportunities
Slide 22: Proven ability to generate capital, lower volatility, superior resilience
Fixed Income Presentation 3Q20 yee A proven ability to generate capital, with lower volatility and superior resilience Ability to generate capital Lower volatility Superior resilience under stress CET1 FULLY-LOADED (%) CET1 RATIO VOLATILITY EBA STRESS TEST 2018: ADVERSE SEP.08 to SEP.20 SCENARIO CET
Slide 23: Strong capital generation
Fixed Income Presentation 3 Strong capital generation / CET1 FULLY-LOADED / CET1 PHASED-IN QUARTERLY EVOLUTION (%, bps) SEP-20 +293 bps +30 bps emminhs requirement 1 1 99% 11.22% 29 bps 12 bps 11.52% -11 bps +340 bps Regulatory distance to MDA Jun-20 Results FX and HTC&S Others! Sep-20 net of ATI Co
Slide 24: CET1 ratio sensitivity to market movements
Fixed Income Presentation 3Q20 fon CET1 ratio sensitivity to market movements ©’ / TO CURRENCY DEPRECIATION BBVA GROUP FX HEDGING POLICY CAPITAL SENSITIVITY TO A 10% DEPRECIATIATION —_> (as of Nov 5th, 2020) poticy BBVA hedges c.70% of the excess MXN -4.7 bps capital (what is not naturally hedged by
Slide 25: 2020 CET1 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 Sep.20
Slide 26: Lowest SREP requirement among peers
Fixed Income Presentation 3Q20 f 2c Lowest SREP requirement among peers / CET1 SREP REQUIREMENT / DISTANCE TO MDA BASED ON 2020 REQUIREMENT POST P2R TIERING SEP.20 611 605 10.44% 446 9.65% “os "9.22% 9.05% 9.04% 8.90% 886% 3.65% 850% 374340 303 259 258 R2 PEER3 PEER 4 (i, PEER> PeERG (I PEERT (I PEE
Slide 27: High quality capital
Fixed Income Presentation 3Q20 fe High quality capital / RWA/ TOTAL ASSETS / LEVERAGE RATIO FULLY-LOADED SEP.20 SEP.20 BBVA a 47°), PEERI 6.6% PEERI 37% BBVA a 64°) PEER 2 37% PEER 2 6.3% PEER 3 35% PEER 3 6.2% PEER 4 34% PEER 4 5.6% PEER 5 34% PEERS 5.5% PEER 6 29% PEER 6 5.4% PEERS AVG EE 28% PEER
Slide 28: BBVA Group RWA Distribution
Fixed Income Presentation 3Q20 ye BBVA Group RWA Distribution / TOTAL RWAS FULLY-LOADED SEP.20 344,220 €Mn 31% co, 35% IRB Models a Optimizing Capital 4 \ CVA) 0.4% ~~ Allocation is part of FX Risk 0.9% BBVA’s Strategic 7 Trading Act. Risk — My so, a. 12% ms “ee Priorities Operational Risk 9.9% NN C
Slide 29: High level of Available Distributable Items (ADIs)
Fixed Income Presentation 3020 ye High level of Available Distributable Items (ADIs) / BBVA, S.A.- PARENT COMPANY DEC.19, €BN €9.2 Bn BBVA S.A. a Significant ADIs: ’ payment capacity . from distributable items despite c. 30x conservative calculation 2019 AT1 coupons (Share Premium not included) a Su
Slide 30: Comfortable liquidity position
Comfortable liqui position Creating Opportunities
Slide 31: Liquidity ratios well above 100% minimum requirements
Fixed Income Presentation 3Q20 iE Liquidity ratios well above 100% minimum requirements / BBVA GROUP LIQUIDITY AND FUNDING METRICS / BBVA GROUP LIQUIDITY BALANCE SHEET“) SEP.20 SEP.20 South Eurozone @) USA Mexico Turkey ; America LTD 95% 85% 94% 96% 93% LCR 198% 144%8 191% 164% >100% NSFR 120% 124%
Slide 32: Guidelines for managing Liquidity & Funding
Fixed Income Presentation 3020 yee 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 33: Principles of self-sufficient business model
Fixed Income Presentation 3Q20 EE Principles of BBVA Group's self-sufficient business model: Multiple Point of Entry * Advantages ) Subsidiaries a Liquidity and capital buffers in different | Self-sufticienfbalance-sheet 2 balance sheets management emge a Improves risk assessment: imposes F RN marke
Slide 34: Funding plan
Funding plan Creating Opportunities
Slide 35: 2021 Funding Plan
Fixed Income Presentation 3Q20 yo 2021 Funding Plan BBVA, S.A. redeemable instruments in 2019/20 were Illi. Gas / BBVA, S.A. 2020 2021 Strategy ? calledat first reset date (€ bn) Executed (subject to market conditions) ATl 1.0 Maintain both AT1 and T2 buckets fulfilled Tier 2 13 T2 already endowed.
Slide 36: Broaden geographical diversification of access to market
Fixed Income Presentation 3Q20 yc Broaden geographical diversification of access to market 74 MEDIUM & LONG-TERM WHOLESALE FUNDING MATURITIES SEP.20, €BN 23.0 6.7 7.0 68 8 bn 42 ~ ( Ability to access = z 7 = funding markets in USA ‘o all our main € 2.8bn 0.0 eo 0.6 0.0 a subsidiaries using 37 a dive
Slide 37: Digital edge as a competitive advantage
Digital edge as a competitive advanta Creating Opportunities
Slide 38: Leveraging digital capabilities to better serve clients
Fixed Income Presentation 3Q20 ES Leveraging digital capabilities to better serve our clients in this context / MOBILE CUSTOMERS / APP INTERACTIONS / GROUP DIGITAL SALES MILLION CUSTOMERS, % QUARTERLY SERVICING TRANSACTIONS! YTD, % (3020 VS 3Q19) UNITS +13.9% V 32.8 -—~ 63.6% 57.7% 5 x VALUE- PRV2 2
Slide 39: Leading digital capabilities
Fixed Income Presentation 3Q20 f so Leading digital capabilities 7 BANKING APP MARKET SHARE 7 E-COMMERCE MARKET SHARE (%) (%) = | BBVA i 22.2% BBVA i 38.7% PEER 21.4% PEERI 23.9% PEER 2 14.7% PEER? bay PEER 3 14.4% PEER 3 PEER4 PEER4 4.6% PEER5 10.9% BBVA ranked _ #1in DIY! PEER 5 PEER 6 6.6% 90% vs
Slide 40: Ratings
O3 Ratings Creating Opportunities
Slide 41: BBVA S.A. Ratings
BBVA S.A. Ratings ‘” BBVA LONG TERM SENIOR UNSECURED RATINGS 6999 DBRS Stable outlook (Jun. 19%, 2019) Negative outlook (Apr. 29h, 2020) Stable outlook (Jun. 22", 2020) Stable outlook (Apr. 154, 2020) Fixed Income Presentation 3Q20 ya BBVA RATINGS BY TYPE OF INSTRUMENT Moody's S&P Fitch DBRS Investm
Slide 42: Annex
BBVA Creating Opportunities Annex « BBVA Group 9M20 Profit & Loss « Book Value of the main subsidiaries a ALCO portfolio a Main Subsidiaries Ratings # Sovereign Exposure by geography « BBVAGroup CETIFL - YTD evolution a Outstanding loancommitmentstonon- Capital Base: BBVA Group & BBVA, S.A. financia
Slide 43: 9M20 Profit & Loss
9M20 Profit & Loss Fixed Income Presentation 3Q20 a BBVA Group Net Interest Income 12,763 Net Fees and Commissions 3,444 Net Trading Income 1,479 Other Income & Expenses 22 Gross Income 17,708 Operating Expenses -8,082 Operating Income 9,626 Impairment on Financial Assets -5,074 Provisions and Other
Slide 44: ALCO portfolio
Fixed Income Presentation 3Q20 faa ALCO portfolio / ALCO PORTFOLIO BREAKDOWN BY REGION (€BN) Amort Cost Fair Value 51.6 a 96.9. (HTC) (HTC&S) South America mw 33 H 7 H 79 September 2020 (€BN) (€BN) — (duration) Mexico B49 : 1 South America 0.1 3.8 1.0 years Turkey | 8.6 i 50 | © Mexico 2.3 5.7 2.3ye
Slide 45: Sovereign Exposure by geography
Sovereign Exposure by geography ‘") Sep.20, € bn Sovereign eet tcet cost tttactttea| Trading | nancial acete (HTC) (HTC&S) securities | mandatorily at fair value through P&L Spain 13.4 21.2 5.1 0.0 Italy 3.8 2.9 2.6 0.0 Portugal 0.0 0.0 0.4 0.0 Mexico 3.1 6.8 10.4 0.0 USA 78 6.6 0.2 0.0 Turkey 3.6 3
Slide 46: Loan commitments to non-financial corporations by geography
€ bn USA1 26.1 Spain 19.6 Eurasia 16.6 Turkey 2.3 Mexico 2.3 South America 1.7 Total Group 68.5
Slide 47: Signs of recovery in retail segments
Fixed Income Presentation 3Q20 fay Signs of recovery in retail segments / BBVA RETAIL NEW LOAN PRODUCTION @ MORTGAGES @ CONSUMER (FEB-20 = 100) =I SPAIN By MEXICO @ USA 100% 125% 300% 75% 100% 75% 200% 50% ; 5 50% 100% x 25% 25% 0% 0% 0% Feb 20 Mar Apr May Jun Jul Aug Sep 20 Feb 20 Mar Apr May Jun J
Slide 48: Stages breakdown by business area
Stages breakdown by business area / CREDIT RISK BREAKDOWN BY BUSINESS AREA (SEP-20, €M) ov co. i Stage 366,943 2,778 Stage 2 39,685 2,794 Stage 3 16,241 8,287 MEXICO Stage | Stage 2 Stage3 | cotomsia fae Accumulated xposure Mpairments Stage] Stage? Stage 3 Accumul? Mpairments Stage 171,184 880 Stage
Slide 49: Exposure at default to most vulnerable sectors
Fixed Income Presentation 3Q20 fas Exposure at default to most vulnerable sectors in the current environment / BREAKDOWN BY SECTORS (SEP-20) Leisure! Developer Real Estate Retailers non food Upstream & Oilfield services* ° Air & Marine transportation 11.25 6.22 5.46 4.18 2.35 Total EAD to the most v
Slide 50: Expired deferrals by stages
Expired deferrals by stages TOTAL DEFERRALS GRANTED o/w expired (January-Sepember 20) as a % of total loans €BN % of total loans % Stage 1 Stage 2 Stage 3 Total Group 35.6 8.90% 62% 4.00% 1.30% 0.20% By segment Mortgages 12.4 12.0% 62% 5.9% 1.3% 0.3% Consumer & credit cards 9.4 14.3% 76% 7.8% 2.6% 0
Slide 51: Outstanding loan deferrals: Total BBVA Group
TOTAL BBVA GROUP (€13.7 bn) 9.4 2.5 0.9 1.6 3.1 3.5 0.3 1.2 0.1 2.8 0.3 0.9 0.8 4Q20 1Q21 >2Q21
Slide 52: Government backed loans
GROUP SPAIN MEXICO USA TURKEY ARGENTINA COLOMBIA PERU Loans Weight Loans Weight Loans Weight Loans Weight Loans Weight Loans Weight Loans Weight Loans Weight Households 1.2 0.7% 0.8 0.8% 0.0 0.0% 0.0 0.0% 0.0 0.0% 0.1 6.0% 0.0 0.2% 0.3 4.6% Corporates & SMEs 16.6 9.5% 9.8 12.0% 0.0 0.0% 2.6 8.9% 0.8
Slide 53: Book Value of the main subsidiaries
Fixed Income Presentation 3Q20 & Book Value of the main subsidiaries'-2 € BN, SEP-20 Mexico 9.Q EEE USA 7.8 EEL Tukey 36 Colombia 1.2 [7 Peru 1.1 = Argentina 0.9 Hi Chile 0.3 8 Venezuela 0,17 | (1) Includes the initial investment + BBVA's undistributed results + FX impact + other valuation adjustmen
Slide 54: Main Subsidiaries Ratings
Main Subsidiaries Ratings © LONG TERM SENIOR UNSECURED RATINGS BBVA Mexico BBVA USA Garanti BBVA Investment [J AAA/Aaa AAA/Aaa AAA/Aaa grade AA+/Aal AA+/Aal AA+/Aal AM/Aa2 AA/Aa2 AM/Aa2 AA-/Aa3 AA-/Aa3 AA/Aa8 A+/A\ A+/A\ AS/Al A/A2 A/A2 A/A2 A/A3 A-/A3 A/AS BES2782217 Moovy's (BBB27Baa7 sep BBB+/Baa
Slide 55: Capital YTD Evolution
Capital YTD Evolution / CET1 FULLY-LOADED —- BBVA GROUP YTD EVOLUTION (%, BPS) 56 bps 11.74% || Dec-19 Net Earnings (1) Includes mainly RWAs evolution in constant euros. -22 bps -8 bps ATI coupons FX and HTC&S -28 bps Others! | 11.52% Sep-20
Slide 56: Capital Base: BBVA Group & BBVA, S.A.
Capital Base: BBVA Group & BBVA, S.A. PHASED-IN CAPITAL RATIOS SEP.20 (%) Tier 2 Bi Additional Tier 1 MceT CET AT1 T2 Total Capital Base RWA Note: Preliminary Data 16.66 my 283 MB 204 11.99 BBVA Group € 41,231m €7,017m €9,057m €57,305m € 343,929 m 20.85 mm 242 Wi o3n 15.33 BBVA, S.A. €31,201m €6,326
Slide 57: 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 Sep.20
Slide 58: Debt Issuances 2018-2020 YTD
Nominal Product Issue Date Call Date Maturity Coupon currency Sept-23 $ 1,200 M 0.875% SP Sep-20 - Sept-25 $ 800 M 1.125% Tier 2 Jul-20 Jul-26 Jul-31 GBP 300 M 3.104% AT1 Jul-20 Jan-26 Perp € 1,000 M 6.000% SP May-20 - Jun-25 € 1,000 M 0.75% SNP Feb-20 - Aug-26 CHF 160 M 0.125% Tier 2 Jan-20 Jan-25
Slide 59: Called notes 2018-2020 YTD
Outstanding Product Issue Date Redemption Coupon currency (M) AT1 Feb-15 Feb-20 € 1,500 6.75% Tier 2 Jun-09 May-19 € 4.88 3ME + 5.25% Tier 2 Apr-14 Apr-19 € 1,500 3.50% AT1 Feb-14 Feb-19 € 1,500 7.00% AT1 May-13 May-18 $ 1,500 9.00% Tier 2 Feb-07 Feb-18 € 257 3ME+0.80% Tier 2 Oct-05 Jan-18 € 99 3ME+
Slide 60: Turkey - Liquidity & funding sources
Turkey — Liquidity & funding sources a Solid liquidity position: * Total LTD ratio is at 96%, decreasing by 6.1 pp in 3Q20, due to significant growth in FC deposit (+8.7%). * Foreigncurrency loans decreased by USD 0.3 bn to c. USD 12.6 bn in 3Q20. * Liquidity ratios above requirements: Liquidity Cov
Slide 61: Strategic approach to sustainability: Pledge 2025
Fixed Income Presentation 3Q20 iE We began our strategic approach to sustainability with the Pledge 2025 ? To finance We will help to create the scale of capital mobilization to halt global climate change & attain the UN Sustainable Development Goals €] OO M@ Green finance Billion To & Sustainable i
Slide 62: BBVA
BBVA