Banco Bilbao Vizcaya Argentaria, S.a. · BME:BBVA
Banco Bilbao Vizcaya Argentaria — Debt Investor Presentation (November 2021)
57 slides from Banco Bilbao Vizcaya Argentaria's debt investor presentation, Nov 1, 2021
Slide 1: Fixed Income Presentation 3Q21
Creating Opportunities Fixed Income Presentation 3Q21
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 d Resilient Operating Income 4 Business areas 4 Sound capital position and proven capacity to generate capital 4 Comfortable liquidity position @ MREL& Funding Plan 03 Ratings Annex
Slide 4: About BBVA
QO] About BBVA Creating Opportunities
Slide 5: About BBVA
About BBVA BBVA’'S GLOBAL PRESENCE SEP.21 mobile Total assets customers customers 652 €bn 80.1m 37.9 m 7 = 4 a : countries employees branches >251. 113,117 6,344 OUR PURPOSE 3Q21 Fixed Income 5 DIVERSIFICATION UNDER A DECENTRALIZED MODEL TOTAL ASSETS! GROSS INCOME! SEP-21 9M21 South Rest of Rest of
Slide 6: 3Q21 Results top messages
3Q21 Results top messages Strong core revenue evolution with NII growth accelerating and outstanding fee income Leading efficiency Cost of Risk continues its improving trend, better than expectations Strong capital generation and ample capital buffer even after share buyback Outstanding progress imp
Slide 7: BBVA's strengths
O02 BBVA‘s strengths Creating Opportunities
Slide 8: BBVA's strengths
2Q21 Fixed Income 8 BBVA’‘s strengths Resilient operating il P income .0® Sound capital position * and proven capacity to generate capital Comfortable liquidity position
Slide 9: Resilient operating income
Resilient operating income Creating Opportunities
Slide 10: A proven track record of earnings resilience and low volatility
3Q21 Fixed Income 10 A proven track record of earnings resilience and low volatility... STRONG AND LOW VOLATILE OPERATING INCOME... ..EVEN UNDER STRESSED SCENARIOS / OPERATING INCOME/ RWAS Z 2021 EBA STRESS TEST: ADVERSE SCENARIO 2008-6M21 ANNUALIZED (average, %) OPERATING INCOME 2021-2023/ RWAS (Cu
Slide 11: Prudent and proactive risk management
3Q21Fixed Income 11 with a prudent and proactive risk management... ; 410 4.00 a . ~ so 490 460 3.90 3.80 4.00 4.30 4.20 4.00 Me) Ratio ee ®*—~e—e—e—*°— 0 —e RISK FRAMEWORK A Risk Management Model based on prudence and 1 73. 7 «8! 81 77 80 proactivity e— e°— e°—e—e 74 62 61 60 64 _. 6 Coverage ratio
Slide 12: Positive results and double digit profitability metrics
.. leading to positive results and double digit profitability metrics / NET ATTRIBUTABLE PROFIT! (€M CURRENT) One of the highest quarterly results ever reported | 1,400 1,294 1,058 1,068 | | 3Q19 3020 =. 2021 3021 3Q21 Fixed Income 12 / PROFITABILITY METRICS2 (%) 6M21 9M21 (1) Excluding non-recurrin
Slide 13: Business areas
Creating Opportunities BUSINESS Areas
Slide 14: A well-diversified footprint with leadership positioning
A well-diversified footprint with leadership positioning / BREAKDOWN BY BUSINESS AREA TOTAL ASSETS !) SEP-21 Rest of South Business America 5% 8% wal Turkey Ca 9% - Spain Mexico 60% 17% GROSS INCOME ©) 9M21 Rest of South Business America om Spain 15% V4 30% Turkey ( 16% , A Mexico 36% (1) Figures ex
Slide 15: Spain
3Q21 Fixed Income 15 / Spain YtD -0.7% Profit & Loss A(%) A(%) / ACTIVITY (sepP-21) YtD 3021 9M21 +0.2%| €B YoY Net Interest Income 873 1.4 2.6 2,635 1.9 2667 +4.0% Net Fees and Commissions 534 21) 3.1 1,592 18.0 . Net Trading Income 22 574 “73.1 305 407 YoY Other Income & Expenses 65 -39.4 ns. 19 -
Slide 16: Mexico
B-) / Mexico Profit & Loss 3021 Net Interest Income 1,481 Net Fees and Commissions 311 Net Trading Income 86 Other Income & Expenses 38 Gross Income 1,916 Operating Expenses -668 Operating Income 1,248 Impairment on Financial Assets 32/ Provisiors & other gains (losses) G Income Before Tax 930 Incom
Slide 17: Turkey
EH / Turkey Profit & Loss 3021 Net Interest Income 635 Net Fees and Commissions 152 Net Trading Income 63 Other Income & Expenses 24 Gross Income 873 Operating Expenses -245 Operating Income 628 Impairment on Financial Assets -70 Provisions & other gains (losses) 3 Income Before Tax 570 Incame Tax -
Slide 18: South America
» / South America Net Attributable Profit Colombia D4 Peru =z Argentira Other! South America Note: Venezuela in current€m A Constant(%) 9M21 48 49 159 55.4 344 67 79 3.4 ns, ns. A2 49.7 -397 18.2 58 76 19.4 6.4 339 3.9 (1) Other includes BBVA Forum, Venezuela, Paraguay, Uruguay and Bolivia / KEY RAT
Slide 19: Sound capital position
Sound capital positi Creating Opportunities
Slide 20: Superior resilience even under stress scenarios
3Q21 Fixed Income 20 Superior resilience even under stress scenarios 2018 EBA STRESS TEST 2021 EBA STRESS TEST ADVERSE SCENARIO ADVERSE SCENARIO CET1 FL 2020-2017 CET1 FL 2023-2020 (Depletion, bps) (Depletion, bps) PEER 1 141 PEER 1 -258 BBVA 1?) = - De PEER 2 -219 BBVA 303 PEER 3 -288 PEER 2 -440 P
Slide 21: Outstanding capital position, well above requirements
3Q21 Fixed Income 21 Outstanding capital position, well above requirements / CET1 FULLY-LOADED QUARTERLY EVOLUTION (%, bps) 13.18% 14.17% +45 bps +9 bps | = | a — — -21 bps -3 bps 8.60% CET1 SREP. requirement Jun.2021 Results Dividend RWAs Activity Others | Sep.2021 Accrual & (in constant €) AT1 Cou
Slide 22: €3.5 billion share buyback program
3021 Fixed Income 22 €3.5 billion share buyback program, one of the largest in Europe > Maximum amount: First tranche execution €3.5 billion! > €1.5 billion2 10) OF Up to 10% of shares > Estimated period: 3-4 months > Maximum term of 12 months > Program starts after the Investor Day > To be executed
Slide 23: Lowest SREP requirement among peers
3Q21 Fixed Income 23 Lowest SREP requirement among peers / CET1 SREP REQUIREMENT / DISTANCE TO MDA (PHASED-IN) BASED ON 2021 REQUIREMENT BBVA SEP.21/ PEERS JUN.21 $ a a a Ample buffer over minimum requirements 10.44% 9.40% 9.23% 9.03% 9.02% 890% 8.86% 8.63% 8.60% 436 400 322 280 269 R2 PEER3 cen: PE
Slide 24: Preserving a high quality capital
3Q21 Fixed Income 24 Preserving a high quality capital / RWA/ TOTAL ASSETS / LEVERAGE RATIO FL BBVA SEP.21 / PEERS JUN.21 BBVA SEP.21 / PEERS JUN.21 BBVA 46% BBVA a 7 5°, PEERI 37% PEER 1 6.9% PEER2 36% PEER 2 6.2% PEER3 34% PEER 3 6.0% PEER 4 33% PEER4 5.9% PEERS 31% PEERS 5.8% PEER6 29% PEER 6 5.7
Slide 25: With a limited usage of internal models
3Q21 Fixed Income 25 With a limited usage of internal models / TOTAL RWAS FULLY-LOADED SEP.21 302,548 €Mn 36% 20% A 18% m Spain 108,921 ™ Mexico 61,162 @™ Turkey owes) m™ South America 40,849 m™ Rest of business 27,193 ™ Corporate Center 9,189 (1) Credit Valuation Adjustment. 47% |RB Models CVA! 0.6
Slide 26: Comfortable liquidity position
Comfortable liqui position Creating Opportunities
Slide 27: Liquidity ratios well above 100% minimum requirements
3Q21Fixed Income 27 Liquidity ratios well above 100% minimum requirements / BBVA GROUP LIQUIDITY AND FUNDING / BBVA GROUP LIQUIDITY BALANCE METRICS SHEET! SEP.21 SEP.21 South Eurozone? Mexico Turkey ; America LTD 91% 91% 92% 8 91% 57% 62% = Deposits LCR 197% 219% 169% >100% = Net Loans to _— NSFR 12
Slide 28: Well positioned among our peers
Well positioned among our peers / LCRRATIOS BBVA SEP.21/ PEERS JUN.21 12-month trailing average, % 250 200 Peers avg. 150 100 0 Fgh 2? g& gh 2° © gh ge a o® oh oot vg SE EE EE 2 E ge? ge ee FEEEESECEEEE (*)End-of-June data. (**) 3month daily average European Peer group: BARC, BNPP, CASA, CS, CMZ, DB
Slide 29: BBVA guidelines for managing Liquidity & Funding
3Q21 Fixed Income 29 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 a Parent and subsidiari
Slide 30: Principles of BBVA Group's self-sufficient business model
3Q21 Fixed Income 30 Principles of BBVA Group's self-sufficient business model: Multiple Point of Entry * Advantages ) Subsidiaries ( Self-sufficient balance-sheet “ee management yy sat | 4 Own capital and liquidity management _ . ° (| Market access With its own credit, P name and rating (Responsibl
Slide 31: MREL & Funding Plan
Creating Opportunities Plan
Slide 32: MREL position: well above requirements
3Q21Fixed Income 32 MREL position: well above requirements 7 MRELAND SUBORDINATION REQUIREMENT m MREL Requirement: 24.78% RWA/ 10.25% LRE, by Ist Jan.22 (EU Resolution Group!) a Minimum Subordination Requirement: @ 13.50% RWA / 5.84% LRE @ ¢.90% of MREL eligible with subordination > or = to SNP a |I
Slide 33: Funding Plan
3Q21 Fixed Income 33 Funding Plan BBVA, S.A. redeemable instruments in 2019/21 were Mi. / BBVA, S.A. 2021 2021-22 Strategy (!) calledat first reset date (€ bn) Executed (subject to market conditions) a ~ We do not foresee any sizeable transaction given our solid position post USA sale; in 2022, depe
Slide 34: Broaden geographical diversification of access to market
Broaden geographical diversification of access to market 7 MEDIUM & LONG-TERM WHOLESALE FUNDING MATURITIES SEP.21,€BN 19.3 EURO 77 78 € 41.8bn 24 P| LL P| MEXICO - ; 31 0.0 : 5 0.8 € 6.0bn = 8 2§ | 2.3 TURKEY* 20 0.7 08 €6.1bn = = = 8 | S.AMERICA 0. {2 Os ou = € 2.3bn 2021 2022 2023 2024 >2024 ™ Cov
Slide 35: Ratings
O3 Ratings Creating Opportunities
Slide 36: BBVA S.A. Ratings
3Q21 Fixed Income 36 BBVA S.A. Ratings “ 7 BBVA LONG TERM 4 BBVA RATINGS BY TYPE OF SENIOR UNSECURED RATINGS INSTRUMENT Moody's S&P ' Stable outlook Moody's (Jun. 19%, 2019) Investment grade Stable outlook S&P (Jun. 24", 2021) Fitch Stable outlook (Jun. 7, 2021) Non Investment Grade DBRS Stable outl
Slide 37: Annex
Annex « BBVA Group 3Q21 Profit & Loss « BBVA Group 9M21 Profit & Loss a Nil sensitivity to rates movements a ALCO portfolio a Sovereign Exposure by geography a Stages breakdown by business area a Loan deferrals classification « Outstanding loan deferrals « Government backed loans « Book Value of the
Slide 38: 3Q21 Profit & Loss
3Q21 Fixed Income 38 3Q21 Profit & Loss Change Change 3Q21/3Q20 3Q21/2Q21 BBVA Group Net Interest Income SIDS) 5.4 5.6 6.1 Net Fees and Commissions 1,203 18.4 17.6 11 Net Trading Income 387 11.6 8.4 -23.6 Other Incorne & Expenses. -13 ns. ns. ns. Gross Income 5,330 7.2 7.0 3.5 Operating Expenses -2,
Slide 39: 9M21 Profit & Loss
3Q21 Fixed Income 39 9M21 Profit & Loss Change 9M21/9M20 BBVA Group Net Interest Income 10,708 225) SSh// Net Fees and Commissions 3,518 19.2 14.2 Net Trading Income 1,472 13.7 7.3 Other Income & Expenses -108 ns. ns. Gross Income 15,589 5.6 -0.2 Operating Expenses -6,976 6.5 2.2 Operating Income 8,
Slide 40: NII sensitivity to interest rates movements
3021 Fixed Income 40 NII sensitivity to interest rates movements / ESTIMATED IMPACT ON NII IN THE NEXT 12 MONTHS TO PARALLEL INTEREST RATE MOVEMENTS (%) NII SENSITIVITY TO +100 BPS NII SENSITIVITY TO -IOOBPS 25% 0% 20% 5% 15% -10% a 10% -15% 5% -20% 0% -25% Euro Mexico Euro Mexico Note: Nil sensitiv
Slide 41: ALCO portfolio
3021 Fixed Income 41 ALCO portfolio / ALCO PORTFOLIO BREAKDOWN BY REGION (€BN) Amort Cost Fair Value 44.1 48.7 477 (HTC) (HTCRS) w 39 B41 M40 September 2021 (€BN) (€BN) — (duration) South America | 79 | 9.8 9.8 South America 0.2 3.8 1.1 years Mexico f + | 66 | 70 ©} Mexico 2.0 7.8 3.4years Turkey .
Slide 42: Sovereign Exposure by geography
Sovereign Exposure by geography © Sep.21, € bn Amortized Cost debt securities J debt securities (HTC) Spain 17.7 Italy 3.7 Mexico 2.9 USA 0.0 Turkey 3.2 All Others Fair Value (HTC&S) 16.4 6.6 9.0 25 3.6 Sovereign : : Non-trading orcas, | asset, | Short Positions value through P&L 5.7 0.0 5.8 3.5 0.0
Slide 43: Stages breakdown by business area
Stages breakdown by business area / CREDIT RISK BREAKDOWN BY BUSINESS AREA (SEP-21, €M) BBVA GROUP Stage 1 Stage 2 Stage 3 GAL turkey Stage | Stage 2 Stage 3 ‘ah COLOMBIA Stage 1 Stage 2 Stage 3 umul: impairments SPAIN Stage 1 Stage 2 Stage 3 SOUTH y AMERICA fi Stage | Stage 2 Stage 3 PERU Stage 1 S
Slide 44: Loan deferrals classification
Expired deferrals by stages TOTAL DEFERRALS GRANTED o/w expired As of Sep'21 as a % of total loans €BN % of total loans % Stage 1 Stage 2 Stage 3 Total Group 23.7 6.8% 96% 4.0% 1.9% 0.6% By segment Mortgages 10.6 11.3% 94% 6.5% 2.9% 1.2% Consumer & credit cards 5.6 5.2% 99% 3.2% 1.4% 0.6% SMEs & cor
Slide 45: Outstanding loan deferrals
€bn % of loans Total Group 1.0 0.3% Spain 0.9 0.4% Mexico 0.0 0.0% Turkey 0.0 0.0% Peru 0.1 0.4% Colombia 0.0 0.4% Argentina 0.0 0.0%
Slide 46: Government backed loans by country
GROUP SPAIN MEXICO TURKEY ARGENTINA COLOMBIA PERU
Slide 47: Book Value of the main subsidiaries
3Q21 Fixed Income 47 Book Value of the main subsidiaries! / € BN; SEP’21 Mexico 12.6 ELLE Tukey 3.8 = Colombia 1.3 Hi Argentina 1.0 [i Peru 1.0 Hal Chile O.3 8 Venezuela 0.1 | (1) Includes the initial investment + BBVA’s undistributed results + FX impact + other valuation adjustments. The Goodwill a
Slide 48: Main Subsidiaries Ratings
Main Subsidiaries Ratings “ 7 BBVA LONG TERM SENIOR UNSECURED RATINGS BBVA Mexico Garanti BBVA Investment [J AAA/Aaa AAA/Aaa grade AA+/Aal AA+/Aal AA/Aa2 AA/Aa2 AA-/Aa8 AA-/Aa8 AH/AI As/Al A/A2 AVA2 A/A3 A/A3 BEM Moopy’s ff B88+/Beal S&P BBB/Baa2 BBB-/Baa3_| FITCH BBB-/Baa3 Non BB+/Bal BB+/Bal Inves
Slide 49: BBVA Group SREP Requirement and Distance to MDA
T2: 2.38% 0.01% AT1: 1.78% 0.75% 2.50% 0.84% 4.50% 2021 CET1 SREP 2021 Total Capital BBVA Group Total Requirement SREP Requirement capital ratio phased-in Sep.21
Slide 50: CET1 ratio sensitivity to market movements
3Q21 Fixed Income 50 ‘cen ratio sensitivity to market movements / TO CURRENCY DEPRECIATION ) CAPITAL SENSITIVITY TO A 10% DEPRECIATIATION poticy BBVAhedges c.70% of the excess Es | | ic: | ital ' ; capital (what is ne naturally hedged bythe ratio) usp +18 bps MXN 5 bps trv=O bps coat Reduce consolid
Slide 51: Capital Base: BBVA Group & BBVA, S.A.
Capital Base: BBVA Group & BBVA, S.A. PHASED-IN CAPITAL RATIOS SEP.21(%) Tier 2 Bi Additional Tier 1 MceT CET AT1 T2 Total Capital Base RWA Note: Preliminary Data 19.17 MB 256 Mi i090 14.71 BBVA Group € 44,567m €5,771m €7,763m €58,101m € 303,007 m 21.30 ME 256 | wee 15.93 BBVA, S.A. €29,641m €5,227m
Slide 52: BBVA, S.A. SREP Requirement and Distance to MDA
T2: 2.38% 0.01% AT1: 1.78% 2.50% 0.84% 4.50% 2021 CET1 SREP 2021 Total Capital BBVA, S.A. Total Requirement SREP Requirement capital ratio phased-in Sep.21
Slide 53: Available Distributable Items (ADIs)
3Q21 Fixed Income 53 Available Distributable Items (ADIs) / BBVA, S.A.- PARENT COMPANY DEC.20, €BN €6.3Bn a Significant payment capacity from distributable items despite conservative calculation (Share Premium not included) a Supported by sustainable profitability €0.3Bn = ADIs 2020 AT1 net coupons
Slide 54: Debt Issuances 2018 – 2021
Senior Unsec Sep-20 - Sep-25 $ 500 M 1.875% Tier 2 Sep-19 Sep-29 Sep-34 $ 750 M 5.875% Tier 2 Jan-18 Jan-28 Jan-33 $ 1,000 M 5.125%
Slide 55: Called notes 2018 – 2021
3Q21 Fixed Income 55 Called notes 2018 — 2021 Outstanding currency (M) ATI Apr-I6 Apr-21 €1,000 8.875% Product |Ilssue Date| Redemption Coupon economic call policy BB Caixa Terrassa SPP Preferred Ago-05 Jan-21 £75M 1O0yCMS+0.10% BBVA Intl. Preferred I’ Ct. Maa DOM Jan-21 £312M 3m£+0.875% Unipersonal
Slide 56: Turkey - Liquidity & funding sources
3021 Fixed Income 56 Turkey - Liquidity & funding sources a Solid liquidity position: * Total LTD ratio is at 92.5%, increasing by +1 p.p in 3Q21 mainly driven by TRY LtD * Foreigncurrency loans decreased by USD 0.3 Bn to c. USD 11.6 Bn in3Q21 * Liquidity ratios above requirements: Liquidity Coverag
Slide 57: BBVA
BBVA
Banco Bilbao Vizcaya Argentaria, S.A. (BBVA) — Debt Investor Presentation (November 2021) on 6ix