47 slides from Banco Bilbao Vizcaya Argentaria's debt investor presentation, May 2023
Slide 1: Fixed Income Investors Presentation 1Q23
Creating Opportunities Fixed Income Investors Presentation 1Q23
Slide 2: Disclaimer
1023 Fixed Income 2. 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
Slide 3: BBVA Investment case
Creating Opportunities Ol BBVA Investment case
Slide 4: About BBVA
1023 Fixed Income 4 About BBVA & he BBVA‘s GLOBAL PRESENCE FINANCIAL HIGHLIGHTS 2023 MARCH 2023, Net attributable profit 1Q23 CET 1FL 1,846 me 13 130 ‘OUR PURPOSE Total assets f = 6f, bring the age 739,564 ia Ad : of opportunity Loans and advances to Deposits from ; to everyone customers - gross cus
Slide 5: To bring the age of opportunity to everyone
1023 Fixed Income 5 To bring the age of opportunity to everyone STRATEGIC PRIORITIES = Improving our clients’ Fo Helping our clients transition financial health towards a sustainable future i Driving operational Reaching more clients ." excellence w id ip aaa = Data and Technology engaged team
Slide 6: Leading franchises in attractive markets
1) Leading franchises in attractive markets BBVA | STRONG POSITION Loan Market Share! (%) = Spain 13.3% tl Mexico 24.5% Turkey 18.3% =~ Colombia 11.1% 1 Peru 20.2% (1) Latestavailable market shares, Ranking among peer group. Turkey among private banks Ranking! #3 1023 Fixed Income & Pre-Provision Pr
Slide 7: Well diversified business model
2) Well diversified business model DIVERSIFICATION UNDER A DECENTRALIZED MODEL TOTAL ASSETS ! MAR-23 6% Rest of Business South America 8% ge Turkey of 57% Spain Mexico aG GROSS INCOME! 3M23 A%Rest of Business South America 16% /o™N 24% Spain Turkey | C) Mexico (1) Figures exclude the Corporate Cente
Slide 8: Digital
DIGITAL TOTAL 64% DIGITAL 11%
Slide 9: Proving track record of solid financial returns
1023 Fixed Income 9 4) Proving track record of solid financial returns STRONG PRE-PROVISION PROFIT AND OUTPERFORMING OUR PEERS BEST-IN-CLASS EFFICIENCY PRE-PROVISION PROFIT / RWA BBVA 2019-1Q23 Q #1' 2019 2020 2021 2022 1Q23 ON PROFITABILIY EFFICIENCY RATIO ROTE BBVA 2019-1023, % BBVA 2019-1023, % Q
Slide 10: NPL ratio, coverage ratio, cost of risk
NPL Ratio Coverage ratio Cost of Risk
Slide 11: Strong ESG Credentials
6) Strong ESG Credentials SUSTAINABLE BUSINESS Sustainable Business Sustainable Business 300 €bn 2018-2025 target 2018-MAR23: ] 50 €bn channeled Sustainable Bonds issued - BBVA Group et LOson! ye 2cvn Green © Social Founding members Net Zero Banking Alliance Defined Portfolio Alignment Strategy Clie
Slide 12: We are on the right path to achieve our long-term goals
1023 Fixed Income 12 7) We are on the right path to achieve-our ambitious long-term goals COST-TO-INCOME (vy) ROTE! (vy) TBV/ SHARE + DIVIDENDS (v) (%) (%, ANNUALIZED) (YOY %) 16.3 21.7 45.2 20 gemmmmt _"4° sop scans 43.3 10.1 90 42.0 << 2021 2022 1Q23 ...2024 2021 2022 1Q23 —...2024 2021 2022 1Q23
Slide 13: 1Q23 Results
Creating Opportunities O2 1Q23 Results
Slide 14: BBVA once again reports a very strong quarter
1023 Fixed Income 14 BBVA once again reports a very strong quarter NET ATTRIBUTABLE PROFIT (CURRENT €M) 1,325 1022 4022 NOTE: In the presentation, 2022 figures have been restated according to IFRS17- Insurance contracts 1023 OUTSTANDING CORE REVENUES AND SOLID ACTIVITY GROWTH |= | LEADING AND IMPROV
Slide 15: 1Q23 Profit & Loss
1023 Fixed Income 15 1023 Profit & Loss Change Change 1Q23/1Q22 1Q23/4Q22 BBVA Group (€M) 1Q23 % constant % % constant % Net Interest Income 5,642 43.3 43.1 04 5.8 Net Fees and Commissions 1,439 15.8 15.4 2.9 8.3 Net Trading Income 438 18.7 -244 32.3 62.8 Other Income & Expenses) -561 ns. ns. ns. ns
Slide 16: 1Q22 2Q22 3Q22 4Q22 1Q23 1Q22 2Q22 3Q22 4Q22 1Q23
+43% +16% -0.4% +2.9% 1Q22 2Q22 3Q22 4Q22 1Q23 1Q22 2Q22 3Q22 4Q22 1Q23 -19% +33% -1.3% +32.3% 1Q22 2Q22 3Q22 4Q22 1Q23 1Q22 2Q22 3Q22 4Q22 1Q23
Slide 17: NII growth levered on activity and improving customer spreads
1923 Fixed Income 17. NII growth levered on activity and improving customer spreads LOAN GROWTH CUSTOMER SPREAD NET INTEREST INCOME (YOY, CONSTANT €) (%) (YOY, CONSTANT €) TG spain 20. | +8.9% | 2.75 ; 1,183 2.21 ase 902087 WW Bev 171172185 GROUP L ] I +9.8% 1022 2022 3Q22- 4Q22——- 1023 1022 2022 3Q
Slide 18: 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 1Q21 2Q21 3Q21 4Q21 1Q22
1Q23 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23 69% 57% 77% 59%
Slide 19: 1Q22 2Q22 3Q22
1Q23 1Q22 2Q22 3Q22 4Q22 1Q23 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 1Q22 2Q22 3Q22 4Q22 1Q23 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23
Slide 20: Loans and deposits
1Q23 20 Δ (%) € €Bn Mortgages Demand Deposits Consumer + Credit Cards Very small businesses Time Deposits Other Commercial Corporate + CIB Off-BS Funds Public sector Others ▰ ▰ ▰ ▰ ▰
Slide 21: Loans and deposits by region
1Q23 21 (CONSTANT €) €Bn Δ Δ €Bn Mortgages Consumer Demand Deposits Credit Cards SMEs Time Deposits Other Commercial Off-BS Funds Public sector ▰ ▰ ▰ ▰ ▰
Slide 22: Turkey loans and deposits
1Q23 22 Δ Δ (CONSTANT €; BANK ONLY) FC € Time FC Demand TL TL Commercial Time Retail Demand ▰ ▰ ▰ ▰ ▰
Slide 23: South America loans and deposits
1Q23 23 (CONSTANT €) Δ Δ Colombia Colombia Peru Peru Argentina Argentina Other Other ▰ ▰ ▰
Slide 24: Capital & Liquidity
Creating Opportunities OS Capital & Liquidity
Slide 25: A high quality and resilient capital position
A high quality and resilient capital STRONG CAPITAL POSITION CET1 FULLY-LOADED (%) 13.13% Target range 11.5- 12.0% __ CET] Requirement 8.75% Mar-23 HIGH RWAS DENSITY, WITHA LIMITED USE OF INTERNAL MODELS! RWA/TOTALASSETS LEVERAGE RATIO FL BBVAMAR-23/ PEERS DEC-22 BBVAMAR-23/ PEERS DEC-22 BBVA PEERS
Slide 26: Strong capital position with CET1 FL above our target
Strong capital position with CET1 FL above our target CET1 FULLY-LOADED (%, BPS) +54 bps ~-5 3bo +19 bps “eS PPS 412 bps p *19PS 12.80% |) a a 12.61% ™ | Dec-22 NPL Bac! (1) Dec-22 Results Dividen accrual RWAs Market Others (3) (reported) (proforma) &ATI coupons(constant€) impacts (2) (1) Reversal o
Slide 27: AT1 and Tier 2 requirement
2.43% 0.04% 1.82% 0.75% 2.50% 0.96% 4.50% CET1 Requirement Total Requirement Phased-in Mar-23
Slide 28: Capital requirements
0.06% 2.50% 0.84% 4.50% CET1 Requirement Total Requirement Phased-in Mar-23
Slide 29: Sound MREL position
1023 Fixed Income 29 Sound MREL position >80% OF MREL ELIGIBLE POSITION AS OF MAR-23 WITH SUBORDINATION > OR = TO SNP % RWA! MREL REQUIREMENT + CBR SUBORDINATION REQUIREMENT + CBR M-MDA Buffer 213 bps (4.4€bn) Subordination Buffer 538 bps (11.1€bn) 24.77% 26.89% CBR: 3.31% 22.19% 16.81% MREL CBR: 3.
Slide 30: Liquidity ratios well above 100% minimum
Liquidity ratios well above 100% minimum Ample quality collateral BBVA GROUP LIQUIDITY BALANCE SHEET! MAR-23 = Net Loans to Customers 58% 63% = Deposits = Securities portfolio (mainly ALCO and = ECB trading) = Cash&Central = M&L/T Funding banks 9, we 20 a * 11% = S/T Funding 7% BEquity & Others =Fix
Slide 31: Limited wholesale funding maturities in all geographies
1Q23 Fixed Income 31, Limited wholesale funding maturities in all geographies DEBT OUTSTANDING BY PRODUCT MEDIUM & LONG-TERM WHOLESALE MAR-23, €BN FUNDING MATURITIES MAR-23, €BN a pn 90 10.4 1S7 referre 0 : 63 6] a 18 wee Osbn = of P| = = 31% Subordinated Total 1 8 6 *V MEXICO 26 57 bn a | XK 16%) N
Slide 32: Funding plan oriented to meet 2023 maturities and requirements
1023 Fixed Income 32 Funding plan oriented to meet 2023 maturities and regulatory requirements BBVA,S.A. 2023 2023 Strategy! €BN Executed (subject to market conditions) AT] Dynamic management of the capital stack structure? Tier 2 SNP €1bn Could issue € 2-3 bn SP-SNP. Potential additional issuance i
Slide 33: All rating agencies assign BBVA a single A rating
123 Fixed Income 33 All Ratings Agencies assign BBVA a rating’ on the single A space, with stable outlook BBVA LONG TERM BBVA RATINGS BY TYPE OF SENIOR PREFERRED RATINGS INSTRUMENT AND ISSUER Moody's S&P Fitch DBRS Investment | Aaa AAA AAA AN cB ' Stable outlook grade | pat cB AN Ade AA(H) Moody's G
Slide 34: Annex
BBVA Creating Opportunities Annex a Nilsensitivity to interest rate movements 4 ALCO Portfolio a Customer spreads: quarterly evolution a Stages breakdown by business area a Exposure to Covid-related loans and Commercial Real Estate « Capital Base: BBVA Group & BBVA, S.A. « CET1 Sensitivity to market
Slide 35: NII sensitivity to interest rates movements
1023 Fixed Income 35 NII sensitivity to interest rates movements ESTIMATED IMPACT ON NII IN THE NEXT 12 MONTHS TO PARALLEL INTEREST RATE MOVEMENTS (TO +100 BPS INTEREST RATES INCREASE) = | +10/15%, +3.4%, EURO BALANCE MEXICO SHEET Note: Nil sensitivities to parallel interest rates movements as of Fe
Slide 36: ALCO Portfolio
1023 Fixed Income 36 ALCO Portfolio ALCO PORTFOLIO BREAKDOWN BY REGION (€ BN) Amort Cost Fair Value —_(HTC&S) 63.7 ore a eEnET 57.9 Mar-23 (BN) (€BN) incl. hedges) @ South America South America 0.2 6.0 0.9 years @ Turkey Turkey 7.0 3.2 3.8 years @ Mexico Mexico 6.2 8.2 1.9 years B Euro @ Euro 19.5 1
Slide 37: Customer spreads: quarterly evolution
123 Fixed Income 37 Customer spreads: quarterly evolution AVERAGE 1Q22 2Q22 3Q22 4Q22 1Q23 1Q22 §2Q22 = 3Q22.) 4Q22 =~ 1Q23 Spain 1.71% 1.72% 1.85% 2.21% 2.75% Turkey TL 5.22% 6.65% 9.00% 7.19% 3.92% Yield on Loans 17% 174% 1.93% 242% 3.11% Yield on Loans 17.75% 18.60% 20.92% 18.67% —-16.84% Cost of
Slide 38: Stages breakdown by business area
Stages breakdown by business area CREDIT RISK BREAKDOWN BY BUSINESS AREA (MAR-23,€M) BBVA GROUP Stage 1 Stage 2 Stage 3 TURKEY Stage 1 Stage 2 Stage 3 COLOMBIA Stage 1 Stage 2 Stage 3 Gross Accumulated Exposure impairments 377,908 2,062 36,373 2,243 14,141 7,357 Gross Accumulated Exposure impairment
Slide 39: Exposure to Covid-related loans and Commercial Real Estate
1923 Fixed Income 39 Exposure to Covid-related loans backed by State guarantees and Commercial Real Estate COVID-RELATED LOANS, SPAIN AND PERU COMMERCIAL REAL ESTATE (OUTSTANDING LOANS AS OF MAR’23) (GROUP’s CRE EAD, %, AS OF MAR'23) | | | 11.7 Bne 1.1 ene C.9 ne? of which of which 5/% Retail 56% Re
Slide 40: Capital Base BBVA Group & BBVA, S.A.
1923 Fixed Income 40 Capital Base BBVA Group & BBVA, S.A. CAPITAL RATIOS MAR-23 (%) 16.30 W717 Tier2 ®" 1.68 mm 1.86 Additional Tier 1 "1.49 MF 233 CET! 13.13 12.98 BBVA Group BBVA, S.A. CET1 €45,761m € 26,972m ATI €5,187m €4,339m T2 €5,865m €3,862m Total Capital Base €56,813m € 35,673 m RWA € 348,5
Slide 41: CET1 Sensitivity to Market Impacts
1923 Fixed Income 41 CET1 Sensitivity to Market Impacts! TO A 10% CURRENCY DEPRECIATION TO A 10% DECLINE IN TELEFONICA’S (MAR-23) SHARE PRICE (MAR-23) MXN -1 Ibps TRY - bps TO +100 BPS MOVEMENT IN THE SPANISH SOVEREIGN BOND (MAR-23) USD +1 /bps (1) CETI sensitivity considering the FL capital ratio a
Slide 42: Group RWA breakdown
Group RWA breakdown TOTAL RWA BREAKDOWN PHASED-IN 50% IRB Models CVA! FX Risk Trading Act. Risk Operational Ri Credit Risk 50% Standardized Models Note 1: Credit Valuation Adjustment. Note: Distribution of RWAs by type of risk and Model based on 4Q22 Pilar Ill report 1923 Fixed Income 42 a Optimizin
Slide 43: Debt Issuances 2021-2023 YTD
1923 Fixed Income 43 Debt Issuances 2021-2023 YTD PRODUCT ISSUE DATE ~~ CALL DATE MATURITY NOMINAL CURRENCY COUPON sP May-23 May-25 May-26 €1,000M 4.125% SI BBVAS.A. CB Jan-23 2 Jul-27 €1,500M 3.125% SNP. Jan-23 Jan-30 Jan-31 €1,000M 4.625% SP Nov-22 = Nov-28 CHF 210M 2.77% v) SP Nov-22 = Nov-25 CHF
Slide 44: Called notes 2018-2023 YTD
1023 Fixed Income 44 Called notes 2018 — 2023YTD economic call policy OUTSTANDING PRODUCT ISSUE DATE REDEMPTION CURRENCY (M) COUPON BBVA, S.A. AT May-17 May-22* €500 5.875% BBVA, S.A. ATI Apr-16 Apr-21 € 1,000 8.875% Caixa Terrassa SPP Preferred Ago-05 Jan-21 €75 10yCMS+0.10% BBVA Intl. Preferred Un
Slide 45: Main Subsidiaries ratings
Main Subsidiaries ratings! BBVA LONG TERM SENIOR UNSECURED RATINGS Investment grade Non Investment Grade BBVA Mexico AAA/Aaa AA+/Aal AA/Aa2 AA-/Aa3 A+/Al ASAZ A-/AS aS oY BBB-/Baa3 BB+/Bal BB/Ba2 BB-/Ba3 B+/B1 B/B2 B-/B3 ccc cc .) Garanti BBVA AAA/Aaa AA+/Aal AA/Aa2 AA-/Aad A+/Al A/A2 A-/AZ BBB+/Baa
Slide 46: Book Value of the main subsidiaries
1023 Fixed Income 46 Book Value of the main subsidiaries(:2) € BN; MAR-23 Mexico By — es | / 3 Turkey a 7.8 Argentina = W114 Colombia se Peru gy 812 Chile wy 103 Venezuela zm | 0.1 (1) Includes the initial investment + BBVA's undistributed results + FX impact + other valuation adjustments. The Goodw
Slide 47: BBVA
BBVA