Main data – Form 6-K

Main data

(1) For more information, see Alternative Performance Measures at the end of this report.

(2) The number of shares issued as of 30-09-22 takes into account the redemption of 357 million shares, corresponding to the second tranche of the share buyback program.

(3) Calculated by dividing the dividends paid in the last twelve months by the closing price of the period.

(4) Phased-in ratios include the temporary treatment on the impact of IFRS 9, calculated in accordance with Article 473 bis amendments of the Capital Requirements Regulation (CRR), introduced by the Regulation (EU) 2020/873.

Contents

Highlights

Invasion of Ukraine

Russia's invasion of Ukraine, the largest military attack on a European state since World War II, has had an immediate impact on geopolitics and the global economy. There has also been an increase in the level of uncertainty and tensions, which remains high at the date of elaboration of this report. The European Union, the United States, the United Kingdom and other governments have imposed harsh sanctions against Russia and Russian interests, and additional sanctions and controls cannot be ruled out. The impact of these measures, as well as the potential response by Russia, are currently uncertain and could negatively affect the Bank's business, financial position and results, although the Group's direct exposure to Ukraine and Russia is limited.

The Group observes this events with particular conceand unease because of the human tragedy that they entail.

Results and business activity

The BBVA Group generated a net attributable profit excluding non-recurring impacts of €5,044m in the first nine months of 2022, representing a year-on-year variation of +35.3%. Including those non-recurring impacts, i.e. €-201m from the purchase of offices in Spain from Merlin in June 2022 and €-416m from the results of discontinued operations corresponding to BBVA USA and the companies sold to PNC on June 1, 2021, together with the net cost related to the restructuring process of the same year, the Group's net attributable profit increased by 46.2% year-on-year.

Recurring income from banking activity (net interest income and commissions) continues to show an excellent performance, reflecting the good performance of activity and improvement in the customer spread, fostered by a more favorable interest rate environment.

Operating expenses increased at Group level (+12.8%, in an environment of high inflation in all countries in which BBVA operates. Notwithstanding the above, thanks to the remarkable growth in gross income, higher than that of expenses, the efficiency ratio stood at 42.9% as of September 30, 2022, with an improvement of 249 basis points in constant terms, compared to the ratio as of September 30, 2021, placing BBVA once again, in a leading position among its European peer group¹.

The provisions for impairment on financial assets increased (+6.4% in year-on-year terms and at constant exchange rates), with higher provisions in Turkey and Mexico.

Loans and advances to customers grew by 13.4% compared to the end of December 2021, strongly favored by the evolution of corporate loans in all business areas and, to a lesser extent, by the dynamism of retail loans.

Customer funds increased by 8.7% compared to the end of December 2021, thanks to the contribution of demand deposits (+7.4%) and time deposits (+32.6%), showing an outstanding growth in the quarter.

¹ European peer group: Barclays, BNP Paribas, Crédit Agricole, Commerzbank, Credit Suisse, Deutsche Bank, HSBC, Intesa Sanpaolo, Lloyds Banking Group, Natwest, Banco Santander, Société Générale, UBS and Unicredit, data at the end of June 2022.

Business areas

As for the business areas, excluding the effect of currency fluctuation in those areas where it has an impact, in each of them it is worth mentioning:

The Corporate Center recorded a net attributable loss of €-566m in the first nine months of 2022. This result compares positively to €-817m recorded in the same period of the previous year, although it should be taken into account that this figure included the net costs associated with the restructuring process in Spain carried out by the Group in 2021, in addition to the results generated by the Group's businesses in the United States until their sale to PNC on June 1, 2021.

Lastly and for a broader understanding of the Group's activity and results, supplementary information is provided below for the wholesale business carried out by BBVA, Corporate & Investment Banking (CIB), in the countries where it operates. CIB generated a net attributable profit of €1,353m in the first nine months of 2022. These results, which do not include the application of hyperinflation accounting, represent an increase of 45.5% on a year-on-year basis, due to the growth in recurring income and NTI, which comfortably offset the higher expenses and provisions for impairment on financial assets. It should also be noted that all business lines of the CIB area recorded growth compared to the first nine months of 2021, both in revenues and net attributable profit.

Solvency

The Group's CET1 Fully-loaded ratio stood at 12.45% as of September 30, 2022, which allows to maintain a large management buffer over the Group's CET1 requirement (8.60%), and also above the Group's established target management range of 11.5-12.0% of CET1.

Share buyback program

*As of the date of tranche closure.

Dividend

Sustainability

Channeling sustainable business

*Socially responsible investing.

BBVA has channeled a total of €124,000m in sustainable business between 2018 and September 2022. Close to €13,000m were channeled this quarter, which represents an increase of nearly 60% compared to the same period in 2021.

Within the channeling of sustainable business, which aims to promote the fight against climate change, the contribution of loans and the funding of projects stands out, which account for 78% of the amount channeled at the end of September 2022. It should be considered that these products have had a standard amortization rate since the beginning of their channeling. Third-party bond brokerage, a business activity that is registered off-balance sheet, represents 18% of the channeled business linked to the fight against climate change. Finally, mutual funds and other off-balance sheet products such as insurance and pension funds, represent

4%.

For its part, within the channeling of sustainable business, which aims to promote inclusive growth, loans and project financing account for 59% of the total amount channeled at the end of September 2022, showing a standard amortization rate since the beginning of its channeling. Third-party bond brokerage represents 14%, while mutual funds and other off-balance sheet products such as insurance and pension funds represent 6%. Finally, the activity of the Microfinance Foundation (BBVAMF), not recorded in the BBVA Group's balance sheet, whose objective is to support entrepreneurs with micro-credits, represent 21%.

The good performance of retail business related to energy efficiency stands out, which has doubled in the third quarter of 2022 compared to the same quarter of the previous year. The role of Spain stands out, doubling the funds directed to energy efficiency compared to the same quarter last year. The increase of 43% in retail business related to sustainable mobility has also been relevant, with financing lines for the acquisition of hybrid and electric vehicles, which has already exceeded that of the same quarter of the previous year and where Colombia has been crucial by channeling a quarter of the total amount. In corporate business, financing related to energy-efficient buildings stands out, multiplying its channeling by three compared to the same quarter of the previous year, where Mexico has been key by increasing its channeling in this line by 60%.

In inclusive growth, great progress has also been made, highlighting the financing of social housing or healthcare infrastructures, quadrupling the financing of the latter compared to the same quarter of the previous year. Financing the business segment plays a relevant role as it contributes more than half of the total channeling, with Spain standing out, which represents approximately 50% of it.

Finally, in corporate business, channeling has also increased by more than 130% compared to the same quarter of the previous year. Likewise, Project Finance activity multiplied by two compared to the same quarter of the previous year, highlighting wind farm projects, which account for almost a quarter of the channeling in Project Finance and where the United States is a key player, accounting for almost 80% of the channeling.

Relevant advances in sustainability matters

BBVA has raised up its sustainable business goal to €300,000m. This figure places BBVA as one of the European banks with the greatest ambition in its goal of channeling sustainable financing and it is a tangible example of the bank's commitment to sustainability, one of its strategic priorities. This new target, which was just made public in October, means raising the goal announced in July 2021 by 50%, when BBVA updated its sustainable financing roadmap. In addition, it triples the initial aspiration, detailed in February 2018.

BBVA updates its Sustainability General Policy by adding the General Policy on Corporate Social Responsibility and updating the Group's sustainability goals. The three new objectives are: increase the growth of the Group's business through sustainability, achieve neutrality in greenhouse gas emissions and to promote integrity in the relationship with stakeholders. In addition, natural capital is incorporated as a focus of action to be prepared for the challenges ahead.

BBVA wants to accompany the energy sector in its transition and it is committed to clean energies. The Group is making progress in its commitment to be a carbon neutral Entity in 2050, not only through its own activity, already achieved since 2020, but also through the activity of the customers that it finances. Therefore, it has announced that it will reduce the emissions of its oil and gas portfolio by 30% before 2030. BBVA will align its balance sheet in the oil and gas sector according to the scenario of net zero emissions in 2050 following the absolute emissions metric. This commitment is in addition to the Group's 2021 targets in four other carbon-intensive sectors (see table below) and the decision to stop financing coal companies, in line with the zero net emissions banking alliance (NZBA).

BBVA's strategic priorities are innovation and sustainability, as evidenced by the creation of a new "water footprint" loan for wholesale customers. This loan, a pioneer in the market, focuses on the customers' water footprint, being of special interest for both, companies that make intensive use of water in their production process, as well as those that operate in the energy, food and beverages, agriculture, textiles or packaging sectors, among others. With this new product, customers benefit from their efforts to reduce their water footprint, not only in terms of price, but also in terms of reputation and differentiation from competitors.

BBVA has joined the Carbonplace global platform as a founding member. The platform, which will be operational by the end of 2022, aims to simplify access to carbon credits for all those customers committed to decarbonization. It is an innovative global carbon credit transaction platform that allows the safe, simple and transparent exchange of certified carbon credits, in accordance with recognized international standards. Through this technological solution, BBVA will offer its customers around the world direct access to carbon credits to offset their emissions. BBVA is the first Spanish bank to join this platform integrated into the voluntary carbon market.

BBVA wants to "make the opportunities of this new era available to everyone", which is why it has launched the free online course "The ABC of Sustainability" open to the public on the Coursera platform. Within the course, it is described how sustainability is applicable to daily situations in the population, the use of natural resources, its application in the global economy and its interaction with the biosphere, as well as social aspects such as a fair transition, equity, equality, diversity , human rights, education and health.

In addition, since World Environment Day, the educational program "Learning Together" is transformed into "Learning Together 2030". This change sets the beginning of a new stage in the BBVA initiative that will strengthen and expand its global commitment to people and the planet. The program is the largest educational platform in Spanish, it already has more than seven million subscribers and its videos have more than 1,800m views.

Macroeconomic environment

Economic growth remained at relatively high levels during the first half of 2022. The savings previously accumulated, the normalization of activity following the restrictions and disruptions generated by the COVID-19 pandemic, as well as the dynamism of labor markets, have contributed significantly to the performance of private consumption and the service sector.

However, the global economy is showing increasing signs of slowdown, in an environment affected by strong inflationary pressures, an aggressive tightening of monetary conditions, the negative impact of the war in Ukraine and the slower growth in China.

Inflation remains high and continues to surprise on the upside. In annual terms, in September inflation reached 9.9% in the Eurozone and 8.2% in the United States. Many commodity prices and disruptions in global supply chains have moderated in recent months, to some extent due to the expected lower global demand, although they remain relatively high. The significant increase in the price of gas, caused by supply restrictions by Russia, has reinforced the pressure on prices, mainly in Europe. In addition to showing greater persistence, inflationary pressures have also spread to more types of goods and services in recent months.

Against this backdrop, central banks have launched a process of tightening monetary conditions, more aggressive than expected by most analysts. In particular, the US Federal Reserve ("the Fed") has raised policy rates by 300 basis points since the beginning of the year 2022 up to 3.25% in September and has started selling assets to reduce the size of its balance sheet. The Fed has also announced that interest rates will continue to rise in the coming months. According to BBVA Research, interest rates are expected to reach around 4.75% by the beginning of 2023. In the Eurozone, the ECB has raised official interest rates by 125 basis points from July to September. Therefore, both in the Eurozone and in the United States, it is most likely than not that interest rates will soon converge to clearly contractionary levels, given the commitment by central banks to control inflation despite the eventual negative effects on economic activity.

In a context of high uncertainty, BBVA Research's central scenario estimates that the global economy will slow down significantly in the near future, with possible episodes of recession in the Eurozone and the United States. The tightening of monetary conditions would be the main driver of this slowdown, in an environment where commodity prices (in particular, gas prices in Europe) and supply disruptions will continue to negatively weight on activity.

According to BBVA Research, after rising 6.2% in 2021, global GDP will grow 3.2% in 2022 and 2.4% in 2023, down 0.2 and 0.1 percentage points, respectively, from the previous estimate three months ago. In the US, growth would slow to 1.7% in 2022 and 0.5% in 2023, when strong monetary tightening is expected to cause a mild recession. In the Eurozone, GDP is expected to slightly fall in the coming quarters, mainly due to the disruptions caused by the war in Ukraine, including high gas prices. Annual growth in the region would be 3.1% in 2022 and -0.1% in 2023. China's economy is expected to grow at 3.6% in 2022 and 5.2% in 2023. However, the continued implementation of strict measures to contain the spread of Coronavirus which could lead to further restrictions on mobility in the future, and the financial strains caused by imbalances in real estate markets could trigger lower-than-expected economic growth.

The risks around this central scenario are significant and have a downward bias on BBVA Research's growth forecasts. In particular, sustained inflation could trigger even stronger interest rates hikes and therefore, a deeper and more widespread recession, as well as financial volatility scenario.

Group

Quarterly evolution of results

The result achieved by the BBVA Group in the third quarter of 2022 stood at €1,841m, or what is the same, 9.9% above the previous quarter, which included -201 million euros of non-recurring impact for the purchase of offices in Spain. Excluding this impact, the Group's attributable profit was 1.9% below the 1,877 million euros achieved in the previous quarter. In addition to the above, the following trends stand out:

(1) Include: (I) the net impact arisen from the purchase of offices in Spain in 2022 for €-201m; (II) the net costs related to the restructuring process in 2021 for €-696m; and (III) the profit (loss) generated by BBVA USA and the rest of the companies in the United States sold to PNC on June 1, 2021 for +280 million euros.

(2) Adjusted by additional Tier 1 instrument remuneration. EPS calculated considering the average number of shares, taking into account the treasury shares and the shares acquired under the share buyback program. Adjusted EPS calculated considering the number of shares, taking into account the treasury shares. For more information, see Alternative Performance Measures at the end of this report.

Year-on-year performance of results

The BBVA Group generated a net attributable profit excluding non-recurring impacts of €5,044m in the first nine months of 2022, representing a year-on-year variation of +35.3%. Including those non-recurring impacts, i.e. €-201m from the purchase of offices in Spain from Merlin in June 2022 and €-416m from the results of discontinued operations corresponding to BBVA USA and the companies sold to PNC on June 1, 2021, together with the net cost related to the restructuring process of the same year, the Group's net attributable profit increased by 46.2% year-on-year.

(1) Include: (I) the net impact arisen from the purchase of offices in Spain in 2022 for €-201m; (II) the net costs related to the restructuring process in 2021 for €-696m; and (III) the profit (loss) generated by BBVA USA and the rest of the companies in the United States sold to PNC on June 1, 2021 for +280 million euros.

(2) Adjusted by additional Tier 1 instrument remuneration. EPS calculated considering the average number of shares, taking into account the treasury shares and the shares acquired under the share buyback program. Adjusted EPS calculated considering the number of shares, taking into account the treasury shares. For more information, see Alternative Performance Measures at the end of this report.

The result attributed to the Group for the first nine months of 2022 includes the application to the Group's entities in Turkey of IAS 29, "Financial Reporting in Hyperinflationary Economies"².

Unless expressly indicated otherwise, to better understand the changes under the main headings of the Group's income statement, the year-on-year rates of change provided below refer to constant exchange rates. When comparing two dates or periods in this report, the impact of changes in the exchange rates against the euro of the currencies of the countries in which BBVA operates is sometimes excluded, assuming that exchange rates remain constant. For this purpose, the average exchange rate of the currency of each geographical area of the most recent period is used for both periods, except for those countries whose economies have been considered hyperinflationary, for which the closing exchange rate of the most recent period is used.

The accumulated net interest income as of September 30, 2022 was higher than in the same period of the previous year (+32.6%), with increases in all geographical areas due to the improvement in customer spread and higher managed loan portfolio volumes. Mexico, Turkey and South America performed well.

All areas, with the exception of Rest of Business, showed a positive performance in the net fees and commissions line compared to the accumulated amount reported at the end of September 2021 (+17.4% at Group level), which is partly explained by the increase in activity and higher fees from payment systems and deposits in the first nine months of 2022.

2 IAS 29 has not been applied to operations outside Turkey, in particular to the financial statements of Garanti Bank in Romania and Garanti Bank International N.V. in the Netherlands.

NTI showed a year-on-year variation of +17.4% at the end of September 2022, with a positive trend in Turkey, South America, Mexico and Spain, which offset the lower outcome of Rest of Business and the lower results recorded in the Corporate Center.

The other operating income and expenses line accumulated a result of €-1,145m as of September 30, 2022, compared to €-108m in the same period last year, mainly due to the more negative adjustment for inflation in Argentina, the recording of this adjustment in the Group's entities in Turkey in 2022 and the higher contribution to the Single Resolution Fund ("SRF") in Spain.

In year-on-year terms, operating expenses increased at the Group level (+14.5%), in an environment of high inflation in all countries in which BBVA operates. By areas, there was a year-on-year decrease in Spain, due to the lower headcount, and to a lesser extent, in the Corporate Center.

Notwithstanding the above, thanks to the remarkable growth in gross income (+21.2%), the efficiency ratio stood at 42.9% as of September 30, 2022, with an improvement of 249 basis points compared to the ratio recorded 12 months earlier. By geographical areas, Spain, Mexico and, to a lesser extent, South America recorded a favorable performance in terms of efficiency.

Impairment on financial assets not measured at fair value through profit or loss (impairment on financial assets) closed September 2022 6.4% above the previous year, with higher credit impairments in Turkey and Mexico.

The provisions or reversal of provisions line (hereinafter "provisions") accumulated a negative balance of €241m as of September 30, 2022, mainly due to provisions for legal contingencies in Spain and was 2.2% below the accumulated figure in the same period of the last year.

For its part, the other gains (losses) line closed September 2022 with a positive balance of €37m, which compares positively to the figure reached the previous year (€-5m).

As a result of the above, the BBVA Group generated a net attributable profit, excluding non-recurring impacts, of €5,044m in the first nine months of 2022, representing a year-on-year increase of +37.1%. Taking into account the non-recurring impacts, registered within the line "Discontinued operations and Other," that is: (I) €-201m recorded in the second quarter of 2022 for the purchase of offices in Spain; (II) €+280m for the results generated by BBVA USA and the rest of the companies sold to PNC on June 1, 2021; and (III) €-696m of the net costs associated with the restructuring process, the cumulative net attributable profit of the Group at the end of September 2022 stood at €4,842m, 47.0% higher than that achieved in the first nine months of 2021.

The cumulative net attributable profits, in millions of euros, at the end of September 2022 for the business areas that compose the Group were as follows: €1,514m in Spain (excluding the impact from the purchase of offices), €2,964m in Mexico, €336m in Turkey, €614m in South America and €183m in Rest of Business.

(1) Calculated considering the number of shares, taking into account the treasury shares and the shares acquired under the buyback program.

(2) Adjusted by additional Tier 1 instrument remuneration. EPS calculated considering the average number of shares, taking into account the treasury shares and the shares acquired under the share buyback program. Adjusted EPS calculated considering the number of shares, taking into account the treasury shares. For more information, see Alternative Performance Measures at the end of this report.

The Group's profitability indicators improved in year on year terms, supported by the favorable performance of results.

(1) Excludes the net impact arisen from the purchase of offices in Spain in Jan.-Sep.22. Excludes BBVA USA and the rest of the companies in the United States sold to PNC on June 1, 2021 and the net cost related to the restructuring process for the periods Ene.-Sep.21 and 2021.

Balance sheet and business activity

The most relevant aspects related to the evolution of the Group's balance sheet and business activity as of September 30, 2022 are summarized below:

⁽¹⁾ Allowances include valuation adjustments for credit risk throughout the expected residual life in those financial instruments that have been acquired (mainly originating from the acquisition of Catalunya Banc, S.A.). As of September 30, 2022, December 31, 2021 and September 30, 2021, the remaining amount was €202m, €266m and €284m, respectively.

The evolution of loans and advances to customers and the customer funds of the BBVA Group as of September 30, December 31, 2021 and September 30, 2022 is shown below.

⁽¹⁾ Includes the customer portfolios in Spain, Mexico, Colombia and Peru.

Solvency

Capital base

The Group's CET1 fully-loaded ratio stood at 12.45% as of September 30, 2022, maintaining a large management buffer over the Group's CET1 requirement (8.60%), and also above the Group's established target management range of 11.5-12.0% of CET1.

During the third quarter of the year, the CET1 ratio remained at the level of the previous quarter. The generation of profit, net of dividends and remuneration of equity instruments, contributed 26 basis points to the CET1 ratio. This growth, together with the offset in equity of the effects of hyperinflation on earnings and the reversal of approximately 10 basis points of the effect on capital of the share buyback program, which was completed for an amount lower than previously deducted, mitigated the effect of market volatility and the growth of risk-weighted assets (RWA).

Fully-loaded risk-weighted assets (RWA) increased approximately €10,800 million euros in the quarter, mainly as a result of the organic generation and the currency effect mainly due to the appreciation of the U.S. dollar and the Mexican peso against the euro.

The consolidated fully-loaded additional Tier 1 capital (AT1) stood at 1.58% as of September 30, 2022, resulting in a 1 basis point decrease from the previous quarter.

The consolidated fully-loaded Tier 2 ratio at the end of September stood at 1.94%, with a decrease of 13 basis points in the quarter. The total fully-loaded capital adequacy ratio stands at 15.97%.

Following the latest SREP (Supervisory Review and Evaluation Process) decision, received in February 2022 and with entry into force as from March 1, 2022, the ECB informed the Group that the Pillar 2 requirement remains unchanged at 1.5% (of which at least 0.84% must be fulfilled with CET1). Therefore, BBVA must maintain a CET1 capital ratio of 8.60% and a total capital ratio of 12.76% at the consolidated level.

The phased-in CET1 ratio at the consolidated level stood at 12.55% as of September 30, 2022, considering the transitory effect of the IFRS 9 standard. AT1 reached 1.58% and Tier 2 reached 1.94%, resulting in a total capital adequacy ratio of 16.07%.

(1) As of September 30, 2022, the difference between the phased-in and fully-loaded ratios arises from the temporary treatment of certain capital items, mainly of the impact of IFRS 9, to which the BBVA Group has adhered voluntarily (in accordance with article 473bis of the CRR and the subsequent amendments introduced by the Regulation (EU) 2020/873).

(2) Preliminary data.

Regarding shareholder remuneration, on April 8, 2022 and as approved by the Annual General Meeting held on March 18, 2022 on the second item of the agenda, a cash gross payment of €0.23 was made against voluntary reserves for each outstanding share of BBVA as an additional shareholder remuneration for the year 2021. Thus, the total amount of cash distributions for the year 2021 was €0.31 gross per share, the largest distribution in 10 years. Similarly, on September 29, 2022, BBVA informed that its Board of Directors approved the payment in cash of €0.12 gross per share, which was paid on October 11, 2022. This dividend is already considered in the Group's capital adequacy ratios.

The total shareholder remuneration includes, in addition to the aforementioned cash payments, the extraordinary remuneration resulting from the execution of the program scheme for the buyback of own shares announced on October 29, 2021 (the "Program Scheme").

Specifically, regarding the Program Scheme, on November 19, 2021, BBVA notified by means of Inside Information the execution of a first tranche (the "First Tranche"), for a maximum amount of 1,500 million euros, with a maximum number of shares to be acquired in the amount of 637,770,016 treasury shares, representing approximately 9.6% of BBVA's share capital. By means of Other Relevant Information dated March 3, 2022, BBVA communicated the completion of the execution of the First Tranche as the maximum monetary amount had been reached, having acquired 281,218,710 own shares in execution of the First Tranche, 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 March 18, 2022, through the redemption of the 281,218,710 own shares acquired by the Bank in execution of the First Tranche and the consequent reduction in BBVA's share capital by a nominal amount of 137,797,167.90 euros.

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") 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.

In this regard, 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 treasury shares (the "First Segment"); and (ii) once execution of the First Segment has 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 own shares in execution of the First Segment, 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 BBVA shares to be acquired of 149,996,808. By means of Other Relevant Information dated August 19, 2022, BBVA announced the completion of the execution of the Second Segment of the Second Tranche upon reaching the maximum number of shares of 149,996,808, representing, approximately, 2.3% of BBVA's share capital as of said date (amounted to approximately €660 million). On September 30, 2022, BBVA notified, by means of 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 redemption of the 356,551,306 own shares acquired by the Bank in execution of the First Segment and the Second Segment and the consequent reduction of BBVA's share capital by a nominal amount of 174,710,139.94 euros.

After the redemptions of the shares acquired in execution of the First and Second Tranche indicated, BBVA's share capital has been set at 2,954,757,116.36 euros, represented by 6,030,116,564 shares with a nominal value of €0.49 each.

(1) The number of shares issued takes into account the redemption of 356,551,306 shares, corresponding to the second tranche of the share buyback program.

With regard to MREL (Minimum Requirement for own funds and Eligible Liabilities) requirements, BBVA must maintain, from January 1, 2022, an amount of own funds and eligible liabilities equal to 21.46% of the total RWAs of its resolution group, at a sub-consolidated³ level (hereinafter, the "MREL in RWAs"). This MREL in RWA does not include the combined capital buffer requirement which, according to applicable regulations and supervisory criteria, would currently be 3.26%, and it is currently the most restrictive

³ In accordance with the resolution strategy MPE ("Multiple Point of Entry") of the BBVA Group, established by the SRB, the resolution group is made up of Banco Bilbao Vizcaya Argentaria, S.A. and subsidiaries that belong to the same European resolution group. As of June 30, 2021, the total RWAs of the resolution group amounted to €190,377m and the total exposure considered for the purpose of calculating the leverage ratio amounted to €452,275m.

requirement for BBVA. Given the structure of own funds and admissible liabilities of the resolution group, as of September 30, 2022, the MREL ratio in RWAs stands at 26.18%%^4,5, complying with the aforementioned requirement.

With the aim of reinforcing compliance with these requirements, during 2022, BBVA has made the following debt issues: (i) senior non-preferred bond for an amount of €1,000m , with a maturity of 7 years and the option for early redemption in the sixth year, with a coupon of 0.875%; (ii) senior preferred issue in May, 2022 for €1,250m at a fixed rate of 1.750% over three and a half years; (iii) senior preferred issue in May, 2022 for an amount of €500m at a floating rate of 3-months Euribor plus a spread of 64 basis points (leaving a coupon of 3-months Euribor plus 100 basis points) at three years and a half; (iv) senior preferred issue in May, 2022 at two-year terms for €100m at a fixed 1% rate; (v) senior preferred issue in July for an initial amount of €400m at the 3-months Euribor floating rate plus 70 basis points, which was increased in amount on 3 occasions, reaching a total amount of 865 million euros; (vi) USD1 billion senior non-preferred issue in September, 2022 with a four-year maturity and a coupon of 5.862%; (vii) USD750 million senior non-preferred issue in September, 2022 with a maturity of six years and a coupon of 6.138%; (viii) senior preferred issue in September, 2022 for an amount of 1,250 million euros, maturing in five years and a coupon of 3.375%; (ix) preferred senior green issue in October, 2022 for a term of seven years and a coupon of 4.375%, whose aim is to finance the growth of commercial activity and meet the Group's objective of making at least one green or social issue per year; and (x) senior preferred issue in October, 2022 for €100m over 12 years and a coupon of 4.25%.

Lastly, as of September 30, 2022, the Group'sfully-loaded leverageratio stood at 6.3% (6.3% phased-in)⁶.

Ratings

During the first nine months of 2022, BBVA's rating has continued to show its stability and all agencies have maintained their rating in the A category. In March, S&P changed the outlook of BBVA's rating from negative to stable (affirming the rating at A), after taking a similar action in the Spanish sovereign rating. Following annual reviews of BBVA, Fitch and DBRS Morningstar affirmed their ratings at A- (May) and A (high) (March), respectively, both with a stable outlook. For its part, Moody's has kept BBVA's rating unchanged in the period at A3 (with a stable outlook). The following table shows the credit ratings and outlook assigned by the agencies:

(1) Ratings assigned to long term senior preferred debt. Additionally, Moody's and Fitch assign A2 and A- rating, respectively, to BBVA's long term deposits.

⁴ Own resources and eligible liabilities to meet, both, MREL and the combined capital buffer requirement applicable.

⁵ As of September 30, 2022, the MREL ratio in Leverage Ratio stands at 10,59% and the subordination ratios in terms of RWAs and in terms of exposure of the leverage ratio, stand at 21,95% and 8,88%, respectively, being preliminary data.

⁶ The Group's leverage ratio is provisional at the date of release of this report. On April, 1st 2022 ended the period of temporary exclusion of certain positions with central banks.

Risk management

Credit risk

In addition to the significant macroeconomic challenges posed by the COVID-19 pandemic, the global economy is currently facing a number of exceptional challenges. Russia's invasion of Ukraine has caused significant disruption, instability and volatility in the world markets, as well as increased inflation (including contributing to further increases in energy, oil and other commodity prices and further affecting supply chains), and lower economic growth.

In relation to the relief measures for customers affected by the pandemic, and in the second instance, affected by the economic effects derived from the war in Ukraine, in Spain and Peru, the possibility of carrying out extensions both in the maturity period as well as in the grace period in financing with public guarantee are still in force. In Spain, they can be requested by companies and self-employed from June 30, 2022, after the expiration of the Temporary State Aid Framework approved by the European Commission, and in Peru, the Decree was approved in May, with eligibility in this measure in place until December 31, 2022.

Regarding the direct exposure of the Group to Russia and Ukraine, this is limited for BBVA, although the Group has taken different measures aimed at reducing its impact, among others, the initial lowering of limits followed by the suspension of operations with Russia, lowering of internal ratings and the inclusion of the country and its borrowers as impaired for subjective reasons.

However, the indirect risk is greater due to the activity of customers in the affected area or sectors. The economic effects are mainly shown through higher commodity prices, but also through financial and confidence channels, as well as a further deterioration of global supply chain issues.

Calculation of expected losses due to credit risk

In addition to the individualized and collective estimates of the expected losses and the macroeconomic estimates in accordance with what is described in IFRS 9, the estimate at the end of the quarter includes the effect on the expected losses of the macroeconomic forecasts' update, which have been affected by the war in Ukraine, the evolution of interest rates, inflation rates or the prices of commodities. This update includes an adaptation of these forecasts, which has been reviewed following the internal approval circuits established for this purpose, to reflect the effects of the new inflationary environment on the results of the collective estimates.

Additionally, the Group can supplement the expected losses either by the consideration of additional risk drivers, the incorporation of sectorial particularities or that may affect a set of operations or borrowers. These adjustments should be of temporary nature, until the reasons for them disappear or they materialize. As of September 30, 2022, there are adjustments to expected losses which amounted to € 243 million at Group level, €159 million in Spain, € 4 million in Peru and €80 million in Mexico. As of December 31, 2021 there were €311 million at the Group level for the same concept, €226 million in Spain, €18 million in Peru and €68 million in Mexico.

BBVA Group's credit risk indicators

The evolution of the Group's main credit risk indicators is summarized below:

(1) Includes gross loans and advances to customers plus guarantees given.

(2) The NPL coverage ratio includes the valuation adjustments for credit risk throughout the expected residual life in those financial instruments that have been acquired (mainly originating from the acquisition of Catalunya Banc, S.A.). If these valuation corrections had not been taken into account, the NPL coverage ratio would have stood at 82% as of September 30, 2022, 73% as of December 31, 2021 and 78% as of September 30, 2021.

(1) Preliminary data.

Structural risks

Liquidity and funding

Liquidity and funding management at BBVA aims to finance the recurring growth of the banking business at suitable maturities and costs, using a wide range of instruments that provide access to a large number of alternative sources of financing. In this context, it is important to notice that, given the nature of BBVA's business, the funding of lending activity is fundamentally carried out through the use of stable customer funds.

Due to its subsidiary-based management model, BBVA is one of the few major European banks that follows the Multiple Point of Entry (MPE) resolution strategy: the parent company sets the liquidity policies, but the subsidiaries are self-sufficient and responsible for managing their own liquidity and funding (taking deposits or accessing the market with their own rating), without fund transfers or financing occurring between either the parent company and the subsidiaries or between the different subsidiaries. This strategy limits the spread of a liquidity crisis among the Group's different areas and ensures that the cost of liquidity and financing is correctly reflected in the price formation process.

The BBVA Group maintains a solid liquidity position in every geographical area in which it operates, with ratios well above the minimum required:

The breakdown of these ratios in the main geographical areas in which the Group operates is shown below:

(1) BBVA, S.A. liquidity management perimeter: Spain + branches of the outside network.

One of the key elements in BBVA's Group liquidity and funding management is the maintenance of large high quality liquidity buffers in all the geographical areas. In this respect, the Group has maintained for the last 12 months an average volume of high quality liquid assets (HQLA) accounting to €136.3 billion, among which, 94% correspond to maximum quality assets (LCR Tier 1).

It should be noted that the war in Ukraine has not had a significant impact on the liquidity and financing situation of the BBVA Group units during the first nine months of 2022. The most relevant aspects related to the main geographical areas are the following:

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

Foreign exchange

Foreign exchange risk management of BBVA's long-term investments, mainly stemming from its overseas franchises, aims to preserve the Group's capital adequacy ratio and to ensure the stability of its income statement.

In the first nine months of the year, foreign exchange markets have been affected by strong central banks' actions and the deterioration of the geopolitical context. This context has benefited the U.S. dollar, which has appreciated 16.2% against a euro penalized by the consequences of the war in Ukraine. The currencies of Latin America have presented, in general, a positive performance in the first nine months of 2022, especially against the euro. The Mexican peso appreciated 17.8% against the euro, the Peruvian sol by 16.4%, the Colombian peso by 2.1% and the Chilean peso by 1.6%. For its part, the Argentine peso accumulated a depreciation of 18.8%. With regard to the Turkish lira, the high inflation environment and the very lax monetary policies continue to negatively affect the currency, losing a 15.8% against the euro in the first nine months of the year.

(1) According to IAS 21 "The effects of changes in foreign exchange rates", the year-end exchange rate is used for the conversion of the Turkey and Argentina income statement.

BBVA maintains its policies of actively hedging its main investments in emerging markets, covering on average between 30% and 50% of annual earnings and around 70% of the CET1 capital ratio surplus. The sensitivity of the Group's CET1 fully-loaded ratio to 10% depreciations in major currencies is estimated, after hedging, at: +19 basis points for the U.S. dollar, -4 basis points for the Mexican peso and -5 basis points for the Turkish lira. The coverage levels of the expected results for 2022 is close to 100% for Mexico, Peru and Colombia. For Turkey, the transition to hyperinflation accounting is generating significant volatility in the expected profits in 2022, although it is neutral in terms of equity generation. In this case, and given the high costs of hedging in this currency, the Group has chosen to make a holistic approach that takes into account, in addition to the expected earnings, the capital ratio volatility to currency movements and the book value of the franchise.

Interest rate

Interest rate risk management seeks to limit the impact that BBVA may suffer, both in terms of net interest income (short-term) and economic value (long-term), from adverse movements in the interest rate curves in the various currencies in which the Group operates. BBVA carries out this work through an internal procedure, pursuant to the guidelines established by the European Banking Authority (EBA), in order to analyze the potential impact that could derive from a range of scenarios on the Group's different balance sheets.

The model is based on assumptions intended to realistically mimic the behavior of the balance sheet. Of particular relevance are assumptions regarding the behavior of accounts with no explicit maturity and prepayment estimates. These assumptions are reviewed and adapted at least once a year to take into account any changes in observed behavior.

At the aggregate level, BBVA continues to maintain a moderate risk profile, in accordance with the established objective, showing positive sensitivity toward interest rate increases in the net interest income.

Regarding relevant events in financial markets, the ECB continued with the rate hike that began in July, with an additional increase in September of 75 basis points which might not be the last one if, as expected, inflation in Europe remains high. As for the impacts in financial markets, the quarter was once again highly volatile, with improvements in the fixed income markets during July, which disappeared during the months of August and September. The German bond curve has continued to flatten, derived from greater rises in the short end than in the longer end. The Spanish sovereign bond curve has behaved similarly to the German curve in the quarter, that is to say, the spread has remained relatively stable. For its part, the United States sovereign bond curve had a similar flattening trend to that of German bonds, with the Fed continuing its rate hike cycle, accumulating increases of 300 basis points in the year. With regard to the emerging markets, similar flattening moves have occurred to those of the United States, continuing with the rate hikes cycle. For its part, Turkey has set the monetary policy rate at 10.5%, making successive cuts of 100 basis points at its meetings in August and September and an additional 150 basis points at the October meeting.

By area, the main features are:

On the other hand, as mentioned, at the end of September 2022 the ECB set the benchmark interest rate at 1.25%, held the marginal deposit facility rate at 0.75% and the marginal loan facility rate at 1.50%. This has been reflected in the European benchmark interest rates (Euribor), with significant increases in the year. In this regard, customer spread is starting to benefit from interest rate hikes, expected to continue in the coming quarters.

(1) Calculated as the month average.

Business areas

This section presents the most relevant aspects of the Group's different business areas. Specifically, for each one of them, it shows a summary of the income statements and balance sheets, the business activity figures and the most significant ratios.

The structure of the business areas reported by the BBVA Group as of September 30, 2022, is identical with the one presented at the end of 2021.

The composition of BBVA Group's business areas is summarized below:

The Corporate Center contains the centralized functions of the Group, including: the costs of the head offices with a corporate function; structural exchange rate positions management; portfolios whose management is not linked to customer relations, such as financial and industrial holdings; stakes in Funds & Investment Vehicles in tech companies; certain tax assets and liabilities; funds due to commitments to employees; goodwill and other intangible assets as well as such portfolios and assets' funding. Additionally, the results obtained by BBVA USA and the rest of the companies included in the sale agreement to PNC until the closing of the transaction on June 1, 2021, are presented in a single line of the income statements called "Profit (loss) after taxes from discontinued operations". Finally, the costs related to the BBVA, S.A. restructuring process carried out in Spain during the first half of the year 2021, are included in this aggregate and are recorded in the line "Net cost related to the restructuring process".

In addition to these geographical breakdowns, supplementary information is provided for the wholesale business carried out by BBVA, Corporate & Investment Banking (CIB), in the countries where it operates. This business is relevant to have a broader understanding of the Group's activity and results due to the important features of the type of customers served, products offered and risks assumed.

The information by business areas is based on units at the lowest level and/or companies that make up the Group, which are assigned to the different areas according to the main region or company group in which they carry out their activity. With regard to the information of the business areas, 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, therefore, to ensure that year-on-year comparisons are homogeneous, the figures corresponding to the financial year 2021 have been restated, which did not affect the consolidated financial information of the Group. 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 relocation from the Spain area to the Rest of Business area.

Regarding the shareholders' funds allocation, in the business areas, a capital allocation system based on the consumed regulatory capital is used.

Finally, it should be noted that, as usual, in the case of the different business areas, that is, Mexico, Turkey, South America and Rest of Business, and, additionally, CIB, in addition to the year-on-year variations applying current exchange rates, the variations at constant exchange rates are also disclosed.

(1) Excludes the Corporate Center and the net impact arisen from the purchase of offices in Spain.

(1) Non-recurring impacts include: (I) the net impact arisen from the purchase of offices in Spain in 2022; (II) the net costs related to the restructuring process; and (III) the profit (loss) after tax from discontinued operations derived from the sale of BBVA USA and the rest of the companies in the United States to PNC on June 1, 2021.

(2) Restated balances.

Spain

Highlights