Fixed Income Presentation 2Q18 Fixed Income Presentation / 2 - - PowerPoint PPT Presentation

Fixed Income Presentation

2Q18

Fixed Income Presentation / 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 or invest in securities in relation to a specific issue must be made solely and exclusively on the basis of the information set out in the pertinent prospectus filed by the company in relation to such specific issue. No one who becomes aware of the information contained in this report should regard it as definitive, because it is subject to changes and modifications. This document contains or may contain forward looking statements (in the usual meaning and within the meaning of the US Private Securities Litigation Reform Act of 1995) regarding intentions, expectations or projections of BBVA or of its management on the date thereof, that refer to or incorporate various assumptions and projections, including projections about the future earnings of the business. The statements contained herein are based on our current projections, but the actual results may be substantially modified in the future by various risks and other factors that may cause the results or final decisions to differ from such intentions, projections or estimates. These factors include, without limitation, (1) the market situation, macroeconomic factors, regulatory, political or government guidelines, (2) domestic and international stock market movements, exchange rates and interest rates, (3) competitive pressures, (4) technological changes, (5) alterations in the financial situation, creditworthiness or solvency of our customers, debtors or counterparts. These factors could cause or result in actual events differing from the information and intentions stated, projected

• r forecast in this document or in other past or future documents. BBVA does not undertake to publicly revise the contents of this or any other

document, either if the events are not as described herein, or if such events lead to changes in the information contained in this document. This document may contain summarised information or information that has not been audited, and its recipients are invited to consult the documentation and public information filed by BBVA with stock market supervisory bodies, in particular, the prospectuses and periodical information filed with the Spanish Securities Exchange Commission (CNMV) and the Annual Report on Form 20-F and information on Form 6-K that are filed with the US Securities and Exchange Commission. Distribution of this document in other jurisdictions may be prohibited, and recipients into whose possession this document comes shall be solely responsible for informing themselves about, and observing any such restrictions. By accepting this document you agree to be bound by the foregoing restrictions.

Index

APPENDIX

BBVA Group 1H18 Profit & Loss Risk Indicators by Areas Capital Base: BBVA Group & BBVA S.A. BBVA, S.A.: 2018 SREP Requirement and distance to MDA Debt Issuances – 2017/2018YTD Amortized notes – 2017/2018YTD BBVA, S.A.: 2018 Issuances MREL framework

About BBVA BBVA’s Strengths & 1H18 Financial Highlights Diversified Footprint Capital MREL Liquidity & Funding Asset Quality

01 02 03 04 05 06 07

Fixed Income Presentation / 3

Ratings

08

Transformation Strategy

09

Fixed Income Presentation / 4

About BBVA

01

About BBVA

€ 690 Bn

assets

75 mn

customers

25 mn

digital customers

>30

countries

131,784

employees

8,141

branches

BBVA’s global presence Defined strategic path

Jun.18

Our Purpose “To bring the age

• f opportunity

to everyone”

New standard in customer experience A first class workforce Drive digital sales New business models Optimal capital allocation Unrivaled efficiency

Six Strategic Priorities

Fixed Income Presentation / 5

Leading franchises in Developed (Spain, USA) and Emerging Markets (Mexico, Turkey and South America). Decentralized model: Self-sufficient subsidiaries responsible for their own capital and liquidity management. No liquidity transfers. Total Assets(1)

Jun.18 Emerging Markets 36% Developed Markets 64%

Gross Income(1)

1H18 Developed Markets 38% Emerging Markets 62% (1) Percentage excludes the Corporate Center

Well diversified & self-sufficient subsidiaries Committed with climate change and sustainable development

BBVA’s Pledge 2025

Green finance Sustainable infrastructure and agribusiness Financial inclusion & entrepreneurship

€100 Billion

MOBILIZED From 2018 to 2025

Sustainable Development Goals Bond Framework recently announced

Fixed Income Presentation / 6

BBVA’s Strengths & 1H18 Financial Highlights

02

Fixed Income Presentation / 7

BBVA’s Strengths

Diversified footprint Prudent risk profile Sound capital and liquidity position Delivering on our transformation strategy

Resilience and Low Earnings Volatility

(€ bn, current, %)

10.5 12.3 11.9 10.6 11.1 10.2 10.4 11.4 11.9 12.8 6.1

• 3.0
• 7.0
• 5.2
• 6.1
• 9.1
• 6.3
• 4.8
• 4.6
• 4.1
• 4.0 (2)
• 1.6

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 1H18

3.7% 4.2% 3.8% 3.2% 3.7% 3.3% 3.0% 2.8% 3.0% 3.5% 3.4%(1)

Provisions and impairments

• n non-financial

assets Pre-provision profit Pre-provision profit / RWAs

(1) Annualized Pre-provision profit for comparison purposes; (2) Excluding Telefónica one off impairment (€-1,123Mn)

Fixed Income Presentation / 7

Profit generation all through the crisis years

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Core revenues growth Cost control Strong capital & liquidity ratios(1) Delivering on our transformation(1)

Mobile customers

Increasing results

Net interest income and fees

(€ Bn, constant)

Digital sales(4)

39% 20.7m

1H18 Highlights

10.1 11.1

1H17 1H18

Sound asset quality(1)

NPL

4.4%

Cost of Risk

(YtD)

0.82%

Coverage

71%

LEVERAGE RATIO

(Proforma(2))

11.4%

(Fully-loaded)

6.4%

CET1 FL LCR(3)

Group Net Attributable Profit

(€ Mn, constant)

+9.8%

2,046 2,649

1H17 1H18

+29.5%

(BBVA Group)

127%

#1 NPS in 6 countries

(Spain, Mexico, Turkey, Perú, Paraguay, Uruguay)

(1) Data as of 2Q18; (2) Data proforma includes +55 bps from corporate transactions (sale of BBVA Chile and RE Assets to Cerberus); (3) Liquidity Coverage Ratio; (4) % of total sales in Jun.18, # of transactions

Core revenues

• vs. Op.

Expenses

(YtD, € constant)

Core revenues

+9.8%

• vs. 1H17

Operating Expenses

+2.9%

• vs. 1H17

49.2%

• 82 bps
• vs. 12M17

Efficiency ratio

(€ constant)

Fixed Income Presentation / 9

Diversified Footprint

03

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Breakdown by Business Area

Total Assets

Jun.18

64%

Developed Markets

Leadership positioning

Market share(in %) and ranking (7)

Higher Growth Prospects

2018e GDP growth (YoY, %)

Well diversified footprint with high growth prospects

Spain 48.4% US 11.2% Mexico 13.7% Turkey 10.6% South America 10.2% Rest of Eurasia 2.7% Corporate Center 3.2% Spain 24.7% US 11.7% Mexico 28.2% Turkey 15.7% South America 17.9% Rest of Eurasia 1.8%

Gross Income(3)

1H18

38%

Developed Markets

SPAIN #3

13.7%

USA (Sunbelt) #4

6.0%

MEXICO #1

22.9%

TURKEY #2

11.0%

S.AMERICA (ex Brazil) #1

10.3%

(1) Includes Banking activity in Spain and Non Core Real Estate; (2) Excludes Corporate Center; (3) Percentages exclude the Corporate Center (1H18 Gross Income of €-196Mn)

€690 bn €12.1 bn

USA(4) +3.7% MEXICO +2.6% SPAIN +2.9% TURKEY +3.8% South America Footprint +1.8%

2.8 2.5 1.9 1.7

2018 2019

BBVA Footprint Eurozone + UK

(7) Loans’ market shares except for USA (Deposits). Spain based on BoS (May.18) and ranking (Mar.18) by AEB and CECA; Mexico data as of May.18 (CNBV); S. America (May.18), ranking considering main peers in each country; USA: SNL (Jun.17) considering Texas and Alabama; Turkey: BRSA performing loans; market share among commercial banks (Jun.18) and ranking (only considers private banks) as of Mar.18

Source: BBVA Research (4) USA Sunbelt GDP growth; (5) South America Footprint excludes Venezuela (6) BBVA’s footprint GDP growth: weighted by each country contribution to Group’s Gross Income.

Fixed Income Presentation / 11

3.3 1.3 1.1 5.5 4.8 4.8 8.8 6.1 5.9 Jun-17 Mar-18 Jun-18

NET EXPOSURE (€bn)

Business areas in 1H18

NPL RATIO(1) Jun.18

5.2% vs. 5.9% Jun.17 0.21% vs. 0.35% Jun.17 1.2% vs. 1.3% Jun.17 0.23% vs. 0.39% Jun.17

USA constant €

COST OF RISK Jun.18 (YtD) COST OF RISK Jun.18 (YtD) NPL RATIO Jun.18

SPAIN Banking Activity Non Core Real Estate

MAIN MESSAGES

• wned assets
• 33.2%
• 12.8%
• 67.2%

NET ATTRIBUTABLE PROFIT (1H18)

793 €Mn

+19.2% vs. 1H17

NET ATTRIBUTABLE PROFIT (1H18)

• 36 €Mn
• 80.8% vs 1H17

NET ATTRIBUTABLE PROFIT (1H18)

387 €Mn

+51.2% vs. 1H17

NII growth as the main P&L driver, growing at double digit Loan growth accelerating. Focus on consumer loans: +18% yoy Positive jaws and efficiency improvement CoR much better than expected thanks to provision releases Strengthening our retail franchise

Developed Markets €1,196Mn, +47.5% YoY

1H18 Net attributable profit(2) (constant €)

Loans: Improving trend (+1.6% qoq) Continued growth in most profitable retail segments. Core revenue growth (+1.5% yoy in 1H18): sound growth in asset management and retail banking fees Costs continue to decrease (-4.2% yoy in 1H18). Asset quality: NPLs down -€241 Mn qoq and CoR better than expected. 2018e net losses below €100Mn Cerberus deal (closing expected in 3Q18) will reduce almost entirely the exposure to Real Estate Owned Assets.

Note: NPL ratio of 2Q18 under IFRS9 standards, 2017 figures under IAS 39 (1) NPL ratio exclude repos ; (2) Excluding Corporate Center (€-586Mn 1H18)

37%

Fixed Income Presentation / 12

4.5% vs. 2.5% Jun.17 1.23% vs. 0.84% Jun.17 2.0% vs. 2.3% Jun.17 2.93% vs. 3.29% Jun.17

NPL RATIO Jun.18

3.7% vs. 3.5% Jun.17

COST OF RISK Jun.18 (YtD)

1.30% vs. 1.52% Jun.17

SOUTH AMERICA constant € MEXICO constant € TURKEY constant €

NPL RATIO Jun.18 NPL RATIO Jun.18 COST OF RISK Jun.18 (YtD) COST OF RISK Jun.18 (YtD)

MAIN MESSAGES

Business areas in 1H18

NET ATTRIBUTABLE PROFIT (1H18)

1,208 €Mn

+21.2% vs. 1H17

NET ATTRIBUTABLE PROFIT (1H18)

373 €Mn

+25.6% vs. 1H17

NET ATTRIBUTABLE PROFIT (1H18)

452 €Mn

30.6% vs. 1H17

Loans: TL loans growing at double digits +15.5% yoy and FC loan -8.4% yoy Customer Spread: excellent price management in a higher funding costs environment Solid Core revenue growth: +21% yoy in 1H18 Opex growing below inflation Asset quality impacted by IFRS9 negative macro adjustment and large tickets in the commercial portfolio

Emerging Markets €2,039Mn, +24.5% YoY

1H18 Net attributable profit(1) (constant €)

NII growth at high single digit, in line with expectations Loan growth accelerates yoy to +8.6%, especially in commercial segments. Sound growth in fees, thanks to CIB and asset management. Positive operating jaws and efficiency improvement CoR significantly better than expected Bottom line growth above expectations Core revenues growing at mid-teens Lending growth at double digits, with retail segments as main driver Customer spreads growing qoq across the board Positive jaws and improving efficiency CoR better than expected

Note: NPL ratio of 2Q18 under IFRS9 standards, 2017 figures under IAS 39 ; (1) Excluding Corporate Center (€-586Mn)

63%

Fixed Income Presentation / 13

Asset Quality

04

Fixed Income Presentation / 14

2.3 4.3 4.1 4.0 5.1 6.8 5.8 5.4 4.9 4.6 4.4 92 57 62 61 72 60 64 74 70 65 71 1.15 1.55 1.33 1.19 2.15 1.59 1.25 1.06 0.84 0.89 0.82

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Jun.18

Asset Quality: continued improvement after the crisis

NPL Ratio (%)

Risk Framework

A Risk Management Model based on prudence and proactivity

Coverage ratio (%) Cost of Risk (%)

Risk Framework

A Risk Management Model based

• n prudence and proactivity

Risk Management Goal

To preserve the Group’s solvency, support its strategy and ensure business development

Note: Data as of 2Q18 under IFRS9 standards and 2017 figures under IAS 39. NPL ratio for 2017 and Jun.18 calculated excluding repos (the rest of the series has not been restated)

Fixed Income Presentation / 15

5.2 5.7 1.1 1.0 2.1 2.2 2.5 3.0 2.7 2.7

BBVA Banking Activity in Spain Peers Average BBVA Compass Peers Average BBVA Bancomer Peers Average Garanti Peers Average BBVA

• S. America

Peers Average SPAIN (1) USA (2) MEXICO TURKEY

• S. AMERICA

21 53 18 9 320 314 143 80 142 207

BBVA Banking Activity in Spain Peers Average BBVA Compass Peers Average BBVA Bancomer Peers Average Garanti Peers Average BBVA

• S. America

Peers Average SPAIN USA (2) MEXICO TURKEY

• S. AMERICA

Figures according to local data to ensure comparability. Figures as of Jun.18 for Spain, as of May.18 for Mexico, as of Mar.18 for Turkey, USA and South America. (1) NPL ratios calculated excluding repos in Spain. (2) USA figures refer to Compass for comparison purposes

A prudent risk profile

NPL ratio

(%)

Cost

• f Risk

(YTD, bps)

Fixed Income Presentation / 16

Capital

05

Fixed Income Presentation / 17

CET1 FL TARGET

11%

Sound capital position and a proven ability to generate capital

6.2% 8.0% 9.6% 10.3% 10.8% 11.6% 9.7% 10.3% 10.9% 11.1% 10.9%

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2Q2018

CET1 FL Ratio – BBVA Group

(%)

€17.5 Bn

€38.7 Bn

CET1 x2.2

Basel II Basel III FL

FL Capital Ratios

BBVA Group

Jun.18 (%)

11.40% CET1 FL pro-forma above our 11% Target. 1.5% AT1 and 2% T2 buckets already covered on a FL and phased-in basis

15.11% 10.85% 1.66% 2.59%

CET 1 AT 1 Tier 2 Jun.18

11.40%

pro-forma including corporate transactions(1)

(1) Jun.18 proforma includes the updated impact of Corporate Transactions (+55 bps); (2) Data proforma Mar.18 includes IFRS9 full impact (-31bps) and +57 bps from corporate transactions (sale of BBVA Chile (closed on July 6th) and RE Assets to Cerberus); (3) Others includes mainly market related impacts (mark to market of the HTC&S portfolio, FX impact) and RWA ex FX, among others. CET1 FL Proforma (1)

11.4%

• 5 bps

(3) (2) (1)

11.47% 11.40%

+36 bps

• 18 bps
• 5 bps
• 18 bps
• 2 bps

Mar.18 proforma Net Earnings Dividend accrual and AT1 Coupons RWA (In constant €) Others Corporate Transactions Update Jun.18 proforma

Fixed Income Presentation / 18

Low earnings volatility and ability to generate capital allow for lower capital needs

BBVA’s business model provides significant room to absorb losses

(1) Annualized Pre-provision profit for BBVA. European Peer Group: BARC, BNPP, CASA, CS, CMZ, DB, HSBC, ISP, LBG, RBS, SAN, SG, UBS, UCG.

0.9% 1.0% 1.9% 1.9% 2.1% 2.5% 2.6% 2.6% 2.7% 2.8% 3.1% 3.2% 3.4% 3.4% 4.3% 4.5% Peer 14 Peer 13 Peer 12 Peer 11 Peer 10 Peer 9 Peer 8 Peers Av. Peer 7 Peer 6 Peer 5 Peer 4 Peer 3 BBVA Peer 2 Peer 1 0.6% 0.8% 1.7% 1.8% 1.9% 1.9% 2.0% 2.0% 2.0% 2.2% 2.4% 2.5% 2.6% 2.7% 2.9% 3.3% Peer 14 Peer 13 Peer 12 Peer 11 Peer 10 Peer 9 Peers Av. Peer 8 Peer 7 Peer 6 Peer 5 Peer 4 Peer 3 Peer 2 Peer 1 BBVA

Pre-provision profit(1) / RWAs

1H18 European peers / BBVA

Pre-provision profit(1) / Net Loans

1H18 European peers / BBVA

In less than 4 years, BBVA is able to generate Pre-Provision Profit equivalent to its 11% CET1 FL target

Fixed Income Presentation / 19

High quality capital

BBVA maintains the highest RWAs density and Leverage ratio

• f its European Peer Group

RWAs/ Total Assets

Jun.18 European peers / BBVA, %

Fully-Loaded Leverage Ratio

Jun.18 European peers / BBVA, %

European Peer Group: BARC, BNPP, CASA, CS, CMZ, DB, HSBC, ISP, LBG, RBS, SAN, SG, UBS, UCG.

# 1

4.0 4.0 4.1 4.1 4.5 4.6 4.9 5.0 5.0 5.2 5.2 5.2 5.3 5.9 6.2 6.4

Peer 14 Peer 13 Peer 12 Peer 11 Peer 10 Peer 9 Peers Av. Peer 8 Peer 7 Peer 6 Peer 5 Peer 4 Peer 3 Peer 2 Peer 1 BBVA

# 1

19 25 25 27 27 28 28 29 31 33 35 36 36 41 44 52

Peer 14 Peer 13 Peer 12 Peer 11 Peer 10 Peer 9 Peer 8 Peer 7 Peers Av. Peer 6 Peer 5 Peer 4 Peer 3 Peer 2 Peer 1 BBVA

Fixed Income Presentation / 20 Fixed Income Presentation / 20

Risk-Weighted Assets distribution

31% 17% 14% 16% 15% 4% 2%

Spain (1) USA Turkey Mexico South America Rest of Eurasia Corporate Center

TOTAL RWAs Fully Loaded Jun.18 (€Mn)

357,107 €Mn

(1) Includes Banking Activity in Spain an Non Core RE; (2) Credit Valuation Adjustment. Note: Distribution of RWAs by type of risk and Model based on 1Q18 Pilar III report.

Optimizing Capital Allocation is one of BBVA’s Strategic Priorities Limited usage of internal models in Credit Risk RWAs Potential lower impact from future regulatory requirements

109,180 61,473 58,770 50,630 55,151 15,002 6,901 85.4% 9.9% 3.1% 1.3% 0.4%

CVA (2) FX Risk Trading Act. Risk Operational Risk

Credit Risk Standardized Models 68% IRB Models 32%

Fixed Income Presentation / 21 Fixed Income Presentation / 21

Well above 2018 Total Capital and CET1 SREP requirements. Significant buffer to MDA: 264 bps/319 bps including Corp. Transactions (6) Pro-forma buffer to MDA

• n a fully loaded basis (6),

(7): 215 bps

Capital ratios well above requirements

4.5% 1.5% AT1: 1.5% 1.875% T2: 2.0% 0.563%

2018 CET1 SREP Requirement 2018 Total Capital SREP Requirement BBVA Group Total capital ratio phased-in Jun.18

2018 SREP Requirement and distance to MDA(1) at Group level

Jun.18

(1) Maximum Distributable Amount; (2) The Capital Conservation Buffer (CCB) stands, in fully loaded terms, at 2.5% CET1; (3) The Other Systemic Important Institution buffer (O-SII) stands, in fully loaded terms, at 0.75% CET1; (4) 2018 SREP Requirement as announced on the Relevant Event dated 13 Dec.2017; (5) 264bps of Buffer to MDA = 11.08% Jun-18 CET1 phased-in ratio – 8.438% 2018 CET1 SREP Requirement; (6) Includes +55bps from Corporate transactions (Sale of BBVA Chile and RE Assets to Cerberus); (7) provided for information purposes as the distance to MDA is calculated based on phased-in ratios and these are the legally binding ones DISTANCE TO MDA(5)

264 bps 15.40%

CET1 11.08% AT1: 1.73% T2: 2.59%

Pillar 2R CET1 Pillar 1 CET1 CCB(2) O-SII(3)

8.438% 11.938%

CET1 8.438%

€9.4 Bn

319 bps / €11.4 Bn

Including the Corporate transactions (6)

(4)

Fixed Income Presentation / 22

BBVA has the lowest SREP requirement among peers

CET1 SREP Requirement - FL

(based on 2018 requirement)

BBVA has the lowest SREP requirement among its European peers BBVA 2018 SREP requirement remains unchanged vs. 2017 one

Distance to MDA vs Fully Loaded SREP requirement

Mar.18 European peers / Jun.18 BBVA

Ample buffer over minimum requirements Efficient capital structure

CET1 FL Jun.18: 11.40%

pro-forma including Corp. Transactions(1)

European Peer Group: BNPP, CA, CMZ, DB, ISP, SAN, SG, UCG (entities subject to ECB regulation); (1) +55bps from the sale of BBVA Chile and RE Assets to Cerberus.

11.77% 10.75% 10.07% 9.75% 9.60% 9.53% 9.50% 9.33% 9.25% Peer 1 Peer 2 Peer 3 Peer 4 Peer 5 Peer 6 Peer 7 Peer 8 BBVA 407 299 286 215 159 148 140 124 100 Peer 1 Peer 2 Peer 3 BBVA Peer 4 Peer 5 Peer 6 Peer 7 Peer 8

Fixed Income Presentation / 23 Fixed Income Presentation / 23

High level of Available Distributable Items (ADIs)

Significant payment capacity from distributable items despite conservative calculation

(Share Premium not included)

Supported by sustainable profitability

ADIs 2017 AT1 net coupons

BBVA, S.A. ADIs:

• c. 30x

2017 AT1 coupons

Note: ADIs calculated at a parent company level (BBVA, S.A.) as: Net Income + Voluntary Reserves – 2017 Dividend - AT1 coupons. BBVA does not include within the ADIs figure the Share Premium (amounting to +€24 Bn as of December 31st, 2017).

BBVA, S.A. (Parent Company)

Dec.17, € Bn

€ 8.8 Bn € 0.30 Bn

Fixed Income Presentation / 24

Capital P&L

CET1 FL Ratio Sensitivity to a 10% Depreciation of EM Currencies (Jun.18) For each currency

(MXN, TRY, and rest of EM currencies)

BBVA hedges c.70% of the excess capital (what is not naturally hedged by the ratio) BBVA hedges on average between 30%-50% of foreign subsidiaries expected net attributable profit

2018 Net Attributable Profit FX Hedging (Jun.18): At a Group level

• c. 50%
• c. 60%

For EM Currencies

(of which Mexico c.70% and Turkey c.50%)

BBVA maintains a prudent FX hedging policy to ensure low volatility on the CET1 ratio and limited FX impact on the P&L account

P&L hedging costs booked in the Corporate Center’s NTI

FX Hedging policy

POLICY GOAL

Reduce Consolidated CET1 ratio volatility as a result of FX movements

POLICY GOAL

Reduce Net Attributable Profit volatility as a result of FX movements

APROX

• 2 bps

Fixed Income Presentation / 25 Fixed Income Presentation / 25

28.4 11.2 8.6 5.1 3.5

ALCO & Equity HTC&S(1) Portfolio

Turkey Eurozone Mexico South America

ALCO Portfolio breakdown by region

(Jun.18, € Bn)

5.13%(4) 6.4% € 56.8 Bn

USA

• .w. HTC(3) Portfolio breakdown

(Jun.18, € Bn)

€ 17.9 Bn

Spain 17.3 Italy 7.6 (2) Others 3.5

Diversified portfolio across BBVA’s footprint HTC(3) portfolio contributes to maintain the overall impact of market volatility at sound levels

44% 23% 24% 7% 2%

Turkey Italy Spain

(1): HTC&S: Held to Collect and Sell; (2) Of which €3.8bn mature before year end; (3): HTC: Held to Collect; (4): BBVA’s own position (does not include clients’ induced positions)

Others USA

Equity HTC&S(1) portfolio – Main stake

Fixed Income Presentation / 26

MREL

06

Fixed Income Presentation / 27

MREL requirement

15.08%

Total requirement

• f liabilities and own funds
• f European resolution

Group (1)

28.04%

Total Requirement

• f European

Resolution Group in terms of RWA (2)



(1) BBVA resolution group consists on Banco Bilbao Vizcaya Argentaria S.A. and its subsidiaries that belong to the same European resolution group. As of December 2016, the amount of Total Liabilities and own finds of the European Resolution Group was € 385,647 Mn (2) As of December 2016, the RWAs of the European resolution Group stood at € 207,362 Mn

It translates into



These requirements will be binding on 1st January 2020

BBVA complies with MREL Requirement communicated by Bank of Spain Funding Plan ensures the fulfillment of MREL requirement in 2020

Fixed Income Presentation / 28 2017 2018 2019 2020 ≥ 2021 Covered bonds Senior Debt Subordinated Debt Preferred debt/AT1 Other

BBVA’s 2018 Funding plan

This plan would position BBVA’s capital structure in a very solid stance, currently aligned with the MREL requirement

Capital BBVA has already filled its AT1 and T2 layers BBVA expects to maintain the 1.5% AT1 and 2% T2 regulatory buckets Hybrid capital issuance will be limited to maturities and call options

• 2013 AT1 USD 1.5 Bn (9% coupon) amortized in May 18

MREL Eligible Debt BBVA’s funding plans will be focused on rolling

• ver non-capital wholesale funding maturities into

MREL eligible instruments According to the funding plan, € 2.5-3.5 Bn SNP issuances are expected during 2018 (1)

• BBVA successfully issued a € 1.5 Bn SNP 5y FRN in

March and a inaugural Green Bond SNP € 1 Bn 7y in May

Maturity profile

Wholesale debt maturity profile offers flexibility to refinance current instruments into new SNP, if required:

SNP noteholders have significant buffer

Significant capital buffer of € 43 Bn of subordinated capital (CET1, AT1 and T2)

PONV Resolution

€42.9 bn

CET1 €33.3Bn AT1 €5.4 Bn T2 €4.2 Bn

(1) Subject to market conditions

Fixed Income Presentation / 28 SNP Senior Preferred 1.0 0.4 2.3 2.8 1.3 1.0 3.8 1.7 3.3 2018 2019 2020 Senior Debt Covered Bonds

2018-20 BBVA, S.A. senior & covered bonds maturity profile

(BBVA, S.A.; Dec. 17; € Bn) (BBVA S.A.; Jun.18; FL capital)

Fixed Income Presentation / 29

Liquidity & Funding

07

Fixed Income Presentation / 30

Liquidity & Funding

Self-sufficient subsidiaries from a liquidity point of view, with robust supervision and control by parent company Parent and subsidiaries proven ability to access the wholesale funding markets (medium & long term) on a regular basis Ample high quality collateral available, compliant with regulatory liquidity requirements at a Group and Subsidiary level Retail profile of BBVA Group balance sheet with limited dependence on wholesale funding

Fixed Income Presentation / 31

No liquidity transfers between the parent and subsidiaries or among subsidiaries

Advantages

Medium term orientation / consistent with retail banking Improves risk assessment: imposes market discipline and proper incentives to reach sustainable credit growth Absence of cross-funding or cross-subsidies Helps development of local capital markets It curtails the risk of contagion: natural firewalls / limited contagion Safeguards financial stability / proven resilience during the crisis Liquidity and capital buffers in different balance sheets Guidelines for capital and liquidity / ALCO supervision Common risk culture

Subsidiaries Corporate Center

Self-sufficient balance-sheet management Own capital and liquidity management Market access with its own credit, name and rating Responsible for doing business locally

Decentralized model

Principles of BBVA Group’s self-sufficient business model: Multiple Point of Entry

Fixed Income Presentation / 31

Fixed Income Presentation / 32

BBVA Group Liquidity balance sheet (1)

(Jun.18)

LCR ratios clearly above regulatory requirements (> 100% in 2018), both at a Group level and in all banking subsidiaries

Euroz.(2) USA Mexico Turkey

• S. Amer

LTD(3) 104% 94% 100% 112% (5) 107% LCR 153% 142% (4) 136% 133% well >100%

BBVA Group Liquidity metrics

(Jun.18)

Comfortable liquidity position

Financial soundness based on the funding

• f lending activity

(1) Management liquidity balance sheet (net of interbank balances and derivatives)

Fixed Income Presentation / 32

LCR Group

127%

(2) Perimeter: Spain+Portugal+Rest of Eurasia (3) Calculated under IFRS9 (4) Compass LCR calculated according to local regulation (Fed Modified LCR) (5) Calculated at bank-only local level

8% 17% 10% 4% 61% Liabilities

Deposits ECB Funding M&L/T Equity & Others Funding S/T

27% 11% 62% Assets

Net Loans to Customers Fixed Assets & Others Financial Assets

Fixed Income Presentation / 33

1.6 4.9 4.9 5.8 23.1

2018 2019 2020 2021 >2021

Medium & long-term wholesale funding maturities (Jun.18; € bn, except Turkey in bn USD)

Outstanding amounts as of Jun.18 FX as of Jun.18: EUR = 1.16 USD; EUR = 22,88 MXN; EUR= 5,33 TRY

TURKEY*

2018 2019 2020 2021 >2021

USA

0.5 0.2 1.3

MEXICO EURO

• S. AMERICA**

€ 40.3 bn € 6.4 bn € 3.0 bn € 2.1 bn € 6.9 bn

Broaden geographical diversification of access to market

Ability to access the funding markets in all our main subsidiaries using a diversified set of debt instruments

2018 2019 2020 2021 >2021

0.2 1.4 1.1 3.7

2018 2019 2020 2021 >2021

4.0 0.2 1.6 0.3 0,8

Fixed Income Presentation / 33

Others Subordinated Preferred Shares / AT1 Covered Bonds Senior Debt Senior Non Preferred

2018 2019 2020 2021 >2021

0.1 0.2 0.2 0.1 1.5

**Ex BBVA Chile. BBVA closed the sale of its stake in July 6th Included: Argentina, Colombia, Peru, Uruguay, Paraguay

1.0

*Not including USD 2,7 bn from Syndication ; USD 2.3 bn, mainly bilateral loans and other ST funding

Fixed Income Presentation / 34

Turkey – Liquidity & Funding Sources

Ample liquidity buffers and limited wholesale funding maturities, USD 1.5 Bn in 2H18, including syndications

Fixed Income Presentation / 34

LTD ratio of 112%, 3.2 pp improvement YTD, mainly due to Foreign Currency LTD, improving 2.3 pp YTD to 70%. Stable deposit base: 77% of TRY deposits in Retail and SMEs. Liquidity Coverage Ratio (EBA): 133% vs. 100% required for 2018 Foreign Currency loans c.USD17 Bn, -6% YTD, representing 22% of total assets Limited Foreign Currency wholesale funding needs: USD 13.1 Bn In 1H18 €1.1 Bn syndicated loan rolled: c.100% rollover ratio and 10% in new 2 yr tranche. USD75 Mn 6 yr Gender Bond

FC Liquidity Buffers FC Wholesale Funding Maturities (USD Bn)

Short Term Swaps Unencumbered FC securities FC Reserves under ROM Money Market Placements 

  

2H18 2019 2020 >=2021 Covered Bond Subdebt Syndication

1.5 3.3 0.5 5.6

Note: All figures are Bank-only, as of June 2018. (1) ROM: Reserve Option Mechanism

c.USD 10 Bn liquidity buffer USD 10.8 Bn including syndications

(2) Not including USD 2.3 Bn, mainly bilateral loans and other ST funding

Fixed Income Presentation / 35

Ratings

08

Fixed Income Presentation / 36 SNP

BBVA Group Ratings by Agency

Latest Rating Actions (1H18)

Long Term Issuer / Senior Unsecured Ratings

3 Rating Agencies have upgraded BBVA in 1H18 All Rating Agencies assign BBVA a rating on the single A space

SNP SNP

Note: CB = Covered Bonds, SNP = Senior Non Preferred

Senior AT1 T2 CB T2 CB Senior AT1 T2 Senior T2 CB Senior Senior

Investment grade Non Investment Grade

AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- (…) Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 (…) AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- (…)

Moody’s

BBVA Ratings(1)

S&P Fitch DBRS Scope

Stable Negative Stable Stable Stable

Outlook

Issuer/Senior

AT1 CB SNP

(1) A rating is not a recommendation to buy, sell or hold securities and may be subject to revision, suspension or withdrawal at any time by the assigning rating organisation. (2) On Aug.20th, 2018, S&P changed the outlook from Stable to Negative.

AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B B- (…) AAA AA (H) AA AA (L) A (H) A A (L) BBB (H) BBB BBB (L) BB (H) BB BB (L) B (H) B B (L) (…)

S&P

+1 notch upgrade to A-

(Apr. 6th, 2018)

(2)

DBRS

+1 notch upgrade to A(High)

(Apr. 12th, 2018)

A-

A(High)

Moody’s

+1 notch upgrade to A3

(May. 31st, 2018)

A3

Fitch

A- rating affirmed

(July. 17th, 2018)

A-

Fixed Income Presentation / 37

Transformation Strategy

09

Fixed Income Presentation / 38

Digital Customers – BBVA Group

Profit generation all through the crisis years

Digital Customers

(Mn, % penetration)

16.5 19.9 25.1 Jun-16 Jun-17 Jun-18

+26%

PENETRATION

33% 46% +21% 39%

PENETRATION

21% 38% 28%

Mobile Customers

(Mn, % penetration)

10.3 14.5 20.7 Jun-16 Jun-17 Jun-18

+40% +43%

Goal: 50% tipping point of digital customers in 2018 and mobile customers in 2019

Goal: 50% tipping point of digital customers in 2018 and mobile customers in 2019

Fixed Income Presentation / 39

Digital Sales

(% of total sales YtD, # of transactions and PRV*)

22.7 32.1 40.6 22.2 33.3 43.1 Jun-16 Jun-17 Jun-18 14.6 22.4 38.6 10.8 17.2 29.1 Jun-16 Jun-17 Jun-18

SPAIN USA

14.0 24.9 42.4 8.9 17.4 32.7 Jun-16 Jun-17 Jun-18

MEXICO

10.3 14.4 20.2 14.5 22.9 51.0 Jun-16 Jun-17 Jun-18 18.7 17.9 21.7 11.6 14.7 23.0 Jun-16 Jun-17 Jun-18

TURKEY SOUTH AMERICA GROUP

9.4 15.5 32.7 5.8 10.8 25.5 Jun-16 Jun-17 Jun-18

PRV UNITS PRV UNITS UNITS PRV PRV UNITS UNITS PRV UNITS PRV

Strong growth across markets

Data has been restated due to the inclusion of new products; (*) Product Relative Value as a proxy of a better economic representation of units sold

Fixed Income Presentation / 40

APPENDIX

BBVA Group 1H18 Profit & Loss Risk Indicators by Areas Capital Base: BBVA Group & BBVA S.A. BBVA, S.A.: 2018 SREP Requirement and distance to MDA Debt Issuances – 2017/2018YTD Amortized notes – 2017/2018YTD BBVA, S.A.: 2018 Issuances MREL framework

Fixed Income Presentation / 41

BBVA Group 1H18 Profit & Loss

Note: Spain includes Banking activity in Spain and Non Core Real Estate. Figures exclude Corporate Center

Net Attributable Profit breakdown

(%, 1H18)

BBVA Group (€m) 1H18

% % constant Net Interest Income 8,643

• 1.8

9.4 Net Fees and Commissions 2,492 1.5 11.3 Net Trading Income 708

• 33.8
• 30.4

Other Income & Expenses 231

• 40.8
• 36.0

Gross Income 12,074

• 5.1

4.8 Operating Expenses

• 5,942
• 5.8

2.9 Operating Income 6,131

• 4.3

6.8 Impairment on Financial Assets

• 1,611
• 17.0
• 9.0

Provisions and Other Gains and Losses

• 77
• 82.2
• 82.0

Income Before Tax 4,443 10.2 25.5 Income Tax

• 1,213

8.3 21.5 Net Income 3,230 10.9 27.0 Non-controlling Interest

• 581
• 4.3

17.0 Net Attributable Profit 2,649 14.9 29.5

1H18/1H17 Change Spain USA Turkey South America Rest of Eurasia Mexico 23.4% 12.0% 37.3% 11.5% 14.0% 1.8%

Fixed Income Presentation / 42

Risk Indicators by Areas

(1) Data as of 1H18 under IFRS9 standards, 2017 figures under IAS 39. (2) NPL ratio exclude repos

(%) (%)

Dec.17 Mar.18 Jun.18 Dec.17 Mar.18 Jun.18 BBVA Group

4.6 4.4 4.4

BBVA Group

65 73 71

Banking activity in Spain

5.5 5.4 5.2

Banking activity in Spain

50 57 57

The United States

1.2 1.2 1.2

The United States

104 98 93

Mexico

2.3 2.1 2.0

Mexico

123 153 155

Turkey

3.9 3.7 4.5

Turkey

85 86 76

South America

3.4 3.6 3.7

South America

89 93 91

Rest of Eurasia

2.4 2.1 1.7

Rest of Eurasia

74 88 93

(%)

Dec.17 Mar.18 Jun.18 BBVA Group

0.89 0.85 0.82

Banking activity in Spain

0.32 0.17 0.21

The United States

0.43 0.16 0.23

Mexico

3.24 3.18 2.93

Turkey

0.82 1.17 1.23

South America

1.32 1.37 1.30

Rest of Eurasia

• 0.16
• 0.36
• 0.15

NPL ratio (1) NPL coverage ratio (1) Cost of Risk (1)

Fixed Income Presentation / 43

Capital Base: BBVA Group & BBVA, S.A.

11.08 17.33 1.73 2.80 2.59 2.05

BBVA Group BBVA, S.A. CET1 Tier 2 Additional Tier 1

15.40 22.18

10.85 16.94 1.66 2.73 2.59 2.15

BBVA Group BBVA, S.A.

15.11 21.82

CET1 AT1 T2 Total Capital Base

RWA

€ 39,550 m € 6,167 m € 9,241 m € 54,958 m

€ 356,887 m

€ 34,018 m € 5,500 m € 4,017 m € 43,536 m

€ 196,276 m

CET1 AT1 T2 € 38,746 m Total Capital Base

RWA

€ 5,939 m € 9,263 m € 53,947 m

€357,107 m

€33,296 m € 5,358 m € 4,221 m € 42,875 m

€ 196,504 m

CET1 Tier 2 Additional Tier 1

Phased-in capital ratios

Jun.18 (%)

Fully-loaded capital ratios

Jun.18 (%)

Fixed Income Presentation / 44 Fixed Income Presentation / 44

BBVA, S.A. Total capital ratio phased-in Jun.18

Well above 2018 Total Capital and CET1 SREP requirements Significant buffer to MDA: 946 bps

Capital ratios well above requirements

2018 SREP Requirement and distance to MDA(1) at a Parent Company level (BBVA, S.A.)

Jun.18

(1) Maximum Distributable Amount; (2) The Capital Conservation Buffer (CCB) stands, in fully loaded terms, at 2.5% CET1; (3) 2018 SREP Requirement as announced on the Relevant Event dated 13 Dec 2017; (4) 946 bps of Buffer to MDA = 17.33% Jun-18 CET1 phased-in ratio – 7.875% 2018 CET1 SREP Requirement.

4.5% 1.5% AT1: 1.5% 1.875% T2: 2.0%

2018 CET1 SREP Requirement 2018Total Capital SREP Requirement

DISTANCE TO MDA(4)

946 bps 22.18%

CET1 17.33% AT1: 2.80% T2: 2.05%

Pillar 2R CET1 Pillar 1 CET1 CCB(2)

7.875% 11.375 %

CET1 7.875%

€18.6 Bn

(3)

Fixed Income Presentation / 45

BBVA, S.A. BBVA Turkey BBVA USA BBVA Mexico

Debt Issuances – 2017 - 2018YTD

Product Issue Date Call Date Maturity Nominal currency Coupon Isin

Tier 2 May-18

• May-33

$ 300 M 5.25% XS1824263260 SNP May-18

• May-25

€ 1,000 M 1.375% XS1820037270 SNP Mar-18

• Mar-23

€ 1,500 M 3ME+ 0.60% XS1788584321 SNP Nov-17

• Nov-23

€ 150 M 3ME+0.67% XS1724512097 AT1 Nov-17 Nov-27 Perp $ 1,000 M 6.13% US05946KAF84 SNP Nov-17

• May-28

€ 140 M 1.72% XS1712061032 SNP Sep-17

• Sep-22

€ 1,500 M 0.75% XS1678372472 AT1 May-17 May-22 Perp € 500 M 5.875% XS1619422865 Tier 2 May-17

• May-27

CHF 20 M 1.60% XS1615673701 Tier 2 May-17

• May-27

€ 150 M 2.541% XS1615674261 Senior Unsec Apr-17

• Apr-22

€ 1,500 M 3ME+0,60% XS1594368539 Tier 2 Mar-17 Mar-27 Mar-32 $ 120 M 5.700% XS1587857498 Tier 2 Mar-17

• Mar-27

€ 53.4 M fixed 3% (2 yr) - floating CMS10y + 1.30% (8 yr) XS1579039006 Tier 2 Feb-17

• Feb-32

€ 165 M 4.000% XS1569874503 Tier 2 Feb-17

• Feb-27

€ 1,000 M 3.50% XS1562614831 Senior Unsec Jan-17

• Jan-22

€ 1,000 M 0.625% XS1548914800

Product Issue Date Call Date Maturity Nominal currency Coupon Isin

Tier 2 May-17 May-22 May-27 $ 750 M 6.125% XS1617531063 Senior Unsec Mar-17

• Mar-23

$ 500 M 5.875% XS1576037284

Product Issue Date Call Date Maturity Nominal currency Coupon CUSIP

Senior Unsec Jun-18 May-21 Jun-21 $ 1.150 M FXD: 3.5%($ 700 M) FRN:3mL+73 bps($ 450 M) 20453KAC9 20453KAD7 Senior Unsec Jun-17 May-22 Jun-22 $ 750 M 2.875% 20453KAB1

Product Issue Date Call Date Maturity Nominal currency Coupon Isin

Tier 2 Jan-18 Jan-28 Jan-33 $ 1,000 M 5.125% US05533UAF57

Fixed Income Presentation / 46

Amortized notes – 2017 - 2018YTD

BBVA follows an economic call policy

BBVA, S.A. BBVA Subordinated Capital BBVA International Preferred, S.A. Unipersonal BBVA Mexico BBVA Peru BBVA USA(1)

(1) Includes a total of 4 trust preferred securities issued in 2003 and 2004; (2) Average coupon of the 4 issuances

Fixed Income Presentation / 46

Product Issue Date Redemption Outstanding currency (M) Outstanding € (M) Coupon

AT1 May-13 May-18 $ 1,500 M 1248 9.00% Tier 2 Feb-07 Feb-18 € 257 257 3ME+0.80% Tier 2 Oct-05 Jan-18 € 99 99 3ME+0.80% Preferred Apr-07 Apr-17 $ 600 499 5.919% Preferred Sep-06 Mar-17 € 164 164 3ME+1.95% Preferred Sep-05 Mar-17 € 86 86 3ME+1.65% Tier 2 May-07 May-17 $ 500 416 6% Tier 2 May-07 May-17 PEN 40 11 5.85% Tier 2 Jun-03/04 Sept/Oct-17 $ 100 83 3ML+2.81%

Fixed Income Presentation / 47

Following up with BBVA’s issuance plan of € 2.5-3.5 bn of SNP for 2018, in anticipation of upcoming MREL requirements This issuance was the first public transaction in 2018 for BBVA SA, the second one in SNP format (1)

2018 Issuances: BBVA Eur 1.5 bn 5-year FRN SNP

Highlights Key Features

Settlement Date: 9th March, 2018 Amount: € 1.5 bn Maturity: 5 years Coupon: 3mE +60 bps (FRN-Floating Rate Notes) Re-offer Spread at 3mE+52 bps, after a strong book of c3.2 bn (pre-rec), that allowed c15bps tightening from IPT (2) 3mE+high 60s bps. This means no issue concession Great book granularity and quality. Real Money represented 86% (Fund Managers 77%, Insurance and Pension Funds 9%). In terms of geographical distribution, demand was mainly led by Germany/Austria (35%), followed by Spain (24%) and France (14%)

BBVA successfully issued a Eur 1.5 bn 5Y FRN Senior Non-Preferred, paying the lowest coupon for a Spanish issuer in this instrument

(1) During 2017 BBVA issued its inaugural SNP € 1.5 bn 0.75% Fixed 5Y and € 290 Mn through private deals (2) IPT= Initial Pricing Talk

Fixed Income Presentation / 48

Following up with BBVA’s issuance plan of € 2.5-3.5 bn of SNP for 2018, in anticipation of upcoming MREL requirements. This issuance was the second public transaction in 2018 for BBVA SA, the third one in SNP format (1)

2018 Issuances: BBVA Inaugural Eur 1 bn 7-year Green Bond SNP

Key Features

Settlement Date: 14th May, 2018 Amount: € 1 bn Maturity: 7 years Coupon: 1.375% (Fixed Rate Notes) Re-offer Spread at MS+80 bps, tightening 15 bps from IPT (2) thanks to a strong book of c3 bn (pre-rec). That meant zero new issue premium High presence of green investors that represented more than 50% of the final book Great book granularity and quality

The largest financial Green Bond in the Eurozone and the first Green Bond for a Spanish bank

(1) During 2017 BBVA issued its inaugural SNP € 1.5 bn 0.75% Fixed 5Y and € 290 Mn through private deals (2) IPT= Initial Pricing Talk

Highlights

Fixed Income Presentation / 49

Spanish legal framework creating the Senior Non Preferred layer (RDL 11/17) was approved in June Clear identification and prioritization of debt securities available to absorb losses:

In case of insolvency, ordinary claims will be classified into preferred and non-preferred ordinary claims, the latter having a lower ranking than the former Non-preferred ordinary claims will rank ahead of subordinated claims

An ordinary claim will only be considered as non- preferred if it meets the following conditions:

It has been issued or created with an effective tenor ≥ 1 year, It is not a derivative and has no embedded derivative, and The terms include a clause establishing that it has a lower ranking vis-à-vis the remaining ordinary claims

The creation of this new layer, expressly acknowledges the possibility for Spanish entities to issue senior debt instruments that meet MREL’s subordination requirement (similar to the French statutory approach)

Insolvency Hierarchy

Previous Insolvency Law Approved New Spanish Insolvency Law

Exempted deposits / Deposit Guarantee Schemes Exempted deposits / Deposit Guarantee Schemes Preferred deposits (SMEs and natural persons) Preferred deposits (SMEs and natural persons) Senior unsecured liabilities Other Ordinary claims Senior unsecured liabilities Other Ordinary claims Senior Non Preferred debt Other sub debt Other sub debt Tier 2 Tier 2 AT1 AT1 Equity Equity

MREL framework: creation of SNP layer in Spain

Fixed Income Presentation / 49

Fixed Income Presentation

2Q18