Annual Report • Feb 9, 2024
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Download Source FileBank Annual Report BBVA,S.A. 2023 Contents FINANCIAL STATEMENTS Balance sheets .................................................................................................................................................................... 1 Income Statements ........................................................................................................................................................... 4 Statements of recognized income and expenses ........................................................................................................ 5 Statements of changes in equity ..................................................................................................................................... 6 Statements of cash flows ................................................................................................................................................. 8 NOTES TO THE ACCOMPANYING FINANCIAL STATEMENTS 1. Introduction, basis for presentation of the Financial Statements, Internal Control over Financial Information and other information ............................................................................................................................. 9 2. Accounting policies and valuation criteria applied .................................................................................................. 11 3. Shareholder remuneration system ............................................................................................................................ 29 4. Earnings per share ......................................................................................................................................................... 32 5. Risk management .......................................................................................................................................................... 32 6. Fair value of financial instruments .............................................................................................................................. 69 7. Cash, cash balances at central banks and other demand deposits .................................................................... 81 8. Financial assets and liabilities held for trading ......................................................................................................... 81 9. Non-trading financial assets mandatorily at fair value through profit or loss .................................................... 82 10. Financial assets and liabilities designated at fair value through profit or loss ................................................. 82 11. Financial assets at fair value through other comprehensive income ................................................................ 83 12. Financial assets at amortized cost ........................................................................................................................... 86 13. Hedging derivatives and fair value changes of the hedged items in portfolio hedges of interest rate risk 88 14. Investments in joint ventures and associates ........................................................................................................ 91 15. Tangible assets ............................................................................................................................................................. 94 16. Intangible assets .......................................................................................................................................................... 96 17. Tax assets and liabilities ............................................................................................................................................. 96 18. Other assets and liabilities ......................................................................................................................................... 99 19. Non-current assets and disposal groups classified as held for sale and liabilities included in disposal groups classified as held for sale ................................................................................................................................ 100 20. Financial liabilities at amortized cost ...................................................................................................................... 101 21. Provisions ...................................................................................................................................................................... 105 22. Post-employment and other employee benefit commitments ......................................................................... 106 23. Common stock ............................................................................................................................................................. 111 24. Share premium ............................................................................................................................................................ 112 25. Retained earnings, Revaluation reserves and Other ............................................................................................ 113 26. Treasury shares ........................................................................................................................................................... 114 27. Accumulated other comprehensive income (loss) ............................................................................................... 115 28. Capital base and capital management ................................................................................................................... 115 29. Commitments and guarantees given ..................................................................................................................... 119 30. Other contingent assets and liabilities .................................................................................................................... 119 31. Purchase and sale commitments and future payment obligations ................................................................... 119 32. Transactions on behalf of third parties ................................................................................................................... 120 33. Net interest income ..................................................................................................................................................... 120 34. Dividend income .......................................................................................................................................................... 121 35. Fee and commission income ..................................................................................................................................... 121 36. Fee and commission expense ................................................................................................................................... 121 37. Gains (losses) on financial assets and liabilities, hedge accounting and exchange differences, net .......... 122 38. Other operating income and expense ..................................................................................................................... 123 39. Administration cost ..................................................................................................................................................... 123 40. Depreciation ................................................................................................................................................................ 125 41. Provisions or (reversal) of provisions ...................................................................................................................... 126 42. Impairment or (reversal) of impairment on financial assets not measured at fair value through profit or loss or net gains by modification ........................................................................................................................... 126 43. Impairment or (reversal) of impairment on investments in subsidiaries, joint ventures or associates. .... 126 44. Impairment or reversal of impairment on non-financial assets ......................................................................... 126 45. Gain (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations ............................................................................................................................................... 127 46. Statements of cash flows .......................................................................................................................................... 127 47. Accountant fees and services ................................................................................................................................... 127 48. Related-party transactions ........................................................................................................................................ 128 49. Remuneration and other benefits for the Board of Directors and members of the Bank's Senior Management ................................................................................................................................................................... 130 50. Other information ........................................................................................................................................................ 138 51. Subsequent events ...................................................................................................................................................... 140 52. Explanation added for translation into English ...................................................................................................... 140 APPENDICES APPENDIX I. BBVA Group Consolidated Financial Statements ............................................................................... 142 APPENDIX II. Additional information on subsidiaries and structured entities composing the BBVA Group . 152 APPENDIX III. Additional information on investments and jointly controlled companies accounted for under the equity method of consolidation in the BBVA Group as of December 31, 2023 ................................... 158 APPENDIX IV. Changes and notification of investments and divestments in the BBVA Group in 2023 .......... 159 APPENDIX V. Fully consolidated subsidiaries with more than 10% owned by non-Group shareholders as of December 31, 2023 ....................................................................................................................................................... 161 APPENDIX VI. BBVA Group’s structured entities. Securitization funds as of December, 31 2023 .................. 163 APPENDIX VII. Details of the outstanding subordinated debt and preferred securities issued by the Bank or entities in the Group consolidated as of December 31, 2023 and 2022 ............................................................ 163 APPENDIX VIII. Balance sheets held in foreign currency as of December 31, 2023 and 2022 ........................... 164 APPENDIX IX. Income statement corresponding to the first and second half of 2023 and 2022 .................... 165 APPENDIX X. Risks related to the developer and real-estate sector in Spain........................................................ 166 APPENDIX XI. Refinanced and restructured operations and other requirements under Bank of Spain Circular 6/2012 .................................................................................................................................................................. 169 Appendix XII Agency Network ......................................................................................................................................... 174 Glossary ............................................................................................................................................................................... 177 MANAGEMENT REPORT DISCLAIMER BANCO BILBAO VIZCAYA ARGENTARIA, S.A. Balance sheets as of December 31, 2023 and 2022 ASSETS (Millions of Euros) Notes 2023 2022 ⁽¹⁾ CASH, CASH BALANCES AT CENTRAL BANKS AND OTHER DEMAND DEPOSITS 7 49,213 52,973 FINANCIAL ASSETS HELD FOR TRADING 8 116,828 91,391 Derivatives 32,937 35,023 Equity instruments 3,339 3,361 Debt securities 11,018 11,318 Loans and advances to central banks 2,808 1,632 Loans and advances to credit institutions 52,441 23,969 Loans and advances to customers 14,285 16,089 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS 9 730 546 Equity instruments 507 438 Debt securities 223 107 Loans and advances to customers — — FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 10 — — FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME 11 19,426 24,854 Equity instruments 1,019 977 Debt securities 18,407 23,877 FINANCIAL ASSETS AT AMORTIZED COST 12 261,765 246,950 Debt securities 34,905 25,313 Loans and advances to central banks — 10 Loans and advances to credit institutions 13,074 9,329 Loans and advances to customers 213,786 212,297 DERIVATIVES - HEDGE ACCOUNTING 13 780 1,169 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF INTEREST RATE RISK 13 (97) (148) INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES 14 23,019 21,960 Subsidiaries 22,637 21,644 Joint ventures 24 36 Associates 358 280 TANGIBLE ASSETS 15 3,373 3,531 Properties, plant and equipment 3,285 3,432 For own use 3,285 3,432 Other assets leased out under an operating lease — — Investment properties 87 99 INTANGIBLE ASSETS 16 894 855 Goodwill — — Other intangible assets 894 855 TAX ASSETS 17 12,416 12,479 Current tax assets 2,145 1,629 Deferred tax assets 10,271 10,850 OTHER ASSETS 18 2,023 1,677 Insurance contracts linked to pensions 22 1,321 1,337 Inventories 132 — Other 569 340 NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE 19 512 651 TOTAL ASSETS 490,883 458,888 (1) Presented for comparison purposes only (see Note 1.3). The Notes and Appendices are an integral part of the balance sheets as of December 31, 2023. 1 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. BANCO BILBAO VIZCAYA ARGENTARIA, S.A. Balance sheets as of December 31, 2023 and 2022 LIABILITIES AND EQUITY (Millions of Euros) Notes 2023 2022 ⁽¹⁾ FINANCIAL LIABILITIES HELD FOR TRADING 8 108,349 80,853 Derivatives 28,615 30,954 Short positions 11,849 11,408 Deposits from central banks 4,698 2,161 Deposits from credit institutions 42,710 28,107 Customer deposits 20,476 8,224 Debt certificates — — Other financial liabilities — — FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 10 2,361 1,859 Deposits from central banks — — Deposits from credit institutions — — Customer deposits 2,361 1,859 Debt certificates — — Other financial liabilities — — Subordinated liabilities — — FINANCIAL LIABILITIES AT AMORTIZED COST 20 339,476 335,941 Deposits from central banks 10,962 32,517 Deposits from credit institutions 33,563 20,200 Customer deposits 234,754 234,797 Debt certificates 50,132 38,511 Other financial liabilities 10,065 9,915 Memorandum item: Subordinated liabilities 11,741 9,106 DERIVATIVES - HEDGE ACCOUNTING 13 2,075 2,599 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF INTEREST RATE RISK 13 — — PROVISIONS 21 3,131 3,385 Pensions and other post-employment defined benefit obligations 1,871 2,085 Other long term employee benefits 404 433 Provisions for taxes and other legal contingencies 396 388 Commitments and guarantees given 240 280 Other provisions 221 198 TAX LIABILITIES 17 992 943 Current tax liabilities 197 190 Deferred tax liabilities 795 753 OTHER LIABILITIES 18 2,808 2,552 LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE — — TOTAL LIABILITIES 459,192 428,133 (1) Presented for comparison purposes only (see Note 1.3). The Notes and Appendices are an integral part of the balance sheet as of December 31, 2023. 2 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. BANCO BILBAO VIZCAYA ARGENTARIA, S.A. Balance sheets as of December 31, 2023 and 2022 (continued) LIABILITIES AND EQUITY (Continued) (Millions of Euros) Notes 2023 2022 ⁽¹⁾ STOCKHOLDERS’ FUNDS 33,134 32,928 Capital 23 2,861 2,955 Paid up capital 2,861 2,955 Unpaid capital which has been called up — — Share premium 24 19,769 20,856 Equity instruments issued other than capital — — Equity component of compound financial instruments — — Other equity instruments issued — — Other equity 40 49 Retained earnings 25 7,416 5,453 Revaluation reserves 25 — — Other reserves 25 (804) (474) Less: treasury shares 26 (3) (3) Profit or loss attributable to owners of the parent 4,807 4,816 Less: interim dividends 3 (952) (724) ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) 27 (1,443) (2,172) Items that will not be reclassified to profit or loss (1,212) (1,215) Actuarial gains (losses) on defined benefit pension plans (54) (32) Non-current assets and disposal groups classified as held for sale — — Fair value changes of equity instruments measured at fair value through other comprehensive income 11 (1,213) (1,256) Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income — — Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item) — — Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument) — — Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk 55 72 Items that may be reclassified to profit or loss (230) (957) Hedge of net investments in foreign operations (effective portion) — — Foreign currency translation — — Hedging derivatives. Cash flow hedges (effective portion) 45 (492) Fair value changes of debt instruments measured at fair value through other comprehensive income 11 (275) (464) Hedging instruments (non-designated items) — — Non-current assets and disposal groups classified as held for sale — — TOTAL EQUITY 31,691 30,756 TOTAL EQUITY AND TOTAL LIABILITIES 490,883 458,888 MEMORANDUM ITEM - OFF BALANCE SHEET EXPOSURES (Millions of Euros) Notes 2023 2022 ⁽¹⁾ Loan commitments given 29 98,667 95,948 Financial guarantees given 29 18,784 16,305 Other commitments given 29 30,013 26,850 (1) Presented for comparison purposes only (see Note 1.3). The Notes and Appendices are an integral part of the balance sheet as of December 31, 2023. 3 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. BANCO BILBAO VIZCAYA ARGENTARIA, S.A. Income statements for the years ended December 31, 2023 and 2022. INCOME STATEMENTS (Millions of Euros) Notes 2023 2022 ⁽¹⁾ Interest income 33 14,569 5,903 Financial assets at fair value through other comprehensive income 399 498 Financial assets at amortized cost 11,653 5,416 Other interest income 2,517 (11) Interest expense 33 (9,005) (2,083) NET INTEREST INCOME 5,564 3,821 Dividend income 34 3,483 3,470 Fee and commission income 35 2,689 2,612 Fee and commission expense 36 (613) (489) Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net 37 24 1 Financial assets at amortized cost — — Other financial assets and liabilities 24 1 Gains or (losses) on financial assets and liabilities held for trading, net 37 (12) 438 Reclassification of financial assets from fair value through other comprehensive income — — Reclassification of financial assets from amortized cost — — Other profit or loss (12) 438 Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net 37 200 (51) Reclassification of financial assets from fair value through other comprehensive income — — Reclassification of financial assets from amortized cost — — Other profit or loss 200 (51) Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net 37 16 128 Gains (losses) from hedge accounting, net 37 (6) — Exchange differences, net 37 23 (122) Other operating income 38 455 339 Other operating expense 38 (804) (642) GROSS INCOME 11,020 9,503 Administrative expense 39 (4,157) (3,755) Personnel expense (2,425) (2,217) Other administrative expense (1,733) (1,538) Depreciation and amortization 40 (651) (638) Provisions or reversal of provisions 41 (116) (50) Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification 42 (677) (521) Financial assets measured at amortized cost (682) (504) Financial assets at fair value through other comprehensive income 6 (16) NET OPERATING INCOME 5,419 4,539 Impairment or reversal of impairment of investments in subsidiaries, joint ventures and associates 43 118 642 Impairment or reversal of impairment on non-financial assets 44 5 7 Tangible assets 17 21 Intangible assets (12) (15) Other assets — 1 Gains (losses) on derecognition of non - financial assets and subsidiaries, net 3 — Negative goodwill recognized in profit or loss — — Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations 45 2 (26) PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS 5,547 5,163 Tax expense or income related to profit or loss from continuing operations 17 (740) (347) PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS 4,807 4,816 Profit (loss) after tax from discontinued operations — — PROFIT (LOSS) FOR THE YEAR 4,807 4,816 (1) Presented for comparison purposes only (see Note 1.3). The Notes and Appendices are an integral part of the income statement for the year ended December 31, 2023. 4 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. BANCO BILBAO VIZCAYA ARGENTARIA, S.A. Statements of recognized income and expense for the years ended December 31, 2023 and 2022. STATEMENTS OF RECOGNIZED INCOME AND EXPENSE (Millions of Euros) 2023 2022 ⁽¹⁾ PROFIT RECOGNIZED IN INCOME STATEMENT 4,807 4,816 OTHER RECOGNIZED INCOME (EXPENSE) 730 (713) ITEMS NOT SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT 3 (40) Actuarial gains (losses) from defined benefit pension plans (24) 32 Non-current assets and disposal groups classified as held for sale — — Fair value changes of equity instruments measured at fair value through other comprehensive income 43 (129) Gains (losses) from hedge accounting of equity instruments at fair value through other comprehensive income, net — — Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk (24) 100 Other valuation adjustments — — Income tax related to items not subject to reclassification to income statement 9 (43) ITEMS SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT 727 (673) Hedge of net investments in foreign operations [effective portion] — — Foreign currency translation — — Translation gains (losses) taken to equity — — Transferred to profit or loss — — Other reclassifications — — Cash flow hedges [effective portion] 767 191 Valuation gains (losses) taken to equity 767 191 Transferred to profit or loss — — Transferred to initial carrying amount of hedged items — — Other reclassifications — — Hedging instruments [non-designated elements] — — Valuation gains (losses) taken to equity — — Transferred to profit or loss — — Other reclassifications — — Debt securities at fair value through other comprehensive income 271 (1,152) Valuation gains (losses) taken to equity 302 (1,148) Transferred to profit or loss (31) (4) Other reclassifications — — Non-current assets and disposal groups held for sale — — Income tax relating to items subject to reclassification to income statements (311) 288 TOTAL RECOGNIZED INCOME/EXPENSE 5,537 4,102 (1) Presented for comparison purposes only (see Note 1.3). The Notes and Appendices are an integral part of the statement of recognized income and expense for the year ended December 31, 2023. 5 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. BANCO BILBAO VIZCAYA ARGENTARIA, S.A. Statements of changes in equity for the years ended December 31, 2023 and 2022 . STATEMENT OF CHANGES IN EQUITY (Millions of Euros) 2023 Capital (Note 23) Share Premium (Note 24) Equity instruments issued other than capital Other Equity Retained earnings (Note 25) Revaluation reserves (Note 25) Other reserves (Note 25) (-) Treasury shares (Note 26) Profit or loss attributable to owners of the parent Interim dividends (Note 3) Accumulate d other comprehen sive income (Note 27) Total Balances as of January 1, 2023 2,955 20,856 — 49 5,453 — (474) (3) 4,816 (724) (2,172) 30,756 Total income/expense recognized — — — — — — — — 4,807 — 730 5,537 Other changes in equity (94) (1,087) — (9) 1,963 — (330) — (4,816) (228) — (4,602) Issuances of common shares — — — — — — — — — — — — Issuances of preferred shares — — — — — — — — — — — — Issuance of other equity instruments — — — — — — — — — — — — Period or maturity of other issued equity instruments — — — — — — — — — — — — Conversion of debt on equity — — — — — — — — — — — — Common Stock reduction (94) (1,087) — — 75 — (316) 1,422 — — — — Dividend distribution — — — — (1,860) — — — — (952) — (2,812) Purchase of treasury shares — — — — — — — (2,000) — — — (2,000) Sale or cancellation of treasury shares — — — — — — (12) 578 — — — 566 Reclassification of financial liabilities to other equity instruments — — — — — — — — — — — — Reclassification of other equity instruments to financial liabilities — — — — — — — — — — — — Transfers between total equity entries — — — 2 4,092 — (2) — (4,816) 724 — — Increase/Reduction of equity due to business combinations — — — — — — — — — — — — Share based payments — — — (30) — — — — — — — (30) Other increases or (-) decreases in equity — — — 19 (345) — — — — — — (325) Balances as of December 31, 2023 2,861 19,769 — 40 7,416 — (804) (3) 4,807 (952) (1,443) 31,691 The Notes and Appendices are an integral part of the statement of changes in equity for the year ended December 31, 2023. 6 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. BANCO BILBAO VIZCAYA ARGENTARIA, S.A. Statements of changes in equity for the years ended December 31, 2023 and 2022 (continued) STATEMENT OF CHANGES IN EQUITY (Millions of Euros) 2022 ⁽¹⁾ Capital (Note 23) Share Premium (Note 24) Equity instruments issued other than capital Other Equity Retained earnings (Note 25) Revaluation reserves (Note 25) Other reserves (Note 25) (-) Treasury shares (Note 26) Profit or loss attributable to owners of the parent Interim dividends (Note 3) Accumulate d other comprehen sive income (Note 27) Total Balances as of January 1, 2022 3,267 23,599 — 49 6,436 — (1,026) (574) 1,080 (533) (1,461) 30,836 Total income/expense recognized — — — — — — — — 4,816 — (713) 4,102 Other changes in equity (313) (2,743) — 1 (983) — 553 572 (1,080) (190) 1 (4,182) Issuances of common shares — — — — — — — — — — — — Issuances of preferred shares — — — — — — — — — — — — Issuance of other equity instruments — — — — — — — — — — — — Settlement or maturity of other equity instruments issued — — — — — — — — — — — — Conversion of debt on equity — — — — — — — — — — — — Common Stock reduction (313) (2,743) — — 250 — (355) 3,160 — — — — Dividend distribution — — — — (1,467) — — — — (724) — (2,190) Purchase of treasury shares — — — — — — — (2,879) — — — (2,879) Sale or cancellation of treasury shares — — — — — — (6) 291 — — — 285 Reclassification of other equity instruments to financial liabilities — — — — — — — — — — — — Reclassification of financial liabilities to other equity instruments — — — — — — — — — — — — Transfers within total equity — — — 1 547 — (2) — (1,080) 533 1 — Increase/Reduction of equity due to business combinations — — — — — — — — — — — — Share based payments — — — — — — — — — — — — Other increases or (-) decreases in equity — — — — (313) — 916 — — — — 602 Balances as of December 31, 2022 2,955 20,856 — 49 5,453 — (474) (3) 4,816 (724) (2,172) 30,756 (1) Presented for comparison purposes only (see Note 1.3). The Notes and Appendices are an integral part of the statement of changes in equity for the year ended December 31, 2023 . 7 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. BANCO BILBAO VIZCAYA ARGENTARIA, S.A. Statements of cash flows for the years ended December 31, 2023 and 2022. CASH FLOWS STATEMENTS (Millions of Euros) Notes 2023 2022 ⁽¹⁾ A) CASH FLOWS FROM OPERATING ACTIVITIES (1+2+3+4+5) 46 (1,809) 23,057 1.Profit (loss) for the year 4,807 4,816 2.Adjustments to obtain the cash flow from operating activities: 1,766 (629) Depreciation and amortization 651 638 Other adjustments 1,115 (1,268) 3.Net increase/decrease in operating assets (35,004) 696 Financial assets held for trading (25,437) 13,999 Non-trading financial assets mandatorily at fair value through profit or loss (184) (109) Other financial assets designated at fair value through profit or loss — — Financial assets at fair value through other comprehensive income 5,428 3,351 Financial assets at amortized cost (14,875) (15,757) Other operating assets 65 (788) 4.Net increase/decrease in operating liabilities 27,697 18,825 Financial liabilities held for trading 27,495 2,995 Other financial liabilities designated at fair value through profit or loss 501 (379) Financial liabilities at amortized cost 506 15,480 Other operating liabilities (805) 729 5.Collection/payments for income tax (1,076) (651) B) CASH FLOWS FROM INVESTING ACTIVITIES (1+2) 46 (140) (2,753) 1.Investment (906) (3,937) Tangible assets (77) (60) Intangible assets (382) (360) Investments in subsidiaries, joint ventures and associates (447) (3,516) Other business units — — Non-current assets and disposal groups classified as held for sale and associated liabilities — — Held-to-maturity investments — — Other settlements related to investing activities — — 2.Divestments 765 1,184 Tangible assets 2 6 Intangible assets — — Investments in subsidiaries, joint ventures and associates 557 852 Other business units — — Non-current assets classified as held for sale and associated liabilities 207 326 Other collections related to investing activities — — C) CASH FLOWS FROM FINANCING ACTIVITIES (1 + 2) 46 (1,986) (5,921) 1. Payments (6,307) (6,190) Dividends (shareholders remuneration) (2,812) (2,190) Subordinated liabilities (1,495) (881) Treasury share amortization (94) (313) Treasury share acquisition (1,906) (2,567) Other items relating to financing activities — (240) 2. Collections 4,321 270 Subordinated liabilities 3,679 — Common stock increase — — Treasury share disposal 536 270 Other items relating to financing activities 106 — D) EFFECT OF EXCHANGE RATE CHANGES 175 (231) E) NET INCREASE/DECREASE IN CASH OR CASH EQUIVALENTS (A+B+C+D) (3,760) 14,153 F) CASH AND CASH EQUIVALENTS AT BEGINNING OF THE YEAR 52,973 38,821 G) CASH AND CASH EQUIVALENTS AT END OF THE YEAR (E+F) 46 49,213 52,973 COMPONENTS OF CASH AND EQUIVALENTS AT END OF THE YEAR (Millions of Euros) Notes 2023 2022 ⁽¹⁾ Cash 7 990 972 Balance of cash equivalent in central banks 7 45,653 49,854 Other financial assets 7 2,570 2,147 Less: Bank overdraft refundable on demand — — TOTAL CASH AND CASH EQUIVALENTS AT END OF THE YEAR 49,213 52,973 (1) Presented for comparison purposes only (see Note 1.3). The Notes and Appendices are an integral part of the statement of cash flows for the year ended December 31, 2021. 8 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Notes to the accompanying Financial Statements for the year ended December 31, 2023. 1. Introduction, basis for the presentation of the Financial Statements, Internal Control over Financial Reporting and other information 1.1. Introduction Banco Bilbao Vizcaya Argentaria, S.A. (hereinafter “the Bank”, “BBVA" or “BBVA, S.A.”) is a private-law entity subject to the laws and regulations governing banking entities operating in Spain. It carries out its activity through branches and agencies across the country and abroad. The Bylaws and other public information are available for inspection at the Bank’s registered address (Plaza San Nicolás, 4 Bilbao) as noted on its web site (www.bbva.com). In addition to the activities it carries out directly, the Bank heads a group of subsidiaries, joint ventures and associates which perform a wide range of activities and which together with the Bank constitute the Banco Bilbao Vizcaya Argentaria Group (hereinafter the “Group” or the “BBVA Group”). In addition to its own separate financial statements, the Bank is required to prepare Consolidated Financial Statements comprising all consolidated subsidiaries of the Group. The Bank’s Financial Statements for the year ended December 31, 2022 were approved by the shareholders at the Annual General Shareholders' Meeting (“AGM”) held on March 17, 2023. The Bank’s Financial Statements for the year ended December 31, 2023 are pending approval by their respective AGMs. However, the Board of Directors of the Bank believes that said financial statements will be approved without changes. 1.2. Basis for the presentation of the Financial Statements The Bank's Financial Statements for 2023 are presented in compliance with Bank of Spain Circular 4/2017, dated November 27, and as amended thereafter (in the following, “Circular “4/2017), and with any other legislation governing financial reporting which is applicable and with the format and mark-up requirements established in the EU Delegated Regulation 2019/815 of the European Commission. The aforementioned Circular 4/2017 constitutes the development and adaptation to the Spanish credit institutions sector of the International Financial Reporting Standards adopted by the European Union (IFRS-EU) in accordance with the provisions of Regulation 1606/2002 of the Parliament and Council regarding the application of these rules. The Bank's Financial Statements for the year ended December 31, 2023 were prepared by the Bank’s directors (at the Board of Directors meeting held on February 6, 2024) by applying the accounting policies and valuation criteria described in Note 2, so that they present fairly the Bank's equity and financial position as of December 31, 2023, together with the results of its operations and cash flows generated during the year ended on that date. All effective accounting standards and valuation criteria with a significant effect in the Financial Statements were applied in their preparation. The amounts reflected in the accompanying Financial Statements are presented in millions of euros, unless it is more appropriate to use smaller units. Some items that appear without a balance in these Financial Statements are due to how the units are expressed. Also, in presenting amounts in millions of euros, the accounting balances have been rounded up or down. It is therefore possible that the totals appearing in some tables are not the exact arithmetical sum of their component figures. The percentage changes in amounts have been calculated using figures expressed in thousands of euros. 1.3. Comparative information The comparative information included in the accompanying financial statements for the year ended December 31, 2022 which was prepared in accordance with the standards in effect during those years, is presented only for purposes of comparison with the information relating to the 2023 year. 1.4. Seasonal nature of income and expense The nature of the most significant activities carried out by the Bank is mainly related to typical activities carried out by financial institutions, and are not significantly affected by seasonal factors within the same year. 9 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 1.5. Responsibility for the information and for the estimates made The information contained in the Bank's Financial Statements is the responsibility of the Bank’s Directors. Estimates were required to be made at times when preparing these Financial Statements in order to calculate the recorded or disclosed amount of some assets, liabilities, income, expense and commitments. These estimates relate mainly to the following: – Loss allowances on certain financial assets (see Notes 5, 11, 12 and 14). – The assumptions used in to quantify certain provisions (see Note 21), and in the actuarial calculation of post-employment benefit liabilities and commitments (see Note 22).. – The useful life and impairment losses of tangible and intangible assets (see Notes, 15, 16 and 19). – The fair value of certain unlisted financial assets and liabilities in organized markets (see Notes 5, 6, 8, 9, 10, 11 and 13). – The recoverability of deferred tax assets and the forecast of corporate tax expense (see Note 17). In general, BBVA is working to consider and include in its financial analysis models how climate risk and other climate-related matters can affect the financial statements, cash flows and financial performance of the entity. In the event that these risks are being considered, their estimates and judgments, to the extent that they are material, are being considered when preparing the financial statements of BBVA and the disclosures in the corresponding Notes to the Consolidated Financial Statements. The prevailing geopolitical and economic uncertainties (see Note 5.1) entail a greater complexity in developing reliable estimates and applying judgment. Estimates have been made on the basis of the best available information on the matters analyzed as of December 31, 2023. However, it is possible that events may take place subsequent to such date, which could make it necessary to amend these estimations (upward or downward), which would be carried out prospectively, recognizing the effects of the change in estimation in the consolidated financial statements. During 2023 there have been no significant changes in the estimates made as of December 31, 2022, other than those indicated in these Financial Statements. 1.6. Control of the BBVA ’s Financial Reporting The description of BBVA Internal Control over Financial Reporting model is described in the management report accompanying the consolidated Financial Statements for 2023. 1.7. Deposit guarantee fund and Resolution fund The Bank is part of the “Fondo de Garantía de Depósitos” (Deposit Guarantee Fund). The expense incurred by the contributions made to this Agency in 2023 and 2022 amounted to €262 and €246 million, respectively. These amounts are registered under the heading "Other operating expenses" of the accompanying income statements (see Note 38). On the other hand, the contributions made to the single European resolution fund in the years 2023 and 2022 have amounted to €187 and €251 million respectively (see Note 38). 1.8. Consolidated Financial Statements The Consolidated Financial Statements of the BBVA Group for the year ended December 31, 2023 have been prepared by the Group's Directors (at the Board of Directors meeting held on February 6, 2024) in compliance with IFRS-IASB (International Financial Reporting Standards as issued by the International Accounting Standards Board), as well as in accordance with the International Financial Reporting Standards adopted by the European Union (in the following “EU-IFRS”) and applicable at the close of 2021, taking into account Bank of Spain Circular 4/2017, and with any other legislation governing financial reporting which are applicable and with the format and markup requirements established in the EU Delegated Regulation 2019/815 of the European Commission The management of the Group’s operations is carried out on a consolidated basis, independently of the individual allocation of the corresponding equity changes and their related results. Consequently, the Bank's annual Financial Statements have to be considered within the context of the Group, due to the fact that they do not reflect the financial and equity changes that result from the application of the consolidation policies (full consolidation or proportionate consolidation methods) or the equity method. These changes are reflected in the Consolidated Financial Statements of the BBVA Group for the year 2023, which the Bank's Board of Directors has also prepared. Appendix I includes the Group's Consolidated Financial Statements. In accordance with the content of these Consolidated Financial Statements prepared following the International Financial Reporting Standards adopted by the European Union, the total amount of the BBVA Group’s assets and consolidated equity at the close of 2023 amounted to €775,558 million and €55,265 million, respectively, while the consolidated net profit attributed to the parent company of this period amounted to €8,019 million. 10 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 2. Accounting policies and valuation criteria applied The Glossary includes the definition of some of the financial and economic terms used in Note 2 and subsequent Notes. The accounting standards and policies and valuation criteria used in preparing these financial statements are as follows: 2.1 Investments in subsidiaries, joint ventures and associates Subsidiaries are entities controlled by the Group (for definition of control, see Glossary). Associates are entities in which the Group is able to exercise significant influence (for definition of significant influence, see Glossary). Joint ventures are those entities for which there is a joint control arrangement with third parties other than the Group (for definitions of joint arrangement, joint control and joint venture, refer to Glossary). Valuation and impairment Investments in the equity of group companies, joint ventures and associates are initially measured at cost, which is since the fair value of the consideration given plus directly attributable transaction costs. Subsequently, these investments are valued at cost less, if applicable, the accumulated amount of impairment adjustments. At least at year-end, and whenever there is objective evidence that the carrying value may not be recoverable, the corresponding impairment test is performed to quantify the possible valuation adjustment. This valuation adjustment is calculated as the difference between the book value and the recoverable amount, the latter being understood as the higher of its fair value at that time, less costs to sell, and the value in use of the investment. Impairment losses and, if applicable, their reversal, are recorded as an expense or income, respectively, in the income statement. The reversal of an impairment will be limited to the carrying amount of the investment that would be recognized at the date of reversal if the impairment had not been recorded. 2.2 Financial instruments Circular 4/2017 became effective as of January 1, 2018 and replace IAS 39 regarding the classification and measurement of financial assets and liabilities, the, impairment of financial assets and hedge accounting. However, the Bank has chosen to continue applying IAS39 for accounting for hedges as permitted by the Circular itself. 2.2.1Classification and measurement of financial assets Classification of financial assets Circular 4/2017 contains three main categories for financial assets classification: measured at amortized cost, measured at fair value with changes through other comprehensive income, and measured at fair value through profit or loss. The classification of financial instruments in the categories of amortized cost or fair value depends on the business model with which the entity manages the assets and the contractual characteristics of the cash flows, commonly known as the "solely payments of principal and interest" criterion (hereinafter the "SPPI"). The assessment of the business model should reflect the way the Bank manages groups of financial assets and does not depend on the intention for an individual instrument. In order to determine the business model, the following aspects are taken into account: – The way in which the performance of the business model (and that of the assets which comprise such business model) is evaluated and reported to the entity's key personnel; – The risks and their management, which affect the performance of the business model; – The way in which business model managers are remunerated; and – The frequency, amount and timing of sales in previous years, the reasons for such sales and expectations regarding future sales. In this sense, the Bank has established policies and has developed procedures to determine when the sales of financial assets classified in the amortized cost category are considered infrequent (even when significant), or are insignificant (even when frequent), to ensure compliance with such business model. Furthermore, it is considered that any sales that may occur because the financial asset is close to maturity, due to an increase in credit risk, or if necessary for liquidity needs, are compatible with the amortized cost model. 11 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Regarding the SPPI test, the analysis of the cash flows aims to determine whether the contractual cash flows of the assets correspond only to payments of principal and interest on the principal amount outstanding at the beginning of the transaction. Interest is understood here as the consideration for the time value of money; and for the credit risk associated with the principal amount outstanding during a specific period; and for financing and structure costs, plus a profit margin. The most significant judgments used by the Bank in evaluating compliance with the conditions of the SPPI test are the following: – Modified time value: in the event that a financial asset includes a periodic interest rate adjustment but the frequency of this adjustment does not coincide with the term of the reference interest rate (for example, the interest rate reset every six months to a one-year rate), the Group assesses, at the time of the initial recognition, this mismatch to determine whether the contractual cash flows (undiscounted) differ significantly or not from the cash flows (undiscounted) of a benchmark financial asset, for which there would be no change in the time value of money. The defined tolerance thresholds are 10% for the differences in each period and 5% for the analysis accumulated throughout the financial asset life. – Contractual clauses: The contractual clauses that can modify the calendar or the amount of the contractual cash flows are analyzed to verify if the contractual cash flows that would be generated during the life of the instrument due to the exercise of those clauses are only payments of principal and interest on the principal amount outstanding. To do this, the contractual cash flows that may be generated before and after the modification are analyzed. The main criteria taken into account in the analysis are: a. Early termination clauses: generally a contractual clause that permits the debtor to prepay a debt instrument before maturity is consistent with SPPI when the prepayment amount substantially represents unpaid amounts of principal and interest on the principal amount outstanding (which may include reasonable additional compensation for the early termination of the contract). b. Instruments with an interest rate linked to contingent events: – An instrument whose interest rate is reset to a higher rate if the debtor misses a particular payment may meet the SPPI criterion because of the relationship between missed payments and an increase in credit risk. – An instrument with contractual cash flows that are indexed to the debtor’s performance – e.g. net income or is adjusted based on a certain index or stock market value would not meet the SPPI criterion. c. Perpetual instruments: to the extent that they can be considered instruments with continuous (multiple) extension options, they meet the SPPI test if the contractual flows meet it. When the issuer can defer the payment of interest, if such payment would affect their solvency, they would meet the SPPI test if the deferred interest accrues additional interest, while if they do not, they would not meet the test. – Non-recourse financial instruments: In the case of debt instruments that are repaid primarily with the cash flows of specific assets or projects and the debtor has no legal responsibility, the underlying assets or cash flows are evaluated to determine whether the contractual cash flows of the instrument are consistent with payments of principal and interest on the principal amount outstanding. a. If the contractual terms do not give rise to additional cash flows to payments of principal and interest on the amount of principal outstanding or limitations to these payments, the SPPI test is met. b. If the debt instrument effectively represents an investment in the underlying assets and its cash flows are inconsistent with principal and interest (because they depend on the performance of a business), the SPPI test is not met. 12 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Contractually linked instruments: a look-through analysis is carried out in the case of transactions that are set through the issuance of multiple financial instruments forming tranches that create concentrations of credit risk in which there is an order of priority that specifies how the flows of cash generated by the underlying set of financial instruments are allocated to the different tranches. The debt tranches of the instrument will comply with the requirement that their cash flows represent only payment of principal and interest on the outstanding principal if: a. The contractual terms of the tranche being assessed for classification (without looking through to the underlying pool of financial instruments) give rise to cash flows that are solely payments of principal and interest on the principal amount outstanding, b. The underlying pool of financial instruments comprises instruments with cash flow that are solely payments of principal and interest on the principal amount outstanding, and c. The exposure to credit risk in the underlying pool of financial instruments inherent in the tranche is equal to or lower than the exposure to credit risk of the underlying pool of financial instruments (for example, the credit rating of the tranche being assessed for classification is equal to or higher than the credit rating that would apply to a single tranche that funded the underlying pool of financial instruments). In any event, the contractual conditions that, at the time of the initial recognition, have a minimal effect on cash flows or depend on the occurrence of exceptional and highly unlikely events do not prevent compliance with the conditions of the SPPI test. Based on the above characteristics, financial assets will be classified and valued as described below. A debt instrument will be classified in the amortized cost portfolio if the two following conditions are fulfilled: – The financial asset is managed within a business model whose purpose is to maintain the financial assets to maturity, to receive contractual cash flows; and – The contractual conditions of the financial asset give rise to cash flows that are only payments of principal and interest. A debt instrument will be classified in the portfolio of financial assets at fair value with changes through other comprehensive income if the two following conditions are fulfilled: – The financial asset is managed with a business model whose purpose combines collection of the contractual cash flows and sale of the assets, and – The contractual characteristics of the instrument generate cash flows which only represent the return of the principal and interest. A debt instrument will be classified at fair value with changes in profit and loss provided that the entity's business model for their management or the contractual characteristics of its cash flows do not require classification into one of the portfolios described above. In general, equity instruments will be measured at fair value through profit or loss. However BBVA may make an irrevocable election at initial recognition to present subsequent changes in the fair value through “other comprehensive income”. Financial assets will only be reclassified when BBVA decides to change the business model. In this case, all of the financial assets assigned to this business model will be reclassified. The change of the objective of the business model should occur before the date of the reclassification. Measurement of financial assets All financial instruments are initially recognized at fair value, plus, those transaction costs which are directly attributable to the acquisition or issue of the particular instrument, with the exception of those financial assets which are classified at fair value through profit or loss. All changes in the value of financial assets due to the interest accrual and similar items are recorded in the headings "Interest income and other similar income" or "Interest expense", of the income statement of the year in which the accrual occurred (see Note 33), except in the case of trading derivatives that are not economic and accounting hedges. The changes in fair value after the initial recognition, for reasons other than those mentioned in the preceding paragraph, are treated as described below, according to the categories of financial assets. 13 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. “Financial assets held for trading”, “Non-trading financial assets mandatorily at fair value through profit or loss” and “Financial assets designated at fair value through profit or loss” Financial assets are recorded under the heading “Financial assets held for trading” if the objective of the business model is to generate gains by buying and selling these financial instruments or generate short-term results. The financial assets recorded in the heading “Non-trading financial assets mandatorily at fair value through profit or loss” are derived from a business model which objective is to obtain the contractual cash flows and / or to sell those instruments but its contractual cash flows do not comply with the requirements of the SPPI test. Financial assets are classified in “Financial assets designated at fair value through profit or loss” only if it eliminates or significantly reduces a measurement or recognition inconsistency that would otherwise arise from recognizing or measuring such financial assets on different bases. The assets recognized under these headings of the balance sheet are measured upon acquisition at fair value and changes in the fair value (gains or losses and foreign exchange differences) are recognized as their net value, when applicable, under the headings “Gains (losses) on financial assets and liabilities held for trading, net”, “Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net” and “Gains (losses) on financial assets designated at fair value through profit or loss, net” in the accompanying income statement (see Note 37). ”Financial assets at fair value through other comprehensive income” – Debt instruments Assets recognized under this heading in the balance sheets are measured at their fair value. This category of valuation implies the recognition of the information in the income statement as if it were an instrument valued at amortized cost, while the instrument is valued at fair value in the balance sheet. Thus, both interest income on these instruments and the exchange differences and impairment that arise in their case are recorded in the profit and loss account, while subsequent changes in its fair value (gains or losses) are recognized temporarily, (by the amount net of tax effect) under the heading “Accumulated other comprehensive income (loss)- Items that may be reclassified to profit or loss - Fair value changes of debt instruments measured at fair value through other comprehensive income” in the accompanying balance sheets (see Note 27). The amounts recognized under the headings “Accumulated other comprehensive income (loss)- Items that may be reclassified to profit or loss - Fair value changes of debt instruments measured at fair value through other comprehensive income” continue to form part of the Bank's equity until the corresponding asset is derecognized from the balance sheet or until a loss allowance is recognized on the corresponding financial instrument. If these assets are sold, these amounts are derecognized and included under the headings “Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net” in the accompanying income statements (see Note 37). The net loss allowances in “Financial assets at fair value through other comprehensive income” over the year are recognized under the heading “ Impairment or reversal of impairment on financial assets, not measured at fair value through profit or loss net –gains by modification- Financial assets at fair value through other comprehensive income” in the income statements for that year (see Note 42). Interest income on these instruments is recorded in the profit and loss account (see Note 33).Changes in foreign exchange rates are recognized under the heading “Exchange differences, net" in the accompanying income statement (see Note 37). – Equity instruments At the time of initial recognition of specific investments in equity instruments, an irrevocable decision may be made to present subsequent changes in fair value in other comprehensive income. Subsequent changes in this valuation will be recognized Accumulated other comprehensive income - Items that will not be reclassified to profit or loss- Fair value changes of equity instruments measured at fair value through other comprehensive income" (see Note 27). Dividends received from these investments are recorded in the heading "Dividend income" in the income statement (see Note 34). These instruments are not subject to the impairment model. “Financial assets at amortized cost” The assets under this category are subsequently measured at amortized cost, after initial recognition, using the effective interest rate method. In the case of floating rate instruments, including inflation-linked bonds, periodic restatements of cash flows to reflect interest rate movements and incurred inflation change the effective interest rate prospectively. Net loss allowances of assets recorded under these headings arising in each period, calculated under Circular 4/2017 model, are recognized under the heading “Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss –or net gains by modification -Financial assets measured at amortized cost” in the income statement for such year (see Note 42). 14 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 2.2.2Classification and measurement of financial liabilities Classification of financial liabilities Financial liabilities are classified in the following categories: – Financial liabilities at amortized cost; – Financial liabilities that are held for trading including derivatives are financial instruments which are recorded in this category when the Bank’s objective is to generate gains by buying and selling these financial instruments or generate results in the short term; – Financial liabilities that are designated at fair value through profit or loss on initial recognition under the Fair Value Option. The Bank has the option to designate irrevocably, on the initial moment of recognition, a financial liability at fair value through profit or loss provided that doing so results in the elimination or significant reduction of measurement or recognition inconsistency, or if a group of financial liabilities, or a group of financial assets and financial liabilities, has to be managed, and its performance evaluated, on a fair value basis in accordance with a documented risk management or investment strategy. Measurement of financial liabilities Financial liabilities are initially recorded at fair value, less transaction costs that are directly attributable to the issuance of instruments, except for financial instruments that are classified at fair value through profit or loss. Variations in the value of financial liabilities due to the interest accrual and similar items are recorded in the headings “Interest and other income” or “Interest expense”, of the income statement for the year in which the accrual occurred (see Note 33), except for trading derivatives that are not economic and accounting hedges. The changes in fair value after the initial recognition, for reasons other than those mentioned in the preceding paragraph, are treated as described below, according to the categories of financial liabilities. “Financial liabilities held for trading” and “Financial liabilities designated at fair value through profit or loss“ The subsequent changes in the fair value (gains or losses) of the liabilities recognized under these headings of the balance sheets are recognized as their net value under the headings “Gains (losses) on financial assets and liabilities held for trading, net” and “Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net” in the accompanying income statements (see Note 37). The changes in the own credit risk of the liabilities designated under the fair value option is presented in “Accumulated other comprehensive income (loss) – Items that will not be reclassified to profit or loss – Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk” (see Note 27), unless this treatment brings about or increases an asymmetry in the income statement. “Financial liabilities at amortized cost” The liabilities under this category are subsequently measured at amortized cost, using the “effective interest rate” method. Hybrid financial liabilities When a financial liability contains an embedded derivative, BBVA analyzes whether the economic characteristics and risks of the embedded derivative and the host instrument are closely related. If the characteristics and risks of the host and the derivative are closely related, the instrument as a whole will be classified and measured according to the general rules for financial liabilities. If, on the other hand, the economic characteristics and risks of the embedded derivative are not closely related to the economic characteristics and risks of the host, its terms meet the definition of a derivative and the hybrid contract is not measured at fair value with changes in fair value recognized in profit or loss, the embedded derivative shall be separated from the host and accounted for as a derivative separately at fair value with changes in profit and loss and the host instrument classified and measured according to its nature. 2.2.3“Derivatives-Hedge Accounting” and “Fair value changes of the hedged items in portfolio hedges of interest-rate risk” BBVA uses financial derivatives as a tool for managing financial risks, mainly interest rates and exchange rates (see Note 5). When these transactions meet certain requirements, they are considered "hedging instruments". Hedging financial derivatives are used to hedge changes in the value of assets and liabilities, changes in cash flows, or the net investment in a foreign business. Fair value hedging is established for fixed rate financial instruments, and cash flow hedges are used for variable rate financial instruments. The Bank also carries out exchange risk hedging operations. 15 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Hedging accounting follows the standard, and the effectiveness of hedges is evaluated both retrospectively and prospectively, so that they remain within a range between 80% and 125%. The ineffectiveness of hedges, defined as the difference between the change in value of the hedging instrument and the hedged item in each period, attributable to the hedged risk, is recognized in the income statement. This includes both the amount of the ineffectiveness of the hedges established to manage interest rate risk in the period, as well as the ineffectiveness of the hedges established to manage exchange risk, which is mainly attributable to the temporary value of hedges established to manage exchange rate risk (see Notes 13 and 37). Changes occurring subsequent to the designation of the hedging relationship in the measurement of financial instruments designated as hedged items as well as financial instruments designated as hedge accounting instruments are recognized as follows: – In fair value hedges, the changes in the fair value of the derivative and the hedged item attributable to the hedged risk are recognized under the heading “Gains (losses) from hedge accounting, net” in the income statement (see Note 37), with a corresponding offset under the headings where hedging items ("Hedging derivatives") and the hedged items are recognized, as applicable, except for interest-rate risks hedges (which are almost all of the hedges used by the Bank) for which the valuation changes are recognized under the headings “Interest and other income” or “Interest expense”, as appropriate, in the accompanying income statement (see Note 33). – In fair value hedges of interest rate risk of a portfolio of financial instruments (portfolio-hedges), the gains or losses that arise in the measurement of the hedging instrument are recognized in the income statement with the corresponding offset on the headings “Derivatives – Hedge accounting”, and the gains or losses that arise from the change in the fair value of the hedged item (attributable to the hedged risk) are also recognized in the income statement (in both cases under the heading “Gains (losses) from hedge accounting, net” (see Note 37), using, as a corresponding offset, the headings "Fair value changes of the hedged items in portfolio hedges of interest rate risk" in the balance sheets, as applicable. – In cash flow hedges, the gain or loss on the hedging instruments relating to the effective portion is recognized temporarily under the heading ”Accumulated other comprehensive income (loss) - Items that may be reclassified to profit or loss - Hedging derivatives. Cash flow hedges” (effective portion) in the balance sheets, with a corresponding offset under the heading “Hedging derivatives” of the Assets or Liabilities of the balance sheets as applicable. These differences are recognized under the heading “Interest and other income ” or “Interest expense” at the time when the gain or loss in the hedged instrument affects profit or loss, when the forecast transaction is executed or at the maturity date of the hedged item. Almost all of the cash flow hedges carried out by the Bank are for interest rate risk and inflation of financial instruments, so their differences are recognized under the heading "Interest and other income" or "Interest expense" in the accompanying income statement (see Note 33). – Differences in the measurement of the hedging items corresponding to the ineffective portions of cash flow hedges are recognized directly in the heading “Gains (losses) from hedge accounting, net” in the accompanying income statement (see Note 37). – In the hedges of net investments in foreign operations, the differences attributable to the effective portions of hedging items are recognized temporarily under the heading "Accumulated other comprehensive income (loss) - Items that may be reclassified to profit or loss – Hedging of net investments in foreign operations (effective portion)" in the balance sheets with a corresponding offset entry under the heading “Hedging derivatives” of the Assets or Liabilities of the balance sheets as applicable. These differences in valuation are recognized in the income statement when the investment in a foreign operation is disposed of or derecognized (see Note 37). 2.2.4Loss allowances on financial assets The “expected losses” impairment model is applied to financial assets valued at amortized cost, debt instruments valued at fair value with changes in accumulated other comprehensive income, financial guarantee contracts and other commitments. All financial instruments valued at fair value through profit or loss are excluded from the impairment model. The standard classifies financial instruments into three categories, which depend on the evolution of their credit risk from the moment of initial recognition and which establish the calculation of the credit risk allowance. – Stage 1– without significant increase in credit risk Financial assets which are not considered to have significantly increased in credit risk have loss allowances measured at an amount equal to the expected credit loss that arises from all possible default events within 12 months following the presentation date of the financial statements (12 month expected credit losses). – Stage 2– significant increases in credit risk When the credit risk of a financial asset has increased significantly since the initial recognition, the loss allowances of that financial instrument is calculated as the expected credit loss during the entire life of the asset. That is, they are the expected credit losses that result from all possible default events during the expected life of the financial instrument. 16 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Stage 3 – Impaired When there is objective evidence that the instrument is credit-impaired, the financial asset is transferred to this category in which the provision for losses of that financial instrument is calculated, as in stage 2, as the expected credit loss during the entire life of the asset. When the recovery of any recognized amount is considered remote, such amount is written-off on the consolidated balance sheet, without prejudice to any actions that may be taken in order to collect the amount until the rights extinguish in full either because it is time-barred debt, the debt is forgiven, or other reasons. The Bank has applied the following definitions: – Credit impaired asset An asset is credit-impaired (stage 3) if one or more events have occurred and they have a detrimental impact on the estimated future cash flows of the asset Historically, the definition of credit impaired asset under the Standard has been substantially aligned with the definition of default used by the Bank for internal credit risk management, which is also the definition used for regulatory purposes. In 2021 the Bank updated its definition of default to conform to that set forth in the European Banking Authority (hereinafter EBA) Guidelines, in compliance with article 178 of Regulation (EU) No 575/2013 (CRR). The Group has consequently updated the definition of credit impaired asset (Stage 3), considering it a change in accounting estimates, re-establishing the consistency with the definition of default and guaranteeing the integration of both definitions in credit risk management The determination of an asset as impaired and its classification in stage 3 is based exclusively on the risk of default, without considering the effects of credit risk mitigating measures such as guarantees and collaterals. Specifically, the following financial assets are classified in stage 3: 1) Impaired assets for objective reasons or delinquency: when there are unpaid amounts of principal or interest for more than 90 days. According to Circular 4/2017, the 90-days past due default is a presumption that can be rebutted in those cases where the entity considers, based on reasonable and supportable information, that it is appropriate to use a longer term. As of December 31, 2023, the Group has not used terms exceeding 90 days past due. 2) Impaired assets for subjective reasons (other than delinquency): when circumstances are identified that show, even in the absence of defaults, that it is not probable that the debtor will fully comply with its financial obligations. For this purpose, the following indicators are considered, among others: – Significant financial difficulties of the issuer or the borrower. – Granting by the lender or lenders to the borrower, for economic or contractual reasons related to the latter's financial difficulties, of concessions or advantages that they would not have otherwise granted. – Breach of contractual clauses, such as events of default or default. – Increasing probability that the borrower will go into bankruptcy or some other situation of financial reorganization. – Disappearance of an active market for the financial asset due to financial difficulties. – Others that may affect the committed cash flows such as the loss of the debtor's license or that it has committed fraud. – Generalized delay in payments. In any case, this circumstance exists when, during a continuous period of 90 days prior to the reporting date, a material amount has remained unpaid. – Sales of credit exposures of a client with a significant economic loss will imply that the rest of its operations are considered impaired. Relating to the granting of concessions due to financial difficulties, it is considered that there is an indicator of unlikeliness to pay, and therefore the client must be considered impaired, when the refinancing or restructuring measures may result in a diminished financial obligation caused by a forgiveness or material deferral of principal, interest or fees. Specifically, unless proven otherwise, transactions that meet any of the following criteria will be reclassified to the category of impaired assets: a. Irregular repayment schedule. b. Contractual clauses that delay the repayment of the loan through regular payments. Among others, grace periods of more than two years for the amortization of the principal will be considered clauses with these characteristics. c. Amounts of principal or interest written off from the balance sheet as its recovery is considered remote. 17 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. In any case, a restructuring will be considered impaired when the reduction in the net present value of the financial obligation is greater than 1%. Credit risk management for wholesale counterparties is carried out at the customer (or group) level. For this reason, the classification of any of a client's material exposure as impaired, whether due to more than 90 days of default or due to any of the subjective criteria, implies the classification as impaired of all the client's exposures. Regarding retail clients, which are managed at the individual loan level, the scoring systems review their score, among other factors, in the event of breach in any of their operations or incurring generalized delays in payments, which also triggers the necessary recovery actions. Among them are the refinancing measures that, where appropriate, may lead to all the client's operations being considered impaired. Furthermore, given the granularity of the retail portfolios, the differential behavior of these clients in relation to their products and collateral provided, as well as the time necessary to find the best solution, the Bank has established as an indicator that when a transaction of a retail client is in default in excess of 90 days or shows a general delay in payments and this represents more than 20% of the client's total balance, all its transactions are considered impaired. When operations by entities related to the client fall into stage 3, including both entities of the same group and those with which there is a relationship of economic or financial dependence, the transactions of the holder will also be classified as stage 3 if after the analysis it is concluded that there are reasonable doubts about the full payment of the loans. The Stage 3 classification will be maintained for a cure period of 3 months from the disappearance of all indicators of impairment during which the client must demonstrate good payment behavior and an improvement in their credit quality in order to corroborate the disappearance of the causes that motivated the classification of the debt as impaired. In the case of refinancing and restructuring, the cure period is one year (see Appendix XI for more details). Significant increase in credit risk The objective of the impairment requirements is to recognize lifetime expected credit losses for financial instruments for which there have been significant increases in credit risk since initial recognition considering all reasonable and supportable information, including that which is forward-looking. The model developed by the Bank for assessing the significant increase in credit risk has a two-prong approach that is applied globally (for more detail on the methodology used, see Note 5.2.1): – Quantitative criterion: the Bank uses a quantitative analysis based on comparing the current expected probability of default over the life of the transaction with the original adjusted expected probability of default, so that both values are comparable in terms of expected default probability for their residual life. – Qualitative criterion: most indicators for detecting significant risk increase are included in the Bank's systems through rating and scoring systems or macroeconomic scenarios, so the quantitative analysis covers the majority of circumstances. The Bank uses additional qualitative criteria to identify significant increase in credit risk and thus, to include circumstances that are not reflected in the rating/score systems or macroeconomic scenarios used. Such qualitative criteria are the following: a. More than 30 days past due: the default of more than 30 days is a presumption that can be rebutted in those cases in which the entity considers, based on reasonable and documented information, that such non-payment does not represent a significant increase in risk. As of December 31, 2023, the Bank has not considered periods higher than 30 days. b. Watch list: They are subject to special watch by the Risk units because they show negative signs in their credit quality, even though there may be no objective evidence of impairment. c. Refinance or restructuring that does not show evidence of impairment, or that, having been previously identified, the existence of significant increase in credit risk may is still exist. Although the standard introduces a series of operational simplifications, also known as practical solutions for analyzing the increase in significant risk, the Bank does not use them as a general rule. However, for high-quality assets, mainly related to certain government institutions and bodies, the standard allows for considering that their credit risk has not increased significantly because they have a low credit risk at the presentation date. This possibility is limited to those financial instruments that are classified as having high credit quality and high liquidity to comply with the liquidity coverage ratio (Liquidity Coverage Ratio, hereinafter "LCR"). This does not prevent these assets from being assigned the credit risk coverage that corresponds to their classification as Stage 1 based on their credit rating and macroeconomic expectations. Method for calculating Expected Credit Loss (ECL) Method for calculating expected loss In accordance with Circular 4/2017, the measurement of expected losses must reflect: – a considered and unbiased amount, determined by evaluating a range of possible results; 18 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – the time value of money, and – reasonable and supportable information that is available without undue cost or effort and that reflects current conditions and forecasts of future economic conditions. Expected losses are measured both individually and collectively. The individualized estimate of credit losses results from calculating the difference between the expected cash flows discounted at the effective interest rate of the transaction and the carrying amount of the instrument (see Note 5.2.1): For the collective measurement of expected losses the instruments are classified into groups of assets based on their risk characteristics. Exposure within each group is grouped according to credit risk common characteristics, which indicate the payment capacity of the borrower according to the contractual conditions. These risk characteristics have to be relevant in estimating the future flows of each group. The characteristics of credit risk may consider, among others, the following factors (see Note 5.2.1): – Type of instrument. – Rating or scoring tools. – Credit risk scoring or rating. – Type of collateral. – Amount of time at default for stage 3. – Segment. – Qualitative criteria which can have a significant increase in risk. – Collateral value if it has an impact on the probability of a default event. The estimated losses are derived from the following parameters: – PD: estimate of the probability of default in each period. – EAD: estimate of the exposure in case of default at each future period, taking into account the changes in exposure after the closing date of the financial statements. – LGD: estimate of the loss in case of default, calculated as the difference between the contractual cash flows and receivables, including guarantees. For these purposes, the probability of executing the guarantee, the moment until its ownership, and subsequent realization are achieved, the expected cash flows and the acquisition and sale costs, are considered in the estimation. – CCF: cash conversion factor is the estimate made on off-balance sheet contractual arrangements to determine the exposure subject to credit risk in the event of a default. At BBVA, the calculated expected credit losses are based on internal models developed for all portfolios within the scope of Circular 4/2017, except for the cases that are subject to individual analysis. The calculation and recognition of expected credit losses includes exposures with governments and credit institutions, for which, despite having a reduced number of defaults in the information databases, internal models have been developed, considering, as sources of information, the data provided by external rating agencies or other observed in the market, such as changes in bond yields, prices of credit default swaps or any other public information on them Use of present, past and future information Circular 4/2017 requires incorporation of present, past and future information to detect any significant increase in risk and measure expected loss losses, which must be carried out on a weighted probability basis. The standard does not require identification of all possible scenarios for measuring expected loss. However, the probability of a loss event occurring and the probability it will not occur have to be considered, even though the possibility of a loss may be very low. To achieve this, BBVA generally evaluates the linear relationship between its estimated loss parameters (PD, LGD and EAD) with the historical and future forecasts of the macroeconomic scenarios. Additionally, when there is no linear relation between the different future economic scenarios and their associated expected losses, more than one future economic scenario must be used for the measurement. 19 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The approach taken by BBVA consists of using a methodology based on the use of three scenarios. The first is the most probable scenario (base scenario) that is consistent with that used in the Bank's internal management processes, and two additional ones, one more positive and the other more negative. The combined outcome of these three scenarios is calculated considering the weight given to each of them. The main macroeconomic variables that are valued in each of the scenarios are the Gross Domestic Product (GDP), the real estate price index, interest rates, and the unemployment rate The main goal of the Bank's approach is seeking the greatest predictive capacity with respect to the first two variables (see Note 5.2.1). Derecognition of the balance due to impairment on financial assets (write-offs) Debt instruments are classified as written-off once, after being analyzed, it is reasonably considered that their recovery is remote due to the notorious and irrecoverable deterioration of the solvency of the holder of the operation. Based on their procedures and particularities, the Bank entities recognize operations as a write-off where, following their analysis, there are no reasonable expectations of recovery of the debt, taking into account aspects such as: the time elapsed since the classification as doubtful operations due to delinquency, the coverage levels achieved, type of portfolio or product, bankruptcy status of the holder and the existence of guarantees, their valuation and execution capacity. In those cases where the guarantee is significant, there is the possibility of making partial write-offs on the non-guaranteed portion. The classification of an operation as written-off, entails the recognition of losses for the carrying amount of the related debt and results in a derecognition in the same amount from the balance sheet (see Note 5.2.5). 2.2.5Transfers and derecognition of financial assets and liabilities The accounting treatment of transfers of financial assets is determined by the form in which risks and benefits associated with the financial assets involved are transferred to third parties. Financial assets are only derecognized from the balance sheet when the cash flows that they generate are extinguished, or when their implicit risks and benefits have been substantially transferred to third parties, when the control of financial asset is transferred even in case of no physical transfer or substantial retention of such assets. In the latter case, the financial asset transferred is derecognized from the balance sheet, and any right or obligation retained or created as a result of the transfer is simultaneously recognized. Similarly, financial liabilities are derecognized from the balance sheet only if their obligations are extinguished or acquired (with a view to subsequent cancellation or renewed placement). The Bank is considered to have transferred substantially all the risks and benefits if such risks and benefits account for the majority of the risks and benefits involved in ownership of the transferred financial assets. If substantially all the risks and/or benefits associated with the transferred financial asset are retained: – The transferred financial asset is not derecognized from the balance sheet and continues to be measured using the same criteria as those used before the transfer. – A financial liability is recognized at the amount equal to the amount received, which is subsequently measured at amortized cost or fair value with changes in the income statement, whichever the case. – Both the income generated on the transferred (but not derecognized) financial asset and the expense of the new financial liability continue to be recognized. In the specific case of securitizations, this liability is recognized under the heading “Financial liabilities at amortized cost – Customer deposits” in the balance sheets (see Note 20). As these liabilities do not constitute a current obligation, when measuring such a financial liability the Bank deducts those financial instruments owned by it which constitute financing for the entity to which the financial assets have been transferred, to the extent that these instruments are deemed specifically to finance the transferred assets. The criteria followed with respect to the most common transactions of this type made by the Bank are as follows: – Purchase and sale commitments: Financial instruments sold with a repurchase agreement are not derecognized from the balance sheets and the amount received from the sale is considered to be financing from third parties. – Financial instruments acquired with an agreement to subsequently resell them are not recognized in the balance sheets and the amount paid for the purchase is considered to be credit given to third parties. – Securitization: The Bank has applied the most stringent criteria for determining whether or not it retains substantially all the risk and rewards on such assets for all securitizations performed since January 1, 2004. As a result of this analysis, the Bank has concluded that none of the securitizations undertaken since that date meet the prerequisites for derecognizing the securitized assets from the balance sheets (see Note 12 and Appendix VI), as the Bank retains substantially all the expected credit risks and possible changes in net cash flows, while retaining the subordinated loans and lines of credit extended to these securitization funds. 20 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Synthetic securitizations are transactions where risk is transferred through derivatives or financial guarantees and in which the exposure of these securitizations remains in the balance sheet of the Bank. The Bank has established the synthetic securitizations through received financial guarantees. As for the commissions paid, they are accrued during the term of the financial guarantee. 2.3 Financial guarantees Financial guarantees are considered to be those contracts that require their issuer to make specific payments to reimburse the holder of the financial guarantee for a loss incurred when a specific borrower breaches its payment obligations on the terms – whether original or subsequently modified – of a debt instrument, irrespective of the legal form it may take. Financial guarantees may take the form of a deposit, bank guarantee, insurance contract or credit derivative, among others. In their initial recognition, financial guarantees are recognized as liabilities in the balance sheet at fair value, which is generally the present value of the fees, commissions and interest receivable from these contracts over the term thereof, and the Bank simultaneously recognizes a corresponding asset in the balance sheet for the amount of the fees and commissions received at the inception of the transactions and the amounts receivable at the present value of the fees, commissions and interest outstanding. Financial guarantees, irrespective of the guarantor, instrumentation or other circumstances, are reviewed periodically so as to determine the credit risk to which they are exposed and, if appropriate, to consider whether a provision is required for them. The credit risk is determined by application of criteria similar to those established for quantifying loss allowances on debt instruments measured at amortized cost (see Note 2.2.4). The provisions recognized for financial guarantees are recognized under the heading “Provisions - Provisions for contingent risks and commitments” on the liability side in the balance sheets (see Note 21). These provisions are recognized and reversed with a charge or credit, respectively, to “Provisions or reversal of provision” in the income statements (see Note 41). Income from financial guarantees is recorded under the heading “Fee and commission income” in the income statement and is calculated by applying the rate established in the related contract to the nominal amount of the guarantee (see Note 35). Synthetic securitizations made by the Bank to date meet the requirements of the accounting regulations for accounting as guarantees. 2.4 Tangible assets Tangible assets are classified according to their nature: – Property, plant and equipment for own use This heading includes the assets under ownership or acquired under lease terms (right to use), intended for future or current use by the Bank and that it expects to hold for more than one year. It also includes tangible assets received by the Bank in full or partial settlement of receivables from third parties which are expected to be held for continuing use. – Investment properties Includes the value of land, buildings and other structures that are held either for rental or for capital gain on sale, and which are not expected to be used in the ordinary course of business and are not intended for own use. – Assets leased out under an operating lease Includes assets for which the Group has granted the right of use to another company through an operating lease contract. In general, and as an accounting policy option, tangible assets are recorded in the balance sheets under the cost model, i.e., at acquisition cost, less the related accumulated depreciation and, if applicable, the estimated impairment losses resulting from comparing the net book value of each item with its corresponding recoverable value (see Note 15). The Bank uses the straight-line method to calculate depreciation over the estimated useful life of the asset. The depreciation charge for tangible assets is recorded under "Depreciation and amortization" in the income statement (see Note 40) and is basically equivalent to the following depreciation rates: 21 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. General depreciation rates for tangible assets Type of assets Annual Percentage Buildings for own use 1% - 4% Furniture 8% - 10% Fixtures 6% - 12% Office supplies and hardware 8% - 25% Lease use rights The lesser of the lease term or the useful life of the underlying asset At each reporting date, the Bank analyzes whether there are indicators that a tangible asset may be impaired and, if any, adjusts the carrying amount to its recoverable amount, modifying future depreciation charges in accordance with its revised remaining useful life. Similarly, if there is indication that the value of a tangible asset that was previously impaired has been recovered, the Bank estimates the recoverable amount of the asset and recognizes in the income statement the reversal of the impairment loss recognized in previous years and thus, adjusts the future depreciation charges. Any impairment or reversal of impairment will be recognized considering as counterpart the heading “Impairment or reversal of impairment of non-financial assets - Intangible assets” of the consolidated income statement (see Note 44). Operating and maintenance expenses relating to tangible assets for own use are recognized in the year in which they are incurred under "Administrative expenses - Property, plant and equipment" in the income statement (see Note 39.2). 2.5 Leases In general, the Bank will record assets and liabilities for lease contracts by recording a right of use (right to use the leased asset) under ''Tangible assets - Property, plant and equipment'' and ''Tangible assets - Investment property'' (see Note 15), and a lease liability (its obligation to make lease payments) under ''Financial liabilities at amortized cost - Other financial liabilities'' (see Note 20.5). The Bank applies two exceptions in the case of short-term leases and leases whose underlying asset is of low value. In these cases, lease payments are recognized under "Other operating expenses" (see Note 38) in the consolidated income statement over the term of the lease. At the initial date of the lease, the lease liability is equal to the present value of all lease unpaid payments. Subsequently, it is valued at amortized cost. The right to use assets is initially recorded at cost and are subsequently reduced by accumulated amortization and accumulated impairment. The Bank has decided to calculate depreciation using the straight-line method. Depreciation of tangible assets is recorded under "Depreciation and amortization" in the consolidated statement of income (see Note 40). The interest expense on the lease liability is recorded in the income statements under the heading “Interest expense” (see note 33). Variable payments not included in the initial measurement of the lease liability are recorded under the heading “Administration costs – Other administrative expense” (see Note 39). Operating lease and sublease incomes are recognized in the income statements under the headings “Other operating income” (see Note 38). On the other hand, when the Bank acts as a lessor, it classifies leases as finance or operating leases. In finance leases, the sum of the present values of the amounts received plus the guaranteed residual value is recorded as financing provided to third parties and is included under "Financial assets at amortized cost" in the consolidated balance sheet (see Note 12). In operating leases, the acquisition cost of the leased assets is presented under "Tangible assets - Property, plant and equipment - Assigned under operating leases" in the consolidated balance sheet (see Note 12). These assets are depreciated in accordance with the policies adopted for similar tangible assets for own use and the income and expenses arising from the lease contracts are recognized in the consolidated income statement on a straight-line basis under "other operating income" and "other operating expenses", respectively (see Notes 38 and 39). If a fair value sale and leaseback results in a lease, the profit or loss generated from the effectively transferred part) of the sale is recognized in the income statement at the time of sale (only for the effectively transmitted part). 22 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 2.6 Non-current assets and disposal groups classified as held for sale and liabilities included in disposal groups classified as held for sale This heading includes the carrying amount of individual items or items integrated in a group ("disposal group") or that form part of a significant business line or geographic area that is intended to be disposed of (“discontinued operation”) whose sale is highly probable to take place under the current conditions within a period of one year from the date to which the financial statements refer. Additionally, it includes assets that were expected to be disposed of within one year, but for which disposal there is a delay caused by events and circumstances beyond the Bank's control, and there is sufficient evidence that the entity remains committed to its plan for sale (see Note 19), specifically, regarding real estate assets or other assets received to cancel, in whole or in part, the payment obligations of debtors for credit operations. These assets are not amortized as long as they remain in this category. With respect to valuation, in general, foreclosed real estate assets or assets received in payment of debts are recognized both at the date of acquisition and subsequently, at the lower of their fair value less estimated costs to sell and their carrying amount, with the possibility of recognizing an impairment or reversal of impairment for the difference, if applicable. When the amount of the sale less estimated costs to sell exceeds the carrying amount, the gain is not recognized until the time of disposal and derecognition. The applicable carrying value of the financial asset is updated at the time of foreclosure, treating the foreclosed property as collateral and taking into account the corresponding credit risk hedges at the time prior to delivery. The fair value of foreclosed assets is based mainly on appraisals or valuations performed by independent experts with a maximum age of one year, or less if there are indications of impairment; in addition, by appraisal, evaluating the need to apply a discount on the asset based on its specific conditions or market conditions for such type of assets is evaluated and in any case, the entity’s estimated sale costs are deducted. The Bank applies the rule that these appraisals may not be older than one year, and their age is reduced if there is an indication of deterioration in the assets. The Bank mainly uses the services of the following valuation and appraisal companies. None of them is linked to the BBVA Group and all are entered in the official Bank of Spain register: Global Valuation S.A.U.; Tinsa, S.A., Gesvalt, Sociedad de Tasación; JLL Valoraciones, S.A., Sociedad de Tasación Tasvalor; Eurovaloraciones, S.A. Gains/losses on disposal of these assets and impairment losses are recognized under "Gains (losses) on non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations" in the consolidated income statement (see Note 45). Other income and expenses are classified in the income statement items according to their nature, evaluating the need to apply a discount on the asset derived from the specific conditions of the asset or the market situation for these assets and in any case, deducting the company’s estimated sale costs. The income and expenses of discontinued operations generated in the year, even if they were generated prior to their classification as discontinued operations, are presented, net of the tax effect, as a single amount under "Profit (loss) after tax from discontinued operations" in the consolidated income statement. This caption also includes the results obtained on disposal (net of the tax effect). 2.7 Intangible assets Intangible assets in the financial statements of the Bank have a finite useful life. The useful life of intangible assets is, at most, equal to the period during which the entity is entitled to use the asset; If the right of use is for a limited renewable period, the useful life includes the renewal period only when there is evidence that the renewal will be carried out without a significant cost (see Note 16). Intangible assets are amortized according to the duration of this useful life, using methods similar to those used to depreciate tangible assets. The defined useful life intangible asset is made up mainly of IT applications acquisition costs which have a useful life, in general, of 5 years, also, internally developed software is recognized as an intangible asset when, among other requirements, it has the capacity to be used or sold, it is identifiable and its capacity to generate economic benefits in the future can be demonstrated. The amortization charge of these assets is recognized in the consolidated income statements under the heading "Depreciation and amortization" (see Note 40). The Bank will recognize any loss allowance on the carrying amount of these assets with charge to the heading “Impairment or reversal of impairment on non - financial assets- Intangible assets” in the accompanying income statements (see Note 44). The criteria used to recognize the impairment losses on these assets and, where applicable, the recovery of loss allowances previously recognized, are similar to those used for tangible Assets. 2.8 Tax assets and liabilities Expenses on corporate income tax applicable to the Bank are recognized expense for the period in the income statement, except when they result from transactions on which the profits or losses are recognized directly in equity, in which case the related tax effect is also recognized in equity. The total corporate income tax expense is calculated by aggregating the current tax arising from the application of the corresponding tax rate as per the tax base for the year (after deducting the tax credits or discounts allowable for tax purposes) and the change in deferred tax assets and liabilities recognized in the income statement. Deferred tax assets and liabilities include temporary differences, the carryforward of unused tax losses and carryforward of unused tax credits or discount carry forwards. These amounts are calculated by applying to each temporary difference the tax rates that are expected to apply when the asset is realized or the liability settled (see Note 17). 23 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The "Tax Assets" line item in the accompanying balance sheets includes the amount of all the assets of a tax nature, broken down into: "Current” (amounts of tax recoverable in the next twelve months) and "Deferred" (which includes the amount of tax to be recovered in future years, including those arising from tax losses or credits for deductions or rebates that can be compensated). The "Tax Liabilities" line item in the accompanying balance sheets includes the amount of all the liabilities of a tax nature, except for provisions for taxes, broken down into: "Current” (income tax payable on taxable profit for the year and other taxes payable in the next twelve months) and "Deferred" (the amount of corporate tax payable in subsequent years). Deferred tax liabilities attributable to taxable temporary differences associated with investments in subsidiaries, associates or joint venture entities are recognized as such, except where the Bank can control the timing of the reversal of the temporary difference and it is unlikely that it will reverse in the future. Deferred tax assets are only recognized to the extent that it is probable that the Bank will generate enough taxable profits to make deferred tax assets effective and do not correspond to those from initial recognition (except in the case of business combinations), which also does not affect the fiscal outcome. In those circumstances in which it is unclear how a specific requirement of the tax law applies to a particular transaction or circumstance, and the acceptability of the definitive tax treatment depends on the decisions taken by the relevant taxation authority in future, the entity recognizes current and deferred tax liabilities and assets considering whether it is probable or not that a taxation authority will accept an uncertain tax treatment. Thus, if the entity concludes that it is not probable that the taxation authority will accept an uncertain tax treatment, the entity uses the amount expected to be paid to (recovered from) the taxation authorities. The income and expense directly recognized in equity that do not increase or decrease taxable income are accounted for as temporary differences. 2.9 Provisions, contingent assets and contingent liabilities This heading “Provisions” in the balance sheets includes amounts recognized to cover the Bank’s current obligations arising as a result of past events. These are certain in terms of nature but uncertain in terms of amount and/or settlement date. The settlement of these obligations is deemed likely to entail an outflow of resources embodying economic benefits (see Note 21). The obligations may arise in connection with legal or contractual provisions, valid expectations formed by the Bank relative to third parties in relation to the assumption of certain responsibilities or through virtually certain developments of particular aspects of the regulations applicable to the operation of the entities; and, specifically, future legislation to which the Bank will certainly be subject. The provisions are recognized in the balance sheets when each and every one of the following requirements is met: – They represent a current obligation that has arisen from a past event. – At the date of the financial statements, there is more probability that the obligation will have to be met than that it will not. – It is probable that an outflow of resources embodying economic benefits will be required to settle the obligation. – The amount of the obligation can be reasonably estimated. Among other items, these provisions include the commitments made to employees (mentioned in section 2.9), as well as provisions for tax and legal litigation. Contingent assets are possible assets that arise from past events and whose existence is conditional on, and will be confirmed only by, the occurrence or non-occurrence of events beyond the control of the Bank. Contingent assets are not recognized in the balance sheet or in the income statement; however, they will be disclosed, should they exist, provided that it is probable that these assets will give rise to an increase in resources embodying economic benefits (see Note 30). Contingent liabilities are possible obligations of the Bank that arise from past events and whose existence is conditional on the occurrence or non-occurrence of one or more future events beyond the control of the entity. They also include the existing obligations of the entity when it is not probable that an outflow of resources embodying economic benefits will be required to settle them; or when, in extremely rare cases, their amount cannot be measured with sufficient reliability. Contingent liabilities are not recognized in the balance sheet or the income statement (excluding contingent liabilities from business combinations) but are disclosed in the notes to the Financial Statements, unless the possibility of an outflow of resources embodying economic benefits is remote (see Note 30). 2.10 Treasury shares The value of common stock -basically, shares and derivatives on the Bank's shares held by itself that comply with the requirements to be recognized as equity instruments- is recognized as a decrease to net equity under the heading "Shareholders’ funds – Treasury stock" in the balance sheets (see Note 26). These financial assets are recognized at acquisition cost, and the gains or losses arising on their disposal are credited or debited, as appropriate, to the heading “Shareholders’ funds – Retained earning ” in the balance sheet (see Note 25). 24 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. In the event of a contractual obligation to acquire treasury shares, a financial liability is recorded as the present value of the amount committed (under the heading "Financial liabilities at amortized cost - Other financial liabilities") and the corresponding recognition in net equity ( under the heading “Equity - Other Reserves”) (see Notes 20.5 and 25). 2.11 Equity-settled share-based payment transactions Equity –settled share-based payment transactions provided they constitute the delivery of such equity instruments once completion of a specific period of services, has occurred are recognized as an expense for services being provided by employees, with a corresponding entry under the heading “Shareholders’ funds – Other equity instruments” in the balance sheet. These services are measured at fair value for the employees services received, unless such fair value cannot be calculated reliably. In such case, they are measured by reference to the fair value of the equity instruments granted, taking into account the date on which the commitments were granted and the terms and other conditions included in the commitments. When the initial compensation agreement includes what may be considered market conditions among its terms, any changes in these conditions will not be reflected in the income statement, as these have already been accounted for in calculating the initial fair value of the equity instruments. Non-market vesting conditions are not taken into account when estimating the initial fair value of equity instruments, but they are taken into account when determining the number of equity instruments to be issued. This will be recognized on the income statement with the corresponding increase in equity. 2.12 Pensions and other post-employment commitments Below we provide a description of the most significant accounting policies relating to post-employment and other employee benefit commitments assumed by the Bank (see Note 22). Short-term employee benefits Benefits for current active employees which are accrued and settled during the year and for which a provision is not required in the entity´s accounts. These include wages and salaries, social security charges and other personnel expense. Costs are charged and recognized under the heading “Administration costs – Personnel expense – Other personnel expense” of the income statement (see Note 39.1). Post-employment benefits – Defined-contribution plans The Bank sponsors defined-contribution plans for the majority of its active employees. The amount of these benefits is established as a percentage of remuneration and/or as a fixed amount. The contributions made to these plans in each year by the Bank are charged and recognized under the heading “Administration costs – Personnel expense – Defined-contribution plan expense” of the income statement (see Note 39.1). Post-employment benefits – Defined-benefit plans The Bank maintains pension commitments with employees who have already retired or taken early retirement, certain closed groups of active employees still accruing defined benefit pensions, and in-service death and disability benefits provided to most active employees. These commitments are covered by insurance contracts, pension funds and internal provisions. In addition, the Bank have offered certain employees the option to retire before their normal retirement age, recognizing the necessary provisions to cover the costs of the associated benefit commitments, which include both the liability for the benefit payments due as well as the contributions payable to external pension funds during the early retirement period. Furthermore, the Bank provides welfare and medical benefits which extend beyond the date of retirement of the employees entitled to the benefits. All of these commitments are quantified based on actuarial valuations, with the amounts recorded under the heading “Provisions – Provisions for pensions and similar obligations” and determined as the difference between the value of the defined-benefit commitments and the fair value of plan assets at the date of the financial statements (see Note 21). Current service cost is charged and recognized under the heading “Administration costs – Personnel expense – Defined-benefit plan expense” of the income statement (see Note 39.1). Interest credits/charges relating to these commitments are charged and recognized in net terms under the headings “Interest and other income” or, where appropriated, “Interest expense” of the income statement. (see Note 33). Past service costs arising from benefit plan changes as well as early retirements granted during the year are recognized under the heading “Provisions or reversals of provisions” of the income statement (see Note 41). 25 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Other long-term employee benefits In addition to the above commitments, the Bank provides long-term service awards to their employees, consisting mainly of monetary amounts or periods of vacation granted upon completion of a number of years of qualifying service. These commitments are quantified based on actuarial valuations and the amounts recorded under the heading “Provisions – Other long-term employee benefits” of the balance sheet (see Note 21). Valuation of commitments: actuarial assumptions and recognition of gains/losses The present value of these commitments is determined based on individual member data. Active employee costs are determined using the “projected unit credit” method, which treats each period of service as giving rise to an additional unit of benefit and values each unit separately. In establishing the actuarial assumptions we take into account that: – They should be unbiased, i.e. neither unduly optimistic nor excessively conservative. – Each assumption does not contradict the others and adequately reflects the existing relationship between economic variables such as price inflation, expected wage increases, discount rates, etc. Future wage and benefit levels should be based on market expectations, at the balance sheet date, for the period over which the obligations are to be settled. – The interest rate used to discount benefit commitments is determined by reference to market yields, at the balance sheet date, on high quality bonds. The Bank recognizes actuarial gains (losses) relating to early retirement benefits, long service awards and other similar items under the heading “Provisions or reversal of provisions” of the income statement for the period in which they arise (see Note 41). Actuarial gains/losses relating to pension and medical benefits are directly charged and recognized under the heading "Accumulated other comprehensive income (loss) – Items that will not be reclassified to profit or loss – Actuarial gains (losses) on defined benefit pension plans" of equity in the balance sheet (see Note 27). 2.13 Termination benefits Termination benefits are recognized in the financial statements when the Bank agrees to terminate employment contracts with its employees or from the time the costs for a restructuring that involves the payment of compensation for the termination of contracts with its employees are recorded. This happens when there is a formal and detailed plan in which the fundamental modifications to be made are identified, and whenever said plan has begun to be executed or its main characteristics, or objective facts about its execution have been publicly announced. 2.14 Recognition of income and expense The most significant policies used by the Bank to recognize its income and expense are as follows. – Interest income and expense and similar items: As a general rule, interest income and expense and similar items are recognized on the basis of their accrual using the effective interest rate method. In the particular case of inflation-indexed bonds, interest income also includes the effect of real inflation experienced in the period. They shall be recognized within the income statement according to the following criteria, independently from the financial instruments’ portfolio which generates the income or expense: a. The interest income past-due before the initial recognition and pending to be received will form part of the gross carrying amount of the debt instrument. b. The interest income accrued after the initial recognition will form part of the gross carrying amount of the debt instrument until it will be received. In the event that a debt instrument is considered impaired, interest income will be calculated by applying the effective interest rate to the amortized cost (that is, adjusting for any impairment loss) of the financial asset. – Income from dividends received: Dividends shall be recognized within the consolidated income statement according to the following criteria, independently from the financial instruments’ portfolio which generates this income: a. When the right to receive payment has been declared before the initial recognition and when the payment is pending to be received, the dividends will not be added to the gross carrying amount of the equity instrument and will not be recognized as income. Those dividends are accounted for as financial assets separately from the net equity instrument. 26 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. b. If the right to receive payment is received after the initial recognition, the dividends from the net equity instruments will be recognized within the consolidated income statement at the time the right to receive them arises, which is the time of the official announcement of receipt of the payment by the appropriate governing body of the entity. If the dividends correspond to the profits of the issuer before the date of initial recognition, they will not be recognized as income but as reduction of the gross carrying amount of the equity instrument because it represents a partial recuperation of the investment. Amongst other circumstances, the generation date can be considered to be prior to the date of initial recognition if the amounts distributed by the issuer as from the initial recognition are higher than its profits during the same period. – Income from commissions collected/paid: Financial fees are an integral part of the actual performance of a financing transaction and are collected in advance. They can be: a. Fees charged for the origination or acquisition of financing transactions that are not measured at fair value through profit or loss, such as those charged for the evaluation of the borrower's financial condition, for the analysis and recording of various collateral, as well as those charged for negotiating the terms of transactions or preparing and processing documentation and the closing of transactions, will be deferred and recognized over the life of the transaction as an adjustment to the performance of the transaction. These fees, forming part of the effective rate of the loans, will be deferred and recognized over the life of the transaction as an adjustment to the performance of the transaction. b. Fees agreed as compensation for the commitment to grant financing when it is not measured at fair value through profit or loss and it is probable that the Bank will enter into a specific loan agreement, are deferred and recognized over the life of the transaction as an adjustment to the performance of the transaction. If the commitment expires before the entity makes the loan such fee is recognized as revenue at the time of expiration. Non-financial commissions derived from the provision of financial services other than financing transactions may be: a. Related to the performance of a service rendered over time (e.g. account administration fees or fees collected in advance for the issuance or renewal of credit cards), in which case they are recognized over time based on the degree of progress in providing the service. b. Related to the performance of a service rendered at a specific time (e.g. underwriting of securities, currency exchange, advice or syndication of a loan), in which they are recognized in the income statement at the time of collection. – Non-financial income and expense: As a general rule, they are recognized on an accrual basis, that is, as the contractually committed goods or services are delivered or rendered and recognized as revenue over the life of the contract. In the event that consideration is received or there is a right to receive consideration without delivery of the contractually committed goods or services, a liability is recognized in the balance sheet until it is recognized in the income statement. In the case of collections and payments deferred over time, they are recognized for accounting purposes at the amount resulting from discounting the expected cash flows at market rates. – Commissions, fees and similar items: Income and expense relating to commissions and similar fees are recognized in the income statement using criteria that vary according to the nature of such items. The most significant items in this regard are: a. Those relating to financial assets and liabilities measured at fair value through profit or loss, which are recognized immediately in the income statement. b. Those arising from transactions or services that are provided over a period of time, which are recognized over the life of these transactions or services. c. Those relating to a singular transaction, which are recognized when this singular transaction is carried out. – Deferred collections and payments: These are recognized for accounting purposes at the amount resulting from discounting the expected cash flows at market rates. 2.15 Sales of assets and income from the provision of non-financial services The heading “Other operating income” in the income statement includes the proceeds of the sales of assets and income from the services provided by the Bank that are not financial institutions (see Note 38). 27 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 2.16 Foreign-currency transactions The currency in which the Financial Statements of the BBVA Group are presented is the euro. As such, all balances and transactions denominated in currencies other than the euro are deemed to be expressed in “foreign currency” . Assets, liabilities and derivatives The assets and liabilities in foreign currencies, including those of branches abroad, are converted to euros at the average exchange rates on the European spot currency market at the end of each period. Non-monetary items measured at historical cost have been translated at the exchange rate at the date of acquisition, and non- monetary items measured at fair value have been translated at the exchange rate at the date on which the fair value was determined. The exchange differences produced when converting these balance in foreign-currency to Euro are recognized under the heading “Exchange differences, net" in the income statement. However the exchange differences in non-monetary items measured at fair value are recorded to equity under the heading “Accumulated other comprehensive income (loss) - Items that will not reclassified to profit or loss - Fair value changes of equity instruments measured at fair value through other comprehensive income” (see note 27). The breakdown of the main balances in foreign currencies as of December 31, 2023 and 2022, with reference to the most significant foreign currencies, is set forth in Appendix VIII. Structural currency positions As a general policy, the Bank’s investments in foreign subsidiaries are financed in Euros, managing open currency risk through derivatives. the future currency risk arising from these transactions. In the case of endowment funds for foreign branches, they are financed in the same currency as the investment. 2.17 Entities and branches located in countries with hyperinflationary economies None of the functional currencies of the branches located abroad relate to hyperinflationary economies as defined by Circular 4/2017 and subsequent amendments. Accordingly, as of December 31, 2023 and 2022 it was not necessary to adjust the financial statements of any branch to correct for the effect of inflation. 2.18 Statements of recognized income and expense The statements of recognized income and expense reflect the income and expenses generated each year. They distinguish between income and expense recognized as results in the income statements and “Accumulated other comprehensive income” (see Note 27) recognized directly in equity. “Accumulated other comprehensive income” include the changes that have taken place in the year in the “Accumulated other comprehensive income” broken down by item. The sum of the changes to the heading “Accumulated other comprehensive income” of the total equity and the net income of the year forms the “Accumulated other comprehensive income”. 2.19 Statements of changes in equity The statements of changes in equity reflect all the movements generated in each year in each of the headings of the equity, including those from transactions undertaken with shareholders when they act as such, and those due to changes in accounting criteria or corrections of errors, if any. The applicable regulations establish that certain categories of assets and liabilities are recognized at their fair value with a charge to equity. These charges, known as “Accumulated other comprehensive income” (see Note 27), are included in the Bank’s total equity net of tax effect, which has been recognized as deferred tax assets or liabilities, as appropriate. 2.20 Statements of cash flows The indirect method has been used for the preparation of the statement of cash flows. This method starts from the Bank’s net income and adjusts its amount for the effects of transactions of a non-cash nature, any deferrals or accruals of past or future operating cash receipts or payments, and items of income or expense associated with cash flows classified as investment or finance. As well as cash, short-term, highly liquid investments subject to a low risk of changes in value, such as cash and deposits in central banks, are classified as cash and cash equivalents. When preparing these financial statements the following definitions have been used: – Cash flows: Inflows and outflows of cash and cash equivalents. – Operating activities: The typical activities of credit institutions and other activities that cannot be classified as investment or financing activities. 28 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Investing activities: The acquisition, sale or other disposal of long-term assets and other investments not included in cash and cash equivalents or in operating activities. – Financing activities: Activities that result in changes in the size and composition of the Bank's equity and of liabilities that do not form part of operating activities. 2.21 Recent pronouncements During the year 2023, no modification to Circular 4/2017 has come into force with an impact on these individual Financial Statements. On December 20, 2021, the OECD published an international tax initiative which sets forth a framework of rules (“GloBE -Global Anti- Base Erosion Rules”) for the application of the “Pillar Two Model Rules”, establishing a supplementary tax system that makes the effective rate of taxation, in those jurisdictions where certain multinational groups are present, reach the minimum rate of 15%. On December 22, 2022, the Council of the European Union adopted Directive 2022/2523 (hereinafter "the Directive"), incorporating the Model Standards into the European legal framework. The Directive incorporates, with some exceptions, the content of the aforementioned Standards and sets December 31, 2023 as the deadline for their transposition by the Member States. It also stipulates that the corresponding provisions must enter into force for financial years beginning on or after that date. As a result, affected groups (those with consolidated net sales of EUR 750 million or more in two of the last four years) must calculate their effective tax rate for Pillar Two purposes for each jurisdiction in which they operate. In those cases in which the effective rate, calculated in accordance with the provisions of the Directive, is less than 15%, they will have to pay a Complementary Tax in order to reach that 15%. At the date of preparation of these financial statements, the process of transposition of the Directive into Spanish legislation is still in progress. However, in line with the provisions of the Preliminary Draft Bill submitted for public information, it is expected to take effect for tax periods beginning on or after December 31, 2023 and, therefore, with respect to the BBVA Group, from the next tax year beginning on January 1, 2024. 3. Shareholder remuneration system Amendment of Shareholder Remuneration Policy BBVA's Board of Directors announced, on November 18, 2021, the amendment of the Bank's shareholder remuneration policy (announced on February 1, 2017 by means of Relevant Information number 247679), establishing as a policy to distribute annually between 40% and 50% of the consolidated ordinary profit for each year (excluding amounts and items of an extraordinary nature included in the consolidated income statement), compared to the previous policy that established a distribution between 35% and 40%. This policy is implemented through the distribution of an interim dividend for the year (which is expected to be paid in October of each year) and a final dividend or final distribution (which is expected to be paid at the end of the year and once the application of the result is approved, foreseeably in April of each year), with the possibility of combining cash distributions with share buybacks, all subject to the corresponding authorizations and approvals applicable at any given time. Shareholder remuneration during financial year 2022 Cash distributions During the 2022 financial year, the Annual General Shareholders' Meeting and the Board of Directors approved the payment of the following cash amounts: – The Annual General Shareholders' Meeting of BBVA held on March 18, 2022, approved, under item 2 of the Agenda, a cash distribution from the voluntary reserves account as additional shareholder remuneration for the 2021 fiscal year, for an amount equal to €0.23 (€0.1863 net of withholding tax) per outstanding BBVA share entitled to participate in this distribution, which was paid on April 8, 2022. The total amount paid amounted to €1,467 million. – The Board of Directors communicated by means of an Inside Information on September 29, 2022 that the Board of Directors of BBVA approved the payment of a cash interim dividend of €0.12 (€0.0972 net of withholding tax) per outstanding BBVA share against 2022 results. The total amount paid to shareholders on October 11, 2022, amounted to €724 million and is recognized under the heading “Total Equity- Interim Dividends” of the balance sheet as of December 31, 2022. 29 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Shareholder remuneration during financial year 2023 Cash distributions During the 2023 financial year, the Annual General Shareholders' Meeting and the Board of Directors approved the payment of the following cash amounts: – The Annual General Shareholder's Meeting of BBVA held on March 17, 2023, approved, under item 1.3 of the Agenda, a cash distribution against the 2022 results as a final dividend for the 2022 fiscal year, for an amount equal to €0.31 (€0.2511 net of withholding tax) per outstanding BBVA share entitled to participate in this distribution, which was paid on April 5, 2023. The total amount paid, excluding dividends paid in respect of treasury shares held by the Group's companies, amounted to €1,860 million. – The Board of Directors, at its meeting held on September 27, 2023, resolved the payment of a cash interim dividend of €0.16 (€0.1296 net of withholding tax) per outstanding share on account of the 2023 dividend, to be paid on October 11, 2023. The total amount paid, excluding dividends paid in respect of treasury shares held by the Group's companies, amounted to €952 million. The forecasted financial statement, drawn up in compliance with the applicable legal requirements, which evidenced the existence of sufficient liquidity to distribute the abovementioned amount approved by the Board of Directors of BBVA on September 27, 2023 was the following: Available amount for interim dividend payments (Millions of Euros) August 31, 2023 Profit of BBVA, S.A., after the provision for income tax 3,946 Maximum amount distributable 3,946 Amount of proposed interim dividend 954 BBVA cash balance available to the date 40,855 Other shareholder remuneration On January 30, 2024, it was announced that a cash distribution in the amount of €0.39 gross per share to be paid in April as a final dividend for the year 2023 and the execution of a share buyback program of BBVA for an amount of €781 million were planned to be proposed to the corresponding corporate bodies for consideration as ordinary remuneration to shareholders for 2023, subject to obtaining the corresponding regulatory authorizations and the communication of the specific terms and conditions of the program before its execution. Share buyback program On October 26, 2021, BBVA obtained the pertinent authorization from the ECB to buy back up to 10% of its share capital for a maximum of €3,500 million, in one or several tranches and over the course of a 12-month period (the “Authorization”). Upon receiving the Authorization and making use of the delegation conferred by the BBVA Annual General Shareholders' Meeting held on March 16, 2018, at its meeting of October 28, 2021, BBVA Board of Directors resolved to carry out a share buyback program scheme in compliance with Regulation (EU) no. 596/2014 of the European Parliament and the Council of April 16, 2014 on market abuse and Commission Delegate Regulation (EU) no. 2016/1052 of the Commission, of March 8, 2016 (the “Regulations”), executed in various tranches up to a maximum of €3,500 million, with the aim of reducing BBVA's share capital (the “Program Scheme”), notwithstanding the possibility of terminating or cancelling the Program Scheme at an earlier date where advisable due to the concurrence of a series of specific circumstances, as well as to carry out a first share buyback program within the scope of the Program Scheme (the "First Tranche") for the purpose of reducing BBVA's share capital, which was notified by means of Inside Information on October 29, 2021. On November 19, 2021, BBVA notified by means of Inside Information that the First Tranche would be executed externally, starting on November 22, 2021, through J.P. Morgan AG as lead manager, for a maximum amount of €1,500 million, for the purchase of a maximum of 637,770,016 shares representing, approximately, 9.6% of BBVA's share capital. By means of Other Relevant Information filing dated March 3, 2022, BBVA announced the completion of the execution of the First Tranche upon reaching the maximum monetary amount of €1,500 million, having acquired 281,218,710 own shares 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 18 March 2022, through the reduction of BBVA’s share capital in a nominal amount of €137,797,167.90 and the consequent redemption, charged to unrestricted reserves, of 281,218,710 own shares of €0.49 par value each acquired derivatively by the Bank in execution of the First Tranche and which were held in treasury shares (see Notes 23, 24, 25 and 26). 30 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 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”) aimed at reducing BBVA’s share capital, 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. As a continuation of the previous communication, 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 shares (the "First Segment"), externally through Goldman Sachs International as lead manager, who would execute the purchase transactions through the broker Kepler Cheuvreux, S.A.; and (ii) once execution of the First Segment had 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 shares 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 own shares to be acquired of 149,996,808. The execution of the Second Segment take place through Citigroup Global Markets Europe AG as lead manager, as BBVA informed through Inside Information on June 29, 2022. By means of Other Relevant Information dated August 19, 2022, BBVA announced the completion of the execution of the Second Segment upon reaching the maximum number of shares (149,996,808) representing, approximately, 2.3% of BBVA's share capital as of said date (which amounted to approximately €660 million). On September 30, 2022, BBVA notified through 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 reduction of BBVA’s share capital in a nominal amount of €174,710,139.94 and the consequent redemption, charged to unrestricted reserves, of 356,551,306 own shares of €0.49 par value each acquired derivatively by the Bank in execution of the First Segment and Second Segment of the share buyback program scheme and which were held in treasury shares (see Notes 23, 24, 25 and 26). The Program Scheme was considered as an extraordinary shareholder distribution and was therefore not included in the scope of the shareholder remuneration policy described above. Share buyback programs in 2023 On February 1, 2023, BBVA announced, among others, that it was planned to submit for the consideration of the corresponding BBVA governing bodies the execution of a €422 million share buyback program as ordinary distribution in relation to the 2023 results, subject to obtaining the corresponding regulatory authorizations and to the communication of the specific terms and conditions of the share buy-back program before its execution, as an ordinary distribution of 2023. On March 17, 2023, after receiving the required authorization from the ECB, BBVA announced through an Inside Information notice the execution of a time-scheduled buyback program for the repurchase of own shares in accordance with the Regulations, aimed at reducing BBVA’s share capital by a maximum monetary amount of €422 million. The execution was carried out internally by BBVA, executing the trades through BBVA. By means of an Other Relevant Information notice dated April 21, 2023, BBVA announced the completion of the share buyback program upon reaching the maximum monetary amount of €422 million, having acquired 64,643,559 own shares, between March 20 and April 20, 2023, representing, approximately, 1.07% of BBVA's share capital as of said date. On June 2, 2023, BBVA notified through an Other Relevant Information notice a partial execution of the share capital reduction resolution adopted by the Annual General Shareholders’ Meeting of BBVA held on March 17, 2023, under item 3 of the agenda through the reduction of BBVA’s share capital in a nominal amount of €31,675,343.91 and the consequent redemption, charged to unrestricted reserves, of 64,643,559 own shares of €0.49 par value each acquired derivatively by BBVA in execution of the share buyback program scheme and which were held in treasury shares (see Notes 23, 24, 25 and 26). On July 28, 2023, BBVA communicated through Inside information its request to the ECB for the correspondent supervisory authorization in order to carry out a share buyback program up to €1,000 million, subject to the authorization requested being granted, to the adoption of the corresponding corporate resolutions and to the communication of the specific terms and conditions of the share buyback program before its execution. This share buy-back program was considered as an extraordinary shareholder distribution. On October 2, 2023, after receiving the required authorization from the ECB, BBVA announced that it would implement a buyback program for the repurchase of own shares in accordance with the Regulations, aimed at reducing BBVA’s share capital by a maximum monetary amount of €1,000 million. The execution was carried out internally by BBVA, executing the trades through BBVA. By means of an Other Relevant Information notice dated November 29, 2023, BBVA announced the completion of the share buyback program upon reaching the maximum monetary amount of €1,000 million, having acquired 127,532,625 own shares, between October 2 and November 29, 2023, representing, approximately, 2.14% of BBVA's share capital as of said later date. On December 19, 2023, BBVA notified through an Other Relevant Information notice the second partial execution of the share capital reduction resolution adopted by the Annual General Shareholders’ Meeting of BBVA held on March 17, 2023, under item 3 of the agenda through the reduction of BBVA’s share capital in a nominal amount of €62,490,986 and the consequent redemption, charged to unrestricted reserves, of 127,532,625 own shares of €0.49 par value each acquired derivatively by BBVA in execution of the share buyback program scheme and which were held in treasury shares (see Notes 23, 24, 25 and 26). 31 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Proposal on allocation of earnings for 2023 Below is included a breakdown of the distribution of the Bank´s earnings for financial year 2023, which the Board of Directors will submit to the Annual General Shareholders' Meeting for approval. Allocation of earnings (Millions of Euros) 2023 Profit (loss) for the year 4,807 Distribution Interim dividends 952 Final dividend 2,277 Reserves / Accumulated gains 1,579 4. Earnings per share Basic and diluted earnings per share are calculated in accordance with the criteria established by IAS 33. For more information see Glossary. The calculation of earnings per share of BBVA is as follows: Basic and Diluted Earnings per Share 2023 2022 Numerator for basic and diluted earnings per share (millions of euros) Profit attributable to parent company 8,019 6,358 Adjustment: Additional Tier 1 securities (1) (345) (313) Profit adjusted (millions of euros) (A) 7,675 6,045 Profit (loss) from continued operations (net of remuneration of Additional Tier 1 capital instruments) 7,675 6,045 Profit (loss) from discontinued operations (net of non-controlling interest) (B) — — Denominator for basic earnings per share (number of shares outstanding) Weighted average number of shares outstanding 5,988 6,424 Average treasury shares (5) (9) Share buyback program (2) (28) (225) Adjusted number of shares - Basic earnings per share (C) 5,954 6,189 Adjusted number of shares - diluted earnings per share (D) 5,954 6,189 Earnings (losses) per share 1.29 0.98 Basic earnings (losses) per share from continuing operations (Euros per share) A-B/C 1.29 0.98 Diluted earnings (losses) per share from continuing operations (Euros per share) A-B/D 1.29 0.98 Basic earnings (losses) per share from discontinued operations (Euros per share) B/C — — Diluted earnings (losses) per share from discontinued operations (Euros per share) B/D — — (1) Remuneration in the year related to perpetual contingent convertible securities, recognized in equity (see Note 20.4). (2) For the calculation of earnings per share: (i) in 2023 the average number of shares is included, taking into account the two redemptions made corresponding to the programs announced in that year; (ii) in 2022 the average number of shares was included, taking into account the two redemptions made corresponding to the program announced in that 2021. (see Note 3). As of December 31, 2023 and 2022, there were no other financial instruments or share option commitments to employees that could potentially affect the calculation of the diluted earnings per share for the years presented. For this reason, basic and diluted earnings per share are the same. 5. Risk management 5.1 Risk factors The BBVA Group has processes in place for identifying risks and analyzing scenarios in order to enable the Group to manage risks in a dynamic and proactive way. 32 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The risk identification processes are forward looking to seek the identification of emerging risks and take into account the concerns of both the business areas, which are close to the reality of the different geographical areas, and the corporate areas and senior management. Risks are identified and measured consistently using the methodologies deemed appropriate in each case. Their measurement includes the design and application of scenario analyses and stress testing and considers the controls to which the risks are subjected. As part of this process, a forward projection of the Risk Appetite Framework (hereinafter "RAF") variables in stress scenarios is conducted in order to identify possible deviations from the established thresholds. If any such deviations are detected, measures are taken to seek to keep the variables within the target risk profile. In this context, there are a number of emerging risks that could affect the evolution of the Group’s business, including the below: – Macroeconomic and geopolitical risks The Group is sensitive to the deterioration of economic conditions, the alteration of the institutional environment of the countries in which it operates, and the Group is exposed to sovereign debt especially in Spain, Mexico and Turkey. The global economy is currently facing a number of extraordinary challenges. The war in Ukraine and the sanctions imposed against and by Russia have led to significant disruption, instability and volatility in global markets, as well as higher inflation and lower economic growth, mostly due to higher energy prices, which have stabilized more recently. Although oil and gas prices have reduced and financial volatility has eased, there is still a risk that geopolitical tensions lead to additional increases in input prices and financial instability, particularly following the tensions triggered by the armed conflict in the Middle East, including the recent disruptions to maritime trade routes in the Red Sea. Another global macroeconomic risk is the possibility of a sharp growth slowdown in China, which could lead to lower GDP expansion than currently expected in many geographies. Although it may be possible to offset part of the expected growth slowdown through the adoption of certain fiscal, monetary and regulatory measures by the authorities, there are risks related to tensions in the real estate markets and the possible effects of the United States economic sanctions, among others. Geopolitical and economic risks have also increased in recent years as a result of trade tensions between the United States and China, Brexit, and the rise of populism, among other factors. Growing tensions may lead, among other things, to a deglobalization of the world economy, an increase in protectionism, a general reduction of international trade in goods and services and a reduction in the integration of financial markets, any of which could materially and adversely affect the Group’s business, financial condition and results. Moreover, the world economy could be vulnerable to other factors, such as a restrictive monetary policy, in a context of relatively high inflationary pressures, which could cause a significant growth slowdown - and, even, a sharp economic recession - as well as new episodes of financial stress. The Group’s results of operations have been particularly affected by the increases in interest rates adopted by central banks in an attempt to tame inflation, contributing to the rise in both interest revenue and interest expenses. In addition, the persistence of high interest rates could adversely affect the Group by reducing the demand for credit and leading to an increase in the default rate of its borrowers and other counterparties. On the other hand, the process of reducing interest rates has already begun in many geographies and could begin by mid-2024 in the United States and the Eurozone as well. Moreover, the Group’s results of operations have been affected by the high inflation in all countries in which BBVA operates, especially Turkey and Argentina. The Group is exposed, among others, to the following general risks with respect to the economic and institutional environment in the countries in which it operates: a deterioration in economic activity in the countries in which it operates, including recession scenarios; more persistent inflationary pressures, which could trigger a more severe tightening of monetary conditions; stagflation due to more intense or prolonged supply crises; changes in exchange rates; an unfavorable evolution of the real estate market; a significant increase in oil and gas prices, which would have a negative impact on disposable income levels in areas that are net energy importers, such as Spain or Turkey, to which the Group is particularly exposed; changes in the institutional environment of the countries in which the Group operates, which could give rise to sudden and sharp drops in GDP and/or changes in regulatory or government policy, including in terms of exchange controls and restrictions on the distribution of dividends or the imposition of new taxes or charges; growth in the public debt or in the external deficit could lead to a downward revision of the credit ratings of the sovereign debt and even a possible default or restructuring of such debt; and episodes of volatility in the financial markets, which could cause significant losses for the Group. In particular, in Argentina, the risk of economic and financial turbulence persists in a context of regulatory, economic and political uncertainty, and in which the adjustments announced by the new government to correct the high economic distortions, including a strong fiscal adjustment and a significant exchange rate depreciation, have further reinforced short-term inflationary pressures. In Spain, political, regulatory and economic uncertainty has also increased since the July general elections; there is a risk that policies could have an adverse impact on the economy. In Mexico, uncertainty is related mainly to the June 2024 elections and the possible policies of the new government. Finally, in Colombia and Peru, climatic factors and greater social conflict could eventually have a negative impact on the economy. Any of these factors may have a significant adverse impact on the Group’s business, financial condition and results of operations. 33 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Risks relating to the political, economic and social conditions in Turkey In May 2022, the Group increased its shareholding stake in Garanti BBVA (Turkey) from 49.85% to 85.97% following the completion of a voluntary takeover bid. There are increasing signs of normalization in economic policy in general, and monetary policy in particular, since the general elections held in May 2023, which may lead to a gradual correction of the current distortions. Despite the gradual improvement of macroeconomic conditions, the situation remains relatively unstable, characterized by a gradual depreciation of the Turkish lira, high inflation, a significant trade deficit, low central bank’s foreign reserves and high external financing costs. The earthquakes of February 2023 deepened Turkey's economic struggles. In addition to the vast human losses caused by it, the earthquakes added pressure on inflation as well as the external and fiscal balances. Continuing unfavorable economic conditions in Turkey may result in a potential deterioration in the purchasing power and creditworthiness of the clients of the Group (both individuals and corporations). In addition, the relatively low official interest rates (despite the recent upward adjustments) in a context of still high inflation, the regulatory and macroprudential policies affecting the banking sector and currency depreciation have affected and may continue to affect the Group’s results. Additionally, certain geopolitical factors, such as the war in Ukraine and the armed conflict in the Middle East, and internal political developments, generate uncertainty about the evolution of the economy and could trigger scenarios of greater instability. There can be no assurance that these and other factors will not have an impact on Turkey and will not cause further deterioration of the Turkish economy, which may have a material adverse effect on the Turkish banking sector and the Group’s business, financial condition and results of operations in Turkey. – Regulatory and reputational risks Financial institutions are exposed to a complex and ever-changing regulatory environment defined by governments and regulators. Regulatory activity in recent years has affected multiple areas, including changes in accounting standards; strict regulation of capital, liquidity and remuneration; bank charges (such as the new tax for banks recently implemented in Spain, see Note 38) and taxes on financial transactions; regulations affecting mortgages, banking products and consumers and users; recovery and resolution measures; stress tests; prevention of money laundering and terrorist financing; market abuse; conduct in the financial markets; anti- corruption; and requirements as to the periodic publication of information. Governments, regulatory authorities and other institutions continually make proposals to strengthen the resistance of financial institutions to future crises. Further, there is an increasing focus on the climate-related financial risk management capabilities of banks. Any change in the Group’s business that is necessary to comply with any particular regulations at any given time, especially in Spain, Mexico or Turkey, could lead to a considerable loss of income, limit the Group’s ability to identify business opportunities, affect the valuation of its assets, force the Group to increase its prices and, therefore, reduce the demand for its products, impose additional costs on the Group or otherwise adversely affect its business, financial condition and results of operations. The financial sector is under ever closer scrutiny by regulators, governments and society itself. In the course of activities, situations which might cause relevant reputational damage to the Group could arise and might affect the regular course of business. – New business and operational and legal risks New technologies and forms of customer relationships: Developments in the digital world and in information technologies pose significant challenges for financial institutions, entailing threats (new competitors, disintermediation, etc.) but also opportunities (new framework of relations with customers, greater ability to adapt to their needs, new products and distribution channels, etc.). Digital transformation is a priority for the Group as it aims to lead digital banking of the future as one of its objectives. Technological risks and security breaches: The Group is exposed to new threats such as cyber-attacks, theft of internal and customer databases, fraud in payment systems, etc. that require major investments in security from both the technological and human point of view. The Group gives great importance to the active operational and technological risk management and control. Any attack, failure or deficiency in the Group’s systems could, among other things, lead to the misappropriation of funds of the Group’s clients or the Group itself and the unauthorized disclosure, destruction or use of confidential information, as well as prevent the normal operation of the Group and impair its ability to provide services and carry out its internal management. In addition, any attack, failure or deficiency could result in the loss of customers and business opportunities, damage to computers and systems, violation of regulations regarding data protection and/or other regulations, exposure to litigation, fines, sanctions or interventions, loss of confidence in the Group’ s security measures, damage to its reputation, reimbursements and compensation, and additional regulatory compliance expenses and could have a significant adverse impact on the Group’ s business, financial condition and results of operations. Legal risks: The financial sector faces an environment of increasing regulatory and litigious pressure, and thus, the various Group entities are frequently party to individual or collective judicial proceedings (including class actions) resulting from their activity and operations, as well as arbitration proceedings. The Group is also party to government procedures and investigations, such as those carried out by the antitrust authorities in certain countries which, among other things, have in the past and could in the future result in sanctions, as well as lead to claims by customers and others. In addition, the regulatory framework in the jurisdictions in which the Group operates is evolving towards a supervisory approach more focused on the opening of sanctioning proceedings while some regulators are focusing their attention on consumer protection and behavioral risk. 34 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. In Spain and in other jurisdictions where the Group operates, legal and regulatory actions and proceedings against financial institutions, prompted in part by certain judgments in favor of consumers handed down by national and supranational courts (with regards to matters such as credit cards and mortgage loans), have increased significantly in recent years and this trend could continue in the future. Legal and regulatory actions and proceedings faced by other financial institutions in relation to these and other matters, especially if such actions or proceedings result in favorable resolutions for the consumer, could also adversely affect the Group. All of the above may result in a significant increase in operating and compliance costs or even a reduction of revenues, and it is possible that an adverse outcome in any proceedings (depending on the amount thereof, the penalties imposed or the procedural or management costs for the Group) could damage the Group's reputation, generate a knock-on effect or otherwise adversely affect the Group. It is difficult to predict the outcome of legal and regulatory actions and proceedings, both those to which the Group is currently exposed and those that may arise in the future, including actions and proceedings relating to former Group subsidiaries or in respect of which the Group may have indemnification obligations. Any of such outcomes could be significantly adverse to the Group. In addition, a decision in any matter, whether against the Group or against another credit entity facing similar claims as those faced by the Group, could give rise to other claims against the Group. In addition, these actions and proceedings attract resources from the Group and may occupy a great deal of attention on part of the Group's management and employees. As of December 31, 2023, the Group had €696 million in provisions for the proceedings it is facing (included in the line "Provisions for taxes and other legal contingencies" in the consolidated balance sheet), of which €539 million correspond to legal contingencies and €158 million to tax related matters. However, the uncertainty arising from these proceedings (including those for which no provisions have been made, either because it is not possible to estimate them or for other reasons) makes it impossible to guarantee that the possible losses arising from these proceedings will not exceed, where applicable, the amounts that the Group currently has provisioned and, therefore, could affect the Group's consolidated results in a given period. As a result of the above, legal and regulatory actions and proceedings currently faced by the Group or to which it may become subject in the future or otherwise affected by, individually or in the aggregate, if resolved in whole or in part adversely to the Group's interests, could have a material adverse effect on the Group’s business, financial condition and results of operations. Spanish judicial authorities are investigating the activities of Centro Exclusivo de Negocios y Transacciones, S.L. (“Cenyt”). Such investigation includes the provision of services by Cenyt to BBVA. On July 29, 2019, BBVA was named as an investigated party (investigado) in a criminal judicial investigation (Preliminary Proceeding No. 96/2017 – Piece No. 9, Central Investigating Court No. 6 of the National High Court) for alleged facts which could constitute bribery, revelation of secrets and corruption. Certain current and former officers and employees of the Group, as well as former directors, have also been named as investigated parties in connection with this investigation. Since the beginning of the investigation, BBVA has been proactively collaborating with the Spanish judicial authorities, including sharing with the courts information obtained in the internal investigation hired by the entity in 2019 to contribute to the clarification of the facts. As at the date of this Annual Report, no formal accusation against BBVA has been made. By order of the Criminal Chamber of the National High Court, the pre-trial phase ended on January 29, 2024. It is not possible at this time to predict the possible outcomes or implications for the Group of this matter, including any fines, damages or harm to the Group’s reputation caused thereby. – Risks in connection with climate change Climate change, which is resulting in an increase in the intensity and frequency of extreme weather events and environmental degradation, presents both short, medium and long-term risks to the Group and its customers and counterparties, with the risks expected to increase over time. Risks posed by climate change may be classified into transition and physical risks. Transition risks refer to changes in, among others, regulations, technologies and market preferences linked to the transition toward a less carbon-dependent economy, including the following: – Legal and regulatory risks: Legal and regulatory changes related to how banks are required to manage climate risk or otherwise affecting banking practices or disclosure of climate-related information may result in higher compliance, operational and credit risks and costs. Further, legal and regulatory changes may result in legal uncertainty and the existence of overlapping or conflicting regulatory or other requirements. The Group or its customers or counterparties may be unable to meet any new requirements on a timely basis or at all. Further, changes in law, including new product and service specifications, may result in the sudden devaluation of certain assets. Any of these risks may affect the Group and its customers and counterparties. In addition, in the case of banks, new regulation could include requirements related to lending, investing, capital and liquidity adequacy and operational resilience. The incorporation of climate risks in the existing prudential framework is still developing and may result in increased risk weighting of high-carbon-related assets. Moreover, there are significant risks and uncertainties inherent in the development of adequate climate change-related risk assessment and modelling capabilities and the collection of customer, third party and other data, which may result in the Group’s systems or frameworks (or those of its customers and counterparties, where applicable) being inadequate, inaccurate or susceptible to incorrect customer, third party or other data, any of which could adversely affect the Group’s disclosure and financial reporting. Further, increased regulation arising from climate change could result in increased litigation and regulatory investigations and actions. 35 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Technological risks: Certain of the Group’s customers and counterparties may be adversely affected by the progressive transition to a low-carbon economy and/or risks and costs associated with new low-carbon technologies. If our customers and counterparties fail to adapt to the transition to a low-carbon economy, or if the costs of doing so adversely affect their creditworthiness, this could adversely affect the Group’s relevant loan portfolios. – Market risks: The Group and certain of the Group’s customers and counterparties may be adversely affected by changes in market preferences due to, among others, increasing climate change awareness. Further, the funding costs of businesses that are perceived to be more exposed to climate change could increase. Any of this could result in the reduced creditworthiness of such customers and counterparties, adversely affecting the Group’s relevant loan portfolios. The Group and its customers and counterparties could also be adversely affected by changes in prices resulting from shifts in demand or supply brought by climate change, including prices of energy and raw materials, or by their inability to foresee or hedge any such changes. – Reputational risks: The perception of climate change as a risk by society, shareholders, customers, governments and other stakeholders continues to increase, including in relation to the financial sector’s activities. This may result in increased scrutiny of the Group’s activities, as well as its climate change-related policies, goals and disclosure. The Group’s reputation and ability to attract or retain customers may be harmed if its efforts to reduce environmental and social risks are deemed to be insufficient or if a perception is generated among the different stakeholders that the Group's statements, actions or disclosure do not fairly reflect the underlying sustainability profile of the Group, its products, services, goals and/or policies. The Group may elect not to undertake lending or investing activities that would otherwise have been profitable in order to avoid reputational harm. Further, divergent views on ESG policies may also have a negative impact on the Group’s reputation. Increased scrutiny of the Group’s activities, as well as its climate change-related policies, goals and disclosure may result in litigation and regulatory investigations and actions. The Group has disclosed certain aspirational climate- related goals and such goals, which are being pursued over the long-term, may prove to be considerably more costly or difficult than currently expected, or even impossible, to achieve, including as a result of changes in environmental and energy regulation and policy, the pace of technological change and innovation and the actions of governments, Group’s customers and competitors. The physical risk arising from climate change could result from increased frequency and/or severity of adverse weather events or the impact of climate change over the long term. The activities of the Group or those of its customers or counterparties could be adversely affected by the physical risks arising from climate change. For example, extreme weather events may damage or destroy the properties and other assets of the Group or those of its customers or counterparties, result in increased costs, or otherwise disrupt their respective operations (for example, if supply chains are disrupted as a result), diminishing –in the case of the Group’s customers or counterparties - their repayment capacity and, if applicable, the value of assets pledged as collateral to the Group. The Group is also exposed to potential long-term risks arising from climate change, such as increases in credit-related costs due to deteriorating macroeconomic conditions, which may be caused in part by an increase in infectious diseases or other ailments resulting from climate change. The Group could also be adversely affected by declines in asset values as a result of climate change or climate change-related risks, reduced availability of insurance and significant interruptions to business operations, and may be required to change its business models in response to the foregoing. Any of these factors may have a material adverse effect on the Group’s business, financial condition and results of operations. 5.2 Credit risk Credit risk is the potential loss assumed by the Bank as a result of the failure by the Bank´s counterparties to meet their contractual obligations. The general principles governing credit risk management in the BBVA are: – Risks taken should comply with the general risk policy established by the Board of Directors of BBVA. – Risks taken should be in line with the level of equity and generation of recurring revenue of the BBVA prioritizing risk diversification and avoiding relevant concentrations. – Risks taken should be identified, measured and assessed and there should be management and monitoring procedures, in addition to sound mitigation and control mechanisms. – Risks should be managed in a prudent and integrated manner during their life cycle and their treatment should be based on the type of risk. In addition, portfolios should be actively managed on the basis of a common metric (economic capital). – The main criterion when granting credit risks is the capability of the borrower or obligor to fulfill on a timely basis all financial obligations with its business income or source of income without depending upon guarantors, bondsmen or pledged assets. – Improve the financial health of our clients, help them in their decision making and in the daily management of their finances based on personalized advice. – Help our clients in the transition towards a sustainable future, with a focus on climate change and inclusive and sustainable social development. 36 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Credit risk management in the Group has an integrated structure for all its functions, allowing decisions to be taken objectively and independently throughout the life cycle of the risk. At Bank level: frameworks for action and standard rules of conduct are defined for handling risk, specifically, the channels, procedures, structure and supervision. The risk function has a decision-making process supported by a structure of committees with a solid governance scheme, which describes their purposes and functioning for a proper performance of their tasks. Support measures Since the beginning of the pandemic, the Group offered support measures to its customers in all the geographical areas where it operates, consisting of both deferrals on existing loans and new public-guaranteed lending. Deferral support schemes have expired in all geographical areas. The measures adopted in 2022 which remained in force in 2023 were limited to Spain. In Peru, the deadline for requesting extensions of the Reactiva program ended on September 30, 2023 and to the date of the preparation of these Consolidated Financial Statements no extension has been published. In addition in Spain, in March 2022, the Council of Ministers (RDL 6/2022) approved a line of financing with public guarantees of 70% and 80% of the principal amount of loans for self-employed and enterprises in order to alleviate the liquidity tensions due to increases in energy prices and raw materials, available until December 2023. Finally, the Code of Good Practices, regulated by Royal Decree Law 6/2012, as well as its successive amendments, establishes a Code of Good Practices that eases the impact of interest rates hikes on mortgage loans related to primary residences and provides for other structural measures aiming to ease access to lending. As of the date of the preparation of these Consolidated Financial Statements, the number and amount of the transactions granted to clients in accordance with the Code of Good Practices have been low. 5.2.1 Measurement of Expected Credit Loss Bank of Spain Circular 4/2017 requires determining the Expected Credit Loss (hereinafter "ECL") of a financial instrument in a way that reflects an unbiased estimation removing any conservatism or optimism, including the time value of money and a forward looking perspective (including the economic forecast) all this based on the information that is available at a certain point in time and that is reasonable and bearable with respect to future economic conditions. Therefore, the recognition and measurement of ECL is highly complex and involves the use of significant analysis and estimation including formulation and incorporation of forward-looking economic conditions into the ECL model. The modeling of the ECL calculation is subject to a governance system that is common to the BBVA. Within this common framework, the necessary adaptations have been made to capture the particularities of BBVA S.A. The methodology, assumptions and observations are reviewed annually, and after a validation and approval process, the outcome of this review is incorporated into the ECL calculations. Risk parameters by homogeneous groups Expected losses can be estimated both individually and collectively. Regarding the collective estimate, the instruments are distributed in homogeneous groups (segments) that share similar risk characteristics. Following the guidelines established by the Group for the development of models under the applied norm, the Bank performed the grouping based on the information available, its representativeness or relevance and compliance with the necessary statistical requirements. Depending on the portfolio or the parameter being estimated, one risk driver or another will apply and different segments will reflect differences in PDs and LGDs. Thus, in each segment, changes in the level of credit risk will respond to the impact of changing conditions on the common range of credit risk drivers. The effect on the Group’s credit risk in response to changes in forward-looking information will be considered as well. Macroeconomic modeling for each segment is carried out using some of the shared risk characteristics. These segments share credit risk characteristics such that changes in credit risk in a part of the portfolio are not concealed by the performance of other parts of the portfolio. In that sense, the methodology developed for ECL estimation indicates the risk drivers that have to be taken into account for PD segmentation purposes, depending on whether the estimation is for retail or wholesale portfolios. As an example of the variables that can be taken into consideration to determine the final models, the following stand out: – PD – Retail: Contractual residual maturity, credit risk scoring, type of product, days past due, forbearance, time on books, time to maturity, nationality of the debtor, sale channel, original term, indicator of credit card activity, percentage of initial drawn balance in credit cards. – PD – Wholesale: Credit Risk Rating, type of product, watch-list level, forbearance (client), time to maturity, industry sector, updated balance (y/n), written off, grace period. 37 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – LGD – Retail: credit Risk Scoring, segment, type of product, secured / unsecured, type of collateral, sales channel, nationality, business area, debtor’s commercial segment, forbearance (account) EAD (this risk driver could be correlated with the time on books or the LTV so, before including it, an assessment should be done in order to avoid a double counting effect), time on default of the account (for defaulted exposures), geographical location. – LGD – Wholesale: credit Risk Rating, geographical location, segment, type of product, secured / Unsecured, type of collateral, business area, forbearance (client), debtor’s commercial segment time on default of the deal (for defaulted exposures). – CCF – Wholesale/retail, percentage of initial drawn balance, debtor’s commercial segment, days past due, forbearance, credit limit activity, time on books. In BBVA, the expected losses calculated are based on the internal models developed for all the portfolios, unless clients are subject to individualized estimates. Low Default Portfolios, which include portfolios with high credit quality such as exposures to other credit institutions, sovereign debt or corporates and small client's portfolios with high exposures such as specialized lending or fixed income, are characterized by a low number of defaults, so the Group's historical bases do not contain sufficiently representative information to build impairment models based on them. However, there are external sources of information that, based on broader observations, are capable of providing the necessary inputs to develop models of expected losses. Therefore, based on the rating assigned to these exposures and taking into account the inputs obtained from these sources, the calculations of expected losses are developed internally, including their projection based on the macroeconomic perspectives. Individual estimation of Expected Credit Losses The Bank periodically and individually reviews the situation and credit rating of its customers, regardless of their classification, taking into consideration the information deemed necessary to do so. It also has procedures in place within the risk management framework to identify the factors that may lead to increased risk and, consequently, to a greater need for provisions. The monitoring model established by the Bank consists of continuously monitoring the risks to which it is exposed, which guarantees their proper classification in the different categories of the Standard. The original analysis of the exposures is reviewed through the procedures for updating the rating tools (rating and scoring), which periodically review the financial situation of clients, influencing the classification by stages of exposures. Within this credit risk management framework, the Bank has procedures that seek to guarantee the review, at least annually, of all its wholesale counterparties through the so-called financial programs, which include the current and proposed positioning of the Bank with the customer in terms of credit risk. This review is based on a detailed analysis of the client's up-to-date financial situation, which is complemented by other information available in relation to individual perspectives on business performance, industry trends, macroeconomic prospects or other public data. As a result of this analysis, the preliminary rating of the client is obtained, which, after undergoing the internal procedure, can be revised down if deemed appropriate (for example, general economic environment or evolution of the sector). These factors in addition to the information that the client can provide are used to review the ratings even before the scheduled financial plan reviews are conducted if circumstances warrant. Additionally, the Bank has established procedures to identify wholesale customers in the internal Watch List category, which is defined as that risk in which, derived from an individualized credit analysis, an increase in credit risk is observed, either due to economic or financial difficulties or because they have suffered, or are expected to suffer, adverse situations in their environment, without meeting the criteria for classification as impaired risk. Under this procedure, all a customer's Watch List exposures are considered stage 2 regardless of when they originated, if as a result of the analysis the customer is considered to have significantly increased risk. Finally, the Bank has so-called Workout Committee, which analyze not only the situation and evolution of significant clients in Watch List and impaired situations, but also those significant clients in which, although not on Watch List, may present some stage 2 rated exposure for a quantitative reason (PD comparison from origination). This analysis is carried out in order to decide if, derived from this situation, all the client's exposures should be considered in the Watch List category, which would imply the migration of all the client's operations to stage 2 regardless of the date on which they originated. With this, the Bank ensures an individualized review of the credit quality of its wholesale counterparties, identifying the situations in which a change in the risk profile of these clients may have occurred and proceeding, where appropriate, to estimate individualized credit losses. Along with this review, the Group individually estimates the expected losses of those clients whose total exposure exceeds certain thresholds, including those that part of their operations may be classified in stage 1 and part in stage 2. In setting thresholds, each geography determines the minimum amount of a client's exposure whose expected losses must be estimated individually taking into account the following: – For clients with exposures in stage 3. The analysis of clients with total risk above this threshold implies analyzing at least 40% of the total risk of the wholesale portfolio in stage 3. Although the calibration of the threshold is done on the wholesale portfolio, clients of other portfolios must be analyzed if they exceed the threshold, staying in stage 3. 38 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – For all other situations. The analysis of clients with total risk above this threshold implies analyzing at least 20% of the total risk of the Watch List wholesale portfolio. Although the threshold calibration is carried out on the exposure classified as Watch List, wholesale clients or clients belonging to other portfolios that have exposures classified in stage 2 and whose total exposure exceeds the mentioned threshold must be analyzed individually, considering both the exposures classified in stage 1 as in stage 2. Regarding the methodology for the individual estimation of expected losses, it should be mentioned, firstly, that these are measured as the difference between the asset’s carrying amount and the estimated future cash flows discounted at the financial asset’s effective interest rate. The estimated recoverable amount should correspond to the amount calculated under the following method: – The present value of estimated future cash flows discounted at the financial asset’s original effective interest rate; and – The estimation of the recoverable amount of a collateralized exposure reflects the cash flows that may result from the settlement of the collateral, as well as prospective information the analyst may implicitly include in the analysis. The estimated future cash flows depend on the type of approach applied, which can be: – Going concern scenario: when the entity has updated and reliable information about the solvency and ability of payment of the holders or guarantors. The operating cash flows of the debtor, or the guarantor, continue and can be used to repay the financial debt to all creditors. In addition, collateral may be exercised to the extent it does not influence operating cash flows. The following aspects should be taken into account: a. Future operating cash flows should be based on the financial statements of the debtor. b. When the projections made on these financial statements assume a growth rate, a constant or decreasing growth rate must be used over a maximum growth period of 3 to 5 years, and subsequently constant cash flows. c. The growth rate should be based on the analysis of the evolution of the debtor's financial statements or on a sound and applicable business restructuring plan, taking into account the resulting changes in the structure of the company (for example, due to divestments or the interruption of unprofitable lines of business). d. (Re)-investments that are needed to preserve cash flows should be considered, as well as any foreseeable future cash-flow changes (e.g. if a patent or a long-term loan expires). e. When the recoverability of the exposure relies on the realization of the disposal of some assets by the debtor, the selling price should reflect the estimated future cash flows that may result from the sale of the assets less the estimated costs associated with the disposal. – Gone concern scenario: when the entity does not have updated and reliable information, it should consider that the estimation of loan receivable flows is highly uncertain. Estimation should be carried out through the estimation of recoverable amounts from the effective real guarantees received. It will not be admissible as effective guarantees, those whose effectiveness depends substantially on the creditworthiness of the debtor or economic group in which it takes part. Under a gone concern scenario, the collateral is exercised and the operating cash flows of the debtor cease. This could be the case if: a. The exposure has been past due for a long period. There is a rebuttable presumption that the allowance should be estimated under a gone concern criterion when arrears are greater than 18 months. b. Future operating cash flows of the debtor are estimated to be low or negative. c. Exposure is significantly collateralized, and this collateral is central to cash-flow generation. d. There is a significant degree of uncertainty surrounding the estimation of the future cash flows. This would be the case if the earnings before interest, taxes, depreciation and amortization (EBITDA) of the two previous years had been negative, or if the business plans of the previous years had been flawed (due to material discrepancies in the backtesting). e. Insufficient information is available to perform a going concern analysis. Significant increase in credit risk As indicated in Note 2.1, the criteria for identifying the significant increase in risk are applied consistently, distinguishing between quantitative reasons or by comparison of probabilities of default and qualitative reasons (more than 30 days of default, watch list consideration or non-impaired refinancing). 39 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. To manage credit risk, the Bank uses all relevant information that is available and that may affect the credit quality of the exposures. This information may come mainly from the internal processes of admission, analysis and monitoring of operations, from the strategy defined by the Bank regarding the price of operations or distribution by geographies, products or sectors of activity, from the observance of the macroeconomic environment, from market data such as interest rate curves, or prices of the different financial instruments, or from external sources of credit rating. This set of information is the basis for determining the rating and scoring (see Note 5.2.4 for more information on rating and scoring systems) corresponding to each of the exposures and which are assigned a probability of default (PD) that, as already mentioned, is subject to an annual review process that assesses its representativeness (backtesting) and is updated with new observations. Furthermore, the projection of these PDs over time has been modeled based on macroeconomic expectations, which allows obtaining the probabilities of default throughout the life of the operations. Based on this methodology, and in accordance with the provisions of the standard and the EBA guidelines on credit risk management practices, BBVA has established absolute and relative thresholds for identifying whether the expected changes in the probabilities of default have increased significantly compared to the initial moment, adapted to the particularities of each one of them in terms of origination levels, product characteristics, distribution by sectors or portfolios, and macroeconomic situation. To establish the aforementioned thresholds, a series of general principles are considered, such as: – Uniformity: Based on the rating and scoring systems that, in a homogeneous manner, are implemented in the Group's units. – Stability: The thresholds must be established to identify the significant increase in risk produced in exposures since their initial recognition and not only to identify those situations in which it is already foreseeable that they will reach the level of impairment. For this reason, it is to be expected that of the total exposures there will always be a representative group for which said increased risk is identified. – Anticipation: The thresholds must consider the identification of the increased risk in advance with respect to the recognition of the exposures as impaired or even before a real default occurs. The calibration of the thresholds should minimize the cases in which the instruments are classified in stage 3 without having previously been recognized as stage 2. – Indicators or metrics: It is expected that the classification of the exposures in stage 2 will have sufficient permanence to be able to develop an anticipatory management plan with respect to them before, where applicable, they end up migrating to stage 3. – Symmetry: standard provides for a symmetric treatment both to identify the significant increase in risk and to identify that it has disappeared, so the thresholds also work to improve the credit classification of exposures. In this sense, it is expected that the cases in which the exhibitions that improve from stage 3 are directly classified into stage 1 will be minimal. – The identification of the significant increase in risk from the comparison of the probabilities of default should be the main reason why exposures in stage 2 are recognized. Specifically, a contract will be transferred to stage 2 when the following two conditions are met by comparing the current PD values and the origination PD values: (Current PD) / (Origination PD) - 1100 >Relative Threshold (%) and Current PD – Origination PD > Absolute threshold (bps) These absolute and relative thresholds are consistently established for each portfolio, taking into account their particularities and based on the principles described. The thresholds are included within the annual review process and, generally speaking, are in the range of 180% to 200% for the relative threshold and from 30 to 100 basis points for the absolute threshold. Specifically, in BBVA, S.A.'s wholesale portfolio the relative threshold is from 180% to 200% and the absolute threshold ranges from 30 to 100 basis points; in the retail portfolio the relative threshold is 200% while the absolute threshold ranges between 50 and 100 basis points. The establishment of absolute and relative thresholds, as well as their different levels, comply with the provisions of the standard when it indicates that a certain change, in absolute terms, in the risk of a default will be more significant for a financial instrument with a lower initial risk of default compared to a financial instrument with higher initial risk of default. For existing contracts before the implementation of the standard, given the limitations in the information available on them, the thresholds are calibrated based on the PDs obtained from the prudential or economic models for calculating capital. Risk Parameters Adjusted by Macroeconomic Scenarios Expected Credit Loss (ECL) must include forward looking information, in accordance with Circular 4/2017 which states that the comprehensive credit risk information must incorporate not only historical information but also all relevant credit information, also including forward-looking macroeconomic information. BBVA uses the typical credit risk parameters PD, LGD and EAD in order to calculate the ECL for the credit portfolios. BBVA methodological approach in order to incorporate the forward looking information aims to determine the relation between macroeconomic variables and risk parameters following three main steps: 40 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Step 1: Analysis and transformation of time series data. – Step 2: For each dependent variable find conditional forecasting models that are economically consistent. – Step 3: Select the best conditional forecasting model from the set of candidates defined in Step 2, based on their forecasting capacity. How economic scenarios are reflected in the calculation of ECL The forward looking component is added to the calculation of the ECL through the introduction of macroeconomic scenarios as an input. Inputs highly depend on the particular combination of region and portfolio, so inputs are adapted to available data regarding each of them. Based on economic theory and analysis, the main indicators most directly relevant for explaining and forecasting the selected risk parameters (PD, LGD and EAD) are: – The net income of families, corporates or public administrations. – The outstanding payment amounts on the principal and interest on the financial instruments. – The value of the collateral assets pledged to the loan. The Bank approximates these variables by using a proxy indicator from the set included in the macroeconomic scenarios provided by the BBVA Research department. Only a single specific indicator for each of the three categories can be used and only one of the following core macroeconomic indicators should be chosen as first option: – The real GDP growth for the purpose of conditional forecasting can be seen as the only “factor” required for capturing the influence of all potentially relevant macro-financial scenarios on internal PDs and LGD. – The most representative short term interest rate (typically the policy rate or the most liquid sovereign yield or interbank rate) or exchange rates expressed in real terms. – A comprehensive and representative index of the price of real estate properties expressed in real terms in the case of mortgage loans and a representative and real term index of the price of the relevant commodity for corporate loan portfolios concentrated in exporters or producers of such commodity. Real GDP growth is given priority over any other indicator not only because it is the most comprehensive indicator of income and economic activity but also because it is the central variable in the generation of macroeconomic scenarios. Multiple scenario approach under Circular 4/2017 Bank of Spain Circular 4/2017 requires calculating an unbiased probability weighted measurement of ECL by evaluating a range of possible outcomes, including forecasts of future economic conditions. BBVA Research produces forecasts of the macroeconomic variables under the baseline scenario, which are used in the rest of the related processes of the Group, such as budgeting, ICAAP and risk appetite framework, stress testing, etc. Additionally, the BBVA Research teams produce alternative scenarios to the baseline scenario so as to meet the requirements under the Circular 4/2017. Alternative macroeconomic scenarios – For each of the macro-financial variables, BBVA Research produces three scenarios. – BBVA Research tracks, analyzes and forecasts the economic environment to provide a consistent forward looking assessment about the most likely scenario and risks that impact BBVA’s footprint. To build economic scenarios, BBVA Research combines official data, econometric techniques and expert judgment. – Each of these scenarios corresponds to the expected value of a different area of the probabilistic distribution of the possible projections of the economic variables. – The non-linearity overlay is defined as the ratio between the probability-weighted ECL under the alternative scenarios and the baseline scenario, where the scenario’s probability depends on the distance of the alternative scenarios from the base one. – The Bank establishes equally weighted scenarios, being the probability 34% for the baseline scenario, 33% for the unfavorable alternative scenario and 33% for the favorable alternative scenario. 41 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The approach in the BBVA consists on using the scenario that is the most likely scenario, which is the baseline scenario, consistent with the rest of internal processes (ICAAP, Budgeting, etc.) and then applying an overlay adjustment that is calculated by taking into account the weighted average of the ECL determined by each of the scenarios. This effect is calculated taking into account the average weight of the expected loss determined for each scenario. It is important to note that in general, it is expected that the effect of the overlay is to increase the ECL. It is possible to obtain an overlay that does not have that effect, whenever the relationship between macro scenarios and losses is linear. On the other hand, BBVA also takes into account the range of possible scenarios when defining its significant increase in credit risk. Thus, the PDs used in the quantitative process to identify the significant increase in credit risk will be those that result from making a weighted average of the PDs calculated under the three scenarios. Macroeconomic scenarios The forward-looking information incorporated in the calculation of expected losses is in line with the macroeconomic perspectives published by BBVA Research, which are quarterly updated. BBVA Research forecasts a maximum of five years for the macroeconomic variables. The following forecasts (favorable, base and unfavorable scenarios) of the Gross Domestic Product (GDP) growth, unemployment rate and House Price Index (HPI), carried out by BBVA Research, were used for the calculation of the ECL as of December 31, 2023: Main BBVA, S.A. variables. Date GDP negative scenario GDP base scenario GDP positive scenario HPI negative scenario HPI base scenario HPI positive scenario Unemployment negative scenario Unemployment base scenario Unemployment positive scenario 2023 2.21% 2.36% 2.52% (2.28)% (1.93)% (1.61)% 12.40% 12.13% 11.84% 2024 0.86% 1.48% 2.12% (2.54)% (0.92)% 0.89% 13.23% 11.80% 10.32% 2025 2.25% 2.47% 2.70% 1.00% 1.94% 2.96% 12.77% 11.20% 9.58% 2026 2.48% 2.53% 2.55% 1.22% 1.74% 2.11% 11.98% 10.40% 8.81% 2027 2.30% 2.34% 2.34% 0.93% 1.69% 2.14% 11.34% 9.63% 8.22% 2028 2.09% 2.13% 2.13% 0.67% 1.43% 1.88% 10.57% 8.98% 7.67% The estimate for the next five years of the following rates, used in the measurement of the expected loss as of December 31, Main BBVA, S.A. variables. Date GDP negative scenario GDP base scenario GDP positive scenario HPI negative scenario HPI base scenario HPI positive scenario Unemployme nt negative scenario Unemployme nt base scenario Unemployme nt positive scenario 2022 4.33% 4.61% 4.90% (4.13)% (3.50)% (2.96)% 13.26% 12.78% 12.27% 2023 0.58% 1.20% 1.85% (4.02)% (2.41)% (0.61)% 14.26% 12.83% 11.35% 2024 3.15% 3.37% 3.60% (0.40)% 0.55% 1.58% 12.95% 11.38% 9.75% 2025 2.93% 2.98% 3.00% 0.79% 1.30% 1.67% 11.53% 9.95% 8.36% 2026 2.91% 2.95% 2.95% 0.99% 1.74% 2.20% 10.14% 8.58% 7.02% 2027 2.89% 2.93% 2.93% 1.10% 1.86% 2.31% 8.77% 7.18% 5.87% Sensitivity to macroeconomic scenarios A sensitivity exercise has been carried out on the expected losses due to variations in the key hypotheses as they are the ones that introduce the greatest uncertainty in estimating such losses. As a first step, GDP and the House Price Index have been identified as the most relevant variables. These variables have been subjected to shocks of +/- 100 bps in their entire window with impact of the macro models. Independent sensitivities have been assessed, under the assumption of assigning a 100% probability to each determined scenario with these independent shocks. Variation in expected loss is determined both by re-staging (that is: in worse scenarios due to the recognition of lifetime credit losses for additional operations that are transferred to stage 2 from stage 1 where 12 months of losses are valued: or vice versa in improvement scenarios) as well as variations in the collective risk parameters (PD and LGD) of each financial instrument due to the changes defined in the macroeconomic forecasts of the scenario. The variation in the expected loss and the main portfolios is shown below: 42 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Expected loss variation as of December 31, 2023 GDP Total Portfolio Companies Retail -100pb 61 14 47 +100pb (58) (13) (45) Housing price -100pb — 32 +100pb — (32) Expected loss variation as of December 31, 2022 GDP Total Portfolio Companies Retail -100pb 118 54 62 +100pb (95) (42) (52) Housing price -100pb 1 23 +100pb (1) (22) Additional adjustments to expected loss measurement The Bank periodically reviews its individual estimates and its models for the collective estimate of expected losses as well as the effect of macroeconomic scenarios on them. In addition, the Bank may supplement the expected losses to account for the effects that may not be included, either by considering additional risk factors, or by the incorporation of sectorial particularities or particularities that may affect a set of operations or borrowers, following a formal internal approval process established for this purpose, including among others the relevant Global Risk Management Committee (among the GRMC committees) as described in the general risk management and control model chapter of the Management Report. Thus, in Spain, during 2021 and 2022, the Loss Given Default (LGD) of certain specific operations considered unlikely to pay was reviewed upwards, with a remaining adjustment as of December 31, 2023 of €227 million, with a €161 million variation compared with the end of the year 2022 mainly as a result of the model review process. On the other hand, as of December 31, 2023, the complementary adjustments pending allocation to specific operations or customers disappear by utilization and/or release. Compared to December 31, 2022, the complementary adjustments pending allocation to specific operations or customers amounted to €170 million. 43 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 5.2.2 Credit risk exposure BBVA’s maximum credit risk exposure (see definition below) by headings in the balance sheets as of December 31, 2023 and 2022 is provided below. It does not consider the loss allowances and the availability of collateral or other credit enhancements to ensure compliance with payment obligations. The details are broken down by category of financial instruments: Maximum credit risk exposure (Millions of Euros) Notes December 2023 Stage 1 Stage 2 Stage 3 Financial assets held for trading 83,891 Equity instruments 8 3,339 Debt securities 8 11,018 Government 9,121 Credit institutions 739 Other sectors 1,158 Loans and advances 8 69,534 Non-trading financial assets mandatorily at fair value through profit or loss 730 Equity instruments 9 507 Debt securities 9 223 Government 130 Credit institutions 49 Other sectors 44 Loans and advances to customers 9 — Financial assets designated at fair value through profit or loss 10 — Derivatives (trading and hedging) (1) 39,987 Financial assets at fair value through other comprehensive income 19,426 Equity instruments 11.2 1,019 Debt securities 11.3 18,407 18,396 — 11 Government 12,069 12,069 — — Credit institutions 683 683 — — Other sectors 5,655 5,644 — 11 Financial assets at amortized cost 266,347 235,327 22,953 8,067 Debt securities 34,911 34,909 — 2 Loans and advances to central banks — — — Loans and advances to credit institutions 13,080 13,079 — 1 Loans and advances to customers 218,356 187,339 22,953 8,065 Total financial assets risk 410,381 Total loan commitments and financial guarantees 147,464 142,477 4,385 601 Loan commitments given 29 98,667 95,971 2,586 109 Financial guarantees given 29 18,784 18,120 526 137 Other commitments given 29 30,013 28,386 1,272 355 Total maximum credit exposure 557,845 (1) Without considering derivatives whose counterparty are BBVA Group companies. 44 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Maximum credit risk exposure (Millions of Euros) Notes December 2022 Stage 1 Stage 2 Stage 3 Financial assets held for trading 56,368 Equity instruments 8 3,361 Debt securities 8 11,318 Government 9,225 Credit institutions 759 Other sectors 1,333 Loans and advances 8 41,690 Non-trading financial assets mandatorily at fair value through profit or loss 546 Equity instruments 9 438 Debt securities 9 107 Government 20 Credit institutions 47 Other sectors 40 Loans and advances to customers 9 — Financial assets designated at fair value through profit or loss 10 — Derivatives (trading and hedging) (1) 42,468 Financial assets at fair value through other comprehensive income 24,875 Equity instruments 11.2 977 Debt securities 11.3 23,898 23,872 — 26 Government 18,090 18,090 — — Credit institutions 995 995 — — Other sectors 4,813 4,787 — 26 Financial assets at amortized cost 251,786 224,645 19,678 7,464 Debt securities 25,320 25,317 — 3 Loans and advances to central banks 10 10 — — Loans and advances to credit institutions 9,335 9,277 58 — Loans and advances to customers 217,121 190,040 19,620 7,461 Total financial assets risk 376,043 Total loan commitments and financial guarantees 139,104 133,635 4,732 738 Loan commitments given 29 95,948 92,853 2,972 123 Financial guarantees given 29 16,305 15,657 473 175 Other commitments given 29 26,850 25,124 1,286 439 Total maximum credit exposure 515,147 (1) Without considering derivatives whose counterparty are BBVA Group companies. The maximum credit exposure presented in the table above is determined by type of financial asset as explained below: – In the case of financial instruments recognized in the balance sheets, exposure to credit risk is considered equal to its carrying amount (not including loss allowances) with the only exception of trading and hedging derivatives. – The maximum credit risk exposure on financial commitments and guarantees granted is the maximum that BBVA would be liable for if these guarantees were called in, or the higher amount pending to be disposed from the customer in the case of commitments. – The calculation of risk exposure for derivatives is based on the sum of two factors: the derivatives fair value and their potential risk (or "add-on"). As of December 31, 2023, there are no financial assets classified as purchased or originated credit impaired in the balance sheets of BBVA S.A. 45 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The breakdown by counterparty of the maximum credit risk exposure, the accumulated allowances recorded, as well as the carrying amount by stages of loans and advances to customers as of December 31, 2023 and 2022 is shown below: December 2023 (Millions of Euros) Gross exposure Accumulated allowances Net amount Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Public administrations 13,261 13,199 37 25 (14) (4) (3) (7) 13,247 13,195 34 18 Other financial corporations 11,671 11,495 168 8 (10) (3) (3) (5) 11,660 11,492 165 3 Non-financial corporations 97,404 84,450 9,924 3,030 (1,808) (205) (282) (1,321) 95,596 84,245 9,642 1,709 Households 96,020 78,194 12,825 5,002 (2,738) (259) (432) (2,048) 93,282 77,936 12,393 2,954 Loans and advances to customers (1) 218,35 6 187,339 22,953 8,065 (4,571) (470) (719) (3,381) 213,786 186,86 9 22,234 4,683 Of which: individual (552) — (130) (422) Of which: collective (4,018) (470) (589) (2,959) (1) The amount of the accumulated impairment includes the provisions recorded for credit risk over the remaining expected lifetime of purchased financial instruments. Those provisions were determined at the moment of the Purchase Price Allocation and were originated mainly in the acquisition of Catalunya Banc, S.A. (as of December 31, 2023, the remained balance was €142 million). These valuation adjustments are recognized in the income statement during the residual life of the operations or are applied to the value corrections when the losses materialize. December 2022 (Millions of Euros) Gross exposure Accumulated allowances Net amount Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Public administrations 12,716 12,469 208 38 (18) (3) (4) (11) 12,697 12,466 204 27 Other financial corporations 11,528 11,291 224 12 (20) (2) (11) (7) 11,507 11,289 213 5 Non-financial corporations 96,725 84,941 8,573 3,210 (2,394) (243) (404) (1,747) 94,332 84,699 8,169 1,464 Households 96,153 81,338 10,615 4,200 (2,392) (227) (344) (1,821) 93,761 81,111 10,271 2,379 Loans and advances to customers (1) 217,121 190,040 19,620 7,461 (4,824) (475) (763) (3,586) 212,297 189,565 18,858 3,875 Of which: individual (751) — (181) (570) Of which: collective (4,073) (475) (582) (3,016) (1) The amount of the accumulated impairment includes the provisions recorded for credit risk over the remaining expected lifetime of purchased financial instruments. Those provisions were determined at the moment of the Purchase Price Allocation and were originated mainly in the acquisition of Catalunya Banc S.A. (as of December 31, 2020 the remained balance was €190 million). These valuation adjustments are recognized in the income statement during the residual life of the operations or are applied to the value corrections when the losses materialize. The breakdown by counterparty and product of loans and advances, net of loss allowances, as well as the gross carrying amount by type of product, classified in different headings of the assets, as of December 31, 2023 and 2022 is shown below: December 2023 (Millions of Euros) Central banks General governments Credit institutions Other financial corporations Non- financial corporations Households Total Gross carrying amount On demand and short notice — — — 27 128 30 186 247 Credit card debt — 1 — 1 162 2,579 2,743 2,851 Commercial debtors — 947 71 580 19,595 35 21,229 21,368 Finance leases — 133 — 10 5,751 182 6,076 6,179 Reverse repurchase loans — — 4,181 92 — — 4,273 4,273 Other term loans — 12,051 3,616 8,740 69,313 90,307 184,027 188,192 Advances that are not loans — 115 5,206 2,210 646 149 8,325 8,326 LOANS AND ADVANCES — 13,247 13,074 11,660 95,596 93,282 226,860 231,436 By secured loans Of which: mortgage loans collateralized by immovable property 240 — 483 8,887 70,879 80,489 82,238 Of which: other collateralized loans — — 4,080 137 1,453 369 6,039 6,101 By purpose of the loan Of which: credit for consumption 15,174 15,174 16,163 Of which: lending for house purchase 71,184 71,184 72,389 By subordination Of which: project finance loans 3,619 3,619 3,684 46 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. December 2022 (Millions of Euros) Central banks General governments Credit institutions Other financial corporations Non- financial corporations Households Total Gross carrying amount On demand and short notice — — — 222 32 29 284 351 Credit card debt — 1 — 1 144 2,529 2,674 2,775 Commercial debtors 1,018 23 363 20,194 29 21,627 21,806 Finance leases — 96 — 11 5,179 205 5,491 5,609 Reverse repurchase loans — — 1,429 102 — — 1,531 1,532 Other term loans — 11,370 2,380 7,598 67,842 90,832 180,022 184,387 Advances that are not loans 10 212 5,498 3,210 940 137 10,007 10,007 Loans and advances 10 12,697 9,330 11,507 94,332 93,761 221,637 226,467 By secured loans Of which: mortgage loans collateralized by immovable property 255 — 294 8,874 71,995 81,417 83,141 Of which: other collateralized loans — — 1,429 159 1,370 435 3,393 3,562 By purpose of the loan Of which: credit for consumption 14,637 14,637 15,469 Of which: lending for house purchase 72,283 72,283 73,247 By subordination Of which: project finance loans 3,675 3,675 3,723 5.2.3 Mitigation of credit risk, collateralized credit risk and other credit enhancements In certain cases, maximum credit risk exposure is reduced by collateral, credit enhancements and other actions which mitigate the Bank’s exposure. The BBVA applies a credit risk hedging and mitigation policy deriving from a banking approach focused on relationship banking. The existence of guarantees could be a necessary but not sufficient instrument for accepting risks, as the assumption of risks by the Bank requires prior evaluation of the debtor’s capacity for repayment, or that the debtor can generate sufficient resources to allow the amortization of the risk incurred under the agreed terms. The policy of accepting risks is therefore organized into three different levels in BBVA: – Analysis of the financial risk of the transaction, based on the debtor’s capacity for repayment or generation of funds. – The constitution of guarantees that are adequate, or at any rate generally accepted, for the risk assumed, in any of the generally accepted forms: monetary, secured, personal or hedge guarantees; and – Assessment of the repayment risk (asset liquidity) of the guarantees received. This is carried out through a prudent risk policy that consists of the analysis of the financial risk, based on the capacity for reimbursement or generation of resources of the borrower, the analysis of the guarantee, assessing, among others, the efficiency, the robustness and the risk, the adequacy of the guarantee with the operation and other aspects such as the location, currency, concentration or the existence of limitations. Additionally, the necessary tasks for the constitution of guarantees must be carried out - in any of the generally accepted forms (collaterals, personal guarantees and financial hedge instruments) - appropriate to the risk assumed. The procedures for the management and valuation of collateral are set out in the corporate general policies (retail and wholesale), which establish the basic principles for credit risk management, including the management of collaterals assigned in transactions with customers. The criteria for the systematic, standardized and effective treatment of collateral in credit transaction procedures in BBVA wholesale and retail banking are included in the Specific Collateral Rules. The methods used to value the collateral are in line with the best market practices and imply the use of appraisal of real-estate collateral, the market price in market securities, the trading price of shares in mutual funds, etc. All the collaterals received must be correctly assigned and entered in the corresponding register. They must also have the approval of the BBVA’s legal units. The valuation of the collateral is taken into account in the calculation of the expected losses. The Bank has developed internal models to estimate the realization value of the collaterals received, the time that elapses until then, the costs for their acquisition, maintenance and subsequent sale, from real observations based on its own experience. This modeling is part of the LGD estimation processes that are applied to the different segments, and is included within the annual review and validation procedures. The following is a description of the main types of collateral for each financial instrument class: – Debt instruments held for trading: The guarantees or credit enhancements obtained directly from the issuer or counterparty are implicit in the clauses of the instrument (mainly guarantees of the issuer). 47 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Derivatives and hedging derivatives: In derivatives, credit risk is minimized through contractual netting agreements, where positive- and negative-value derivatives with the same counterparty are offset for their net balance. There may likewise be other kinds of guarantees and collaterals, depending on counterparty solvency and the nature of the transaction (mainly collaterals). The summary of the offsetting effect (via netting and collateral) for derivatives and securities operations as of December 31, 2023 is presented in Note 5.4.2 – Other financial assets designated at fair value through profit or loss and financial assets at fair value through other comprehensive income: The guarantees or credit enhancements obtained directly from the issuer or counterparty are inherent to the structure of the instrument (mainly personal guarantees). As of December 31, 2023 and 2022 BBVA had no credit risk exposure of impaired financial assets at fair value through other comprehensive income (see Note 5.2.2). – Financial assets at amortized cost: a. Loans and advances to credit institutions: These usually have the counterparty’s personal guarantee or pledged securities in the case of repos. b. Loans and advances to customers: Most of these loans and advances are backed by personal guarantees extended by the customer. There may also be collateral to secure loans and advances to customers (such as mortgages, cash collaterals, pledged securities and other collateral), or to obtain other credit enhancements (bonds or insurances). c. Debt securities: The guarantees or credit enhancements obtained directly from the issuer or counterparty are inherent to the structure of the instrument. – Financial guarantees, other contingent risks and drawable by third parties: these have the counterparty’s personal guarantee or other types of collaterals. The disclosure of impaired loans and advances at amortized cost covered by collateral (see Note 5.2.5), by type of collateral, as of December 31, 2023 and 2022 , is the following: Impaired loans and advances at amortized cost covered by collateral (Millions of Euros) Maximum exposure to credit risk Of which secured by collateral Residential properties Commercial properties Cash Others Financial December 2023 8,065 2,166 490 1 5 6 December 2022 7,461 1,664 609 1 3 6 The maximum credit risk exposure of impaired financial guarantees and other commitments as of December 31, 2023 and 2022 amounts to €601 and €738 million of euros (see Note 5.2.2). 5.2.4 Credit quality of financial assets that are neither past due nor impaired The BBVA has tools that enable it to rank the credit quality of its transactions and customers based on an assessment and its correspondence with the probability of default (“PD”) scales. To analyze the performance of PD, the Bank has a series of tracking tools and historical databases that collect the pertinent internally generated information. These tools can be grouped together into scoring and rating models. Scoring Scoring is a decision-making model that contributes to both the arrangement and management of retail loans: consumer loans, mortgages, credit cards for individuals, etc. Scoring is the tool used to decide to originate a loan, what amount should be originated and what strategies can help establish the price, because it is an algorithm that sorts transactions by their credit quality. This algorithm enables the BBVA Group to assign a score to each transaction requested by a customer, on the basis of a series of objective characteristics that have statistically been shown to distinguish between the quality and risk of this type of transactions. The advantage of scoring lies in its simplicity and homogeneity: all that is needed is a series of objective data for each customer, and this data is analyzed automatically using an algorithm. There are three types of scoring, based on the information used and on its purpose: – Reactive scoring: measures the risk of a transaction requested by an individual using variables relating to the requested transaction and to the customer’s socio-economic data available at the time of the request. The new transaction is approved or rejected depending on the score. 48 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Behavioral scoring: scores transactions for a given product in an outstanding risk portfolio of the entity, enabling the credit rating to be tracked and the customer’s needs to be anticipated. It uses transaction and customer variables available internally. Specifically, variables that refer to the behavior of both the product and the customer. – Proactive scoring: gives a score at customer level using variables related to the individual’s general behavior with the entity, and to his/her payment behavior in all the contracted products. The purpose is to track the customer’s credit quality and it is used to pre-approve new transactions. Rating Rating tools, as opposed to scoring tools, focus on the rating of customers: companies, corporations, SMEs, general governments, etc. A rating tool is an instrument that, based on a detailed financial study, helps determine a customer’s ability to meet his/her financial obligations. The final rating is usually a combination of various factors: on one hand, quantitative factors, and on the other hand, qualitative factors. It is a middle road between an individual analysis and a statistical analysis. The main difference between ratings and scorings is that the latter are used to assess retail products, while ratings use a wholesale banking customer approach. Moreover, scorings only include objective variables, while ratings add qualitative information. And although both are based on statistical studies, adding a business view, rating tools give more weight to the business criterion compared to scoring tools. For portfolios where the number of defaults is low (sovereign risk, corporates, financial entities, etc.) the internal information is supplemented by “benchmarking” of the external rating agencies (Moody’s, Standard & Poor’s and Fitch). To this end, each year the PDs compiled by the rating agencies at each level of risk rating are compared, and the measurements compiled by the various agencies are mapped against those of the BBVA master rating scale. The probability of default of transactions or customers is calibrated with a long-term view, since its purpose is to measure the risk quality beyond its time of estimation, seeking to capture information representative of the behavior of the portfolios during a complete economic cycle (a long-term average probability of default). This probability is mapped to the master scale developed by the Bank in order to facilitate a homogeneous classification of its different risk portfolios. These different levels and their probability of default were calculated by using as a reference the rating scales and default rates provided by the external agencies Standard & Poor’s and Moody’s. These calculations establish the levels of probability of default for the BBVA Group’s Master Rating Scale. Although this scale is common to the entire Group, the calibrations (mapping scores to PD sections/Master Rating Scale levels) are carried out at tool level for each country in which the Group has tools available. The table below outlines the distribution of exposure, including derivatives, by default probability and internal ratings, to corporates, financial entities and institutions (excluding sovereign risk), of the main BBVA Group entities as of December 31, 2023 and 2022: Credit Risk Distribution by Internal Rating 2023 2022 PD Amount (Millions of Euros) % Amount (Millions of Euros) % AAA/AA 0 to 5 137,186 27.20% 163,327 35.00% A 5 to 11 173,710 34.40% 132,195 28.30% BBB+ 11 to 17 54,551 10.80% 53,141 11.40% BBB 17 to 24 50,731 10.00% 39,854 8.50% BBB- 24 to 39 38,914 7.70% 28,882 6.20% BB+ 39 to 67 14,700 2.90% 14,770 3.20% BB 67 to 116 12,238 2.40% 10,968 2.30% BB- 116 to 194 8,989 1.80% 7,778 1.70% B+ 194 to 335 4,786 0.90% 4,894 1.00% B 335 to 581 2,985 0.60% 3,400 0.70% B- 581 to 1061 1,750 0.30% 2,180 0.50% C 1061 to 2121 1,761 0.30% 1,977 0.40% D >2121 2,528 0.50% 3,757 0.80% Total 504,830 100% 467,123 100% 49 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 5.2.5 Impaired loan risks The breakdown of loans and advances within financial assets at amortized cost by counterparties, including their respective gross carrying amount, impaired amount and accumulated impairment as of December 31, 2023 and 2022 is as follows: December 2023 (Millions of Euros) Gross carrying amount Impaired loans and advances Accumulated impairment Impaired loans and advances as a % of the total Central banks — — — —% General governments 13,261 25 (14) 0.2% Credit institutions 13,080 1 (6) —% Other financial corporations 11,670 8 (10) 0.1% Non-financial corporations 97,404 3,030 (1,808) 3.1% Agriculture, forestry and fishing 1,737 72 (42) 4.2% Mining and quarrying 2,506 10 (8) 0.4% Manufacturing 24,842 502 (326) 2.0% Electricity, gas, steam and air conditioning supply 10,026 116 (63) 1.2% Water supply 835 12 (7) 1.5% Construction 6,388 475 (276) 7.4% Wholesale and retail trade 15,512 662 (354) 4.3% Transport and storage 5,103 149 (74) 2.9% Accommodation and food service activities 4,294 202 (106) 4.7% Information and communications 5,266 55 (38) 1.0% Financial and insurance activities 6,911 165 (98) 2.4% Real estate activities 5,586 194 (125) 3.5% Professional, scientific and technical activities 2,727 144 (94) 5.3% Administrative and support service activities 2,928 73 (39) 2.5% Public administration and defense, compulsory social security 156 1 (5) 0.6% Education 233 21 (12) 9.2% Human health services and social work activities 948 116 (33) 12.2% Arts, entertainment and recreation 624 41 (21) 6.6% Other services 783 17 (88) 2.2% Households 96,020 5,002 (2,738) 5.2% LOANS AND ADVANCES 231,436 8,065 (4,576) 3.5% 50 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. December 2022 (Millions of Euros) Gross carrying amount Impaired loans and advances Accumulated impairment Impaired loans and advances as a % of the total Central banks 10 — — —% General governments 12,716 38 (18) 0.3% Credit institutions 9,335 — (6) —% Other financial corporations 11,528 12 (20) —% Non-financial corporations 96,725 3,210 (2,394) 3.0% Agriculture, forestry and fishing 1,678 89 (54) 5.3% Mining and quarrying 2,347 10 (7) 0.4% Manufacturing 24,936 509 (349) 2.0% Electricity, gas, steam and air conditioning supply 9,511 19 (52) 0.2% Water supply 813 17 (11) 2.1% Construction 6,354 527 (351) 8.3% Wholesale and retail trade 15,287 620 (391) 4.1% Transport and storage 5,691 120 (96) 2.1% Accommodation and food service activities 4,249 300 (153) 7.1% Information and communications 5,760 98 (34) 1.7% Financial and insurance activities 6,612 150 (148) 2.3% Real estate activities 5,459 301 (190) 5.5% Professional, scientific and technical activities 2,910 131 (114) 4.5% Administrative and support service activities 2,453 77 (47) 3.1% Public administration and defense, compulsory social security 154 — (5) 0.3% Education 245 19 (11) 7.9% Human health services and social work activities 942 131 (39) 13.9% Arts, entertainment and recreation 658 55 (38) 8.4% Other services 666 37 (303) 5.6% Households 96,153 4,200 (2,392) 4.4% LOANS AND ADVANCES 226,467 7,461 (4,830) 3.3% The changes during the years 2023 and 2022 of impaired financial assets and guarantees given are as follows: Changes in impaired financial assets and contingent risks (Millions of Euros) 2023 2022 Balance at the beginning 8,075 8,700 Additions 3,759 2,737 Decreases (1) (2,250) (2,402) Net additions 1,509 335 Amounts written-off (541) (539) Exchange differences and other (487) (421) Balance at the end 8,557 8,075 Recoveries on entries (%) 60% 88% (1) Reflects the total amount of impaired loans derecognized from the balance sheet throughout the year as a result of mortgage foreclosures and real estate assets received in lieu of payment as well as monetary recoveries (see Note 19). 51 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The changes during the years 2023 and 2022 in financial assets derecognized from the accompanying balance sheet as their recovery is considered unlikely ("write-offs"), is shown below: Changes in impaired financial assets written-off from the balance sheet (Millions of Euros) Notes 2023 2022 Balance at the beginning 17,155 16,951 Increase 830 894 Assets of remote collectability 541 539 Past-due and not collected income 289 355 Decrease (665) (693) Re-financing or restructuring (1) (1) Cash recovery 42 (193) (228) Foreclosed assets (3) (22) Sales (1) (196) (270) Debt forgiveness (221) (151) Time-barred debt and other causes (51) (19) Net exchange differences (3) 3 Balance at the end 17,316 17,155 (1) Includes principal and interest. As indicated in Note 2.2.4, although they have been derecognized from the balance sheet, the BBVA continues to attempt to collect on these written-off financial assets, until the rights to receive them are fully extinguished, either because it is a time-barred financial asset, the financial asset is forgiven, or other reason. 5.2.6 Loss allowances Movements, measured over a 12-month period, in gross accounting balances and accumulated allowances for loan losses during 2023 and 2022 are recorded on the accompanying balance sheet as of December 31, 2023 and 2022, in order to cover the estimated loss allowances in loans and advances and debt securities measured at amortized cost. Changes in gross accounting balances of loans and advances at amortized cost. Year 2023 (Millions of Euros) Stage 1 Stage 2 Stage 3 Total Balance at the beginning 199,328 19,678 7,461 226,467 Transfers of financial assets: (7,880) 5,746 2,134 — Transfers from stage 1 to Stage 2 (11,089) 11,089 — — Transfers from stage 2 to Stage 1 4,317 (4,317) — — Transfers to Stage 3 (1,167) (1,718) 2,885 — Transfers from Stage 3 59 692 (751) — Net annual origination of financial assets 9,211 (2,469) (989) 5,753 Becoming write-offs — — (541) (541) Foreign exchange (241) (2) — (243) Modifications that do not result in derecognition — — — — Other — — — — Balance at the end 200,418 22,953 8,065 231,436 Changes in allowances of loans and advances at amortized cost. Year 2023 (Millions of Euros) Stage 1 Stage 2 Stage 3 Total Balance at the beginning 479 765 3,586 4,830 Transfers of financial assets: (10) 133 519 642 Transfers from stage 1 to stage 2 (19) 209 — 190 Transfers from stage 2 to stage 1 16 (114) — (98) Transfers to stage 3 (7) (20) 710 683 Transfers from stage 3 — 58 (191) (133) Net annual origination of allowances 47 (47) (288) (288) Becoming write-offs — — (469) (469) Other (40) (132) 33 (139) Balance at the end 476 719 3,381 4,576 52 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. For the year ended December 31,2023, the impairment charges recognized under the heading “Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification" amounted to €677 million (€521 million for the year ended December 31, 2022) (see Note 42). Changes in gross accounting balances of loans and advances at amortized cost. Year 2022 (Millions of Euros) Stage 1 stage 2 Stage 3 Total Balance at the beginning 184,700 21,381 8,137 214,218 Transfers of financial assets: (2,096) 1,184 912 — Transfers from stage 1 to stage 2 (7,481) 7,481 — — Transfers from stage 2 to stage 1 5,958 (5,958) — — Transfers to stage 3 (719) (1,087) 1,806 — Transfers from stage 3 146 748 (894) — Net annual origination of financial assets 16,241 (2,894) (1,049) 12,298 Becoming write-offs — — (539) (539) Foreign exchange 483 7 — 489 Modifications that do not result in derecognition — — — — Other — — — — Balance at the end 199,328 19,678 7,461 226,467 Changes in allowances of loans and advances at amortized cost. Year 2022 (Millions of Euros) Stage 1 Stage 2 Stage 3 Total Balance at the beginning 679 934 3,641 5,254 Transfers of financial assets: (23) (38) 371 310 Transfers from stage 1 to stage 2 (35) 142 — 107 Transfers from stage 2 to stage 1 18 (187) — (169) Transfers to stage 3 (7) (45) 524 472 Transfers from stage 3 1 52 (153) (100) Net annual origination of allowances (124) (29) 42 (111) Becoming write-offs — — (462) (462) Foreign exchange 1 — — 1 Modifications that do not result in derecognition — — — — Other (54) (102) (6) (162) Balance at the end 479 765 3,586 4,830 The loss allowances recorded in the attached balance sheet to cover the impairment estimated in the debt securities amounted to €21 and €27 million as of December 31, 2023 and 2022 respectively. The variation is mainly due to changes due to variation in credit risk. Additionally, the loss allowances recorded in the attached balance sheet to cover the impairment estimated in the commitments and guarantees given amounted to €240 and €280 million as of December 31, 2023 and 2022 respectively (see Note 21). 5.3 Structural risk The structural risks are defined, in general terms, as the possibility of suffering losses in the banking book due to adverse movements in market risk factors. In the BBVA, the following types of structural risks are defined, according to their nature: interest rate risk, credit spread risk, exchange rate risk and equity risk. The scope of structural risks in the Bank excludes market risks in the trading book that are clearly delimited and separated and make up the type of Market Risks. The Assets and Liabilities Committee (ALCO) is the main responsible body for the management of structural risks regarding liquidity/ funding, interest rate, credit spread, currency, equity and solvency. Every month, with the participation of the CEO and representatives from the areas of Finance, Risks and Business Areas, this committee monitors the structural risks and is presented with proposals with regard to action plans related with its management for its approval. These management proposals are made by the Finance area with a forward-looking focus, maintaining the alignment with the risk appetite framework, trying to guarantee the recurrence of results and financial stability, as well as to preserve the solvency of the entity. All balance sheet management units have a local ALCO, which is permanently attended by members of the Corporate Center, and there is a corporate ALCO where management strategies are monitored and presented in the Group's subsidiaries. 53 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The GRM area acts as an independent unit, ensuring adequate separation between the management and risk control functions, and is responsible for ensuring that the structural risks in the Group are managed according to the strategy approved by the Board of Directors. Consequently, GRM deals with the identification, measurement, monitoring and control of those risks and their reporting to the corresponding corporate bodies. Through the GRMC, it performs the function of control and risk assessment and is responsible for developing the strategies, policies, procedures and infrastructure necessary to identify, evaluate, measure and manage the significant risks that the BBVA Group faces. To this end, GRM, through the corporate unit of Structural Risks, proposes a scheme of limits that defines the risk appetite set for each of the relevant structural risk types, both at Group level and by management units, which will be reviewed annually, reporting the situation periodically to the Group's corporate bodies as well as to the GRMC. Additionally, both the management system and the control and measurement system for structural risks are necessarily adjusted to the Group's internal control model, complying with the evaluation and certification processes that comprise it. In this sense, the tasks and controls necessary for its scope of action have been identified and documented, supporting a regulatory framework which includes specific processes and measures for structural risks, from a broad geographical perspective. Within the three lines of defense scheme in which BBVA's internal control model is based according to the most advanced standards in terms of internal control, the first line of defense is maintained by the Finance area, which is responsible for managing the structural risk. As a second line of defense, GRM is in charge of identifying risks, and establishing policies and control models, periodically evaluating their effectiveness. In the second line of defense, there are also the Internal Risk Control units, which independently review the Structural Risk control, and Internal Financial Control, which carries out a review of the design and effectiveness of the operational controls over structural risk management. The third line of defense is represented by the Internal Audit area, an independent unit within BBVA Group, which is responsible for reviewing specific controls and processes. 5.3.1 Interest rate risk and credit spread in the banking book The structural interest-rate risk (hereinafter, "IRRBB") is related to the potential impact that variations in market interest rates may have on an entity's earnings, through the impact on net interest income and on the valuation of instruments accounted for at fair value, as well as on the equity. In order to properly measure IRRBB, BBVA Group takes into account all the main sources of this risk: repricing risk, yield curve risk, option risk and basis risk. Furthermore, the credit spread risk in the banking book ("CSRBB") arises from the potential impact on the entity´s earnings and/or the value of equity of the banking book produced by a variation in the level of market credit spreads that are not explained by default or migration risk or by movements in market interest rates. IRRBB and CSRBB management is carried out from a double perspective, the economic value of equity and earnings, including the management of net interest income and the monitorization of banking book instruments accounted at fair value with an impact on the income statement and/or on equity. In addition, the banking book instruments recorded based on their market value (fair value) are subject to specific monitoring, due to their impact on risk and on capital, through other comprehensive income or the income statement. The exposure of a financial entity to adverse interest rates movements is a risk inherent to the development of the banking business, which is also, in turn, an opportunity to create economic value. Therefore, interest rate risk must be effectively managed so that it is limited in accordance with the entity’s equity and in line with the expected economic result. In BBVA, the purpose of structural interest rate risk management is to maintain the stability of the net interest income in the event of interest rate fluctuations. It contributes to a recurrent generation of earnings, limit the capital consumption due to structural interest rate risk and monitor potential mark-to-market impacts on “held to collect and sell” (HtC&S) portfolios. Likewise, the spread risk management in banking book portfolios is aimed at limiting the impact on the valuation of fixed income instruments, which are used for balance sheet liquidity and interest rate risk management purposes in order to increase diversification, and maintain the spread risk at levels aligned with the total volume of the investment portfolio and the equity of the Bank. These functions falls to the Global ALM (Asset & Liability Management) unit, within the Finance area, who, through ALCO, aims to guarantee the recurrence of results and preserve the solvency of the entity, always adhering to the risk profile defined by the management bodies of the Bank. Structural interest rate risk management is decentralized, and is carried out independently in each entity included in the structural balance sheet (banking book) of the Bank, keeping the exposure to interest rates and credit spreads movements aligned with the strategy and the target risk profile of the Bank, and in compliance with the regulatory requirements according to the EBA guidelines. 54 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Nature of interest rate risk and credit spread risk Repricing risk arises due to the difference between the repricing or maturity terms of the assets and liabilities, and represents the most frequent interest rate risk faced by financial entities. However, other sources of risk such as changes in the slope and shape of the yield curve, the reference to different indexes and the optionality risk embedded in certain banking transactions, are also taken into account by the risk control system. BBVA's structural interest-rate risk management and control process includes a set of metrics and tools that enable the capture of additional sources to properly monitor the risk profile of the Bank, backed-up by assumptions that aim to characterize the behavioral of the balance sheet items with the maximum accuracy. The IRRBB and CSRBB measurement is carried out on a monthly basis, and includes probabilistic measures based on simulation methods of interest rate curves and credit spread shocks. The corporate methodology enables to capture additional sources of risk to the interest rate parallel shifts, such as the changes in slope shape and the basis of yield curves. Additionally, sensitivity analysis to multiple parallel shocks of different magnitude are also assessed on a regular basis. The process is ran separately for each currency to which the Bank is exposed. The risk measurement model is complemented by the assessment of ad-hoc scenarios, stress tests and reverse stress. Stress tests incorporate extreme scenarios both in market interest rates and in behavioral assumptions, in addition to the assessment of market scenarios by BBVA Research and the set of prescriptive scenarios defined according to EBA guidelines. The internal measurement systems and models are subjected to a process of review and continuous improvement in order to keep them aligned with EBA guidelines. Key assumptions of the model In order to measure structural interest rate risk, the setting of assumptions on the evolution and behavior of certain balance sheet items is particularly relevant, especially those related to products without an explicit or contractual maturity which characteristics are not established in their contractual terms and must be therefore estimated. The assumptions that characterize these balance sheet items must be understandable for the areas and bodies involved in risk management and control and remain duly updated, justified and documented. The modeling of these assumptions must be conceptually reasonable and consistent with the evidence based on historical experience, reviewed at least once a year and, if any, the behavior of the customers induced by the business areas. These assumptions are regularly subject to a sensitivity analysis to assess and understand the impact of the modelling on the risk metrics. The approval and update of the IRRBB behavioral models is subject to the corporate governance under the scope of GRM analytics. Thus, all the models must be duly inventoried and catalogued and comply with the requirements for their development, updating and changes management set out in the internal procedures. They are also subject to the corresponding internal validations and follow-up requirements established based on their relevance, as well as to backtesting procedures against experience to ratify the validity of the assumptions applied. The balance sheet behavioral assumptions stand out those established for the treatment of items without contractual maturity, mainly for demand customer deposits, and those related to the expectations on the exercise of interest rate options, especially relating to loans and deposits subject to prepayment risk. For the modelling of demand deposits, a segmentation of the accounts in several categories is previously carried out depending on the characteristics of the customer (retail / wholesale) and the product (type of account / transactionality / remuneration), in order to outline the specific behavior of each segment. In order to establish the remuneration of each segment, the relationship between the evolution of market interest rates and the interest rates of managed accounts is analyzed, with the aim of determining the translation dynamic (percentages and lags) of interest rates variations to the remuneration of the accounts. In this regard, consideration is given to the potential limitations in the repricing of these accounts in scenarios of low or negative rates, with special attention to retail customers, through the establishment of floors in the remuneration. The behavior assigned to each category of accounts is determined by an analysis of the historical evolution of the balances and the probability of cancellation of the accounts. For this, the volatile part of the balance assigned to a short-term maturity is isolated, thus avoiding fluctuations in the level of risk caused by specific variations in the balances and promoting stability in the management of the balance. Once the stable part is identified, a medium / long term maturity model is applied through a decay distribution based on the average term of the accounts and the conditional cancellation probabilities throughout the life of the product. In addition, the behavior modeling incorporates, where appropriate, the relationship between the evolution of the balance of deposits and the levels of market interest rates, especially in low rate environments. Consequently, the effect of rate variations on the stability of the deposits as well as the potential migration between the different types of products (on demand and time deposits) in each interest rate scenario are incorporated. 55 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Equally relevant is the treatment of early cancellation options embedded in credit loans, mortgage portfolios and customer deposits. The evolution of market interest rates may condition, along with other variables, the incentive that customers have to prepay loans or deposits, modifying the future behavior of the balance amounts with respect to the forecasted contractual maturity schedule. The detailed analysis of the historical information related to prepayment data, both partial and total prepayment, combined with other variables such as interest rates, allows estimating future amortizations and, where appropriate, their behavior linked to the evolution of such variables through the relationship between the incentive of the customer to prepay and the early cancellation speed. At an aggregate level, BBVA continues to maintain a moderate risk profile, in accordance with the established objective, having positive sensitivity to interest rate hikes in the net interest income. Regarding relevant events in the financial markets in 2023, the first quarters of the year were characterized by a persistent high level of inflation in most of the countries where the Group operates and strong growth indicators. As a result thereof, both the ECB and the Fed have consolidated their hawkish messages of high interest rates for a longer time. This positioning from the monetary authorities contributed negatively to the sovereign curves to certain rises on the valuation of the Group's debt portfolios. However, in the last quarter of the year, decreasing inflation data and expectancies converging towards central bank objectives, together with the weakening of some macroeconomic indicators may mean that the rate hike cycle has come to an end in Europe and in the United States and to the market discounting rate drops by mid-2024. This has triggered a fall in sovereign bond profitability and it has caused a positive performance in most debt portfolios of the Group. Other peripheral rate curve spreads remain supported. In Mexico, the rate hike cycle is also considered to be over, while in most countries of South America, interest rate cuts have started taking place. For the contrary, the Central Bank of Turkey has continued the tightening of its monetary policy launched in June with significant rate hikes. Spain has a balance sheet characterized by a lending portfolio with high proportion of variable-rate loans (mortgages and corporate lending) and liabilities composed mainly by customer demand deposits. The ALCO portfolio acts as a management lever and hedge for the balance sheet, mitigating its sensitivity to interest rate fluctuations. In an environment of high rates, currently close to their market-predicted terminal rates, the interest rate risk profile of the balance sheet has been reduced during the year. On the other hand, the ECB left rates unchanged in the last quarter of the year, bringing the benchmark interest rate to 4.5%, the marginal deposit facility rate at 4.0% and the marginal loan facility rate at 4.75% as of December 31, 2023. The market expects there to be a first rate drop in the first half of 2024 and, in this environment, the Euribor 6 and 12 month reference rates fell in the fourth quarter of 2023, starting to reflect these expectations, while shorter term benchmark rates remained broadly stable. All in all, the customer spread benefited in 2023 from asset repricing and the containment in the cost of deposits, yet at a slower pace during the last quarter of the year. 5.3.2 Equity risk in the banking book Equity risk in the banking book refers to the possibility of suffering losses in the value of positions in shares and other equity instruments held in the banking book with long or medium term investment horizons due to fluctuations in the value of equity indexes or shares. BBVA Group's exposure to structural equity risk arises largely from minority shareholdings held on industrial and financial companies, and in new business (innovation). This exposure is modulated in some portfolios with positions held on derivative instruments on the same underlying assets, in order to adjust the portfolio sensitivity to potential changes in equity prices. The structural equity risk management is aimed at increasing the income-generating capacity of those shares held by the Group, limiting the capital requirements for equity risk and narrowing the impact on the solvency level through a proactive management of the portfolio using hedges. The function of managing the main structural equity portfolios is a responsibility of the specialized units of the corporate areas of Global ALM, Strategy & M&A and Client Solutions (Banking for Growth Companies). Their activity is subject to the corporate structural equity risk management policy, complying with the defined management principles and Risk Appetite Framework. The structural equity risk metrics, designed by GRM according to the corporate model, contribute to the effective monitoring of the risk by estimating the sensitivity and the capital necessary to cover the possible unexpected losses due to changes in the value of the shareholdings in the Group's investment portfolio, with a level of confidence that corresponds to the objective rating of the entity, taking into account the liquidity of the positions and the statistical behavior of the assets to be considered. In order to analyze the risk profile in depth, stress tests and scenario analysis of sensitivity to different simulated scenarios are carried out. They are based on both past crisis situations and forecasts made by BBVA Research. These analyses are carried out regularly to assess the vulnerabilities of structural equity exposure not contemplated by the risk metrics and to serve as an additional tool when making management decisions. Backtesting is carried out on a regular basis on the risk measurement model used. Equity markets in Europe and the United States posted significant gains in 2023 due to higher economic growth than expected at the beginning of the year and falling inflation, leading a process of gradual relaxation of monetary conditions approximately towards mid-2024. In Europe, the banking sector was one of the best performers, managing to surpass pre-pandemic levels. The Spanish stock market outperformed both European stock market indices and the local indices of the main European countries. Finally, Telefónica, where the Group maintains a stake as equity in the banking book, rose slightly less than the indices but significantly more than the European telecommunications sector. 56 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Structural equity risk, measured in terms of economic capital, has raised during the last year due to the higher exposure taken. The aggregate sensitivity of the BBVA Group’s consolidated equity to a 1% fall in the price of shares of the companies making up the equity portfolio amounted to €-24 million as of December 31, 2023 , same as of December 31, 2022. This estimation takes into account the exposure in shares valued at market prices, or if not applicable, at fair value (excluding the positions in the Treasury Area portfolios) and the net delta-equivalent positions in derivatives on the same underlyings. 5.3.3 IBOR reform The transition from IBOR to Risk Free Rate (hereinafter "RFR") was considered a complex initiative, which affected the Bank in different geographical areas and business lines, as well as a multitude of products, systems and processes. The main risks to which the Bank was exposed due to the transition were: (1) risk of litigation related to the products and services offered by the Bank; (2) legal risks derived from changes in the documentation required for existing operations; (3) financial and accounting risks, derived from market risk models and from the valuation, hedging, cancellation and recognition of financial instruments associated with reference indices; (4) price risk, derived from how changes in the indices could impact the price determination mechanisms of certain instruments; (5) operational risks, as the reform could require changes to the Bank's IT systems, business reporting infrastructure, operational processes and controls, and (6) conduct risks arising from the potential impact of customer communications during the transition period, which could lead to customer complaints, regulatory sanctions or reputational impact. Thus, the Bank established a transition project, provided with a robust governance structure, taking into account the different transition approaches and deadlines to the new RFR when evaluating the various risks associated with the transition, as well as defining the lines of action in order to mitigate them. BBVA actively collaborated in the IBOR transition, both through its support and participation in the sectorial working groups and for its commitment to amend the contracts with its counterparties. In this sense, BBVA carried out a process of communication and contact with counterparties to modify the terms of contractual relations in such a way that such agreements have been modified using different mechanisms: through the inclusion of addenda to the contracts, by the adherence to industry standard protocols, the transition of operations by clearing house, the cancellation of contracts and subscription of new ones, or by the transition through other legislative mechanisms. This process has been managed through the monitoring mechanisms and indicators that have been developed by the working groups within the Bank. In relation to the indices affected by the reform, the transition of the EONIA indices and LIBOR GBP, CHF, JPY and EUR has already been completed satisfactorily in the Bank. In the case of the EURIBOR, the European authorities have promoted modifications in its methodology so that it meets the requirements of the European Regulation of Reference Indices, for which reason the cessation of this rate is not foreseen at the moment. Regarding USD LIBOR, the only rate to which BBVA has exposure as of December 31, 2023, BBVA is actively working to modify all its contracts referenced to this rate to the corresponding RFR (SOFR, Secured Overnight Financing Rate). The Financial Conduct Authority (FCA) has announced its decision to publish USD LIBOR under a "synthetic" methodology not representative for the 1, 3 and 6 months tenors until September 30, 2024.The Bank's exposure to financial assets and liabilities pending transition to the new RFR is no significant. 5.4 Market risk Market risk originates from the possibility of experiencing losses in the value of positions held as a result of movements in market variables that affect the valuation of financial assets and liabilities. Market risk in the Bank's trading portfolios stems mainly from the portfolios originated by Global Markets valued at fair value and held for the purpose of trading and generating short-term results. Market risk in the field of banking book is clearly and distinctly addressed and can be broken down into structural risks relating to interest rate, exchange rate and equity (see Note 5.3). 5.4.1 Market risk in trading portfolios The main risks in the trading portfolios can be classified as follows: – Interest-rate risk: This arises as a result of exposure to movements in the different interest-rate curves involved in trading. Although the typical products that generate sensitivity to the movements in interest rates are money-market products (deposits, interest-rate futures, call money swaps, etc.) and traditional interest-rate derivatives (swaps and interest-rate options such as caps, floors, swaptions, etc.), practically all the financial products are exposed to interest-rate movements due to the effect that such movements have on the valuation of the financial discount. – Equity risk: This arises as a result of movements in share prices. This risk is generated in spot positions in shares or any derivative products whose underlying asset is a share or an equity index. Dividend risk is a sub-risk of equity risk, arising as an input for any equity option. Its variation may affect the valuation of positions and it is therefore a factor that generates risk on the books. – Exchange-rate risk: This is caused by movements in the exchange rates of the different currencies in which a position is held. As in the case of equity risk, this risk is generated in spot currency positions, and in any derivative product whose underlying asset is an exchange rate. In addition, the quanto effect (operations where the underlying asset and the instrument itself are denominated in different currencies) means that in certain transactions in which the underlying asset is not a currency, an exchange-rate risk is generated that has to be measured and monitored. – Credit-spread risk: Credit spread is an indicator of an issuer's credit quality. Spread risk occurs due to variations in the levels of spread of both corporate and government issues, and affects positions in bonds and credit derivatives. 57 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Volatility risk: This occurs as a result of changes in the levels of implied price volatility of the different market instruments on which derivatives are traded. This risk, unlike the others, is exclusively a component of trading in derivatives and is defined as a first-order convexity risk that is generated in all possible underlying assets in which there are products with options that require a volatility input for their valuation. The metrics developed to control and monitor market risk in the Bank are aligned with market practices and are implemented consistently across all the local market risk units. Measurement procedures are established in terms of the possible impact of negative market conditions on the trading portfolio of the Bank's Global Markets units, both under ordinary circumstances and in situations of heightened risk factors. The standard metric used to measure market risk is Value at Risk (hereinafter “VaR”), which indicates the maximum loss that may occur in the portfolios at a given confidence level (99%) and time horizon (one day).This statistic value is widely used in the market and has the advantage of summing up in a single metric the risks inherent to trading activity, taking into account how they are related and providing a prediction of the loss that the trading book could sustain as a result of fluctuations in equity prices, interest rates, foreign exchange rates and credit spreads. Additionally, for certain positions, other risks need to be considered, such as a credit spread, base, volatility or correlation risk. With respect to the risk measurement models used by the BBVA, the Bank of Spain has authorized the use of the internal market risk model to determine bank capital requirements deriving from risk positions on the BBVA S.A. The current management structure includes the monitoring of market-risk limits, consisting of a scheme of limits based on specific metrics according to market activities, (VaR (Value at Risk), economic capital, as well as stop-loss limits for each of the Bank’s business units). The model used estimates VaR in accordance with the historical simulation methodology, which involves estimating losses and gains that would have taken place in the current portfolio if the changes in market conditions that took place over a specific period of time in the past were repeated. Based on this information, it predicts the maximum expected loss of the current portfolio within a given confidence level. This model has the advantage of reflecting precisely the historical distribution of the market variables and not assuming any specific distribution of probability. The historical period used in this model is two years. VaR figures are estimated with the following methodologies: – VaR without smoothing, which awards equal weight to the daily information for the previous two years. This is currently the official methodology for measuring market risks for the purpose of monitoring compliance with risk limits. – VaR with smoothing, which gives a greater weight to more recent market information. This metric supplements the previous one. The use of VaR by historical simulation methodology as a risk metric has many advantages, but also certain limitations, among which it is worth highlighting: – The estimate of the maximum daily loss of the Global Markets portfolio positions (with a confidence level of 99%) depends on the market movements of the last two years, not picking up the impact of large market events if they have not occurred within that historical window – The use of the 99% confidence level does not consider potential losses that can occur beyond this level. To mitigate this limitation, different stress exercises are also performed, as described later. At the same time, and following the guidelines established by the Spanish and European authorities, BBVA incorporates metrics in addition to VaR with the aim of meeting the Bank of Spain's regulatory requirements with respect to the calculation of bank capital for the trading book. Specifically, the measures incorporated in the Group since December 2011 (stipulated by Basel 2.5) are: – VaR: In regulatory terms, the VaR charge incorporates the stressed VaR charge, and the sum of the two (VaR and stressed VaR) is calculated. This quantifies the losses associated with the movements of the risk factors inherent to market operations (including interest-rate risk, exchange-rate risk, equity risk and credit risk, among others). Both VaR and stressed VaR are rescaled by a regulatory multiplier (between three and four) and by the square root of ten to calculate the capital charge. – Specific Risk - Incremental Risk Capital (“IRC”). Quantification of the risks of default and changes of the credit ratings of the bond and derivative positions and debt funds with daily look-through or significant benchmark (correlation > 90%) in the trading portfolio. The IRC charge is exclusively applied in entities in respect of which the internal market risk model is used (i.e. BBVA, S.A. and BBVA Mexico). The IRC charge is determined based on the associated losses (calculated at 99.9% confidence level over a one year horizon under the hypothesis of constant risk) due to a rating change and/or default of the issuer with respect to an asset. In addition, the price risk is included in sovereign positions for the specified items. 58 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Specific Risk: Securitization, correlation portfolios and Investment funds without look-through. Capital charges for securitizations and correlation portfolios are assessed based on the potential losses associated with the occurrence of a credit event in the underlying exposures. They are calculated by the standard model. The scope of the correlations portfolios refers to the First To Default (FTD)-type market operation and/or tranches of market CDOs and only for positions with an active market and hedging capacity. Capital charge for Funds include losses associated with volatility and credit risk of the underling positions of the fund. All charges are calculated by the standard model. Validity tests are performed regularly on the risk measurement models used by the Bank. They estimate the maximum loss that could have been incurred in the assessed positions with a certain level of probability (backtesting), as well as measurements of the impact of extreme market events on risk positions (stress testing). As an additional control measure, backtesting is conducted at a trading desk level in order to enable more specific monitoring of the validity of the measurement models. Market risk in 2023 The Bank’s market risk related to its trading portfolio remained in 2023 at low levels compared to other risks managed by BBVA, particularly credit risk. This is due to the nature of the business. In 2023, the market risk of trading book has decreased versus the previous year and, in terms of VaR, stood at €15 million at the close of the period. The average VaR for 2023 stood at €12 million, same as registered in 2022, with a high for the year on April 25, 2023 at €17 million. By type of market risk assumed by the Bank’s trading portfolio, the main risk factor in BBVA at the end of 2023 is still linked to the interest rates (this figure includes the spread risk) which represents a 60% of the total weight, increasing its relative weight compared to the year end 2022 (44%). The weight associated with the exchange rate and variable income risk is 12% and 9% respectively, at the end of the 2023 financial year, a decrease compared to the end of the 2022 financial year, where they represented 28% and 18% respectively. The risk related to volatility and correlation accounts represent 19% of the total weight at the end of 2023, increasing its proportion with respect to the end of the 2022 (10%). 59 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Market risk by risk factor (Millions of euros) 2023 2022 Interest + credit spread 20 16 Exchange rate 4 10 Equity 3 7 Volatility 6 4 Diversification effect (1) (19) (23) Total 15 14 Average VaR 12 12 Maximum VaR 17 18 Minimum VaR 8 8 (1) The diversification effect is the difference between the sum of the average individual risk factors and the total VaR figure that includes the implied correlation between all the variables and scenarios used in the measurement. Validation of the model The internal market risk model is validated on a regular basis by backtesting in BBVA S.A. The aim of backtesting is to validate the quality and precision of the internal market risk model used by BBVA Group to estimate the maximum daily loss of a portfolio, at a 99% level of confidence and a 250-day time horizon, by comparing the Group's results and the risk measurements generated by the internal market risk model. These tests showed that the internal market risk model of BBVA, S.A. is adequate and precise. Two types of backtesting have been carried out in 2023 and 2022: – "Hypothetical" backtesting: the daily VaR is compared with the results obtained, not taking into account the intraday results or the changes in the portfolio positions. This validates the appropriateness of the market risk metrics for the end-of-day position. – "Real" backtesting: the daily VaR is compared with the total results, including intraday transactions, but discounting the possible minimum charges or fees involved. This type of backtesting includes the intraday risk in portfolios. In addition, each of these two types of backtesting was carried out at a risk factor or business type level, thus making a deeper comparison of the results with respect to risk measurements. For the period between the year ended December 31, 2022 and the year ended December 31, 2023,the backtesting of the internal VaR calculation model was carried out, comparing the daily results obtained to the risk level estimated by the internal VaR calculation model. In that period, there were none negative exception in BBVA S.A. At the end of the year the comparison showed the internal VaR calculation model was working correctly, within the "green" zone (0-4 exceptions), thus validating the internal VaR calculation model, as has been the case each year since the internal market risk model was approved for the Bank. Stress testing analysis A number of stress tests are carried out on BBVA's trading portfolios. First, global and local historical scenarios are used that replicate the behavior of an extreme past event, such as for example the collapse of Lehman Brothers or the "Tequilazo" crisis. These stress tests are complemented with simulated scenarios, where the aim is to generate scenarios that have a significant impact on the different portfolios, but without being anchored to any specific historical scenario. Finally, for some portfolios or positions, fixed stress tests are also carried out that have a significant impact on the market variables affecting these positions. Historical scenarios The historical benchmark stress scenario for BBVA is Lehman Brothers, whose sudden collapse in September 2008 led to a significant impact on the behavior of financial markets at a global level. The following are the most relevant effects of this historical scenario: – Credit shock: reflected mainly in the increase of credit spreads and downgrades in credit ratings. – Increased volatility in most of the financial markets (giving rise to a great deal of variation in the prices of different assets (currency, equity, debt). – Liquidity shock in the financial systems, reflected by a major movement in interbank curves, particularly in the shortest sections of the euro and dollar curves. 60 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Simulated scenarios Unlike the historical scenarios, which are fixed and therefore not suited to the composition of the risk portfolio at all times, the scenario used for the exercises of economic stress is based on resampling methodology. This methodology is based on the use of dynamic scenarios that are recalculated periodically depending on the main risks affecting the trading portfolios. On a data window wide enough to collect different periods of stress (data are taken from January 1, 2008 until the date of the assessment), a simulation is performed by resampling of historic observations, generating a distribution of losses and gains that serve to analyze the most extreme of births in the selected historical window. The advantage of this methodology is that the period of stress is not predetermined, but depends on the portfolio maintained at each time, and making a large number of simulations (10,000 simulations) allows a greater richness of information for the analysis of expected shortfall than what is available in the scenarios included in the calculation of VaR. The main features of this approach are: a) the generated simulations respect the correlation structure of the data, b) there is flexibility in the inclusion of new risk factors and c) it allows the introduction of a lot of variability in the simulations (desirable for considering extreme events). 5.4.2 Financial instruments offset Financial assets and liabilities may be netted in certain cases. In particular, they are presented for a net amount on the balance sheet only when the Bank satisfy the provisions of Bank of Spain Circular 4/2017 and IAS 32, so they have both the legal right to net recognized amounts, and the intention of settling the net amount or of realizing the asset and simultaneously paying the liability. In addition, the Bank has presented as gross amounts assets and liabilities on the balance sheet for which there are master netting arrangements in place, but for which there is no intention of settling the net amount. The most common types of events that trigger the netting of reciprocal obligations are bankruptcy of the entity, surpassing certain level of indebtedness threshold, failure to pay, restructuring and dissolution of the entity. In the current market context, derivatives are contracted under different framework contracts being the most widespread the ones developed by the International Swaps and Derivatives Association (“ISDA”) and, for the Spanish market, the Framework Agreement on Financial Transactions (“CMOF”). Almost all portfolio derivative transactions have been concluded under these framework contracts, including in them the netting clauses mentioned in the preceding paragraph as "Master Netting Agreement", greatly reducing the credit exposure on these instruments. Additionally, in contracts signed with counterparties, the collateral agreement annexes called Credit Support Annex (“CSA”) in ISDA and Appendix III in CMOF are included, thereby minimizing exposure to a potential default of the counterparty. Moreover, many of the transactions involving assets purchased or sold under a repurchase agreement are transacted through clearing houses that articulate mechanisms to reduce counterparty risk, as well as through the signing of various master agreements for bilateral transactions, the most widely used being the Global Master Repurchase Agreement (GMRA), published by the International Capital Market Association (“ICMA”), to which the clauses related to the collateral exchange are usually added within the text of the master agreement itself. 61 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. A summary of the effect of offsetting (via netting and collateral) for derivatives and securities operations is presented below as of December 31, 2023 and 2022: Effect of offsetting for derivatives and securities operation (Millions of Euros) 2023 2022 Gross amounts not offset in the balance sheets (D) Gross amounts not offset in the balance sheets (D) Gross amounts recognized (A) Gross amounts offset in the balance sheets (B) Net amount presented in the balance sheets (C=A-B) Financial instruments Cash collateral received/ Pledged Net amount (E=C-D) Gross amounts recognized (A) Gross amounts offset in the balance sheets (B) Net amount presented in the balance sheets (C=A-B) Financial instruments Cash collateral received/ Pledged Net amount (E=C-D) Trading and hedging derivatives 42,583 8,866 33,717 25,851 8,353 (487) 46,746 10,554 36,192 26,276 9,491 424 Reverse repurchase, securities borrowing and similar agreements 73,343 — 73,343 74,270 956 (1,883) 42,666 — 42,666 42,735 970 (1,039) Total assets 115,926 8,866 107,059 100,121 9,309 (2,370) 89,412 10,554 78,858 69,011 10,461 (615) Trading and hedging derivatives 39,556 8,866 30,690 25,851 6,477 (1,638) 44,107 10,554 33,553 26,276 7,619 (342) Repurchase, securities lending and similar agreements 88,768 — 88,768 89,844 2,002 (3,078) 42,477 — 42,477 40,798 586 1,093 Total liabilities 128,324 8,866 119,458 115,695 8,479 (4,716) 86,584 10,554 76,030 67,074 8,205 751 The amount of recognized financial instruments within derivatives includes the effect in case of compensation with counterparties with which the bank holds netting agreements, while, for repos, it reflects the market value of the collateral associated with the transaction. 5.5 Liquidity and Funding risk Liquidity and funding risk is defined as the incapacity of a bank in meeting its payment commitments due to lack of funds or that, to face those commitments, should have to make use of funding under burdensome terms. 5.5.1 Liquidity and Funding Strategy and Planning BBVA is a multinational financial institution whose business is focused mainly on retail and commercial banking activities. In addition to the retail business model, which forms its core business, the Group engages in corporate and investment banking, through the global CIB (Corporate & Investment Banking) division. Liquidity and Funding Risk Management aims to maintain a solid balance sheet structure which allows a sustainable business model. The Group’s liquidity and funding strategy is based on the following pillars: – The principle of the funding self-sufficiency of its subsidiaries, meaning that each of the Liquidity Management Units ("LMU") must cover its funding needs independently on the markets where it operates. This avoids possible contagion due to a crisis affecting one or more of the Group’s LMU. – Stable customer deposits as the main source of funding in all the LMU, in accordance with the Group’s business model. – Diversification of the sources of wholesale funding, in terms of maturity, market, instruments, counterparties and currencies, with recurring access to the markets. – Compliance with regulatory requirements, ensuring the availability of ample liquidity buffers, of high quality, as well as sufficient instruments as required by regulations with the capacity to absorb losses. – Compliance with the internal Liquidity Risk and Funding metrics, while adhering to the Risk Appetite level established for each LMU at any time. Liquidity and Funding Risk Management aims, in the short term, to prevent an entity from having difficulties in meeting its payment commitments in due time and form or that, to meet them, it has to resort to obtaining funds in burdensome conditions that deteriorate the image or reputation of the entity. In the medium term, its objective is to ensure the suitability of the Group's financial structure and its evolution, within the framework of the economic situation, the markets and regulatory changes. 62 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. This management of structural and liquidity funding is based on the principle of financial self-sufficiency of the entities that comprise it. This approach helps prevent and limit liquidity risk by reducing the Group’s vulnerability during periods of high risk. This decentralized management prevents possible contagion from a crisis affecting only one or a few Group entities, which must act independently to meet their liquidity requirements in the markets where they operate. Within this strategy, the BBVA Group is organized into eight LMU composed of the parent company and the bank subsidiaries in each geographical area, plus the branches that depend on them. In addition, the policy for managing liquidity and funding risk is also based on the model’s robustness and on the planning and integration of risk management into the budgeting process of each LMU, according to the liquidity and funding risk appetite that it decides to assume in its business. Liquidity and funding planning is part of the strategic processes for the Group’s budgetary and business planning. This objective is to allow a recurrent growth of the banking business with suitable maturities and costs within the established risk tolerance levels by using a wide range of instruments which allow the diversification of the funding sources and the maintenance of a high volume of available liquid assets. 5.5.2 Governance, monitoring and mitigation measures The responsibility for liquidity and funding management in the development of normal business activity lies with the Finance area as a first line of defense in managing the risks inherent to this activity, in accordance with the principles established by the European Banking Authority (EBA) and in line with the most demanding standards, policies, procedures and controls in the framework established by the governing bodies. Finance, through the Balance-Sheet Management area, plans and executes the funding of the structural long-term gap and proposes to the Assets and Liabilities Committee (ALCO) the actions to be taken on this matter, in accordance with the policies established by the Risk Committee in line with the metrics of the Risk Appetite Framework approved by the Board of Directors. Finance is also responsible for preparing the regulatory reporting of liquidity, coordinating the necessary processes to cover the requirements at corporate and regulatory level, ensuring the integrity of the information provided. GRM is responsible for ensuring that the liquidity and financing risk in the Bank is managed in accordance with the framework established by governing bodies. It also deals with the identification, measurement, monitoring and control of such risks and their communication to the relevant corporate bodies. In order to carry out this task properly, the risk function in the Bank has been configured as a single, global function, independent of the management areas. Additionally, the Bank has, in its second line of defense, an Internal Risk Control unit, which performs an independent review of the control of Liquidity and Funding Risk, and a Financial Internal Control Unit that reviews the design and effectiveness of the controls operations on liquidity management and reporting. As the third line of defense of the Group's internal control model, Internal Audit is in charge of reviewing specific controls and processes in accordance with a work plan that is drawn up annually. The Bank’s fundamental objectives regarding the liquidity and funding risk are determined through the Liquidity Coverage Ratio (LCR) and through the Loan-to-Stable Customer Deposits (LtSCD) ratio. The LCR ratio is a regulatory metric that aims to guarantee the resilience of entities in a scenario of liquidity tension within a time horizon of 30 days. Within its risk appetite framework and system of limits and alerts, BBVA has established a required LCR compliance level. The internal levels required are aimed at efficiently meeting the regulatory requirement, at a loose level above 100% as a mitigation measure. The LtSCD ratio measures the relationship between net lending and stable customer funds. The aim is to preserve a stable funding structure in the medium term, taking into account that maintaining an adequate volume of stable customer funds is key to achieving a sound liquidity profile. In geographical areas with dual-currency balances, the indicator is also controlled by currency to manage the mismatches that might occur. Stable customer funds are considered to be the financing obtained and managed among their target customers. Those funds are characterized by their low sensitivity to market changes and by their less volatile behavior at aggregated level per operation due to the loyalty of the customer to the entity. The stable resources are calculated by applying to each identified customer segment a haircut determined by the analysis of the stability if the balances by which different aspects are evaluated (concentration, stability, level of loyalty). The main source of stable resources arises from wholesale funding and retail customer funds. In order to establish the target (maximum) levels of LtSCD and provide an optimal funding structure reference in terms of risk appetite, the Structural Risks of GRM identifies and assesses the economic and financial variables that condition the funding structures. 63 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Additionally, liquidity and funding risk management aims to achieve a proper diversification of the funding structure, avoiding excessive dependence on short-term funding by establishing a maximum level for the short-term funds raised, including both wholesale financing and the least stable proportion of customer funds In relation to long-term financing, the maturity profile does not present significant concentrations, which makes it possible to adapt the schedule of the planned issuance plan to the best financial conditions in the markets. Lastly, concentration risk is monitored with the aim of ensuring a correct diversification of both the counterparty and type of instrument. One of the fundamental metrics within the general management framework of the liquidity and funding risk is the maintenance of a liquidity buffer consisting of high quality assets free of charges which can be sold or offered as collateral to obtain funding, either under normal market conditions or in stress situations. The Finance area is responsible for the collateral management and determining the liquidity buffer within BBVA. In addition, the liquidity buffer must be aligned with the liquidity and funding risk tolerance as well as the management limits set and approved for each case. In this context, the short-term resistance of the liquidity risk profile is promoted, to ensure that each LMU has sufficient collateral to deal with the risk of the closing of wholesale markets. Basic capacity is the internal metric for the management and control of short- term liquidity risk, which is defined as the relationship between the explicit assets available and the maturities of wholesale liabilities and volatile resources, at different time periods up to one year, with special relevance at 30 and 90 days, with the objective of preserving the survival period above 3 months with the available buffer, without considering the balance inflows. As a fundamental element of the liquidity and financing risk monitoring scheme, stress tests are carried out. They enable to anticipate deviations from the liquidity targets and the limits set in the appetite, and to establish tolerance ranges in the different management areas. They also play a major role in the design of the Liquidity Contingency Plan and the definition of specific measures to be adopted to rectify the risk profile if necessary. For each scenario, it is checked whether BBVA has a sufficient stock of liquid assets to guarantee its capacity to meet the liquidity commitments/outflows in the different periods analyzed. The analysis considers four scenarios: one central and three crisis-related (systemic crisis; unexpected internal crisis with a considerable rating downgrade and/or affecting the ability to issue in wholesale markets and the perception of business risk by the banking intermediaries and the entity’s clients; and a mixed scenario, as a combination of the two aforementioned scenarios). Each scenario considers the following factors: existing market liquidity, customer behavior and sources of funding, the impact of rating downgrades, market values of liquid assets and collateral, and the interaction between liquidity requirements and the development of BBVA's credit quality. The stress tests conducted on a regular basis by GRM reveal that BBVA maintains a sufficient buffer of liquid assets to deal with the estimated liquidity outflows in a scenario resulting from the combination of a systemic crisis and an unexpected internal crisis, during a period of longer than 3 months in general, including in the scenario of a significant downgrade of the Bank’s rating by up to three notches. Together with the results of the stress tests and the risk metrics, the early warning indicators play an important role within the corporate model and the Liquidity Contingency Plan. They are mainly indicators of the funding structure, in relation to asset encumbrance, counterparty concentration, flights of customer deposits, unexpected use of credit facilities, and of the market, which help anticipate possible risks and capture market expectations. Finance is the area responsible for the elaboration, monitoring, execution and update of the liquidity and funding plan and of the market access strategy to guarantee and improve the stability and diversification of the wholesale funding sources. In order to implement and establish management in an anticipated manner, limits are set on an annual basis for the main management metrics that form part of the budgeting process for the liquidity and funding plan. This framework of limits contributes to the planning of the joint future performance of: – The loan book, considering the types of assets and their degree of liquidity, as well as their validity as collateral in collateralized funding. – Stable customer funds, based on the application of a methodology for establishing which segments and customer balances are considered to be stable or volatile funds based on the principle of sustainability and recurrence of these funds. – Projection of the credit gap, in order to require a degree of self-funding that is defined in terms of the difference between the loan-book and stable customer funds. – Incorporating the planning of securities portfolios into the banking book, which include both fixed-interest and equity securities, and are classified as financial assets at fair value through other comprehensive income and at amortized cost, and additionally on trading portfolios. – The structural gap projection, as a result of assessing the funding needs generated both from the credit gap and by the securities portfolio in the banking book, together with the rest of on-balance-sheet wholesale funding needs, excluding trading portfolios. This gap therefore needs to be funded with customer funds that are not considered stable or on wholesale markets. 64 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. As a result of these funding needs, BBVA plans the target wholesale funding structure according to the tolerance set. Thus, once the structural gap has been identified and after resorting to wholesale markets, the amount and composition of wholesale structural funding is established in subsequent years, in order to maintain a diversified funding mix and guarantee that there is not a high reliance on short-term funding (short-term wholesale funding plus volatile customer funds). In practice, the execution of the principles of planning and self-funding at the different LMU results in BBVA’s main source of funding being customer deposits, which consist mainly of demand deposits, savings deposits and time deposits. As sources of funding, customer deposits are complemented by access to the interbank market and the domestic and international capital markets in order to address additional liquidity requirements, implementing domestic and international programs for the issuance of commercial paper and medium and long-term debt. The process of analysis and assessment of the liquidity and funding situation and of the inherent risks is a process carried out on an ongoing basis at BBVA, with the participation of all the Group areas involved in liquidity and funding risk management. This process is carried out at both local and corporate level. It is incorporated into the decision- making process for liquidity and funding management, with integration between the risk appetite strategy and establishment and the planning process, the funding plan and the limits scheme. The table below shows the liquidity available by instrument as of December 31, 2023 and 2022 for the most significant entities based on prudential supervisor’s information (Commission Implementing Regulations (EU) 2017/2114 of November 9, 2017): December (Millions of Euros) BBVA, S.A. 2023 2022 Cash and withdrawable central bank reserves 43,931 48,271 Level 1 tradable assets 31,606 33,081 Level 2A tradable assets 919 3,450 Level 2B tradable assets 2,916 3,471 Other tradable assets 44,324 22,708 Non tradable assets eligible for central banks — — Cumulated counterbalancing capacity 123,696 110,981 The Net Stable Funding Ratio (NSFR), defined as the ratio between the amount of stable funding available and the amount of stable funding required, and requires banks to maintain a stable funding profile in relation to the composition of their assets and off-balance- sheet activities. This ratio should be at least 100% at all times. The LCR, NSFR and LtSCD of BBVA at December 31, 2023, is 178%, 120%% and 100%%,, respectively. Below is a breakdown by contractual maturity of the balances of certain headings in the accompanying balance sheets, excluding any valuation adjustments or loss allowances: 65 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. December 2023. Contractual maturities (Millions of Euros) Demand Up to 1 month 1 to 3 months 3 to 6 months 6 to 9 months 9 to 12 months 1 to 2 years 2 to 3 years 3 to 5 years Over 5 years Total ASSETS Cash, cash balances at central banks and other demand deposits 3,732 42,715 — — — — — — — 46,446 Deposits in credit entities — 502 251 446 497 450 570 114 — 399 3,229 Deposits in other financial institutions — 1,191 480 859 270 539 1,803 733 520 2,888 9,283 Reverse repo, securities borrowing and margin lending — 32,854 21,694 6,706 3,398 2,596 3,319 3,817 2,133 139 76,657 Loans and advances — 14,474 12,325 12,732 7,858 10,177 23,648 19,555 25,470 71,673 197,913 Securities' portfolio settlement — 330 3,359 1,316 893 8,649 3,376 9,988 14,629 29,119 71,658 December 2023. Contractual maturities (Millions of Euros) Demand Up to 1 month 1 to 3 months 3 to 6 months 6 to 9 months 9 to 12 months 1 to 2 years 2 to 3 years 3 to 5 years Over 5 years Total LIABILITIES Wholesale funding — 530 3,051 7,030 3,986 3,390 7,624 5,353 7,791 15,420 54,173 Deposits in financial institutions 1,448 2,757 1,000 199 85 89 309 2 89 471 6,449 Deposits in other financial institutions and international agencies 6,967 3,809 2,863 769 774 707 1,456 1,210 1,255 3,755 23,566 Customer deposits 185,072 18,323 6,047 3,948 2,139 3,430 726 642 417 879 221,622 Security pledge funding — 63,646 30,984 5,913 2,207 1,213 2,456 967 250 551 108,188 Derivatives, net — (115) (193) (63) (171) (412) (192) (81) (272) (2,569) (4,069) 66 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. December 2022. Contractual maturities (Millions of Euros) Demand Up to 1 month 1 to 3 months 3 to 6 months 6 to 9 months 9 to 12 months 1 to 2 years 2 to 3 years 3 to 5 years Over 5 years Total ASSETS Cash, cash balances at central banks and other demand deposits 3,675 46,987 — — — — — — — — 50,662 Deposits in credit entities — 343 161 189 302 307 200 171 35 353 2,062 Deposits in other financial institutions — 1,842 481 455 372 221 718 724 493 2,580 7,887 Reverse repo, securities borrowing and margin lending — 26,404 5,794 3,102 1,432 1,127 4,582 1,354 2,400 289 46,485 Loans and advances — 13,377 13,903 12,303 7,656 9,891 24,146 21,003 26,777 67,946 197,001 Securities' portfolio settlement — 333 668 5,860 1,274 2,765 11,904 3,669 13,579 28,055 68,107 December 2022. Contractual maturities (Millions of Euros) Demand Up to 1 month 1 to 3 months 3 to 6 months 6 to 9 months 9 to 12 months 1 to 2 years 2 to 3 years 3 to 5 years Over 5 years Total LIABILITIES Wholesale funding — 1,343 3,250 675 2,629 1,249 4,448 7,679 9,513 13,011 43,798 Deposits in financial institutions 1,064 7,286 436 116 21 39 232 32 78 376 9,679 Deposits in other financial institutions and international agencies 6,715 4,645 1,299 220 359 1,145 1,140 847 1,418 3,540 21,327 Customer deposits 192,909 13,440 7,581 3,047 1,334 1,252 577 577 421 232 221,370 Security pledge funding — 40,248 14,174 17,580 743 1,317 6,892 1,299 731 386 83,370 Derivatives, net — (91) (72) (1,229) (137) 37 (130) (311) (555) (3,712) (6,200) 67 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. With regard to the financing structure, the loan portfolio is mostly financed by retail deposits. The “demand” maturity bucket mainly contains the retail customer sight accounts whose behavior historically showed a high level of stability and little concentration. According to a behavior analysis which is done every year in every entity, this type of account is considered to be stable and for liquidity risk purposes receive a better treatment. BBVA, S.A. has maintained a strong position, having repaid almost the entire TLTRO III program. During 2023, commercial activity has not had a significant impact on the Bank's liquidity with a relatively flat evolution in lending, in line with customer deposits. The latter fell in the first quarter, influenced by the seasonal component and by the transfer to off-balance sheet funds, it recovered during the second quarter and it remained stable in the third quarter. On the other hand, in December 2022 the Bank started the repayment of the TLTRO III program (see Note 20.1), maintaining at all times the regulatory liquidity metrics well above the established minimums. The main wholesale financing transactions carried out by BBVA S.A. during 2023 are listed below: Type of issue Date of issue Nominal (millions) Currency Coupon Early redemption Maturity date Senior non-preferred Jan-23 1,000 EUR 4.625 % Jan-30 Jan-31 Covered bonds Jan-23 1,500 EUR 3.125 % — Jul-27 Senior preferred May-23 1,000 EUR 4.125 % May-25 May-26 Tier 2 Jun-23 750 EUR 5.750% Jun-Sep 28 Sep-33 AT1 Jun-23 1,000 EUR 8.375% Dec-28 Perpetual Tier 2 Aug-23 300 GBP 8.250% Aug-Nov 28 Nov-33 AT1 Sep-23 1,000 USD 9.375% Sep-29 Perpetual Tier 2 Nov-23 750 USD 7.883% Nov-33 Nov-34 Additionally, in June 2023, BBVA, S.A. completed a securitization of a portfolio of car loans for an amount of €804 million. 5.5.3 Asset encumbrance As of December 31, 2023 and 2022, the encumbered (those provided as collateral for certain liabilities) and unencumbered assets are broken down as follows: Encumbered and unencumbered assets (Million of Euros) Encumbered assets Unencumbered assets Book value Fair value Book value Fair value 2023 2022 2023 2022 2023 2022 2023 2022 Equity instruments 592 819 346 819 4,454 3,956 4,454 3,956 Debt securities 32,647 20,653 29,434 20,201 31,906 39,963 32,906 40,415 Loans and advances and other assets 21,496 52,135 — — 399,820 341,362 — — The committed value of "Loans and Advances and other assets" corresponds mainly to loans linked to the issue of covered bonds, territorial bonds or long-term securitized bonds (see Note 20) as well as, to a lesser extent, those used as a guarantee to access certain funding transactions with central banks. Debt securities and equity instruments correspond to underlying that are delivered in repos with different types of counterparties, mainly clearing houses or credit institutions, and to a lesser extent central banks. Collateral provided to guarantee derivative transactions is also included as committed assets. As of December 31, 2023 and 2022, collateral pledges received mainly due to repurchase agreements and securities lending, and those which could be committed in order to obtain funding are provided below: Collateral received (Millions of Euros) Fair value of encumbered collateral received or own debt securities issued Fair value of collateral received or own debt securities issued available for encumbrance Fair value of collateral received or own debt securities issued not available for encumbrance 2023 2022 2023 2022 2023 2022 Collateral received 70,988 38,717 8,297 6,879 996 1,278 Equity instruments 1,009 338 51 759 — — Debt securities 69,978 38,379 8,245 6,119 996 1,278 Own debt securities issued other than own covered bonds or ABSs — — 74 — — — 68 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. As of December 31, 2023 and 2022, financial liabilities issued related to encumbered assets in financial transactions as well as their book value were as follows: Sources of encumbrance (Millions of Euros) Matching liabilities, contingent liabilities or securities lent Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered 2023 2022 2023 2022 Book value of financial liabilities 124,125 102,157 125,204 108,585 Derivatives 11,034 11,911 10,684 11,700 Deposits 103,998 79,531 104,966 84,042 Outstanding subordinated debt 9,094 10,715 9,554 12,843 Other sources 237 236 519 3,739 6. Fair value of financial instruments Framework and processes control The process for determining the fair value established in the Bank seeks to ensure that financial assets and liabilities are properly recorded following the fair value criteria, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants in the principal market or most advantageous market, at the measurement date. BBVA has established, at a geographic level, a structure of Risk Operational Admission and Product Governance Committees responsible for validating and approving new products or types of financial assets and liabilities before being contracted. Local management responsible for valuation, which are independent from the business (see Management Report - Risk) are members of these committees. These areas are required to ensure, prior to the approval stage, the existence of not only technical and human resources, but also adequate informational sources to measure the fair value of these financial assets and liabilities, in accordance with the rules established by the valuation global area and using models that have been validated and approved by the responsible areas. Fair value hierarchy All financial instruments, both assets and liabilities are initially recognized at fair value, which at that point is equivalent to the transaction price, unless there is evidence to the contrary in the market. Subsequently, depending on the type of financial instrument, it may continue to be recognized at amortized cost or fair value through adjustments in the income statement or equity. When possible, the fair value is determined as the market price of a financial instrument. However, for many of the financial assets and liabilities of the Bank, especially in the case of derivatives, there is no market price available, so its fair value is estimated on the basis of the price established in recent transactions involving similar instruments or, in the absence thereof, by using mathematical measurement models that are sufficiently tried and trusted by the international financial community. The estimates of the fair value derived from the use of such models take into consideration the specific features of the asset or liability to be measured and, in particular, the various types of risk associated with such asset or liability. However, the limitations inherent in the measurement models and possible inaccuracies in the assumptions and parameters required by these models may mean that the estimated fair value of an asset or liability does not exactly match the price for which the asset or liability could be exchanged or settled on the date of its measurement. Additionally, for financial assets and liabilities that show significant uncertainty in inputs or model parameters used for valuation, criteria is established to measure said uncertainty and activity limits are set based on these. Finally, these measurements are compared, as much as possible, against other sources such as the measurements obtained by the business teams and/or those obtained by other market participants. The process for determining the fair value requires the classification of the financial assets and liabilities according to the measurement processes used as set forth below: – Level 1: Valuation using directly the quotation of the instrument, observable and readily and regularly available from independent price sources and referenced to active markets that the entity can access at the measurement date. The instruments classified within this level are fixed-income securities, equity instruments and certain derivatives. – Level 2: Valuation of financial instruments with commonly accepted techniques that use inputs obtained from observable data in markets. 69 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Level 3: Valuation of financial instruments with valuation techniques that use significant unobservable inputs in the market. As of December 31, 2023, the affected instruments at fair value accounted for approximately 0.63% of financial assets and 0.23% of the Bank’s financial liabilities. Model selection and validation is undertaken by control areas outside the business areas. 6.1. Fair value of financial instruments recognized at fair value, according to valuation criteria Below are the different elements used in the valuation technique of financial instruments. Active Market BBVA considers an active market as a market that allows the observation of bid and offer prices representative of the levels to which the market participants are willing to negotiate an asset, with sufficient frequency and volume. Furthermore, BBVA considers as traded in an “Organized Market” quotations for assets or liabilities from Over The Counter (OTC) markets when they are obtained from independent sources, observable on a daily basis and fulfil certain conditions. The fair value of the Group's financial instruments recognized at fair value in the consolidated balance sheets is presented below, broken down according to the valuation method used to determine their fair value, and their respective book value as of December 31, 2023 and 2022: Fair value of financial instruments by levels. December 2023 (Millions of Euros) Notes Fair value Book value Level 1 Level 2 Level 3 ASSETS Financial assets held for trading 8 116,828 13,090 101,740 1,999 Derivatives 32,937 144 32,571 222 Equity instruments 3,339 3,321 — 18 Debt securities 11,018 9,625 1,304 89 Loans and advances 69,534 — 67,864 1,669 Non-trading financial assets mandatorily at fair value through profit or loss 9 730 160 143 427 Equity instruments 507 141 — 366 Debt securities 223 19 143 61 Loans and advances to customers — — — — Financial assets designated at fair value through profit or loss 10 — — — — Debt securities — — — — Financial assets at fair value through other comprehensive income 11 19,426 18,350 662 415 Equity instruments 1,019 987 — 32 Debt securities 18,407 17,362 662 383 Loans and advances to credit institutions — — — — Derivatives – Hedge accounting 13 780 — 780 — LIABILITIES Financial liabilities held for trading 8 108,349 10,495 97,177 677 Trading derivatives 28,615 191 28,206 218 Short positions 11,849 10,305 1,501 44 Deposits 67,885 — 67,470 415 Financial liabilities designated at fair value through profit or loss 10 2,361 — 2,054 307 Deposits from credit institutions — — — — Customer deposits 2,361 — 2,054 307 Debt certificates issued — — — — Other financial liabilities — — — — Derivatives – Hedge accounting 13 2,075 — 2,036 39 70 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Fair value of financial Instruments by levels. December 2022 (Millions of Euros) Notes Book value Fair value Level 1 Level 2 Level 3 ASSETS Financial assets held for trading 8 91,391 15,140 74,084 2,168 Derivatives 35,023 778 33,334 911 Equity instruments 3,361 3,338 — 23 Debt securities 11,318 11,023 228 66 Loans and advances 41,690 — 40,521 1,169 Non-trading financial assets mandatorily at fair value through profit or loss 9 546 67 64 414 Equity instruments 438 67 4 367 Debt securities 107 — 60 47 Loans and advances to customers — — — — Financial assets designated at fair value through profit or loss 10 — — — — Debt securities — — — — Financial assets at fair value through other comprehensive income 11 24,854 24,221 463 170 Equity instruments 977 946 — 31 Debt securities 23,877 23,275 463 139 Loans and advances to credit institutions — — — — Derivatives – Hedge accounting 13 1,169 — 1,169 — LIABILITIES Financial liabilities held for trading 8 80,853 12,134 68,005 715 Trading derivatives 30,954 726 29,640 588 Short positions 11,408 11,408 — — Deposits 38,492 — 38,364 127 Financial liabilities designated at fair value through profit or loss 10 1,859 — 1,457 402 Deposits from credit institutions — — — — Customer deposits 1,859 — 1,457 402 Debt certificates issued — — — — Other financial liabilities — — — — Derivatives – Hedge accounting 13 2,599 — 2,574 25 The following table sets forth the main valuation techniques, hypothesis and inputs used in the estimation of fair value of the financial instruments recorded at fair value classified under Levels 2 and 3, based on the type of financial asset and liability and the corresponding balances as of December 31, 2023 and 2022: 71 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Fair Value of financial Instruments by Levels Valuation techniques in Levels 2 and 3 Observable inputs in Levels 2 and 3 Unobservable inputs in Levels 2 and 3 ASSETS Financial assets held for trading Equity instruments Comparable pricing (Observable price in a similar market) Net asset value - Brokers quotes - Market operations - NAVs published NAV provided by the administrator of the fund Debt securities Present-value method (Discounted future cash flows) Observed prices in non active markets - Issuer´s credit risk - Current market interest rates - Non active markets prices - Prepayment rates - Issuer´s credit risk - Recovery rates Loans and advances Present-value method (Discounted future cash flows) - Issuer´s credit risk - Current market interest rates - Interest rates for the financing of assets - Exchange rates - Prepayment rates - Issuer´s credit risk - Recovery rates Derivatives Interest rate Interest rate products (Interest rate Swaps, call money Swaps y FRA): Discounted cash flows Caps/Floors: Black 76 y SABR Bond Options: Black 76 Swaptions: Black 76, SABR y LGM Other Interest rate options: Black, SABR y Libor Market Model Constant maturity Swaps: SABR - Exchange rates - Market quoted future prices - Market interest rates - Underlying assets prices: shares, funds, commodities - Market observable volatilities - Issuer credit spread levels - Quoted dividends - Market listed correlations - Beta - Implicit correlations between tenors - Interest rates volatility Equity Future and Equity Forward: Discounted future cash flows Equity Options: Local Volatility, Balck 76, Momentum adjustment and Heston - Volatility of volatility - Implicit assets correlations - Long term implicit correlations - Implicit dividends and long term repos Foreign exchange and gold Future and Equity forward: Discounted future cash flows Foreign exchange Options: Black 76, Local Volatility, moments adjustment - Volatility of volatility - Implicit assets correlations - Long term implicit correlations Credit Credit Derivatives: Default model and Gaussian copula - Correlation default - Credit spread - Recovery rates - Interest rate yield - Default volatility Commodities Commodities: Momentum adjustment and discounted cash flows Non-trading financial assets mandatorily at fair value through profit or loss Equity instruments Comparable pricing (Observable price in a similar market) Net asset value - Brokers quotes - Market operations - NAVs published - NAV provided by the administrator of the fund Debt securities Present-value method (Discounted future cash flows) - Issuer credit risk - Current market interest rates Prepayment rates - Issuer credit risk - Recovery rates Loans and advances Specific liquidation criteria regarding losses of the EPA proceedings PD and LGD of the internal models, valuations and specific criteria of the EPA proceedings - Issuer credit risk - Current market interest rates - Interest rates for the financing of assets - Exchange rates - Property valuation Financial assets at fair value through other comprehensive income Equity instruments Comparable pricing (Observable price in a similar market) Net asset value - Brokers quotes - Market operations - NAVs published - NAV provided by the administrator of the fund Debt securities Present-value method (Discounted future cash flows) Observed prices in non-active markets - Issuer´s credit risk - Current market interest rates - Non active market prices - Prepayment rates - Issuer credit risk - Recovery rates Hedging derivatives Interest rate Interest rate products (Interest rate Swaps, call money Swaps y FRA): Discounted cash flows Caps/Floors: Black 76 y SABR Bond Options: Black 76 Swaptions: Black 76, SABR y LGM Other Interest rate options: Black, SABR y Libor Market Model Constant maturity Swaps: SABR - Exchange rates - Market quoted future prices - Market interest rates - Underlying assets prices: shares, funds, commodities - Market observable volatilities - Issuer credit spread levels - Quoted dividends - Market listed correlations Equity Future and Equity Forward: Discounted future cash flows Equity Options: Local volatility, Black 76, Momentum adjustment and Heston Foreign exchange and gold Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Black 76, Local volatility, moments adjustment Credit Credit Derivatives: Default model and Gaussian copula Commodities Commodities: Momentum adjustment and Discounted cash flows 72 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Fair Value of Financial Instruments by Levels Valuation techniques in Levels 2 and 3 Observable inputs in Levels 2 and 3 Unobservable inputs in Levels 2 and 3 LIABILITIES Financial liabilities held for trading Deposits Present-value method (Discounted future cash flows) - Interest rate yield - Funding interest rates observed in the market or in consensus services - Exchange rates - Funding interest rates observed in the market or in consensus services Derivatives Interest rate Interest rate products (Interest rate Swaps, call money Swaps y FRA): Discounted cash flows Caps/Floors: Black 76 y SABR Bond Options: Black 76 Swaptions: Black 76, SABR y LGM Other Interest rate options: Black, SABR y Libor Market Model Constant maturity Swaps: SABR - Exchange rates - Market quoted future prices - Market interest rates - Underlying assets prices: shares, funds, commodities - Market observable volatilities - Issuer credit spread levels - Quoted dividends - Market listed correlations - Beta - Correlation between tenors - Interest rates volatility Equity Future and Equity Forward: Discounted future cash flows Equity options: Local volatility, momentum adjustment and Heston - Volatility of volatility - Assets correlation Foreign exchange and gold Future and Equity Forward: Discounted future cash flows Foreign exchange options: Black 76, Local volatility, moments adjustment - Volatility of volatility - Assets correlation Credit Credit Derivatives: Default model and Gaussian copula - Correlation default - Credit spread - Recovery rates - Interest rate yield - Default volatility Commodities Commodities: Momentum adjustment and discounted cash flows Short positions Present-value method (Discounted future cash flows) - Correlation default - Credit spread - Recovery rates - Interest rate yield Financial liabilities designated at fair value through profit or loss Present-value method (Discounted future cash flows) - Prepayment rates - Issuer´s credit risk - Current market interest rates - Prepayment rates - Issuer credit risk - Current market interest rates Derivatives – Hedge accounting Interest rate Interest rate products (Interest rate Swaps, call money Swaps y FRA): Discounted cash flows Caps/Floors: Black 76 y SABR Bond Options: Black 76 Swaptions: Black 76, SABR y LGM Other Interest rate options: Black, SABR y Libor Market Model Constant maturity Swaps: SABR - Exchange rates - Market quoted future prices - Market interest rates - Underlying assets prices: shares, funds, commodities - Market observable volatilities - Issuer credit spread levels - Quoted dividends - Market listed correlations - Beta - Implicit correlations between tenors - interest rates volatility Equity Future and Equity forward: Discounted future cash flows Equity options: Local Volatility, Black 76, momentum adjustment and Heston - Volatility of volatility - Implicit assets correlations - Long term implicit correlations - Implicit dividends and long term repos Foreign exchange and gold Future and Equity Forward: Discounted future cash flows Foreign exchange Options: Black 76, local volatility, moments adjustment - Volatility of volatility - Implicit assets correlations - Long term implicit correlations Credit Credit Derivatives: Default model and Gaussian copula - Correlation default - Credit spread - Recovery rates - Interest rate yield - Default volatility Commodities Commodities: Momentum adjustment and discounted cash flows 73 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Main valuation techniques The main techniques used for the assessment of the majority of the financial instruments classified in level 3, and its main unobservable inputs, are described below: – The net present value (net present value method): This technique uses the future cash flows of each financial instrument, which are established in the different contracts, and discounted to their present value. This technique often includes many observable inputs, but may also include unobservable inputs, as described below: a. Credit Spread: This input represents the difference in yield of a debt security and the reference rate, reflecting the additional return that a market participant would require to take the credit risk of that debt security. Therefore, the credit spread of the debt security is part of the discount rate used to calculate the present value of the future cash flows. b. Recovery rate: This input represents the percentage of principal and interest recovered from a debt instrument that has defaulted. – Comparable prices (similar asset prices): This input represents the prices of comparable financial instruments and benchmarks used to calculate a reference yield based on relative movements from the entry price or current market levels. Further adjustments to account for differences that may exist between financial instrument being valued and the comparable financial instrument may be added. It can also be assumed that the price of the financial instrument is equivalent to the comparable instrument. – Net asset value: This technique utilizes certain assumptions to use net asset value as representative of fair value, which is equal to the total value of the assets and liabilities of a fund published by the managing entity. – Gaussian copula: This model is used to integrate default probabilities of credit instruments referenced to more than one underlying CDS (Credit Default Swaps). The joint density function used to value the instrument is constructed by using a Gaussian copula that relates the marginal densities by a normal distribution, usually extracted from the correlation matrix of events approaching default by CDS issuers. – Black 76: variant of Black Scholes model, whose main application is the valuation of bond options, cap floors and Swaptions where the behavior of the Forward and not the Spot itself, is directly modeled. – Black Scholes: The Black Scholes model postulates log-normal distribution for the prices of securities, so that the expected return under the risk neutral measure is the risk free interest rate. Under this assumption, the price of vanilla options can be obtained analytically, so that inverting the Black- Scholes formula, the implied volatility for process of the price can be calculated. – Heston: This model, typically applied to equity OTC options, assumes stochastic behavior of volatility. According to which, the volatility follows a process that reverts to a long-term level and is correlated with the underlying equity instrument. As opposed to local volatility models, in which the volatility evolves deterministically, the Heston model is more flexible, allowing it to be similar to that observed in the short term today. – Libor market model: This model assumes that the dynamics of the interest rate curve can be modeled based on the set of forward contracts that compose the underlying interest rate. The correlation matrix is parameterized on the assumption that the correlation between any two forward contracts decreases at a constant rate, beta, to the extent of the difference in their respective due dates. The input “Credit default volatility” is a volatility input of the credit factor dynamic applied in rate/credit hybrid operative. The multifactorial frame of this model makes it ideal for the valuation of instruments sensitive to the slope or curve, including interest rate option. – Local Volatility: In the local volatility models, the volatility, instead of being static, evolves deterministically over time according to the level of moneyness (i.e. probability that the option has a positive value on its date of expiration) of the underlying, capturing the existence of volatility smiles. The volatility smile of an option is the empirical relationship observed between its implied volatility and its strike price. These models are appropriate for options whose value depends on the historical evolution of the underlying which use Monte Carlo simulation technique for their valuation. 74 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Unobservable inputs Quantitative information of unobservable inputs used to calculate level 3 valuations is presented below as of December 31, 2023 and 2022: Unobservable inputs. December 2023 Financial instrument Valuation technique(s) Significant unobservable inputs Min Average Max Units Debt Securities Present value method Credit spread — 136 4,369 pb Recovery rate 0 % 39 % 40 % % Comparable Pricing 0 % 99 % 237 % % Equity/Fund instruments (1) Net Asset Value Comparable Pricing Loans and advances Present value method Repo funding curve 2.26 % 3.74 % 5.76 % Abs Repo rate Credit Derivatives Gaussian Copula Correlation default 26 % 60 % 85 % % Black 76 Price volatility Vegas Equity Derivatives Option models on equities, baskets of equity, funds Dividends (2) Correlations (88 %) 52 % 99 % % Volatility 8.47 29.41 70.94 Vegas FX Derivatives Option models on FX underlyings Volatility 4.31 10.24 18.52 Vegas IR Derivatives Option models on IR underlyings Beta 3.00 % 5.00 % 11.00 % % Correlation rate/credit (100 %) 100 % % Correlation rate/inflation 52 % 60 % 74 % % (1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them. (2) The range of unobservable dividends is too wide range to be relevant. Unobservable inputs. December 2022 Financial instrument Valuation technique(s) Significant unobservable inputs Min Average Max Units Debt Securities Present value method Credit spread — 111 1,538 pb Recovery rate 0 % 39 % 40 % % Comparable Pricing 2 % 94 % 139 % % Equity/Fund instruments (1) Net Asset Value Comparable Pricing Loans and advances Present value method Repo funding curve 0.71 % 3.48 % 5.52 % Abs Repo rate Credit Derivatives Gaussian Copula Correlation default 26 % 44 % 58 % % Black 76 Price volatility — — — Vegas Equity Derivatives Option models on equities, baskets of equity, funds Dividends (2) Correlations (93 %) 59 % 99 % % Volatility 7.81 32.62 98.71 Vegas FX Derivatives Option models on FX underlyings Volatility 5.32 11.93 20.73 Vegas IR Derivatives Option models on IR underlyings Beta 0.25 % 2.00 % 18.00 % % Correlation rate/credit (100 %) 100 % % Correlation rate/inflation 51% 66% 76% % (1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them. (2) The range of unobservable dividends is too wide range to be relevant. 75 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Adjustments to the valuation Under Circular 4/2017, the entity must estimate the value taking into account the assumptions and conditions that market participants would have when setting the price of the asset or liability on the valuation date. In order to comply with the fair value requirements, the entity applies adjustments to the fair valuation considering inherent and counterparties´ default criteria, funding valuation risk and valuation risks due to valuation uncertainty and related to the prudent valuation criteria aligned with the regulatory requirements and considers the model risk, liquidity risk (Bid / Offer) and price uncertainty risk. Adjustments to the valuation for risk of default The fair value of liabilities should reflect the entity's default risk, which includes, among other components, its own credit risk. Taking this into account, the Bank makes valuation adjustments for credit risk in the estimates of the fair value of its assets and liabilities. These adjustments are calculated by estimating Exposure At Default, Probability of Default and Loss Given Default, which are based on the recovery levels for all derivative products on any instrument, deposits and repos at the legal entity level (all counterparties under a same master agreement), in which BBVA has exposure. Credit Valuation Adjustment (hereinafter “CVA”) and Debit Valuation Adjustments (hereinafter “DVA”) are included in the valuation of derivatives, both assets and liabilities, to reflect the impact on the fair value of the counterparty credit risk and its own, respectively. The Bank incorporates in its valuation, for all exposures classified in any of the categories valued at fair value, both the counterparty credit risk and its own. In the trading portfolio, and in the specific case of derivatives, credit risk is recognized through such adjustments. As a general rule, the calculation of CVA is the sum of the expected positive exposure in time t, the probability of default between t-1 and t, and the Loss Given Default of the counterparty. Consequently, the DVA is calculated as the sum of the expected negative exposure in time t, the probability of default of BBVA between t-1 and t, and the Loss Given Default of BBVA. Both calculations are performed throughout the entire period of potential exposure. The calculation of the expected positive and negative exposure is done through a Montecarlo simulation of the market variables involved in all trades’ valuation under the same legal netting set. The information needed to calculate the probability of default and the loss given default of a counterparty comes from the credit markets. The counterparty’s Credit Default Swaps are used if liquid quotes are available. If a market price is not available, BBVA has implemented a mapping process based on the sector, rating and geography of the counterparty to assign probabilities of default and loss given default calibrated directly to market. An additional adjustment for Own Credit Adjustment (OCA) is applied to the instruments accounted for by applying the Fair Value Option permitted by the standard. The amounts recognized in the balance sheet as of December 31, 2023 and 2022 related to "OCA” were €406 million and €333 million respectively. The amounts recognized in the balance sheet as of December 31, 2023 and 2022 related to the valuation adjustments to the credit assessment of the derivative asset as “Credit Valuation Adjustments” (“CVA”) were €-111 million and €-147 million respectively, and the valuation adjustments to the derivative liabilities as “Debit Valuation Adjustment” (DVA) were €64 million and €88 million respectively. The impact recorded under “Gains (losses) on financial assets and liabilities held for trading, net” in the income statement for the year ended December 31, 2023 and 2022 corresponding to the mentioned adjustments were a net impact of €12 million and €-13 million respectively. As a result of the value variations of the inherent credit risk, which is included in the deposits classified as liabilities designated at fair value through profit and loss, the amount recognized in the heading “Accumulated other comprehensive income” has amounted to €78 million and €103 million as of December 31, 2023 and 2022, respectively. Valuation adjustments for financing risk The fair value of the positions recorded at fair value must reflect the entity's financing risk. Taking into account the above, the Bank makes adjustments for financing risk valuation (Funding Valuation Adjustment FVA) in the estimates of the fair value of its assets and liabilities. The adjustment to the valuation for financing risk incorporates the cost of financing implicit in the valuation of positions at fair value. This adjustment reflects the cost of funding for non-collateralized or partially collateralized operations. 76 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Additionally, as of December 31, 2023 and 2022, €-16 million and €-16 million related to the “Funding Valuation Adjustments” (“FVA”) in derivatives operations, the adjustment has remained stable in the year 2023. Valuation adjustments for valuation uncertainty The fair value of the positions recorded at fair value must reflect the valuation risk derived from the uncertainty in the valuation for concepts of pure uncertainty of prices, liquidity risk and model risks. This adjustment is aligned with the regulatory requirements for prudent valuation via valuation adjustments with an impact on CET1, and meets the requirements. The adjustment to the valuation for liquidity incorporates an adjustment for Bid / Offer spreads in the valuation of positions that do not meet the necessary conditions to be considered a Market Maker operation. The adjustment to the valuation for model risk captures the uncertainty in the price associated with the products valued with the use of a valuation model ("Mark to Model") given the existence of more than one possible model applicable to the valuation of the product or the calibration of its parameters from the observations of inputs in the market. The adjustment to the valuation for price uncertainty includes the uncertainty associated with the dispersion in the values observed in the market for the prices taken in the valuation of assets or as inputs in the valuation models. The impact recorded under “Gains (losses) on financial assets and liabilities held for trading, net” in the consolidated income statement for the year ended December 31, 2023 corresponding to the mentioned adjustments was a net impact of €-50 million (€-43 million in 2022). An adjustment was also made as of December 31, 2023 on financial asset at fair value through other comprehensive income for a total of €-7 million (€-11 million in 2022). Financial assets and liabilities classified as Level 3 The changes in the balance of Level 3 financial assets and liabilities included in the accompanying balance sheets are as follows: Financial assets Level 3. Changes in the year (Millions of Euros) 2023 2022 Assets Liabilities Assets Liabilities Balance at the beginning 2,752 1,142 3,711 487 Changes in fair value recognized in profit and loss (1) 38 174 268 49 Changes in fair value not recognized in profit and loss (18) — (23) — Acquisitions, disposals and liquidations (132) (97) (599) 515 Net transfers to Level 3 200 (196) (606) 91 Exchange differences and others — — — — Balance at the end 2,840 1,023 2,752 1,142 (1) Profit or loss that is attributable to gains or losses relating to those financial assets and liabilities held as of December 31, 2023 and 2022. Valuation adjustments are recorded under the heading “Gains (losses) on financial assets and liabilities (net)”. In 2023, as a result of the implementation of the multifactor criteria in the classification, which considers all the risk factors of the exposures, their observability and uncertainty, there is a reduction in exposure to derivatives in Level 3, offset by an increase in exposure classified at level 3 in positions of repurchases agreements positions due to unobservability in the inputs applied in their valuation. In 2022, the net volume of exposures classified as level 3 has been reduced. This reduction was mainly concentrated in repurchase agreements positions, derived from the rotation of the portfolio towards positions with better observability in the equity market of the inputs applied at their fair value. Additionally, the reduction in the volume of level 3 exposures of repurchase agreement positions was mitigated by the increase in the volume of level 3 exposures in derivatives, for which there was worse observability in the market of the inputs applied in their fair value. For the years ended December 31, 2023, and 2022, the profit/loss on sales of financial instruments classified as level 3 recognized in the consolidated income statement was not material. Transfers among levels The Global Valuation Area has established the rules for an appropriate financial instruments held for trading classification according to the fair value hierarchy defined by international accounting standards. On a monthly basis, derivative positions, deposits, loans and advances from the portfolio are classified, according to this criterion, by the subsidiaries. Then, there is a quarterly review of the portfolio in order to analyze the need for a change in classification of any of these assets. On a quarterly basis, the positions of equity instruments and debt securities are classified, following these criteria, by the local areas in coordination with Global Markets Valuation. 77 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The financial instruments transferred among the different levels of measurement for the years are at the following amounts in the accompanying balance sheets as of December 31, 2023 and 2022: Transfer among levels (Millions of Euros) 2023 2022 From: Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 To: Level 2 Level 3 Level 1 Level 3 Level 1 Level 2 Level 2 Level 3 Level 1 Level 3 Level 1 Level 2 ASSETS Financial assets held for trading 437 3 55 661 — 460 15 — 1,873 326 23 885 Non-trading financial assets mandatorily at fair value through profit or loss — 1 — 33 — 14 — — — — — 2 Financial assets at fair value through other comprehensive income 85 21 29 11 — 56 103 — 112 — — 22 Derivatives – Hedge accounting — — — — — — — — — — — — Total 522 26 84 705 — 530 117 — 1,985 326 23 909 LIABILITIES Financial liabilities held for trading 498 3 36 119 1 251 17 — 239 132 — 233 Financial liabilities designated at fair value through profit or loss — — — 196 — 262 — — — 221 — 55 Derivatives – Hedge accounting — — — — — — — — — 25 — — Total 498 3 36 315 1 513 17 — 239 378 — 287 The amount of the financial instruments in the fair value portfolio that were transferred among the different valuation levels during 2023 from Level 1 to Level 2 mainly correspond to the review of the classification among levels due to the implementation of a mark to model valuation in the short-term maturities of the listed options, only for those positions for which it is guaranteed that the inputs applied from real OTC market transactions are complied with the corroboration criteria. Additionally, there is a transfer of exposure Level 1 to Level 2 in cash positions in debt securities and equities, partially netted by a transfer of exposure Level 2 to Level 1, all directly related to the observability of the inputs. The volume of positions transferred from Level 2 to Level 3 is partly offset by positions moving from Level 3 to Level 2, mainly in cash positions in debt securities, equities and loans and advances. The amount of financial instruments that were transferred among levels of valuation during the year ended December 31, 2023 corresponds to the above changes in the classification among levels since such financial instruments modified some of their features. Specifically, transfers among Levels 1 and 2 occurred mainly in derivatives and debt securities. Transfers from Level 2 to Level 3 were mainly related to derivatives and deposits at fair value through profit or loss, and in relation to transfers from Level 3 to Level 2, this generally affected derivatives and loans and advances held for trading. Sensitivity analysis Sensitivity analysis is performed on financial instruments with significant unobservable inputs (financial instruments included in level 3), in order to obtain a reasonable range of possible alternative valuations. This analysis is carried out based on the criteria defined by the Global Valuation area in line with the official regulatory requirements for Prudent Valuation metrics, taking into account the nature of the methods used for the assessment and the reliability and availability of inputs and proxies used. In order to establish, with a sufficient degree of certainty, the valuation risk that is incurred in such assets without applying diversification criteria between them. As of December 31, 2023 , the effect on profit for the year and total equity of changing the main unobservable inputs used for the measurement of level 3 financial instruments for other reasonably possible unobservable inputs, taking the highest (most favorable input) or lowest (least favorable input) value of the range deemed probable, would be as follows: 78 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Financial instruments Level 3: sensitivity analysis (Millions of Euros) Potential impact on income statement Potential impact on other comprehensive income Most favorable hypothesis Least favorable hypothesis Most favorable hypothesis Least favorable hypothesis 2023 2022 2023 2022 2023 2022 2023 2022 ASSETS Financial assets held for trading 18 33 (48) (33) — — — — Loans and advances 2 1 (2) (1) — — — — Debt securities 9 — (22) — — — — — Equity instruments — 25 (17) (25) — — — — Derivatives 6 6 (6) (6) — — — — Non-trading financial assets mandatorily at fair value through profit or loss 5 135 (114) (136) — — — — Loans and advances — — — — — — — — Debt securities 3 17 (21) (19) — — — — Equity instruments 2 118 (92) (118) — — — — Financial assets at fair value through other comprehensive income — — — — 34 24 (89) (25) Total 23 168 (161) (169) 34 24 (89) (25) LIABILITIES Financial liabilities held for trading 12 7 (17) (7) — — — — Total 12 7 (17) (7) — — — — 6.2. Fair value of financial instruments recognized at amortized cost according to valuation method The valuation technique used to calculate the fair value of financial assets and liabilities carried at cost are presented below: Financial assets – Cash, balances at central banks and other demand deposits / loans to central banks / short-term loans to credit institutions/ repurchase agreements: in general, their fair value approximates to their book value, due to the nature of the counterparty and because they are mainly short-term balances in which the book value is the most reasonable estimation of the value of the asset. – Loans to credit institutions which are not short-term and loans to customers: In general, the fair value of these financial assets is determined by the discount of expected future cash flows, using market interest rates at the time of valuation adjusted by the credit spread and taking all kind of behavioral hypothesis if it is considered to be relevant (prepayment fees, optionality, etc.). Therefore, their valuations will be conditioned by the interest rates and spreads of the portfolios and their durations. – Debt securities: Fair value estimated based on the available market price or by using internal valuation methodologies. Financial liabilities – Deposits from central banks: for recurrent liquidity auctions and other monetary policy instruments of central banks / short-term deposits, from credit institutions / repurchase agreements / short term customer deposits: their book value is considered to be the best estimation of their fair value. – Deposits of credit institutions which are not short-term and term customer deposits: these deposits are valued by discounting future cash flows using the interest rate curve in effect at the time of the adjustment adjusted by the credit spread and incorporating any behavioral assumptions if this proves relevant (early repayments, optionalities, etc.). – Debt certificate (Issuances): The fair value estimation of these liabilities depends on the availability of market prices or by using the present value method: discount of future cash flows, using market interest rates at valuation time and taking into account the credit spread. 79 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The following tables present the fair value of the Bank's financial instruments from the attached balance sheets carried at amortized cost broken down according to the valuation method used to estimate their fair value, and their corresponding book value , as well as the main methods valuation, hypotheses and inputs used in level 2 and level 3 as of December 31, 2023 and 2022 : Fair value of financial instruments recognized at amortized cost by levels. December 2023 (Millions of Euros) Notes Book value Fair value Total Level 1 Level 2 Level 3 Valuation technique(s) Main inputs used ASSETS Cash, cash balances at central banks and other demand deposits 7 49,213 49,213 49,213 — — Financial assets at amortized cost 12 261,765 258,572 29,771 9,749 219,052 Present-value method (Discounted future cash flows) Debt securities 34,905 35,157 29,771 4,770 616 - Credit spread - Prepayment rates - Interest rate yield Loans and advances to central banks — — — — — Loans and advances to credit institutions 13,074 13,100 — 4,217 8,883 Loans and advances to customers 213,786 210,315 — 762 209,553 - Credit spread - Interest rate yield LIABILITIES Financial liabilities at amortized cost 20 339,476 339,771 48,764 288,556 2,451 Present-value method (Discounted future cash flows) - Issuer´s credit risk - Prepayment rates - Interest rate yield Deposits from central banks 10,962 10,962 10,962 — — Deposits from credit institutions 33,563 33,626 — 33,626 — Customer deposits 234,754 234,461 1,448 230,563 2,451 Debt certificates issued 50,132 50,657 36,354 14,303 — Other financial liabilities 10,065 10,064 — 10,064 — Fair value of financial Instruments recognized at amortized cost by levels. December 2022 (Millions of Euros) Notes Book value Fair value Total Level 1 Level 2 Level 3 Valuation technique(s) Main inputs used ASSETS Cash, cash balances at central banks and other demand deposits 7 52,973 52,973 52,973 — — Financial assets at amortized cost 12 246,950 244,293 16,767 7,877 219,649 Present-value method (Discounted future cash flows) Debt securities 25,313 23,685 16,757 6,381 547 - Credit spread - Prepayment rates - Interest rate yield Loans and advances to central banks 10 10 10 — — Loans and advances to credit institutions 9,329 9,326 — 80 9,247 Loans and advances to customers 212,297 211,272 — 1,416 209,856 - Credit spread - Interest rate yield LIABILITIES Financial liabilities at amortized cost 20 335,941 335,668 67,396 267,589 683 Present-value method (Discounted future cash flows) - Issuer´s credit risk - Prepayment rates - Interest rate yield Deposits from central banks 32,517 32,517 32,517 — — Deposits from credit institutions 20,200 20,210 — 20,210 — Customer deposits 234,797 236,059 1,158 234,380 521 Debt certificates issued 38,511 36,967 33,721 3,084 162 Other financial liabilities 9,915 9,915 — 9,915 — 80 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 7. Cash, cash balances at central banks and other demand deposits The breakdown of the balance under the heading “Cash, cash balances at central banks and other demand deposits” in the accompanying balance sheets is as follows: Cash, cash balances at central banks and other demand deposits (Millions of Euros) Notes 2023 2022 Cash on hand 990 972 Cash balances at central banks 45,653 49,854 Other demand deposits 2,570 2,147 Total 6.2 49,213 52,973 8. Financial assets and liabilities held for trading 8.1 Breakdown of the balance The breakdown of the balance under these headings in the accompanying balance sheets is as follows: Financial assets and liabilities held-for-trading (Millions of Euros) Notes 2023 2022 ASSETS Derivatives 32,937 35,023 Equity instruments 5.2.2 3,339 3,361 Credit institutions 282 286 Other sectors 2,293 2,536 Shares in the net assets of mutual funds 764 539 Debt securities 5.2.2 11,018 11,318 Issued by central banks — — Issued by public administrations 9,121 9,225 Issued by financial institutions 739 759 Other debt securities 1,158 1,333 Loans and advances 5.2.2 69,534 41,690 Loans and advances to central banks 2,808 1,632 Reverse repurchase agreement 2,808 1,632 Loans and advances to credit institutions ⁽¹⁾ 52,441 23,969 Reverse repurchase agreement 52,411 23,938 Loans and advances to customers 14,285 16,089 Reverse repurchase agreement 13,850 15,791 Total assets 6.1 116,828 91,391 LIABILITIES Derivatives 28,615 30,954 Short positions 11,849 11,408 Deposits 67,885 38,492 Deposits from central banks 4,698 2,161 Repurchase agreement 4,698 2,161 Deposits from credit institutions ⁽¹⁾ 42,710 28,107 Repurchase agreement 42,050 27,738 Customer deposits 20,476 8,224 Repurchase agreement 20,371 8,116 Total liabilities 6.1 108,349 80,853 (1) The variation is mainly due to the evolution of "Reverse repurchase agreement" partially compensated with the evolution of "Repurchase agreement". As of December 31, 2023 and 2022 “Short positions” include €11,219 and €10,602 million, respectively, held with general governments. 81 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 8.2 Derivatives The derivatives portfolio arises from the Bank’s need to manage the risks it is exposed to in the normal course of business and also to market products amongst the Bank’s customers. As of December 31, 2023 and 2022, trading derivatives were mainly contracted in over-the-counter (OTC) markets, with counterparties, consisting primarily of credit institutions and other financial corporations, and are related to foreign-exchange, interest-rate and equity risk. Below is a breakdown by type of risk and market, of the fair value and notional amounts of derivatives recognized in the accompanying balance sheets, divided into organized and OTC markets: Derivatives by type of risk / by product or by type of market (Millions of Euros) 2023 2022 Assets Liabilities Notional amount - Total Assets Liabilities Notional amount - Total Interest rate 12,308 8,169 4,296,633 14,685 11,327 4,016,211 OTC 12,308 8,169 4,282,955 14,685 11,327 4,010,398 Organized market — — 13,678 — — 5,814 Equity instruments 2,598 2,638 70,937 3,125 2,803 75,457 OTC 1,224 1,467 49,289 1,869 1,161 52,245 Organized market 1,374 1,172 21,649 1,256 1,642 23,211 Foreign exchange and gold 17,491 17,281 708,553 16,920 16,542 627,899 OTC 17,491 17,281 708,553 16,920 16,542 627,899 Organized market — — — — — — Credit 540 527 29,790 293 282 41,704 Credit default swap 540 527 29,790 293 282 41,704 Commodities — — 136 — — — Other — — — — — — DERIVATIVES 32,937 28,615 5,106,049 35,023 30,954 4,761,271 Of which: OTC - credit institutions 22,289 22,122 1,156,636 23,370 22,269 1,041,648 Of which: OTC - other financial corporations 6,493 2,896 3,798,816 7,042 3,192 3,573,051 Of which: OTC - other 2,781 2,425 115,135 3,356 3,851 117,547 9. Non-trading financial assets mandatorily at fair value through profit or loss The breakdown of the balance under this heading in the accompanying balance sheets is as follows: Non-trading financial assets mandatorily at fair value through profit or loss (Millions of Euros) Notes 2023 2022 Equity instruments (1) 5.2.2 507 438 Debt securities 5.2.2 223 107 Loans and advances to customers 5.2.2 — — Total 6.1 730 546 (1) As of December 31, 2023, BBVA maintains a direct stake in Neon Payments Limited of 22.6% of its capital stock. In 2022 an agreement was announced with Neon Payments Limited for the subscription of preferred shares by BBVA representing approximately 21.7% of its share capital. Despite owning more than 20% of the share capital, BBVA's ability to influence the financial and operating policy decisions of this company is very limited, and therefore this shareholding has been recorded under this caption. 10. Financial assets and liabilities designated at fair value through profit or loss As of December 31, 2023 and 2022 there was no balance in the heading “Financial assets designated at fair value through profit or loss, has no balance (See Note 5.2.2). As of December 31, 2023 and 2022 the heading “Financial liabilities designated at fair value through profit or loss” included customer deposits for an amount of €2,361 and €1,859 million respectively. The recognition of assets and liabilities in these headings is made to reduce inconsistencies (asymmetries) in the valuation of those operations and those used to manage their risk. 82 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 11. Financial assets at fair value through other comprehensive income 11.1. Breakdown of the balance The breakdown of the balance by the main financial instruments in the accompanying balance sheets is as follows: Financial assets designated at fair value through other comprehensive income (Millions of Euros) Notes 2023 2022 Equity instruments 5.2.2 1,019 977 Debt securities 18,407 23,877 Loans and advances to credit institutions 5.2.2 — — Total 6.1 19,426 24,854 Of which: loss allowances of debt securities (15) (21) During financial years 2023 and 2022, there have been no other significant reclassifications from the heading “Financial assets at fair value through other comprehensive income” to other headings or from other headings to “Financial assets at fair value through other comprehensive income”. 11.2. Equity instruments The breakdown of the balance under the heading "Equity instruments" of the accompanying financial statements as of December 31, 2023 and 2022, is as follows: Financial assets at fair value through other comprehensive income. Equity instruments (Millions of Euros) 2023 2022 Listed equity instruments Spanish companies shares 987 946 Foreign companies shares — — Subtotal listed equity instruments 987 946 Unlisted equity instruments Spanish companies shares 11 11 Credit institutions — — Other entities 11 11 Foreign companies shares 21 20 The United States — Other countries 21 20 Subtotal unlisted equity instruments 32 31 Total 1,019 977 83 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 11.3. Debt securities The breakdown of the balance under the heading “Debt securities” of the accompanying financial statements as of December 31, 2023 and 2022, broken down by issuers, is as follows: Financial assets at fair value through other comprehensive income. Debt securities (Millions of Euros) 2023 2022 Domestic debt securities Government and other government agency 6,050 10,254 Central banks — — Credit institutions 194 224 Other issuers 170 147 Subtotal 6,414 10,625 Foreign debt securities Mexico 103 160 Government and other government agency — — Central banks — — Credit institutions — — Other issuers 103 160 The United States 3,837 3,258 Government and other government agency 1,389 1,414 Central banks — — Credit institutions 55 56 Other issuers 2,393 1,788 Other countries 8,053 9,834 Other foreign governments and government agency 4,549 6,330 Central banks 80 89 Credit institutions 434 715 Other issuers 2,990 2,700 Subtotal 11,993 13,252 Total 18,407 23,877 The credit ratings of the issuers of debt securities as of December 31, 2023 and 2022, are as follows: Debt securities by rating 2023 2022 Fair value (Millions of Euros) % Fair value (Millions of Euros) % AAA 337 1.8% 1,469 6.2% AA+ 1,417 7.7% 80 0.4% AA 197 1.1% 289 1.2% AA- 477 2.6% 220 0.9% A+ 1,302 7.1% 3,527 14.7% A 1,130 6.1% 1,282 5.4% A- 7,448 40.5% 11,437 47.9% BBB+ 1,621 8.8% 1,192 5.0% BBB 4,171 22.7% 4,138 17.4% BBB- 178 1.0% 117 0.5% BB+ or below 22 0.1% 9 —% Unclassified 106 0.6% 118 0.5% Total 18,407 100.0% 23,877 100.0% 84 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 11.4. Gains/losses The changes in the gains/losses (net of taxes) in December 31, 2023 and 2022 of debt securities recognized under the equity heading “Accumulated other comprehensive income (loss) – Items that may be reclassified to profit or loss – Fair value changes of debt instruments measured at fair value through other comprehensive income” and equity instruments recognized under the equity heading “Accumulated other comprehensive income (loss) – Items that will not be reclassified to profit or loss –Fair value changes of equity instruments measured at fair value through other comprehensive income” in the accompanying balance sheets are as follows: Other comprehensive income - Changes in the gains / losses (Millions of Euros) Notes Debt securities Equity instruments 2023 2022 2023 2022 Balance at the beginning (464) 342 (1,256) (1,127) Valuation gains and losses 302 (1,148) 43 (129) Amounts transferred to income (31) (4) — — Income tax and other (82) 346 — — Balance at the end 27 (275) (464) (1,213) (1,256) In 2023 and 2022 , equity instruments presented an increase of €42 million and a decrease of €129 million, respectively, in the heading “Gains and losses from valuation - Accumulated other comprehensive income - Items that will not be reclassified to profit and loss - Fair value changes of equity instruments measured at fair value through other comprehensive income”, mainly due to changes in Telefonica’s share price. Likewise, the valuations of debt securities have been affected by the evolution of interest rates. 85 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 12. Financial assets at amortized cost 12.1. Breakdown of the balance The breakdown of the balance under this heading in the balance sheets, according to the nature of the financial instrument, is as follows: Financial assets at amortized cost (Millions of Euros) Notes 2023 2022 Debt securities 34,905 25,313 Government 31,514 24,016 Credit institutions 2,139 220 Other financial and non-financial corporations 1,251 1,077 Loans and advances to central banks — 10 Loans and advances to credit institutions 13,074 9,329 Reverse repurchase agreements 4,181 1,429 Other loans and advances 8,893 7,900 Loans and advances to customers 5.2.2 213,786 212,297 Government 13,247 12,697 Other financial corporations 11,660 11,507 Non-financial corporations 95,596 94,332 Other 93,282 93,761 Total 6.2 261,765 246,950 Of which: impaired assets of loans and advances to customers 5.2.5 8,065 7,461 Of which: loss allowances of loans and advances 5.2.5 (4,576) (4,830) Of which: loss allowances of debt securities (6) (6) During financial years 2023 and 2022, there have been no other significant reclassifications from the heading “Financial assets at amortized cost” to other headings or from other headings to “Financial assets at amortized cost”. 12.2. Debt securities The breakdown of the balance under the heading “Debt securities” in the balance sheets, according to the issuer of the debt securities, is as follows: Financial assets at amortized cost. Debt securities (Millions of Euros) 2023 2022 Domestic debt securities Government and other government agencies 25,838 18,379 Credit institutions 1,027.715 — Other issuers 230 144 Subtotal 27,095 18,523 Foreign debt securities The United States 1,885 1,891 Government and other government agencies 1,855 1,860 Credit institutions 18 19 Other issuers 12 12 Other countries 5,925 4,899 Other foreign governments and government agencies 3,821 3,777 Central banks — — Credit institutions 1,093 202 Other issuers 1,010 920 Subtotal 7,810 6,790 Total 34,905 25,313 86 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. As of December 31, 2023 and 2022, the distribution according to the credit quality (ratings) of the issuers of debt securities classified as financial assets at amortized cost, was as follows: Debt securities by rating 2023 2022 Carrying amount (Millions of Euros) % Carrying amount (Millions of Euros) % AAA 1,739 5.0% 2,634 10.0% AA+ 2,723 7.8% 172 1.0% AA 62.899 0.2% — —% AA- — —% — —% A+ 8 —% — —% A 439 1.3% 501 2.0% A- 24,720 70.8% 17,032 67.0% BBB+ 1,105 3.2% 1,006 4.0% BBB 3,774 10.8% 3,556 12.0% BBB- 99 0.3% 101 —% BB+ or below 237 0.7% 233 3.0% Unclassified 0 —% 79 —% Total 34,905 100.0% 25,314 100.0% 12.3. Loans and advances to customers The breakdown of the balance under this heading in the accompanying balance sheets, according to their nature, is as follows: Loans and advances to customers (Millions of Euros) 2023 2022 On demand and short notice 186 284 Credit card debt 2,743 2,674 Trade receivables 21,158 21,604 Finance leases 6,076 5,491 Reverse repurchase agreements 92 102 Other term loans 180,411 177,642 Advances that are not loans 3,120 4,500 Total 213,786 212,297 As of December 31, 2023 and 2022, 43.3% and 41.2%, respectively, of "Loans and advances to customers" with maturity greater than one year have fixed-interest rates and 56.7% and 58.8%, respectively, have variable interest rates. This heading also includes some loans that have been securitized and not derecognized since the risks or substantial benefits related to them are retained because the Bank granted subordinated loans or other types of credit enhancements that substantially keep all the expected credit losses for the transferred asset or the probable variation of its net cash flows. The balances recognized in the accompanying balance sheets corresponding to these securitized loans are as follows: Securitized loans (Millions of Euros) 2023 2022 Securitized mortgage assets 20,406 23,290 Other securitized assets 8,493 5,495 Total 28,899 28,784 Furthermore, this heading includes a deposit with the Bank of France associated with the contribution to the Single Resolution Fund for the years 2018, 2017 and 2016, which was made in the form of an irrevocable payment commitment given its amount recoverable as of 31 December 2023. The resolution of the appeal filed by a financial institution outside the Group against the dismissal decision of the Court of Justice of the European Union in this regard is expected throughout 2024, which could lead to a claim by the Single Resolution Board. In any case, BBVA Group balance of this deposit as of December 31, 2023 is not significant. 87 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 13. Hedging derivatives and fair value changes of the hedged items in portfolio hedges of interest rate risk The balance of these headings in the accompanying balance sheets is as follows: Derivatives – Hedge accounting and fair value changes of the hedged items in portfolio hedge of interest rate risk (Millions of Euros) 2023 2022 ASSETS Derivatives – hedge accounting 780 1,169 Fair value changes of the hedged items in portfolio hedges of interest rate risk (97) (148) LIABILITIES Derivatives – hedge accounting 2,075 2,599 Fair value changes of the hedged items in portfolio hedges of interest rate risk — — As of December 31, 2023 and 2022, the main positions hedged by the Bank and the derivatives designated to hedge those positions were: – Fair value hedging: a. Fixed-interest debt securities at fair value through other comprehensive income and at amortized cost: The interest rate risk of these securities is hedged using interest rate derivatives (fixed-variable swaps) and forward sales. b. Long-term fixed-interest debt securities issued by the Bank: the interest rate risk of these securities is hedged using interest rate derivatives (fixed-variable swaps). c. Fixed-interest loans: The equity price risk of these instruments is hedged using interest rate derivatives (fixed-variable swaps). d. Fixed-interest and/or embedded derivative deposit portfolio hedges: it covers the interest rate risk through fixed- variable swaps. The valuation of the borrowed deposits corresponding to the interest rate risk is in the heading "Fair value changes of the hedged items in portfolio hedges of interest rate risk”. – Cash-flow hedges: Most of the hedged items are floating interest-rate loans and asset hedges linked to the inflation of the amortized cost portfolio and the financial assets at fair value through other comprehensive income portfolio. This risk is hedged using foreign-exchange, interest-rate swaps, inflation and FRA (Forward Rate Agreement). – Net foreign-currency investment hedges: These hedged risks are foreign-currency investments in the Group’s foreign subsidiaries. This risk is hedged mainly with foreign-exchange options and forward currency sales and purchases (see Note 27). Note 5 analyzes the Bank’s main risks that are hedged using these financial instruments. 88 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The details of the net positions by hedged risk of the fair value of the hedging derivatives recognized in the accompanying balance sheets are as follows: Derivatives - Hedge accounting. Breakdown by type of risk and type of hedge. (Millions of Euros) Notes 2023 2022 Assets Liabilities Assets Liabilities Interest rate 329 173 576 138 OTC 329 173 576 138 Organized market — — — — Equity instruments — — — — Foreign exchange and gold — — — — Credit — — — — Commodities — — — — Other — — — — FAIR VALUE HEDGES 329 173 576 138 Interest rate 421 1,761 373 2,426 OTC 421 1,761 373 2,426 Organized market — — Equity instruments — — — — Foreign exchange and gold — — — — OTC — — — — Organized market — — — — Credit — — — — Commodities — — — — Other — — — — CASH FLOW HEDGES 421 1,761 373 2,426 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION 27 136 213 26 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK 3 5 7 8 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK — — — — DERIVATIVES-HEDGE ACCOUNTING 6.1 780 2,075 1,169 2,599 Of which: OTC - credit institutions 682 1,865 1,091 2,228 Of which: OTC - other financial corporations 98 211 78 371 Of which: OTC - other — — 415 — 89 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Below there is a breakdown of the items covered by fair value hedges: Hedged items in fair value hedges (Millions of Euros) Carrying amount Hedge adjustments included in the carrying amount of assets/ liabilities ⁽¹⁾ Remaining adjustments for discontinued micro hedges including hedges of net positions ⁽¹⁾ Hedged items in portfolio hedge of interest rate risk Recognized ineffectiveness in profit or loss 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 ASSETS Financial assets measured at fair value through other comprehensive income 9,063 11,881 (646) (1,007) 165 — — — — 16 Debt securities 9,063 11,881 (646) (1,007) 165 — — — Interest rate 9,063 11,881 (646) (1,007) 165 — — — Foreign exchange and gold — — — — — — — — Other — — — — — — — — Loans and advances — — — — — — — — Interest rate — — — — — — — — Foreign exchange and gold — — — — — — — — Other — — — — — — — — Other — — — — — — — — Financial assets measured at amortized cost 2,675 4,331 (119) (384) 685 — 936 1,179 (8) (12) Debt securities 2,300 4,164 (119) (397) 685 — — — Interest rate 2,300 4,164 (119) (397) 685 — — — Foreign exchange and gold — — — — — — — — Loans and advances 375 167 28 13 — — 936 1,179 Interest rate 375 167 28 13 — — 936 1,179 Foreign exchange and gold — — — — — — — — LIABILITIES Financial liabilities measured at amortized costs 42,396 (31,564) 517 1,314 — — — — 3 (4) Deposits 8,986 (1,163) (83) (58) — — — — Interest rate 8,986 (1,163) (83) (58) — — — — Foreign exchange and gold — — — — — — — — Debt certificates 33,410 (30,401) 600 1,372 — — — — Interest rate 33,410 (30,401) 600 1,372 — — — — Foreign exchange and gold — — — — — — — — (1) The balance of discontinued hedges is not significant. 90 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The following is the breakdown, by their notional maturities, of the hedging instruments as of December 31, 2023 Calendar of the notional maturities of the hedging instruments (Millions of Euros) 3 months or less From 3 months to 1 year From 1 to 5 years More than 5 years Total FAIR VALUE HEDGES 4,950 13,643 24,989 12,024 55,606 Of which: Interest rate 4,937 13,642 24,989 12,024 55,592 CASH FLOW HEDGES 7,270 8,585 12,127 2,625 30,607 Of which: Interest rate 7,270 8,585 12,127 2,625 30,607 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION 11,391 1,344 — — 12,735 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK 250 597 1,828 747 3,422 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK — — — — — DERIVATIVES-HEDGE ACCOUNTING 23,861 24,169 38,944 15,396 102,370 In 2023 and 2022, there was no reclassification in the accompanying income statements of any amount corresponding to cash flow hedges that was previously recognized in equity (see Note 37). The amount for derivatives designated as accounting hedges that did not pass the effectiveness test in the years ended December 31, 2023 and 2022 were not material. 14. Investments in joint ventures and associates 14.1. Investments in subsidiaries The heading “Investments in subsidiaries, joint venture and associates- Subsidiaries” in the accompanying balance sheets includes the carrying amount of the shares of companies forming part of the BBVA Group. The percentages of direct and indirect ownership and other relevant information on these companies are provided in Appendix II. The breakdown, by currency and listing status, of this heading in the accompanying balance sheets is as follows: Investments in subsidiaries (Millions of Euros) 2023 2022 Subsidiaries By currency 38,496 37,621 In euros 19,587 19,933 In foreign currencies 18,909 17,688 By share price 38,496 37,621 Listed 7,694 8,037 Unlisted 30,802 29,584 Loss allowances (15,859) (15,977) Total 22,637 21,644 Garanti Bank In accordance with the accounting standards applicable to the individual financial statements, the Bank maintains the interest in Garanti BBVA A.S. valued at historical cost (weighted average price in euros of the various acquisitions made since 2011) and at each closing the recoverability of the investment in euros is assessed in case of indications of impairment. In 2023 and 2022, although the Turkish lira has continued to depreciate, the positive growth expectations of Garanti in Turkey together with the positive effect of the hedges in 2023 (the shares acquired in the voluntary tender offer of May 18, 2022 at a price below the average book cost of BBVA, together with the good performance and good growth expectations of Garanti in Turkey in the case of 2022), led to a recovery of part of the impairment recorded in previous years. This recovery had a positive impact on the Bank's individual result of €132 million in 2023 (€647 million in 2022). As of December 31, 2023, the total impairment of the stake in Garanti is €2,445 million. 91 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. These impairments or recoveries of the interest in the Bank's individual financial statements had no impact on the consolidated financial statements of the BBVA Group, since foreign currency translation differences are recorded under the heading "Other accumulated comprehensive income" of the Group's Consolidated Net Equity, in accordance with the accounting standards applicable to the consolidated financial statements, therefore the depreciation of the Turkish Lira was already recorded, reducing the consolidated Total Equity of the Group. Movements The changes in 2023 and 2022 in the balance under this heading in the balance sheets, disregarding the balance of the loss allowances, are as follows: Investments in subsidiaries: changes in the year (Millions of Euros) 2023 2022 Balance at the beginning 37,621 33,970 Acquisitions and capital increases 373 3,444 Disposals and capital reductions ⁽¹⁾ (548) (943) Transfers — — Exchange differences and others 1,050 1,150 Balance at the end 38,496 37,621 (1) In 2023 the movement corresponded mainly to a refund of contributions from Tree Inversiones Inmobiliarias, S.A.U. which resulted in a reduction of 500 million euros in the carrying amount of this investment. In 2022, the movement corresponded mainly to refunds of contributions from Anida Grupo Inmobiliario, S.L. in the amount of €269 million, PECRI Inversión, S.L. in the amount of €155 million, Catalunya Caixa Inmobiliaria, S.A. Unipersonal in the amount of 111 million euros, Unnim Sociedad para la Gestión de Activos Inmobiliarios, S.A. Unipersonal in the amount of €87 million and BBV América S.L. in the amount of €79 million. Changes in the holdings in Group entities The most notable transactions performed in 2023 and 2022 are as follows: Significant transactions in 2023 No significant transactions have been carried out during 2023. Significant transactions in 2022 Investments Purchase of Tree Inversiones Inmobiliarias SOCIMI, S.A. (Tree) to Merlin Properties SOCIMI, S.A On June 15, 2022, BBVA acquired from Merlin Properties SOCIMI, S.A., the shares representing the entire share capital of Tree Inversiones Inmobiliarias SOCIMI, S.A (hereinafter, “Tree”) for an amount of €1,988 million. This company has 662 properties leased to BBVA S.A., which were part of the group of properties that BBVA sold between 2009 and 2010 under a sale and leaseback contract and which are registered as “Rights of use” in the assets of the Balance of BBVA and, in liabilities, the payment obligation is reflected in the heading "Financial liabilities at amortized cost - Other financial liabilities", in accordance with Regulation 33 of Bank of Spain Circular 4/2017. BBVA recorded the purchase of this company under the heading "Investments in Subsidiaries, Joint Ventures and Associates" in Assets on the Balance Sheet for its cost, which amounted to €1,988 million. Also, given that BBVA maintains the lease contract with Tree, it continues to reflect the right of use and the lease liability for the lease contract it maintains with it, as it had been doing up to now. Voluntary takeover bid for the entire share capital of Türkiye Garanti Bankası A.Ş (Garanti BBVA) On November 15, 2021, BBVA announced a voluntary takeover bid (hereinafter "VTB") addressed to the 2,106,300,000 shares 1 not controlled by BBVA, which represented 50.15% of the total share capital of Türkiye Garanti Bankası A.Ş (hereinafter "Garanti BBVA"). BBVA submitted for authorization an application of the VTB to the supervisor of the securities markets in Turkey (Capital Markets Board, hereinafter "CMB") on November 18, 2021. 92 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 1 All references to “shares” or “share” shall be deemed made to lots of 100 shares, which is the trading unit in which Garanti BBVA shares are listed at Borsa Istanbul. On March 31, 2022, CMB approved the offer information document and on the same day BBVA announced the commencement of the VTB acceptance period on April 4, 2022. On April 25, 2022 BBVA informed of an increase of the cash offer price per Garanti BBVA share from that initially announced (12.20 Turkish lira) to 15.00 Turkish lira. On May 18, 2022, BBVA announced the finalization of the offer acceptance period, with the acquisition of 36.12% of Garanti BBVA’s share capital. The total amount paid by BBVA was approximately 22,758 million Turkish lira (equivalent to approximately €1,390 million 2 including the expenses associated with the transaction and net of the collection of the dividends corresponding to the stake acquired). The percentage of total share capital of Garanti BBVA owned by BBVA (after the completion of the VTB on May 18, 2022) is 85.97%. 14.2. Investments in joint ventures and associates The breakdown, by currency and listings status, of this heading in the accompanying balance sheets is as follows: Joint ventures and associates (Millions of Euros) 2023 2022 Associates By currency 650 585 In euros 271 280 In foreign currencies 379 305 By share price 650 585 Listed 239 249 Unlisted 411 336 Loss allowances (292) (305) Subtotal 358 280 Joint ventures By currency 24 36 In euros 24 36 In foreign currencies — — By share price 24 36 Listed — — Unlisted 24 36 Loss allowances — — Subtotal 24 36 Total 382 316 The investments in associates as of December 31, 2023 as well as the most important data related to them, can be seen in Appendix III. The following is a summary of the gross changes in 2023 and 2022 under this heading in the accompanying balance sheets: Joint ventures and associates: changes in the year (Millions of Euros) 2023 2022 Balance at the beginning 621 591 Acquisitions and capital increases 75 72 Disposals and capital reductions (22) (42) Balance at the end 674 621 During the years 2023 and 2022, the most significant changes under the heading "Investment in joint ventures and associates" correspond to capital increases in Atom Holdco Limited. During the year 2022 Atom Holdco Limited, the owner of 100% of the shares of Atom Bank PLC, was created. BBVA became a shareholder of Atom Holdco Limited under the same terms and conditions as those previously applicable under the agreement with Atom Bank PLC. 14.3. Notifications about acquisition of holdings Appendix IV provides notifications on acquisitions and disposals of holdings in subsidiaries, joint ventures and associates, in compliance with Article 155 of the Corporations Act and Article 125 of the Securities Market Act 4/2015. 93 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 2 Using the effective exchange rate of 16.14 Turkish lira per euro. 14.4. Impairment The breakdown of the changes in loss allowances in 2023 and 2022 under this heading is as follows: Impairment (Millions of Euros) Notes 2023 2022 Balance at the beginning 16,282 17,057 Increase in loss allowances charged to income 43 60 56 Decrease in loss allowances credited to income 43 (178) (698) Amount used (13) (133) Balance at the end 16,151 16,282 15. Tangible assets The breakdown and movement of the balance and changes of this heading in the accompanying balance sheets, according to the nature of the related items, is as follows: Tangible assets. Breakdown by type of assets and changes in the year 2023 (Millions of Euros) Right to use asset Total Notes Land and Buildings Work in Progress Furniture, Fixtures and Vehicles Tangible asset of own use Investment Properties Investment Properties Revalued cost Balance at the beginning 1,028 — 2,601 3,323 213 12 7,177 Additions 1 — 76 169 10 — 256 Retirements — — (15) (135) — (1) (150) Transfers (7) — — (15) 14 — (9) Exchange difference and other — — — — — — — Balance at the end 1,022 — 2,662 3,342 237 11 7,274 Accrued depreciation Balance at the beginning 187 — 2,136 758 69 2 3,152 Additions 40 13 — 84 202 21 — 320 Retirements — — (14) (19) — — (33) Transfers (1) — — (3) 3 — (1) Exchange difference and other — — (1) — — — (1) Balance at the end 199 — 2,205 938 93 2 3,437 Impairment Balance at the beginning 70 — — 369 50 5 494 Additions 44 — — 1 5 11 — 17 Retirements 44 — — — (34) — — (34) Transfers — — — — — — — Exchange difference and other — — (1) (11) — — (12) Balance at the end 70 — — 328 61 5 464 Net tangible assets Balance at the beginning 771 — 465 2,196 94 5 3,531 Balance at the end 753 — 456 2,077 83 4 3,373 94 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Tangible assets. Breakdown by type of assets and changes in the year 2022 (Millions of Euros) Right to use asset Total Notes Land and Buildings Work in Progress Furniture, Fixtures and Vehicles Tangible asset of own use Investment Properties Investment Properties Revalued cost Balance at the beginning 1,047 1 2,700 3,092 161 14 7,015 Additions 1 1 59 285 19 — 365 Retirements — (1) (103) (22) — — (126) Transfers (20) (1) (55) (32) 33 (2) (77) Exchange difference and other — — — — — — — Balance at the end 1,028 — 2,601 3,323 213 12 7,177 Accrued depreciation Balance at the beginning 185 — 2,180 592 46 2 3,005 Additions 40 12 — 88 190 18 — 308 Retirements — — (99) (19) — — (118) Transfers (10) — (35) (5) 5 — (45) Exchange difference and other — — 2 — — — 2 Balance at the end 187 — 2,136 758 69 2 3,152 Impairment Balance at the beginning 70 — — 417 34 6 527 Additions 44 — — 4 34 16 — 54 Retirements 44 — — — (75) — — (75) Transfers — — — (7) — (1) (8) Exchange difference and other — — (4) — — — (4) Balance at the end 70 — — 369 50 5 494 Net tangible assets Balance at the beginning 792 1 520 2,083 81 6 3,482 Balance at the end 771 — 465 2,196 94 5 3,531 The right to use asset consists mainly of the rental of commercial real estate premises for central services and the network branches. The clauses included in rental contracts correspond to a large extent to rental contracts under normal market conditions. As of December 31, 2023 and 2022, the cost of fully amortized tangible assets that remained in use were €1,705 million and € 1,619 million, respectively. The main activity of the Bank is carried out through a network of bank branches located geographically as shown in the following table: Branches by geographical location (Number of branches) 2023 2022 Spain 1,882 1,886 Rest of the world 24 24 Total 1,906 1,910 95 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 16. Intangible assets The breakdown of the balance under this heading in the balance sheets as of December 31, 2023 and 2022 relates mainly to the net balance of the disbursements made on the acquisition of computer software. The average life of the Bank's intangible assets is 5 years. The breakdown of the balance under this heading in the balance sheets, according to the nature of the related items, is as follows: Other intangible assets (Millions of Euros) 2023 2022 Transactions in progress 875 824 Accruals 19 31 Total 894 855 The breakdown of the changes in 2023 and 2022 in the balance under this heading in the balance sheets is as follows: Other intangible assets. Changes over the year (Millions of Euros) 2023 2022 Notes Computer software Other intangible assets Total of intangible assets Computer software Other intangible assets Total of intangible assets Balance at the beginning 825 31 855 797 44 841 Additions 382 — 382 360 — 360 Amortization in the year 40 (319) (12) (331) (317) (13) (330) Net variation of impairment through profit or loss 44 (12) — (12) (15) — (15) Balance at the end 875 19 894 825 31 855 17. Tax assets and liabilities The balance of the heading “Tax Liabilities” in the accompanying balance sheets contains the liability for applicable taxes, including the provision for corporation tax of each year, net of tax with holdings and prepayments for that period, and the provision for current period corporation tax in the case of companies with a net tax liability. The amount of the tax refunds due to Group companies and the tax with holdings and prepayments for the current period are included under “Tax Assets” in the accompanying balance sheets. Banco Bilbao Vizcaya Argentaria, S.A. and its tax-consolidable subsidiaries file consolidated tax returns. The subsidiaries of Argentaria, which had been in Tax Group 7/90, were included in Tax Group 2/82 from 2000. On December, 30, 2002, the pertinent notification was made to the Ministry of Economy and Finance to extend its taxation under the consolidated taxation regime indefinitely, in accordance with current legislation. Similarly, on the occasion of the acquisition of Unnim Group in 2012, the companies composing the Tax Group No. 580/11 which met the requirements became part of the Tax Group 2/82 from January 1, 2013. On the occasion of the acquisition of Catalunya Banc Group in 2015, the companies composing the Tax Group No. 585/11 which met the requirements became part of the Tax Group 2/82 from January 1, 2016. In previous years, the Bank has participated in various corporate restructuring operations covered by the special regime for mergers, divisions, transfers of assets and exchange of securities under the terms provided in the Corporate Tax Law in force in each of the years corresponding. These operations are explained in detail in the financial statements, part of the annual accounts for the respective years. Similarly, the information requirements under the above legislation are included in the financial statements corresponding to the year in which the mentioned operations were carried out, as well as in the merger by absorption deed, other official documents or in the internal records of the Bank, available to the tax authorities. 17.1 Years open for review by the tax authorities As December 31, 2023, the Bank was undergoing inspection in connection with the years 2018 to 2020, with respect to the taxes applicable to it. In view of the varying interpretations that can be made of some applicable tax legislation, the outcome of the tax inspections of the open years that may be conducted by the tax authorities in the future may give rise to contingent tax liabilities which cannot be reasonably estimated at the present time. However, the Group considers that the possibility of these contingent liabilities becoming actual liabilities is remote and, in any case, the tax charge which might arise therefore would not materially affect the Bank’s accompanying financial statements. 96 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 17.2 Reconciliation The reconciliation of the corporation tax expense resulting from the application of the standard tax rate to the recognized corporation tax expense in the attached income statement is as follows: Reconciliation of the Corporate Tax Expense Resulting from the Application of the Standard Rate and the Expense Registered by this Tax (Millions of Euros) 2023 2022 Corporation tax 1,664 1,549 Increases due to permanent differences 130 60 Decreases due to permanent differences (1,376) (1,461) Tax credits and tax relief at consolidated Companies (58) (48) Other items net 86 87 Net increases (decreases) due to temporary differences (94) (174) Charge for income tax and other taxes — — Deferred tax assets and liabilities recorded (utilized) 94 174 Income tax and other taxes accrued in the period 447 186 Adjustments to prior years' income tax and other taxes 293 161 Income tax and other taxes 740 347 The heading “Decreases due to permanent differences” of the previous table in 2023 includes mainly the tax effect on dividends and capital gains, which are exempt in order to avoid double taxation at 95%, for an amount of €3,871 million and available of non- deductible impairments for an amount of €251 million. In 2022, the effect of those concept were €3,654 and €714 million, respectively. The Bank avails itself of the tax credits for investments in new fixed assets (in the scope of the Canary Islands tax regime, for a non- material amount), tax relief, R&D tax credits, donation tax credits and double taxation tax credits, in conformity with corporate income tax legislation. Under the regulations in force until December 31, 2001, the Bank and the savings banks which would form Unnim Banc and Catalunya Banc were available to the tax deferral for reinvestment. The information related to this tax credit can be found in the corresponding annual reports. From 2002 to 2014, the Bank and the savings banks which would form Unnim Banc and Catalunya Banc were available to the tax credit for reinvestment of extraordinary income obtained on the transfer for consideration of properties and shares representing ownership interests of more than 5%. The information related to this tax credit can be found in the corresponding financial statements. 17.3 Income tax recognized in equity In addition to the income tax registered in the income statements, at the end of 2023 and 2022 the Bank recognized the following amounts in equity: Tax recognized in Total Equity (Millions of Euros) 2023 2022 Charges to total equity Debt securities — — Equity instruments (3) (3) Other (10) — Subtotal (13) (3) Credits to total equity Debt securities 94 168 Equity instruments — — Other — 219 Subtotal 94 387 Total 81 384 97 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 17.4 Current and deferred taxes The balance under the heading "Tax assets" in the accompanying balance sheets includes the tax receivables relating to deferred tax assets. The balance under the “Tax liabilities” heading includes the liabilities relating to the Bank's various deferred tax liabilities. The details of the most important tax assets and liabilities are as follows: Tax Assets and Liabilities (Millions of Euros) 2023 2022 Variation Tax assets- Current tax assets 2,145 1,629 516 Deferred tax assets 10,272 10,850 (578) Pensions 123 158 (35) Financial Instruments 161 456 (295) Other assets 41 49 (8) Impairment losses 242 237 5 Other 532 508 24 Secured tax assets (1) 8,534 8,689 (155) Tax losses 639 753 (114) Total 12,417 12,479 (62) Tax Liabilities- Current tax liabilities 197 190 7 Deferred tax liabilities 795 753 42 Charge for income tax and other taxes 795 753 42 Total 992 943 49 (1) The Law guaranteeing the deferred tax assets was approved in Spain in 2013. Based on the available information, including historical profit levels and projections that the Bank handles for the coming 15 years results, the recoverability plan for deferred tax assets and liabilities has been reviewed and it is considered that there is sufficient positive evidence, greater than the negative, that sufficient taxable income to recover deferred tax assets detailed above would be generated when they become deductible under the provisions of tax legislation. With respect to the changes in assets and liabilities due to deferred tax contained in the above table, the following should be pointed out: – The increase of Current tax assets is due to higher debtor Public Treasury due to the return of the 2023 Corporation Tax payments made during the year. – The decrease in assets for deferred tax assets related to financial instruments are mainly due to valuation adjustments in Total Equity. – The other changes in deferred tax assets and liabilities are mainly due to the adjustments on the corporate income tax finally presented for year 2022 and the estimation for 2023. – The decrease in guaranteed tax assets and tax losses are due to the estimation for 2023. On the deferred tax assets and liabilities contained in the table above, those included in Note 17.3 above have been recognized against the entity's equity, and the rest against earnings for the year or reserves. From the guaranteed tax assets contained in the above table, the detail of the items and amounts guaranteed by the Spanish Government is as follows: Secured tax assets (Millions of Euros) 2023 2022 Pensions 1,622 1,622 Loss allowances 6,912 7,067 Total 8,534 8,689 On the other hand, BBVA, S.A., has not recognized for accounting purposes (or, as the case may be, has been subject to a valuation adjustment) certain deferred taxes for an amount of €1,484 million in quota for which, in general, there is no legal period for offsetting, which are mainly originated by Catalunya Banc. 98 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. In connection with the above, it should be noted that within the framework of the ongoing process of rationalization of the Group’s corporate structure, which, among others, could provide for the future dissolution and liquidation of companies, the materialization of the aforementioned deferred tax assets not recognized for accounting purposes may take place in the Entity, as a consequence of tax adjustments made in the past, associated with the participation being liquidated, which most supposes the materialization of deferred tax assets not recognized in accounting terms either in the entity itself that holds the status of partner, or in the company object of dissolution and liquidation. In addition, BBVA, S.A., in relation to the Branches abroad, has deferred taxes not recognized in accounting for amount of €8,046 thousand in Portugal, €2.897 thousand in Japan and €96 thousand in China, all amounts in quota. 17.5 Other Contributions Temporary tax on credit institutions in Spain On December 28, 2022, the Law for the establishment of the temporary tax on credit institutions and financial credit establishments was published in the Official State Gazette. This law establishes an obligation to pay a non-taxable equity benefit of public nature during the years 2023 and 2024 on those credit institutions that operate in Spain whose aggregate interest income and fee and commission income in 2019 was €800 million or more. The amount of the non-taxable equity benefit to be paid is the result of applying the percentage of 4.8% to the sum of the net interest income and fee and commission income and expense derived from the activity carried out in Spain, as shown in the income statement of the tax consolidation group to which the credit institutions belongs, corresponding to the calendar year prior to the year in which the obligation to make such a payment arose. The payment obligation arises on the first day of the calendar year of fiscal years 2023 and 2024. The impact of the payment required to be made by BBVA on account of this benefit in 2023 amounted to €215 million and was recorded under "Other operating expense" in the consolidated income statement (see Note 38). The estimated impact corresponding to the year 2024 is €285 million and has been recorded on January 1, 2024 in such caption of the income statement. 18. Other assets and liabilities The composition of the balance of these captions of the accompanying balance sheets is: Other assets and liabilities (Millions of Euros) Notes 2023 2022 ASSETS Insurance contracts linked to pensions 22 1,321 1,337 Inventories 132 — Rest of other assets 569 340 Transactions in progress 17 63 Accruals 392 265 Other items 161 12 Total 2,023 1,677 LIABILITIES Transactions in progress 96 27 Accruals 1,012 949 Other items 1,700 1,576 Total 2,808 2,552 99 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 19. Non-current assets and disposal groups classified as held for sale The composition of the balances under the headings “Non-current assets and disposal groups classified as held for sale” in the accompanying balance sheets, broken down by the origin of the assets, is as follows: Non-current assets and disposal groups classified as held for sale: Breakdown by items (Millions of Euros) 2023 2022 Foreclosures and recoveries 558 728 Foreclosures 522 685 Recoveries from financial leases 37 43 Assets from tangible assets 422 460 Business sale - Assets — — Accrued amortization (1) (79) (89) Loss allowances (389) (449) Total non-current assets and disposal groups classified as held for sale 512 651 (1) Corresponds to the accumulated depreciation of assets before classification as “Non-current assets and disposal groups classified as held for sale". The changes in the balances under this heading in 2023 and 2022 are as follows: Non-current assets and disposal groups classified as held for sale. Changes in the year (Millions of Euros) Notes Foreclosed assets From own use assets (1) Business sale - assets Total Cost (1) 2023 2022 2023 2022 2023 2022 2023 2022 Balance at the beginning 728 920 371 447 — — 1,099 1,367 Additions 80 118 — — — — 80 118 Retirements (sales and other decreases) (227) (269) (34) (110) — — (261) (379) Transfers, other movements and exchange differences (23) (41) 6 34 — — (17) (7) Balance at the end 558 728 343 371 — — 901 1,099 Impairment (2) Balance at the beginning 214 216 234 266 — — 448 482 Net variations through profit and loss 45 16 50 1 14 — — 17 64 Retirements (sales and other decreases) (51) (46) (22) (46) — — (73) (92) Transfers, other movements and exchange differences (3) (6) — — — — (3) (6) Balance at the end 176 214 213 234 — — 389 448 Balance at the end of Net carrying value (1)-(2) 382 514 130 137 — — 512 651 (1) Net of accumulated amortizations until their classification as "Non-current assets and disposable groups of elements that have been classified as held for sale". As indicated in Note 2.3, “Non-current assets and disposal groups held for sale” and “liabilities included in disposal groups classified as held for sale” are valued at the lower amount between its fair value less costs to sell and its book value. As of December 31, 2023 and 2022, practically all of the carrying amount of the assets recorded at fair value on a non-recurring basis coincides with their fair value. Assets from foreclosures or recoveries The table below shows the main non-current assets held for sale from foreclosures or recoveries: Non-current assets and disposal groups classified as held for sale. From foreclosures or recoveries (Millions of Euros) 2023 2022 Residential assets 278 373 Industrial assets 94 127 Agricultural assets 8 11 Total 380 511 100 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The table below shows the length of time for which the main assets from foreclosures or recoveries that were on the balance sheet as of December 31, 2023 and 2022 had been held: Assets from foreclosures or recoveries. Period of ownership (Millions of Euros) 2023 2022 Up to one year 27 22 From 1 to 3 years 72 103 From 3 to 5 years 91 184 Over 5 years 190 202 Total 380 511 In 2023 and 2022, some of the sales of these assets were financed by the Bank. The amount of the loans granted to the buyers of these assets in those years totaled €11 and €14 million respectively, with a mean percentage financed of 79% and 82%, respectively, of the price of sale. The total nominal amount of these loans and receivables, which are recognized under “Financial assets at amortized cost” was € 1,393 and €1,395 million, as of December 31, 2023 and 2022, respectively. As of December 31, 2023 and 2022, there were no gains not recognized in the income statement from the sale of assets financed by the Bank. 20. Financial liabilities at amortized cost 20.1. Breakdown of the balance The breakdown of the balance under this heading in the accompanying balance sheets is as follows: Financial liabilities measured at amortized cost (Millions of Euros) 2023 2022 Deposits 279,279 287,514 Deposits from central banks 10,962 32,517 Demand deposits 158 197 Time deposits and other 10,804 32,320 Deposits from Credit Institutions 33,563 20,200 Demand deposits 5,922 10,505 Time deposits and other 7,222 6,113 Repurchase agreements 20,419 3,583 Customer deposits 234,754 234,797 Demand deposits 195,004 203,235 Time deposits and other 38,519 30,683 Repurchase agreements 1,231 880 Debt certificates 50,132 38,511 Other financial liabilities 10,065 9,915 Total 339,476 335,941 The amount recorded in Deposits from central banks - Time deposits includes the provisions of the TLTRO III facilities of the European Central Bank amounting to €3,490 and €26,411 million euros as of December 31, 2023 and 2022 respectively after the start of the refund in December 2022 (See Note 5.5.2). The positive income generated by the drawdowns of the TLTRO III facilities has been recorded under the heading of "Interest and other income – Other income" in the consolidated income statements (see Note 33.1), while the negative remuneration generated by the drawdowns of the TLTRO III facilities has been recorded under "Interest expense" in the consolidated income statements. 101 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 20.2. Deposits from credit institutions The breakdown by geographical area and the nature of the related instruments of this heading in the balance sheets is as follows: Deposits from credit institutions (Millions of Euros) Demand deposits Time deposits and other Repurchase agreements Total December 2023 Spain 1,270 1,611 899 3,779 Rest of Europe 2,945 2,087 19,260 24,292 Mexico 286 — — 286 South America 302 451 — 753 Rest of the world 1,119 3,073 260 4,452 Total 5,922 7,222 20,419 33,563 December 2022 Spain 1,223 676 67 1,967 Rest of Europe 3,541 2,117 1,567 7,225 Mexico 215 — — 215 South America 648 673 — 1,322 Rest of the world 4,876 2,646 1,949 9,471 Total 10,505 6,113 3,583 20,200 20.3. Customer deposits The breakdown of this heading in the accompanying balance sheets, by type of instrument and geographical area, is as follows: Customer deposits (Millions of Euros) Demand deposits Time deposits and other Repurchase agreements Total December 2023 Spain 182,485 16,664 — 199,149 Rest of Europe 10,197 16,892 1,231 28,320 Mexico 146 284 — 430 South America 932 960 — 1,892 Rest of the world 1,244 3,719 — 4,963 Total 195,004 38,519 1,231 234,754 December 2022 Spain 191,426 12,693 — 204,119 Rest of Europe 8,973 13,875 880 23,728 Mexico 187 411 — 598 South America 1,220 392 — 1,612 Rest of the world 1,428 3,312 — 4,740 Total 203,235 30,683 880 234,797 Previous table includes as of 31, December 2023 and 2022 deposits amounted to € 177 and €184 million, respectively, linked to issues of subordinated debt made by BBVA Global Finance Ltd. 102 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 20.4. Debt certificates The breakdown of the balance under this heading, by type of financial instrument and by currency, is as follows: Debt certificates issued (Millions of Euros) 2023 2022 In Euros 40,753 31,228 Promissory bills and notes 5,320 1,075 Non-convertible bonds and debentures 16,675 18,025 Mortgage Covered bonds 5,626 6,364 Other securities 6,182 339 Accrued interest and others (1) (116) (864) Subordinated liabilities 7,066 6,289 Convertible perpetual securities 3,000 3,000 Other non- convertible subordinated liabilities 4,051 3,460 Valuation adjustments (1) 15 (171) In Foreign Currency 9,379 7,283 Promissory bills and notes 145 111 Non-convertible bonds and debentures 3,125 4,290 Mortgage Covered bonds 98 105 Other securities 1,479 111 Accrued interest and others (1) 35 34 Subordinated liabilities 4,498 2,633 Convertible perpetual securities 2,715 1,875 Other non-convertible subordinated liabilities 1,768 750 Valuation adjustments (1) 14 8 Total 50,132 38,511 (1) Accrued interest but pending payment, valuation adjustments and issuance costs included. As of December 31, 2023 and 2022, 73 % and 63% of “Debt certificates” have fixed-interest rates, and 27% and 37% have variable interest rates, respectively. The total cost of the accrued interest under “Debt securities issued” in 2023 and 2022 totaled €1123 million and €559 million, respectively. As of December 31, 2023 and 2022 the accrued interest pending payment from promissory notes and bills and bonds and debentures amounted to € 500 million and €310 million, respectively. The heading “Nonconvertible bonds and debentures” as of December 31, 2023 includes several issues, the latest maturing in 2039. The heading “Mortgage Covered Bonds" as of December 31, 2023 includes issues with various maturities, the latest in 2037. Subordinated liabilities included in this heading and in Note 20.3, and accordingly, for debt seniority purposes, they rank behind ordinary debt, but ahead of the Bank’s shareholders, without prejudice to any different seniority that may exist between the different types of subordinated debt instruments according to the terms and conditions of each issue. The breakdown of this heading in the accompanying balance sheets, disregarding valuation adjustments, by currency of issuance and interest rate is shown in Appendix VII. The balance variances are mainly due to the following transactions: Perpetual Contingent Convertible Securities The Annual General Shareholders' Meeting of BBVA held on April 20, 2021, resolved, under agenda item five, to authorize the Board of Directors of BBVA, with sub-delegation powers, to issue convertible securities, whose conversion is contingent and which are intended to meet regulatory requirements for their eligibility as capital instruments (CoCos), in accordance with the solvency regulations applicable from time to time, subject to the legal and statutory provisions that may be applicable at any time. The Board of Directors may make issues on one or several times within the maximum term of five years from the date on which this resolution was adopted, up to the maximum overall amount of €8 billion or its equivalent in any other currency. The Board of Directors may also resolve to exclude, either fully or partially, the pre-emptive subscription rights of shareholders within the framework of a concrete issuance, complying in all cases with the legal requirements and limitations established for this purpose at any given time. 103 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Under that delegation, BBVA has made the following contingently convertible issuances that qualify as additional tier 1 capital of the Bank and the Group in accordance with Regulation (EU) 575/2013: – On June 21, 2023, BBVA carried out an issuance of perpetual contingent convertible securities with exclusion of shareholders' pre-emptive subscription rights, for a total nominal amount of €1 billion. This issuance is listed in the Global Exchange Market of Euronext Dublin and was targeted only at qualified investors, not being offered or sold to any retail clients. – On September 19, 2023, BBVA carried out an issuance of perpetual contingent convertible securities with exclusion of shareholders' pre-emptive subscription rights, for a total nominal amount of USD 1 billion. This issuance is listed on the New York Stock Exchange and was targeted only at qualified investors, not being offered or sold to any retail clients. These perpetual securities issued, where appropriate, must be converted into newly issued ordinary shares of BBVA if the CET 1 ratio of the Bank or the Group is less than 5.125%, in accordance with their respective terms and conditions. These type of issuances made by the Bank may be fully redeemed at BBVA's option only in the cases contemplated in their respective terms and conditions and, in any case, in accordance with the provisions of the applicable legislation. In particular, throughout the financial years 2022 and 2023: – On May 24, 2022, the Bank early redeemed the contingently convertible preferred securities (which qualified as additional tier 1 instruments) issued by the Bank on May 24, 2017, for an amount of €500 million on the First Reset Date and once the prior consent from the Regulator was obtained. – On September 24, 2023, the Bank early redeemed the issuance of contingently convertible preferred securities (which qualified as additional tier 1 instruments) carried out by the Bank on September 24, 2018, for an amount of €1 billion on the First Reset Date and once the prior consent from the Regulator was obtained. Convertible Securities The Annual General Shareholders' Meeting of BBVA held on March 18, 2022, resolved, under agenda item five, to confer authority on the Board of Directors of BBVA, with sub-delegation powers, to issue securities convertible into new BBVA shares (other than contingently convertible securities, envisaged to meet regulatory requirements for their eligibility as capital instruments (CoCos) referred to in the resolutions adopted by BBVA's Annual General Shareholders' Meeting held on April 20, 2021, under agenda item five), subject to provisions in the law and in BBVA's bylaws that may be applicable at any time, on one or several occasions within the maximum term of five years to be counted as from the date on which the resolution was adopted, up to a maximum total amount of €6 billion, or the equivalent in any other currency. The Board of Directors may also resolve to exclude, either fully or partially, the pre- emptive subscription rights of shareholders within the framework of a specific issuance, limiting power limited to the extent that the nominal amount of the capital increases agreed or executed in order to satisfy conversion of the issues carried out excluding the pre- emptive subscription right by virtue of this power (without prejudice to anti-dilution adjustments) and any agreed or executed in use of the power under the item 4 of the Agenda of the same General Meeting, described in Note 23, excluding the pre-emptive subscription right, do not exceed a maximum aggregated nominal amount of 10% of BBVA's share capital at the time the resolution was adopted. As of the date hereof the Bank has not made use of the authority granted by the BBVA Annual General Shareholders' Meeting held on March 18, 2022. 20.5. Other financial liabilities The breakdown of the balance under this heading in the accompanying balance sheets is as follows: Other financial liabilities (Millions of Euros) 2023 2022 Lease liabilities 2,744 2,869 Creditors for other financial liabilities 2,860 2,928 Collection accounts 2,825 2,731 Creditors for other payment obligations 1,636 1,386 Total 10,065 9,915 A breakdown of the maturity of the lease liabilities, due after December 31, 2023 is provided below: Maturity of future payment obligations (Millions of Euros) Up to 1 year 1 to 3 years 3 to 5 years Over 5 years Total Operating leases 153 401 411 1,781 2,746 104 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The information required by Final Provision second of Law 31/2014 of December 3, which amends the Corporate Law to improve corporate governance modifies Additional Provision third of Law 15/2010, of July 5, amending the Law 3/2004 of December 29, through which measures for combating late payment in commercial transactions are set, is as follows: Payments made and pending payments(Millions of Euros) 2023 2022 BBVA S.A. BBVA GROUP IN SPAIN BBVA S.A. BBVA GROUP IN SPAIN Average payment period to third parties (days) 23 23 26 26 Ratio of outstanding payment transactions (days) (1) 23 23 26 26 Ratio outstanding payment transactions (days) (1) 18 18 18 18 Total payments 3,058 3,053 2,590 2,584 Total outstanding payments 136 136 114 114 (1) To obtain these ratios, the total number of registered invoices is taken into account. The data shown in the table above on payments to suppliers refer to those which by their nature are trade creditors for the supply of goods and services, so data relating to "Other financial liabilities other liabilities -Trade pay " is included in the balance. As of December 31, 2023, according to Law 18/2022, of September 28, on creation and development of entities, BBVA paid a total of 127,360 invoices (representing 92.9% of the total invoices received) with a total amount of €2,461 million (representing 96.6% of the volume invoiced) in a period less than or equal to the maximum established in the delinquency regulations. 21. Provisions The breakdown of the balance under this heading in the accompanying balance sheets, based on type of provisions, is as follows: Provisions: Breakdown by concepts (Millions of Euros) Notes 2023 2022 Provisions for pensions and similar obligations 22 1,871 2,085 Other long term employee benefits 22 404 433 Provisions for taxes and other legal contingencies 396 388 Provisions for contingent risks and commitments 240 280 Other provisions (1) 221 198 Total 3,131 3,385 (1) Individually non-significant provisions, for various concepts. 105 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Below are the changes in 2023 and 2022 in the balances under this heading: Provisions for pensions, similar obligations and other long term employee benefits. Changes over the year (Millions of Euros) 2023 2022 Balance at the beginning 2,518 3,627 Charges to income for the year 42 21 Interest expense and similar charges 37 16 Personnel expense 3 4 Provision expense 1 1 Charges (Credits) to equity (1) 24 (39) Transfers and other changes — — Benefit payments (262) (420) Employer contributions (39) (546) Unused amounts reversed during the period (8) (125) Balance at the end 2,275 2,518 (1) Corresponds to actuarial losses (gains) arising from certain post-employment defined-benefit commitments for pensions (see Note 2.12). Provisions for taxes, legal contingencies, Provisions for contingent risks and commitments and other provisions. Changes over the year (Millions of Euros) 2023 2022 Balance at beginning 866 861 Additions 328 469 Unused amounts reversed during the year (207) (296) Amount used and other variations (130) (168) Balance at the end 857 866 Ongoing legal proceedings and litigation The financial sector faces an environment of increased regulatory pressure and litigation. In this environment, the various Group entities are often subject to lawsuits and involved in individual or collective legal proceedings and litigation arising from their activity and operations, including proceedings arising from their lending activity, from their labor relations and from other commercial, regulatory or tax issues, as well as in arbitration. On the basis of the information available, the Group considers that, as of December 31, 2023, the provisions made in relation to judicial proceedings and arbitrations, where so required, are adequate and reasonably cover the liabilities that might arise, if any, from such proceedings and arbitrations. Furthermore, on the basis of the information available and with the exceptions indicated in Note 7.1 "Risk factors", BBVA considers that the liabilities that may arise from such proceedings will not have, individually, a significant adverse effect on the Group's business, financial situation or results of operations. 22. Post-employment and other employee benefit commitments As stated in Note 2.12, the Bank has assumed commitments with employees including short-term employee benefits (Note 39.1), defined contribution and defined benefit plans, as well as other long-term employee benefits. The main Employee Welfare System has been implemented in Spain. Under the collective labor agreement, Spanish banks are required to supplement the social security benefits received by employees or their beneficiary right-holders in the event of retirement (except for those hired after March 8, 1980), permanent disability, death of spouse or death of parent. The Employee Welfare System in place at the Bank supersedes and improves the terms and conditions of the collective labor agreement for the banking industry; including benefits in the event of retirement, death and disability for all employees, including those hired after March 8, 1980. The Bank externally funded all its pension commitments with active and retired employees pursuant to Royal Decree 1588/1999, of October 15. These commitments are instrumented in external pension plans, insurance contracts with non-Group companies and insurance contracts with BBVA Seguros, S.A. de Seguros y Reaseguros, which is 99.96% owned by the Banco Bilbao Vizcaya Argentaria Group. 106 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The table below shows a breakdown of recorded balance sheet liabilities relating to defined benefit plans as at December 31, 2023 and 2022 : Net defined benefit liability (asset) on the balance sheet (Millions of Euros) Notes 2023 2022 Pension commitments 2,108 2,227 Early retirement commitments 407 600 Other long-term employee benefits 404 433 Total commitments 2,919 3,260 Pension plan assets 644 742 Total plan assets 644 742 Total net liability/asset 2,275 2,518 Of which: provisions- provisions for pensions and similar obligations 21 1,871 2,085 Of which: provisions-other long-term employee benefits 21 404 433 Other net assets in pension plans — — Of which: Insurance contracts linked to pensions 18 (1,321) (1,337) The following table shows defined benefit post-employment commitments recorded in the income statement for fiscal years 2023 and 2022: Income Statement and equity impact (Millions of Euros) Notes 2023 2022 Interest and similar expense 37 16 Interest expense 37 16 Interest income — — Personnel expense 58 43 Defined contribution plan expense 39 54 37 Defined benefit plan expense 39 1 2 Other benefit expense 3 4 Provisions or reversal of provisions 41 (5) (123) Early retirement expense — — Past service cost expense — 1 Remeasurements (1) (7) (125) Other provision expense 2 1 Total effects in income statements: debit (credit) 90 (64) Total effects on equity: debit (credit) (2) 24 (31) (1) Actuarial losses (gains) on remeasurement of the net defined benefit liability relating to early retirements in Spain and other long-term employee benefits that are charged to the income statement (see Note 2.12). (2) Actuarial gains (losses) on remeasurement of the net defined benefit pension liability before income taxes (see Note 2.12). 107 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 22.1 Defined benefit plans Defined benefit commitments relate mainly to employees who have already retired or taken early retirement, certain closed groups of active employees still accruing defined benefit pensions, and in-service death and disability benefits provided to most active employees. For the latter, the Bank pays the required premiums to fully insure the related liability. The change in these commitments as of December 31, 2023 and 2022 is presented below: Defined Benefit Plans (Millions of Euros) 2023 2022 Defined benefit obligation Plan assets Net liability (asset) Insurance contracts linked to pensions Defined benefit obligation Plan assets Net liability (asset) Insurance contracts linked to pensions Balance at the beginning 2,827 742 2,085 1,337 4,075 1,058 3,017 1,882 Current service cost 4 — 4 — 5 — 5 — Interest income or expense 100 26 74 51 58 15 43 32 Contributions by plan participants — — — — — — — — Employer contributions — 28 (28) — — 2 (2) — Past service costs (1) 3 — 3 — 3 — 3 — Remeasurements: 60 (10) 70 54 (792) (252) (540) (437) Return on plan assets (2) — (10) 10 54 — (252) 252 (437) From changes in demographic assumptions (2) — (2) — 7 — 7 — From changes in financial assumptions 67 — 67 — (768) — (768) — Other actuarial gain and losses (5) — (5) — (31) — (31) — Benefit payments (412) (75) (337) (121) (519) (78) (441) (140) Settlement payments (74) (75) 1 — (3) (3) — — Business combinations and disposals — — — — — — — Effect on changes in foreign exchange rates 2 2 — — (7) (7) — — Other effects 5 6 (1) — 7 7 — — Balance at the end 2,515 644 1,871 1,321 2,827 742 2,085 1,337 (1) Including gains and losses arising from settlements. (2) Excluding interest, which is recorded under "Interest income or expense". The balance under the heading “Provisions – Pensions and other post-employment defined benefit obligations” of the accompanying balance sheet as of December 31, 2023 includes €210 million for commitments for post-employment benefits maintained with previous members of the Board of Directors and the Bank’s Management Committee (see Note 49). Both the costs and the present value of the commitments are determined by independent qualified actuaries using the “projected unit credit” method. In order to guarantee the good governance of these plans, the Bank has established specific benefits committees. These benefit committees include members from the different areas of the business to ensure that all decisions are made taking into consideration all of the associated impacts. The following table sets out the key actuarial assumptions used in the valuation of these commitments as of December 31, 2023 and 2022: Actuarial Assumptions. Commitments in Spain 2023 2022 Discount rate 3.43% 3.91% Rate of salary increase — — Mortality tables PER 2020 PER 2020 The discount rate shown as of December 31, 2023, corresponds to the weighted average rate, the actual discount rates used are 3.25% and 4% depending on the type of commitment. The discount rate used to value future benefit cash flows has been determined by reference to Eurozone high quality corporate bonds. The expected return on plan assets has been set in line with the adopted discount rate. Assumed retirement ages have been set by reference to the earliest age at which employees are entitled to retire or the contractually agreed age in the case of early retirements. Changes in the actuarial main assumptions can affect the calculation of the commitments. Should the discount rate have increased or decreased by 50 basis points, an impact on equity for the commitments in Spain would have been registered amounting to approximately an increase or decrease of €8 million net of tax. 108 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. In addition to the commitments to employees shown above, the Bank has other less material long-term employee benefits. These include leaves and long-service awards, which consist of either an established monetary award or shares in Banco Bilbao Argentaria A.A. granted to employees when they complete a given number of years of qualifying services. Additionally, this heading included a fund related to the collective layoff procedure that was carried out in the bank in 2021. As of December 31, 2023 and 2022 the value of these commitments amounted to €404 and €433 million respectively. These amounts are recorded under the heading "Provisions - Other long-term employee benefits" of the accompanying balance sheet (see Note 21). Information on the various commitments is provided in the following sections: Pension commitments These commitments relate mainly to retirement, death and disability pension payments. They are covered by insurance contracts, pension funds and internal provisions. The change in pension commitments as of December 31, 2023 and 2022 is as follows: Pensions commitments (Millions of Euros) 2023 2022 Defined Benefit Obligation Plan Assets Net Liability (asset) Insurance contracts linked to pensions Defined Benefit Obligation Plan Assets Net Liability (asset) Insurance contracts linked to pensions Balance at the beginning 2,227 742 1,485 1,337 3,132 1,058 2,074 1,882 Net commitments addition — — — — — — — — Current service cost 4 — 4 — 5 — 5 — Interest income or expense 83 26 57 51 51 15 36 32 Contributions by plan participants — — — — — — — — Employer contributions — 28 (28) — — 2 (2) — Past service costs (1) 3 — 3 — 3 — 3 — Remeasurements: 67 (10) 77 54 (727) (252) (475) (437) Return on plan assets (2) — (10) 10 54 — (252) 252 (437) From changes in demographic assumptions (2) — (2) — 7 — 7 — From changes in financial assumptions 64 — 64 — (715) — (715) — Other actuarial gain and losses 5 — 5 — (19) — (19) — Benefit payments (209) (75) (134) (121) (234) (78) (156) (140) Settlement payments (74) (75) 1 — (3) (3) — — Business combinations and disposals — — — — — — — — Defined contribution transformation — — — — — — — — Effect on changes in foreign exchange rates 2 2 — — (7) (7) — — Other effects 5 6 (1) — 7 7 — — Balance at the end 2,108 644 1,464 1,321 2,227 742 1,485 1,337 Of Which: Vested benefit obligation relating to current employees 1,998 — — — 2,122 — — — Of Which: Vested benefit obligation relating to retired employees 110 — — — 105 — — — (1) Including gains and losses arising from settlements. (2) Excluding interest, which is recorded under "Interest income or expense". In Spain, local regulation requires that pension and death benefit commitments must be funded, either through a qualified pension plan or an insurance contract. These pension commitments are insured through policies with the insurer belonging to the Group, and with other unrelated insurers whose policyholder is BBVA. There are also commitments in the Group's insurance company whose policyholder is the BBVA Employment Pension Plan. All the policies meet the requirements established by the accounting regulations regarding the non-recoverability of contributions. However, the policies whose policyholder is the Entity that have been carried out with BBVA Seguros –a BBVA related party – and consequently these policies cannot be considered plan assets under the applicable standards. For this reason, the liabilities insured under these policies are fully recognized under the heading "Provisions – Pensions and other post-employment defined benefit obligations" of the accompanying balance sheet (see Note 21), while the related assets held by the insurance company are included under the heading “Insurance contracts linked to pensions “. Additionally, there are commitments in insurance policies of the Pension Plan and with insurance companies not related to the Bank. In this case the accompanying balance sheet reflects the value of the obligations net of the fair value of the qualifying insurance policies. As of December 31, 2023 and 2022, the plan assets related to the aforementioned insurance contracts equaled the amount of the commitments covered; therefore, no amount for this item is included in the accompanying balance sheets. 109 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Pension benefits are paid by the insurance companies with whom BBVA has insurance contracts and to whom all insurance premiums have been paid. The premiums are determined by the insurance companies using “cash flow matching” techniques to ensure that benefits can be met when due, guaranteeing both the actuarial and interest rate risk. The Bank signed a Social Benefit Standardization Agreement for its employees in Spain. The agreement standardizes the existing social benefits for the different groups of employees and, in some cases where a service was provided, quantified it as an annual amount in cash. In addition, some overseas branches of the Bank maintain defined-benefit pension commitments with some of their active and inactive personnel. These arrangements are closed to new entrants who instead participate in defined-contribution plans. Early retirement commitments In addition, there are commitments with the Bank's early-retired personnel. These commitments to early retirees include the compensation and indemnities and contributions to external pension funds payable during the period of early retirement. As of December 31, 2023 and 2022, the value of these commitments amounted to €407 million and €600 million respectively. The change in these commitments during financial years 2023 and 2022 is shown below: Early retirement commitments (Millions of Euros) 2023 2022 Defined Benefit Obligation Plan assets Net liability (asset) Defined benefit obligation Plan assets Net liability (asset) Balance at the beginning 600 — 600 943 — 943 Current service cost — — — — — — Interest income or expense 17 — 17 7 — 7 Contributions by plan participants — — — — — — Employer contributions — — — — — — Past service costs (1) — — — — — — Remeasurements: (7) — (7) (65) — (65) Return on plan assets (2) — — — — — — From changes in demographic assumptions — — — — — — From changes in financial assumptions 3 — 3 (53) — (53) Other actuarial gain and losses (10) — (10) (12) — (12) Benefit payments (203) — (203) (285) — (285) Settlement payments — — — — — — Business combinations and disposals — — — — — — Defined contribution transformation — — — — — — Effect on changes in foreign exchange rates — — — — — — Other effects — — — — — — Balance at the end 407 — 407 600 — 600 (1) Including gains and losses arising from settlements. (2) Excluding interest, which is recorded under "Interest income or expense". The valuation and account treatment of these commitments is the same as that of the pension commitments, except for the treatment of actuarial gains and losses (see Note 2.12). Estimated benefit payments As of December 31, 2023 the estimated payments over the next ten years are as follows: Estimated future payments (Millions of Euros) 2024 2025 2026 2027 2028 2029 - 2033 Commitments in Spain 477 325 279 242 210 697 Of which: Early retirements 145 105 74 49 31 26 22.2 Defined contribution plans The Bank sponsors defined contribution plans, in some cases with employees making contributions which are matched by the employer. 110 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. These contributions are accrued and charged to the income statement in the corresponding financial year. No liability is therefore recognized in the accompanying balance sheets for this purpose (see Note 2.12). 23. Common stock As of December 31, 2023 and 2022 BBVA’s share capital amounted to €2,860,590,786.20 and €2,954,757,116.36 divided into 5,837,940,380 and 6,030,116,564 shares respectively, at €0.49 par value each one, in both periods. The shares were fully subscribed and paid-up registered, all of the same class and series represented through book-entry accounts. The decrease was as of result of the partial executions of the share capital reduction resolution adopted by the Ordinary Annual Shareholders' Meeting of BBVA held on March 17, 2023, under item 3 of the agenda notified on June 2, 2023 and on December 19, 2023 (see Note 3). All of the Bank´s shares carry the same voting and dividend rights, and no single stockholder enjoys special voting rights. Each and every share is part of the Bank’s capital. The Bank’s shares are traded on the stock markets of Madrid, Barcelona, Bilbao and Valencia through the Sistema de Interconexión Bursátil Español (Mercado Continuo), as well as on the London and Mexico stock markets. BBVA American Depositary Shares (ADSs) traded on the New York Stock Exchange under the ticker “BBVA”. Additionally, as of December 31, 2023, the shares of Banco BBVA Peru, S.A., BBVA Banco Provincial, S.A., Banco BBVA Colombia, S.A., Banco BBVA Argentina, S.A., and Garanti BBVA A.S., were listed on their respective local stock markets. Banco BBVA Argentina, S.A. was also quoted in the Latin American market (Latibex) of the Madrid Stock Exchange and the New York Stock Exchange. Also, the Depositary Receipts (“DR”) of Garanti BBVA, A.S. are listed in the London Stock Exchange. BBVA is also currently included, amongst other indexes, in the IBEX 35® Index, which is made up by the 35 most liquid securities traded on the Spanish Market and, technically, it is a price index that is weighted by capitalization and adjusted according to the free float of each company comprised in the index. As of December 31, 2023, State Street Bank and Trust Co., The Bank of New York Mellon SA NV and Chase Nominees Ltd in their capacity as international custodian/depositary banks, held 15.73%, 1.81%, and 9.20% of BBVA common stock, respectively. Of said positions held by the custodian banks, BBVA is not aware of any individual shareholders with direct or indirect holdings greater than or equal to 3% of BBVA common stock outstanding. On April 18, 2019, Blackrock, Inc. reported to the Spanish Securities and Exchange Commission (CNMV) that, it had an indirect holding of BBVA common stock totaling 5.917%, of which 5.480% are voting rights attributed to shares and 0.437% are voting rights through financial instruments. On November 8, 2023, Capital Research and Management Company reported to the Spanish Securities and Exchange Commission (CNMV) that, it had an indirect holding of BBVA common stock totaling 3.010 %, of which 3.07% correspond to voting rights attributed to shares and 0.003% correspond to voting rights held through financial instruments. BBVA is not aware of any direct or indirect interests through which control of the Bank may be exercised. Furthermore, BBVA has not received any information on stockholder agreements including the regulation of the exercise of voting rights at its Annual General Shareholders' Meetings or restricting or placing conditions on the free transferability of BBVA shares. No agreement is known to BBVA that could give rise to changes in the control of the Bank. Resolutions adopted by the Annual General Shareholders' Meeting Capital increase BBVA's Annual General Shareholders' Meeting held on March 18, 2022 resolved, under agenda item four, to confer authority on the Board of Directors of BBVA to increase BBVA's share capital, on one or several occasions, within the legal term of five years to be counted as from the date on which this resolution was adopted, up to the maximum amount corresponding to 50% of BBVA's share capital at the time of this authorization. Likewise, the Annual General Shareholders' Meeting resolved to confer on the Board of Directors authority to totally or partially exclude shareholders' pre-emptive subscription rights within the framework of a specific issue of shares that may be made thereunder. However, the power to exclude pre-emptive subscription rights was limited, such that the nominal amount of any share capital increases resolved or effectively carried out with the exclusion of pre-emptive subscription rights and those that may be resolved or carried out to cover the conversion of convertible issuances that may equally be made with the exclusion of pre-emptive subscription rights in use of the authority delegated to issue securities convertible (other than contingently convertible securities, envisaged to meet regulatory requirements for their eligibility as capital instruments (CoCos)) as resolved by BBVA's Annual General Shareholders' Meeting held on March 18, 2022 under agenda item five and which is described in Note 22.4.1 (without prejudice to anti-dilution adjustments), may not exceed the nominal maximum overall amount of 10% of BBVA's share capital at the time of this authorization. This authority repealed the authority conferred by the Annual General Shareholders' Meeting held on March 17, 2017 under its agenda item four, which BBVA did not use. As of the date of this document, the Bank has not exercised the authority conferred by the General Shareholders' Meeting. 111 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Capital Decrease BBVA's Annual General Shareholders' Meeting held on March 18, 2022 resolved, under agenda item seven, to approve the share capital reduction of BBVA by up to a maximum amount of 10% of the share capital on the date of this resolution, through the redemption of own shares acquired derivatively by BBVA, both those acquired by virtue of the authorization granted by the BBVA Annual General Shareholders' Meeting held on March 16, 2018 under item three of the agenda, and those that were acquired by virtue of the authorization granted by the General Shareholders' Meeting held on March 18, 2022 under item six of the agenda, from that date, through any mechanism whose objective or purpose is redemption. The implementation period of this resolution was determined until the date of the following Annual General Shareholders' Meeting, being rendered null and void from that date in respect of the amount not executed. The Annual General Shareholders' Meeting conferred authority on the Board of Directors of BBVA, with sub-delegation powers, to totally or partially execute the aforementioned share capital reduction, on one or more occasions, repealing the resolution adopted by the Annual General Shareholders' Meeting held on April 20, 2021 under agenda item six, which BBVA did not use. In the execution of said resolution, (see Note 3), BBVA has executed the following share capital reductions: – On June 15, 2022, BBVA notified the partial execution of the resolution through the reduction of BBVA’s share capital in a nominal amount of €137,797,167.90 and the consequent redemption, charged to unrestricted reserves, of 281,218,710 own shares of €0.49 par value each acquired derivatively by the Bank in execution of the First Tranche of the Program Scheme and which were held as treasury shares. – On September 30, 2022, BBVA notified the second partial execution of the resolution through the reduction of BBVA’s share capital in a nominal amount of €174,710,139.94 and the consequent redemption, charged to unrestricted reserves, of 356,551,306 own shares of €0.49 par value each acquired derivatively by the Bank in execution of the Second Tranche of the Program Scheme and which were held as treasury shares. BBVA's Annual General Shareholders' Meeting held on March 17, 2023 resolved, under agenda item three, to approve the share capital reduction of BBVA by up to a maximum amount of 10% of the share capital on the date of this resolution, through the redemption of own shares acquired derivatively by BBVA by virtue of the authorization granted by the General Shareholders' Meeting held on March 18, 2022 under item six of the agenda, through any mechanism whose objective or purpose is redemption, The implementation period of this resolution was determined until the date of the following Annual General Shareholders' Meeting, being rendered null and void from that date in respect of the amount not executed. The Annual General Shareholders' Meeting conferred authority on the Board of Directors of BBVA, with sub-delegation powers, to totally or partially execute the aforementioned share capital reduction, on one or more occasions, repealing the resolution adopted by the Annual General Shareholders' Meeting held on March 18, 2022, under agenda item seven, whose executions are described above. In the execution of said resolution, (see Note 3), BBVA has executed the following share capital reductions: – On June 2, 2023, BBVA notified the partial execution of the resolution through the reduction of BBVA’s share capital in a nominal amount of €31,675,343.91 and the consequent redemption, charged to unrestricted reserves, of 64,643,559 own shares of €0.49 par value each acquired derivatively by the Bank in execution of a the share buyback program and which were held as treasury shares. – On December 19, 2023, BBVA notified the second partial execution of the resolution through the reduction of BBVA’s share capital in a nominal amount of €62,490,986.25 and the consequent redemption, charged to unrestricted reserves, of 127,532,625 own shares of €0.49 par value each acquired derivatively by the Bank in execution of a share buyback program and which were held as treasury share. Convertible and/or exchangeable securities: Note 20.4 introduces the details of the convertible and/or exchangeable securities. 24. Share premium As of December 31, 2023 and 2022, the balance under this heading in the accompanying balance sheets was €19,769 and €20,856 million, respectively (see Note 3). The amended Spanish Corporation Act expressly permits the use of the share premium balance to increase capital and establishes no specific restrictions as to its use (see Note 23). 112 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 25. Retained earnings, revaluation reserves and other reserves 25.1. Breakdown of the balance The breakdown of the balance under this heading in the accompanying balance sheets is as follows: Retained earnings, revaluation reserves and other reserves (Millions of Euros) 2023 2022 Restricted reserves Legal reserve 572 591 Restricted reserve for retired capital 561 482 Revaluation Royal Decree-Law 7/1996 — — Voluntary reserves Voluntary and others 5,478 3,906 Total 6,612 4,979 25.2. Legal reserve Under the amended Spanish Corporations Act, 10% of any profit made each year must be transferred to the legal reserve. The transfer must be made until the legal reserve reaches 20% of the common stock. The legal reserve can be used to increase the common stock provided that the remaining reserve balance does not fall below 10% of the increased capital. While it does not exceed 20% of the common stock, it can only be allocated to offset losses exclusively in the case that there are not sufficient reserves available. 25.3. Restricted reserves As of December 31, 2023 and 2022 , the Bank’s restricted reserves are as follows: Restricted reserves. Breakdown by concepts (Millions of Euros) 2023 2022 Restricted reserve for retired capital 495 400 Restricted reserve for Parent Company shares and loans for those shares 65 80 Restricted reserve for redenomination of capital in euros 2 2 Total 561 482 Until 2021, the restricted reserve for retired capital resulted from the reduction of the nominal par value of the BBVA shares made in April 2000. In 2023 and 2022 the amount includes the partial executions of the capital reduction resolution adopted by BBVA's General Shareholders' Meeting held on March 17, 2023 and March 18, 2022, respectively (see Note 23). The second heading corresponds to restricted reserves related to the amount of shares issued by the Bank in its possession at each date, as well as the amount of customer loans outstanding at those dates that were granted for the purchase of, or are secured by, the parent company shares. The balance of 2021 is mainly due to the share buyback program (see Note 4). Finally, pursuant to Law 46/1998 on the Introduction of the Euro, a restricted reserve is recognized as a result of the rounding effect of the redenomination of the parent company common stock in euros. 25.4. Revaluation and regularizations of the balance sheet Prior to the merger, Banco de Bilbao, S.A. and Banco de Vizcaya, S.A. availed themselves of the legal provisions applicable to the regularization and revaluation of balance sheets. Thus, on December 31, 1996, Banco Bilbao Vizcaya, S.A. revalued its tangible assets pursuant to Royal Decree-Law 7/1996 of June 7 by applying the maximum coefficients authorized, up to the limit of the market value arising from the existing valuations. As a result of these updates, the increases in the cost and depreciation of tangible fixed assets were calculated and allocated as follows. Following the review of the balance of the “Revaluation reserve pursuant to Royal Decree-Law 7/1996 of June 7" account by the tax authorities in 2000, this balance could only be used, free of tax, to offset recognized losses and to increase share capital until January 1, 2007. From that date, the remaining balance of this account can also be allocated to unrestricted reserves, provided that the surplus has been depreciated or the revalued assets have been transferred or derecognized. 113 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The breakdown of the calculation and movement to voluntary reserves under this heading are: Revaluation and Regularization of the Balance Sheet (Millions of Euros) Legal revaluations and regularizations of tangible assets: — Cost 187 Less: Single revaluation tax (3%) (6) Balance as of December 31, 1999 181 Rectification as a result of review by the tax authorities in 2000 (5) Transfer to voluntary reserves (176) Total as of December 2022 and 2023 — 26. Treasury shares In 2023 and 2022 the Group companies performed the following transactions with shares issued by the Bank: Treasury shares (Millions of Euros) 2023 2022 Number of Shares Millions of Euros Number of Shares Millions of Euros Balance at beginning 5,485,414 29 127,633,399 647 + Purchases 301,882,728 2,166 598,457,024 2,966 - Sales and other changes (302,981,517) (2,161) (720,605,009) (3,583) +/- Derivatives on BBVA shares — — — — +/- Other changes — — — — Balance at the end 4,386,625 34 5,485,414 29 Of which: Held by BBVA, S.A. — 3 — 3 Held by Corporación General Financiera, S.A. 4,354,004 31 5,454,516 26 Held by other subsidiaries 32,621 — 30,898 — Average purchase price in Euros 7.18 — 4.96 — Average selling price in Euros (including other changes) 7.14 — 4.99 — Net gains or losses on transactions (Shareholders' funds-Reserves) 1 9 During the years 2023 and 2022, transactions were recorded for the share buyback program (see Note 3). The percentages of treasury shares held by BBVA in the years ended 2023 and 2022 are as follows: Treasury Stock 2023 2022 Min Max Closing Min Max Closing % treasury stock 0.038% 2.214% 0.075% 0.078% 7.492% 0.094% The number of BBVA shares accepted by the Bank in pledge of loans as of December 31, 2023 and 2022 is as follows: Shares of BBVA accepted in pledge 2023 2022 Number of shares in pledge 17,492,194 23,437,363 Nominal value (Euros) 0.49 0.49 % of share capital 0.29% 0.39% 114 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The number of BBVA shares owned by third parties but under management of a company within the Group as of December 31, 2023 and 2022 is as follows: Shares of BBVA Owned by Third Parties but Managed by the Group 2023 2022 Number of shares owned by third parties 13,258,994 18,686,027 Nominal value (Euros) 0.49 0.49 % of share capital 0.23% 0.31% 27. Accumulated other comprehensive income (loss) The breakdown of the balance under this heading in the accompanying balance sheets is as follows: Accumulated other comprehensive income (loss). Breakdown by concepts (Millions of Euros) Notes 2023 2022 Items that will not be reclassified to profit or loss (1,212) (1,215) Actuarial gains (losses) on defined benefit pension plans (54) (32) Fair value changes of equity instruments measured at fair value through other comprehensive income 11.4 (1,213) (1,256) Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income — — Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk 55 72 Items that may be reclassified to profit or loss (230) (957) Hedge of net investments in foreign operations (effective portion) — — Foreign currency translation — — Hedging derivatives. Cash flow hedges (effective portion) 45 (492) Fair value changes of debt instruments measured at fair value through other comprehensive income 11.4 (275) (464) Hedging instruments (non-designated items) — — Non-current assets and disposal groups classified as held for sale — — Total (1,443) (2,172) The balances recognized under these headings are presented net of tax. 28. Capital base and capital management As of December 31, 2023 and 2022, own funds is calculated in accordance to the applicable regulation of each year on minimum capital requirements for Spanish credit institutions –both as individual entities and as consolidated group– that establish how to calculate them, as well as the various internal capital adequacy assessment processes they should have in place and the information they should disclose to the market. After the latest SREP (Supervisory Review and Evaluation Process) decision, applicable as from January 1, 2024, the ECB has informed the Bank that it must maintain a total capital ratio of 12.10% and a CET1 capital ratio of 7.94% and at the individual level, including a Pillar 2 requirement of 1.50% (at least 0.84% must be CET1). 115 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. A reconciliation of the main figures between the accounting and regulatory own funds as of December 31, 2023 and 2022 is shown below: Eligible capital resources (Millions of Euros) Notes 2023 ⁽¹⁾ 2022 Capital 23 2,861 2,955 Share premium 24 19,769 20,856 Retained earnings, revaluation reserves and other reserves 25.1 6,612 4,979 Other equity instruments, net 40 49 Treasury shares 26 (3) (3) Profit (loss) for the year 4,807 4,816 Attributable dividend (952) (724) Total Equity 33,134 32,928 Accumulated other comprehensive income (loss) (1,443) (2,172) Shareholders´ equity 31,691 30,756 Intangible assets (318) (328) Fin. treasury shares (51) (67) Deductions (369) (394) Temporary CET 1 adjustments — 160 Equity not eligible at solvency level — 160 Other adjustments and deductions (2) (4,810) (4,188) Common Equity Tier 1 (CET 1) 26,512 26,333 Additional Tier 1 before regulatory adjustments 5,715 4,875 Tier 1 32,227 31,208 Tier 2 5,461 3,730 Total Capital (Total Capital=Tier 1 + Tier 2) 37,688 34,938 Total Minimum equity required 26,244 24,773 (1) Provisional data. (2) Includes mainly the amount of repurchase of own shares pending to be executed and up to the maximum limit authorized by the ECB for the BBVA Group (see Note 3). 116 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The Bank’s own funds in accordance with the aforementioned applicable regulation as of December 31, 2023 and 2022 is shown below: Amount of capital CC1 (Millions of Euros) 2023 ⁽¹⁾ 2022 ⁽²⁾ Capital and share premium 22,629 23,810 Retained earnings and equity instruments 7,306 5,673 Other accumulated income and other reserves (2,226) (2,385) Net interim attributable profit ⁽³⁾ 1,579 2,222 Ordinary Tier 1 (CET 1) before other reglamentary adjustments 29,288 29,320 Goodwill and intangible assets (318) (328) Direct and indirect holdings in equity (329) (353) Deferred tax assets (639) (753) Other deductions and filters ⁽⁴⁾ (1,491) (1,553) Total common equity Tier 1 reglamentary adjustments (2,776) (2,987) Common equity TIER 1 (CET1) 26,512 26,333 Equity instruments and share premium classified as liabilities 5,715 4,875 Additional Tier 1 (CET 1) before regulatory adjustments 5,715 4,875 Transitional CET 1 adjustments — — Total regulatory adjustments of additional equity l Tier 1 — — Additional equity Tier 1 (AT1) 5,715 4,875 Tier 1 (Common equity TIER 1+ additional TIER 1) 32,227 31,208 Equity instruments and share premium accounted as Tier 2 5,214 3,515 Credit risk adjustments 257 225 Tier 2 before regulatory adjustments 5,471 3,740 Tier 2 regulatory adjustments (10) (10) Tier 2 5,461 3,730 Total capital (Total capital=Tier 1 + Tier 2) 37,688 34,938 Total RWA's 216,897 206,273 CET 1 (phased-in) 12.22% 12.77% Tier 1 (phased-in) 14.86% 15.13% Total capital (phased-in) 17.38% 16.94% (1) Provisional data. (2) In 2022, the difference between the phased-in and fully-loaded ratios arises from the transitional treatment of certain capital elements, mainly as a result of the impact of IFRS9 to which the Bank has adhered (in accordance with article 473bis of the CRR and the subsequent amendments introduced by Regulation 2020/873 of the European Union). In 2023 there are no differences between the phased-in and fully-loaded ratios due to the aforementioned transitional treatment. (3) Includes the amounts of the share repurchase programs carried out. Also, for the year 2023, includes the maximum amount foreseen subject to approval at the General Shareholders' Meeting. (4) Includes the amounts of the share buy-back programs carried out. Also, for the year 2023, includes the maximum amount foreseen subject to approval at the General Shareholders' Meeting. (see Note 3). The Bank's CET1 ratio has decreased by -55 basis points mainly as a result of the Share-Buyback Program (SBB) and by the growth of risk-weighted assets (RWAs), derived from the organic growth of activity. These are offset by the positive generation of earnings in the year, net of remuneration to shareholders and payment of coupons on contingent convertible instruments (CoCos), and by the positive evolution of the rest of the elements. The Bank's fully-loaded additional Tier 1 capital ratio (AT1) stood at 2.63% as of December 31, 2023, 27 basis points more than in 2022, mainly due to the issuance of AT1 instruments for $1 billion in June. Additionally, another issue was carried out in September for a value of €1,000 million replacing an AT1 instrument of equal value which was redeemed in the same month. The Tier 2 fully-loaded ratio stood at 2.52%, which represents an increase of 67 basis points compared to 2022, mainly explained by the subordinated issuances of 750 million euros in June, 300 million pounds in August and 750 million dollars in November. As a consequence of the foregoing, the total fully-loaded equity ratio stands at 17.38% as of December 31, 2023. The aim of capital management within BBVA and the Group is to ensure that both BBVA and the Group have the necessary capital at any given time to develop the corporate strategy reflected in the Strategic Plan, in line with the risk profile set out in the Group Risk Appetite Framework. In this regard, BBVA's capital management is also part of the most relevant forward-looking strategic decisions in the Group's management and monitoring, which include the Annual Budget and the Liquidity and Funding Plan, with which it is coordinated — all with the aim of achieving the Group's overall strategy. 117 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Capital must be allocated optimally in order to meet the need to preserve the solvency of BBVA and the Group at all times. Together with the Group's solvency risk profile included in the Risk Appetite Framework (RAF), this optimal allocation serves as a guide for the Group's capital management and seeks a solid capital position that makes it possible to: – Anticipate ordinary and extraordinary consumption that may occur, even under stress; – Promote the development of the Group's business and align it with capital and profitability objectives by allocating resources appropriately and efficiently; – Cover all risks—including potential risks—to which it is exposed; – Comply with regulatory and internal management requirements at all times; and – Remunerate BBVA shareholders in accordance with the Shareholder Remuneration Policy in force at any given time. The areas involved in capital management in the Group shall follow and respect the following principles in their respective areas of responsibility: – Ensuring that capital management is integrated and consistent with the Group's Strategic Plan, RAF, Annual Budget and other strategic-prospective processes, to help achieve the Group's long-term sustainability. – Taking into account both the applicable regulatory and supervisory requirements and the risks to which the Group is—or may be—exposed when conducting its business (economic vision), when establishing a target capital level, all while adopting a forward-looking vision that takes adverse scenarios into consideration. – Carrying out efficient capital allocation that promotes good business development, ensuring that expectations for the evolution of activity meet the strategic objectives of the Group and anticipating the ordinary and extraordinary consumption that may occur. – Ensuring compliance with the solvency levels, including the minimum requirement for own funds and eligible liabilities (MREL), required at any given time. – Compensating BBVA shareholders in an adequate and sustainable manner. – Optimizing the cost of all instruments used for the purpose of meeting the target capital level at any given time To achieve the aforementioned principles, capital management will be based on the following essential elements: – An adequate governance and management scheme, both at the corporate body level and at the executive level. – Planning, managing and monitoring capital properly, using the measurement systems, tools, structures, resources and quality data necessary to do so. – A set of metrics, which is duly updated, to facilitate the tracking of the capital situation and to identify any relevant deviations from the target capital level. – A transparent, correct, consistent and timely communication and dissemination of capital information outside the Group. – An internal regulatory body, which is duly updated, including with respect to the regulations and procedures that ensure adequate capital management. 118 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 29. Commitments and guarantees given The breakdown of the balance under these headings in the accompanying balance sheets is as follows: Commitments and guarantees given (Millions of Euros) Notes 2023 2022 Loan commitments given 98,667 95,948 Of which: impaired 109 123 Central banks — — General governments 2,765 2,919 Credit institutions 15,582 15,397 Other financial corporations 6,893 5,550 Non-financial corporations 60,670 58,998 Households 12,757 13,084 Financial guarantees given 18,784 16,305 Of which: impaired 137 175 Central banks — — General governments 16 38 Credit institutions 462 476 Other financial corporations 9,806 7,722 Non-financial corporations 8,389 7,966 Households 111 104 Other commitments given 30,013 26,850 Of which: impaired 355 439 Central banks — — General governments 81 85 Credit institutions 2,016 2,131 Other financial corporations 1,824 1,755 Non-financial corporations 25,974 22,769 Households 118 110 Total 5.2.2 147,464 139,103 The amount registered recorded in the balance sheet as of December 31, 2023, for loan commitments given, financial guarantees given and other commitments given is €68 million, €52 million and €120 million, respectively. In 2022 it amounted to €80 million, €56 million and €143 million respectively (see Note 21). Since a significant portion of the amounts above will expire without any payment being made by the entities, the aggregate balance of these commitments cannot be considered the actual future requirement for financing or liquidity to be provided by the Bank to third parties. In the years 2023 and 2022, no issuance of debt securities carried out by associates of the BBVA, joint venture entities or non-Group entities have been guaranteed. 30. Other contingent assets and liabilities As of December 31, 2023 and 2022, there were no material contingent assets or liabilities other than those disclosed in the accompanying Notes to the financial statements. 31. Purchase and sale commitments and future payment obligations The purchase and sale commitments of BBVA are disclosed in notes 8, 12 and 20. Future payment obligations mainly correspond to leases payable derived from operating lease contracts, as detailed in Note 20.5, and estimated employee benefit payments, as detailed in Note 22.1. 119 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 32. Transactions on behalf of third parties As of December 31, 2023 and 2022 the details of the relevant transactions on behalf of third parties are as follows: Transactions on behalf of third parties. Breakdown by concepts (Millions of Euros) 2023 2022 Financial instruments entrusted by third parties 333,653 288,532 Conditional bills and other securities received for collection 5,190 4,722 Securities lending 8,206 5,148 Total 347,049 298,402 33. Net interest income 33. 1. Interest and similar income The breakdown of the interest and similar income recognized in the accompanying income statement is as follows: Interest income. Breakdown by origin (Millions of Euros) 2023 2022 Financial assets held for trading 2,628 518 Financial assets designated at fair value through profit or loss 54 15 Financial assets at fair value through other comprehensive income 399 498 Financial assets at amortized cost 11,653 5,416 Hedging derivatives (192) (941) Cash flow hedges (effective portion) (742) (940) Fair value hedges 549 — Other assets 6 3 Liabilities interest income (1) 22 394 Total 14,569 5,903 (1) The balance Includes €176 million as of December 31, 2022, corresponding to the net import of the accrued interest following TLTRO III transactions (see Note 20.1). The amounts recognized in equity in connection with hedging derivatives for the years ended December 31, 2023 and 2022 and the amounts derecognized from the equity and taken to the income statements during those years are included in the accompanying statements of recognized income and expense. 33.2. Interest expense The breakdown of the balance under this heading in the accompanying income statements is as follows: Interest expense. Breakdown by origin (Millions of Euros) 2023 2022 Financial liabilities held for trading 2,447 367 Financial liabilities designated at fair value through profit or loss 139 58 Financial liabilities at amortized cost 5,783 1,655 Hedging derivatives and interest rate risk (fair value hedges) 574 (264) Other liabilities 40 20 Assets interest expense 21 246 Total 9,005 2,083 120 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 34. Dividend income The breakdown of the balance under this heading in the accompanying income statements is as follows: Dividend income (Millions of Euros) 2023 2022 Investments in associates 3 3 Investments in joint venture 6 22 Investments in subsidiaries 3,381 3,347 Other shares and dividend income 94 98 Total 3,483 3,470 35. Fee and commission income The breakdown of the balance under this heading in the accompanying income statements is as follows: Fee and commission income (Millions of Euros) 2023 2022 Bills receivables 13 14 Demand accounts 212 308 Credit and debit cards and OPS 535 492 Checks 4 5 Transfers and other payment orders 212 205 Insurance product commissions 204 193 Loan commitments given 153 136 Other commitments and financial guarantees given 217 200 Asset management 185 134 Securities fees 36 44 Custody securities 106 104 Other fees and commissions 813 778 Total 2,689 2,612 36. Fee and commission expense The breakdown of the balance under this heading in the accompanying income statements is as follows: Fee and commission expense. Breakdown by origin (Millions of Euros) 2023 2022 Credit and debit cards 236 216 Transfers and other payment orders 18 11 Custody securities 15 15 Other fees and commissions 345 248 Total 613 489 121 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 37. Gains (losses) on financial assets and liabilities, hedge accounting and exchange differences, net The breakdown of the balance under this heading, by source of the related items, in the accompanying income statement is as follows: Gains (losses) on financial assets and liabilities, hedge accounting and exchange differences, net. Breakdown by heading (Millions of Euros) 2023 2022 Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net 24 1 Financial assets at amortized cost — — Other financial assets and liabilities 24 1 Gains (losses) on financial assets and liabilities held for trading, net (12) 438 Reclassification of financial assets from fair value through other comprehensive income — — Reclassification of financial assets from amortized cost — — Other gains (losses) (12) 438 Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net 200 (51) Reclassification of financial assets from fair value through other comprehensive income — — Reclassification of financial assets from amortized cost — — Other gains (losses) 200 (51) Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net 16 128 Gains (losses) from hedge accounting, net (6) — Subtotal gains (losses) on financial assets and liabilities and hedge accounting 222 516 Exchange Differences 23 (122) Total 245 394 The breakdown of the balance (excluding exchange rate differences) under this heading in the income statements by the nature of the financial instrument is as follows: Gains (losses) on financial assets and liabilities. Breakdown by nature of the financial instrument (Millions of Euros) 2023 2022 Debt instruments 84 (76) Equity instruments 672 (1,227) Loans and advances to customers 144 (241) Derivatives (595) 1,746 Derivatives held for trading (590) 1,747 Interest rate agreements 377 294 Security agreements (418) 1,504 Commodity agreements 9 — Credit derivative agreements (84) (38) Foreign-exchange agreements (474) (13) Hedging Derivatives Ineffectiveness (6) — Fair value hedges (5) — Hedging derivative (342) 224 Hedged item 337 (225) Cash flow hedges (1) — Customer deposits (76) 316 Other (7) (3) Total 222 516 122 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 38. Other operating income and expense The breakdown of the balance under the heading “Other operating income” and in the accompanying income statements is as follows: Other operating income (Millions of Euros) 2023 2022 Real estate income 41 35 Financial income from non-financial services 358 290 Other operating income 56 14 Total 455 339 The breakdown of the balance under the heading “Other operating expense” in the accompanying income statements is as follows: Other operating expense (Millions of Euros) Notes 2023 2022 Contributions to guaranteed banks deposits funds 1.7 449 498 Real estate agencies 34 36 Other operating expense (1) 322 109 Total 804 642 (1) As of December 2023, it includes €215 million corresponding to the total annual amount of the temporary tax on credit institutions and financial credit establishments, according to Law 38/2022 of December 27, 2022 (See Note 17.5). 39. Administration costs 39.1 Personnel expense The breakdown of the balance under this heading in the accompanying income statements is as follows: Personnel expense (Millions of Euros) Notes 2023 2022 Wages and salaries 1,867 1,705 Social security costs 378 337 Defined contribution plan expense 22 54 37 Defined benefit plan expense 22 1 2 Other personnel expense 125 136 Total 2,425 2,217 39.1.1Share-based employee remuneration The amounts recognized under the heading “Administration costs - Personnel expense - Other personnel expense” in the income statements for the year ended December 31, 2023 and 2022, corresponding to the remuneration plans based on equity instruments in each year, amounted to €23 million and € 32 million for BBVA, respectively. These amounts have been recognized with a corresponding entry under the heading “Shareholders’ funds - Other equity instruments” in the accompanying balance sheets, net of tax effect. The characteristics of the Group's remuneration plans based on equity instruments are described below. Variable remuneration in shares BBVA has a specific remuneration scheme applicable to those employees whose professional activities have a material impact on the risk profile of BBVA and/or its Group (hereinafter “Identified Staff”) involving the delivery of BBVA shares or instruments linked to BBVA shares, designed within the framework of applicable regulations to credit institutions and considering best practices and recommendations at the local and international levels in this matter. Thus, according to the applicable remuneration policies, the variable remuneration for the variable remuneration for the Identified Staff members is subject, principally, to the following rules: – The Annual Variable Remuneration for Identified Staff members for each financial year will not accrue or will be reduced upon accrual, if certain profit and capital ratio levels are not achieved. 123 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – A maximum of 40% of the Annual Variable Remuneration for those members of the Identified Staff who receive particularly high amounts of variable remuneration and members of BBVA’s Senior Management and 60% for the rest of the Identified Staff (the “Upfront Portion” of the Annual Variable Remuneration) shall vest and be paid, provided the relevant conditions for payment are met, as a general rule, in the first quarter of the following financial year to which the Annual Variable Remuneration corresponds. – The remaining amount, and at least 60% of the Annual Variable Remuneration for those members of the Identified Staff who receive particularly high amounts of variable remuneration and members of BBVA’s Senior Management, and 40% for the rest of the Identified Staff, will be deferred over a period of 4 years (the “Deferred Portion” of the Annual Variable Remuneration). However, for members of BBVA’s Senior Management the deferral period shall be 5 years. In both cases, the Deferred Portion will be paid, provided the relevant conditions are met, once each of the years of deferral has elapsed. In no event will this Deferred Portion be paid faster than in a proportionate way. – Both the Upfront Portion and the Deferred Portion of the Annual Variable Remuneration of each member of the Identified Staff will be paid 50% in cash and 50% in BBVA shares or in instruments linked to BBVA shares. For members of BBVA’s Senior Management, the Deferred Portion will be paid 40% in cash and 60% in BBVA shares and/or in instruments linked to BBVA shares. – Shares or instruments received as Annual Variable Remuneration shall be withheld for one year running from date of delivery. The foregoing shall not apply to those shares that are sold, where appropriate, in order to meet the payment of taxes accruing on delivery of the shares and/or instruments. – The Deferred Portion of the Annual Variable Remuneration may undergo certain ex post risk adjustments, meaning that it will not vest, or may be reduced, if certain capital and liquidity thresholds are not met. – Up to 100% of the Annual Variable Remuneration of each member of the Identified Staff corresponding to each financial year, both in cash and in shares or instruments, will be subject to arrangements for the reduction of variable remuneration (malus) and arrangements for the recovery of variable remuneration already paid (clawback), which will remain in effect during the applicable deferral and retention period, and will be applicable in the event of the occurrence of any of the circumstances expressly named in the remuneration policies. – The cash amounts of the Deferred Portion of the Annual Variable Remuneration that ultimately vest will be updated by applying the consumer price index (CPI) measured as the year-on-year change in prices, or any other criteria established for that purpose by the Board of Directors. – Identified Staff members may not use personal hedging strategies or insurance in connection with the Annual Variable Remuneration and responsibility that may undermine the effects of alignment with prudent risk management. – If the members of the Identified Staff are entitled to receive any variable remuneration other than the Annual Variable Remuneration but which qualifies as variable remuneration, such variable remuneration shall be subject to the rules regarding accrual, award, vesting and payment in accordance with the type and nature of the remuneration component itself. – The variable remuneration of the Identified Staff for a financial year (understood as the sum of all variable remuneration) shall be limited to a maximum amount of 100% of the fixed component (understood as the sum of all fixed remuneration) of the total remuneration, unless the BBVA General Shareholders’ Meeting resolves to increase this percentage up to a maximum of 200%. In this regard, the General Shareholders’ Meeting of BBVA held on March 17, 2023 resolved to increase this limit to a maximum level of 200% of the fixed component of the total remuneration for a given number of the Identified Staff members, in the terms indicated in the report issued for this purpose by the Board of Directors dated February 9, 2023. In 2023, this remuneration scheme is reflected in the following remuneration policies: – BBVA Group General Remuneration Policy, approved by the Board of Directors on March 29, 2023, that applies to employees and BBVA Senior Management (excluding BBVA executive directors) and at Group companies with respect to which BBVA exercises control over management. This policy includes the specific rules applicable to the members of the Identified Staff, including BBVA Senior Management. – BBVA Directors’ Remuneration Policy, approved by the General Shareholders’ Meeting of BBVA held on March 17, 2023, that is applicable to the members of the Board of Directors of BBVA. The remuneration system for executive directors corresponds, generally, with the applicable system to the Identified Staff, incorporating some particularities of their own, derived from their condition of directors. The delivery of shares in 2023 to the members of the Identified Staff is derived from the settlement of the Annual Variable Remuneration for 2022 and deferred variable remuneration from previous years, which are subject to the vesting and payment rules established in the remuneration policies applicable in the year to which they correspond. 124 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. According to the remuneration policy applicable in 2022, during 2023 a total amount of 2,082,589 BBVA shares or instruments linked to BBVA shares corresponding, mostly, to the Upfront Portion of 2022 Annual Variable Remuneration and other variable components of remuneration, were delivered. In addition, according to the remuneration policy applicable in 2017, during 2023 a total amount of 99,760 BBVA shares corresponding to the third and last payment of the Deferred Portion of 2017 Annual Variable Remuneration of the Chair and other members of BBVA's Senior Management were delivered. Additionally, according to the remuneration policy applicable in 2018, during 2023 a total amount of 138,172 BBVA shares were delivered, corresponding to the second payment of the Deferred Portion of 2018 Annual Variable Remuneration of the Chair and other members of BBVA's Senior Management, were delivered. Likewise, according to the remuneration policy applicable in 2019, during 2023 a total amount of 3,006,319 BBVA shares were delivered, corresponding, mainly, to the first payment of the Deferred Portion of 2019 Annual Variable Remuneration of the executive directors and the rest of the members of BBVA's Senior Management and to the entire of the Deferred Portion of 2019 Annual Variable Remuneration of the rest of the Identified Staff, as well as to other variable components of remuneration Lastly, according to the remuneration policy applicable in 2021, during 2023 a total amount of 523,095 BBVA shares were delivered, corresponding, mainly, to the first payment of the Deferred Portion of 2021 Annual Variable Remuneration of the Identified Staff, among which executive directors and the rest of the members of BBVA's Senior Management are included, as well as to other variable components of remuneration. Detailed information on the delivery of shares to executive directors and the rest of the members of BBVA's Senior Management who held this position as of December 31, 2023, is included in Note 49. 39.2 Other administrative expense The breakdown of the balance under this heading in the accompanying income statements is as follows: Other administrative expense. Breakdown by main concepts (Millions of Euros) 2023 2022 Technology and systems 802 721 Communications 55 51 Advertising 106 99 Property, fixtures and materials 119 110 Taxes 69 47 Surveillance and cash courier services 36 34 Other expense 546 475 Total 1,733 1,538 40. Amortization The breakdown of the balance under this heading in the accompanying income statements is as follows: Amortization (Millions of Euros) Notes 2023 2022 Tangible assets 15 320 308 For own use 97 101 Right-of-use assets 223 207 Intangible assets 16 331 330 Total 651 638 125 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 41. Provisions or reversal of provisions For the years ended December 31, 2023 and 2022, the net provisions recognized in this income statement line item were as follows: Provisions or reversal of provisions (Millions of Euros) Notes 2023 2022 Pensions and other post-employment defined benefit obligations 22 (5) (123) Commitments and guarantees given 21 (36) (32) Other Provisions 21 157 205 Total 116 50 42. Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification The breakdown of impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification by the nature of those assets in the accompanying income statements is as follows: Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification (Millions of Euros) Notes 2023 2022 Financial assets at fair value through other comprehensive income (6) 16 Financial assets at amortized cost 682 504 Of which: Recovery of written-off assets by cash collection 5.2.5 (193) (228) Total 677 521 43. Impairment or reversal of impairment of investments in subsidiaries, joint ventures and associates The impairment losses on non-financial assets and investments in subsidiaries, joint ventures or associates broken down by the nature of these assets in the accompanying income statements is as follows: Impairment or reversal of impairment of Investments in subsidiaries, joint ventures and associates (Millions of Euros) 2023 2022 Investments in subsidiaries, joint ventures and associates (1) (118) (642) Total (118) (642) (1) Includes reversal of impairment recorded in 2022 and 2023 in Garanti BBVA (see Note 14). 44. Impairment or reversal of impairment on non-financial assets The impairment losses on non-financial assets broken down by the nature of those assets in the accompanying income statements are as follows: Impairment or reversal of impairment on non-financial assets (Millions of Euros) Notes 2023 2022 Tangible assets 15 (17) (21) Intangible assets 16 12 15 Other — (1) Total (5) (7) 126 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 45. Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations The main items included in the balance under this heading in the accompanying income statements are as follows: Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations (Millions of Euros) Notes 2023 2022 Gains on sale of real estate 19 43 Impairment of non-current assets held for sale 19 (17) (64) Gains (losses) on sale of investments classified as non-current assets held for sale — (4) Total 2 (26) 46. Statements of cash flows The table below shows the breakdown of the main cash flows related to financing activities as of December 31, 2023 and 2022 : Main Cash Flows in financing activities 2023 (Millions of Euros) December 31, 2023 December 31, 2022 Net Cash Flows Foreign Exchange movements and other Subordinated deposits 177 184 Issuances of subordinated liabilities 11,564 8,922 Total 11,741 9,106 2,529 106 Main cash flows in financing activities 2022 (Millions of Euros) December 31, 2022 December 31, 2021 Net Cash Flows Foreign Exchange movements and other Subordinated deposits 184 173 Issuances of subordinated liabilities 8,922 9,739 Total 9,106 9,912 (568) (238) 47. Accountant fees and services The details of the fees for the services contracted by BBVA for the year ended December 31, 2023, with their respective auditors and other audit entities are as follows: Fees for Audits Conducted and other related services (Millions of Euros) (2) 2023 2022 Audits of the companies audited by firms belonging to the EY worldwide organization and other reports related with the audit (1) 15.7 14.0 Other reports required pursuant to applicable legislation and tax regulations issued by the national supervisory bodies of the countries in which the Group operates, reviewed by firms belonging to the EY worldwide organization 0.3 0.3 Fees for audits conducted by other firms 0.1 — (1) Including fees pertaining to annual legal audits ( € 12.5 million as of December 31, 2023) (2) Regardless of the billed period. In addition in 2023 the Bank contracted services (other than audits) as follows: Other services rendered (Millions of Euros) 2023 2022 Firms belonging to the EY worldwide organization — — 127 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. This total of contracted services includes the detail of the services provided by Ernst & Young, S.L. to BBVA, S.A. at the date of preparation of these financial statements as follows: Fees for Audits Conducted (1) (Millions of Euros) 2023 2022 Legal audit of BBVA,S.A. 6.3 5.9 Other audit services of BBVA, S.A. 5.4 5.2 Limited Review of BBVA, S.A. 1.9 1.4 Reports related to issuances 1.0 0.4 Assurance services and other required by the regulator 0.6 0.5 (1) Services provided by Ernst & Young, S.L. to companies located in Spain, to the branch of BBVA in New York and to the branch of BBVA in London. Information related to the services provided by Ernst & Young, S.L., to companies controlled by BBVA, S.A., during the year ended December 31, 2023, is in the accompanying Consolidated financial statements as of December 31, 2023. The services provided by the auditors meet the independence requirements of the external auditor established under Audit of Accounts Law (Law 22/2015) and under the Sarbanes-Oxley Act of 2002 adopted by the Securities and Exchange Commission (SEC). 48. Related-party transactions As a financial institution, BBVA engages in transactions with related parties in the normal course of business. These transactions are not relevant and are carried out under normal market conditions. As of December 31, 2023 and 2022 the following are the transactions with related parties: 48.1. Transactions with significant shareholders As of December 31, 2023 and 2022 there were no shareholders considered significant (see Note 23). 48.2. Transactions with BBVA Group entities The balances of the main captions in the accompanying balance sheets arising from the transactions carried out by the Group companies, which consist of ordinary business and financial transactions carried out under normal market conditions, are as follows: Balances arising from transactions with Entities of the Group (Millions of Euros) 2023 2022 Assets: Debt securities 424 269 Loans and advances to credit institutions 836 586 Loans and advances to customers 4,379 4,356 Liabilities: Deposits from credit institutions 1,070 1,053 Customer deposits 24,103 12,887 Memorandum accounts: Financial guarantees given 8,472 7,034 Contingent commitments 767 704 Other commitments given 752 950 128 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The balances of the main captions in the accompanying income statements resulting from transactions carried out by the Bank with Group companies, which consist of ordinary business and financial transactions carried out under normal market conditions, are as follows: Balances of Income Statement arising from transactions with Entities of the Group (Millions of Euros) 2023 2022 Income statement: Financial Incomes 366 125 Financial Costs 919 252 Fee and commission income 628 601 Fee and commission expense 155 102 There were no other material effects in the financial statements arising from dealings with these entities, and from the insurance policies to cover pension or similar commitments, which are described in Note 22. In addition, as part of its normal activity, the Bank has entered into agreements and commitments of various types with shareholders of subsidiaries and associates, which have no material effects on the financial statements. 48.3. Transactions with members of the Board of Directors and Senior Management The transactions entered into between BBVA or its Group companies with members of the Board of Directors and Senior Management of the Bank or their related parties were within the scope of the ordinary course of business of the Bank and were immaterial, defined as transactions the disclosure of which is not necessary to present a true and fair view of the Bank's equity, financial position and results, and were concluded on normal markets terms or on terms applicable to the rest of employees. The amount and nature of the main transactions carried out with members of the Board of Directors and Senior Management of the Bank, or their respective related parties, are shown below. Balance at 31st December of each year (thousands of Euros) 2023 2022 Directors Related parties of Directors Senior Management ⁽¹⁾ Related parties of Senior Management Directors Related parties of Directors Senior Management Related parties of Senior Management Loans and credits 531 243 5,553 727 668 1,880 6,321 764 Bank guarantees _ _ 10 _ — — 10 — Business credit _ _ _ _ — — — — 1) Excluding executive directors. Information on remuneration paid and other benefits granted to members of the Board of Directors and Senior Management of BBVA is provided in Note 49. 129 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 49. Remuneration and other benefits for the Board of Directors and members of the Bank's Senior Management Remuneration of non-executive directors The remuneration of the non-executive directors corresponding to the financial years 2023 and 2022 is as follows, individually and by remuneration item: Remuneration of non-executive directors (thousands of Euros) (1) Board of Directors Executive Committee Audit Committee Risk and Compliance Committee Remuneration Committee Appointments and Corporate Governance Committee Technology and Cybersecurity Committee Other positions (2) Total 2023 2022 José Miguel Andrés Torrecillas 129 167 132 ─ ─ 115 ─ 50 593 527 Jaime Caruana Lacorte 129 167 99 107 ─ ─ ─ ─ 502 567 Sonia Dulá (3) 107 ─ 44 71 ─ ─ ─ ─ 223 ─ Raúl Galamba de Oliveira 129 ─ ─ 178 ─ 31 43 80 461 332 Belén Garijo López 129 111 22 ─ 107 46 ─ ─ 416 349 Connie Hedegaard Koksbang 129 ─ 44 ─ ─ ─ ─ ─ 173 107 Lourdes Máiz Carro 129 ─ 66 ─ 43 ─ ─ ─ 238 238 José Maldonado Ramos 129 167 ─ ─ ─ 46 ─ ─ 342 342 Ana Peralta Moreno 129 ─ 66 ─ 43 ─ ─ ─ 238 238 Juan Pi Llorens 129 ─ ─ 143 ─ 46 43 ─ 361 458 Ana Revenga Shanklin 129 ─ ─ 107 29 ─ 43 ─ 307 264 Susana Rodríguez Vidarte (4) 32 42 ─ 27 ─ 12 ─ ─ 112 449 Carlos Salazar Lomelín (5) 129 ─ ─ ─ 43 ─ ─ ─ 172 172 Jan Verplancke 129 ─ ─ ─ 43 ─ 43 ─ 214 214 Total 1,684 653 475 633 307 297 171 130 4,350 4,257 (1) Includes amounts corresponding to positions on the Board and its various Committees, the composition of which was modified on April 26, 2023, with effect from May 1, 2023. (2) Amounts corresponding to the positions of Deputy Chair of the Board of Directors and Lead Director. (3) Director appointed by the Annual General Shareholders' Meeting held on March 17, 2023. Remuneration in 2023 corresponding to the term of office in the financial year. (4) Director who left office on March 17, 2023. Remuneration in 2023 corresponding to the term of office in the financial year. (5) In addition, in financial years 2023 and 2022, the director Carlos Salazar Lomelín received €67 thousand and €90 thousand, as per diems for his membership of the management body of BBVA México, S.A. de C.V. and Grupo Financiero BBVA México, S.A. de C.V. and the BBVA México, S.A. de C.V. strategy forum. Likewise, during financial years 2023 and 2022, €123 thousand and €110 thousand were paid out, respectively, in healthcare and casualty insurance premiums for non-executive director. Remuneration system with deferred delivery of shares for non-executive directors BBVA has a fixed remuneration system with deferred delivery of shares for its non-executive directors, which was approved by the Annual General Shareholders' Meeting held on March 18, 2006 and extended by resolutions of the Annual General Shareholders' Meetings held on March 11, 2011 and March 11, 2016 for a further five-year period in each case, by the Annual General Shareholders' Meeting held on April 20, 2021 for a further three-year period and by the Annual General Shareholders' Meeting held on March 17, 2023 for a further four-year period. This system consists on the annual allocation to non-executive directors of a number of theoretical shares of BBVA equivalent to 20% of the total annual fixed allowance in cash received by each director in the previous financial year, calculated according to the average closing price of the BBVA share during the 60 trading sessions prior to the dates of the Annual General Shareholders' Meetings approving the corresponding financial statements for each financial year. The BBVA shares, in a number equivalent to the theoretical shares accumulated by each non-executive director, will be delivered to each beneficiary, where applicable, after they leave their positions as directors for any reason other than serious dereliction of their duties. During the financial years 2023 and 2022, the following theoretical shares derived from the remuneration system with deferred delivery of shares have been allocated to the non-executive directors, in an amount equivalent to 20% of the total annual fixed allowance in cash received by each of them in the financial years 2022 and 2021, respectively: 130 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 2023 2022 Theoretical shares allocated (1) Theoretical shares accumulated as of December 31 Theoretical shares allocated (1) Theoretical shares accumulated as of December 31 José Miguel Andrés Torrecillas 16,023 134,048 19,253 118,025 Jaime Caruana Lacorte 17,255 94,960 20,733 77,705 Sonia Dulá (2) 0 0 0 0 Raúl Galamba de Oliveira 10,091 29,768 10,177 19,677 Belén Garijo López 10,603 101,192 12,741 90,589 Connie Hedegaard Koksbang (3) 3,263 3,263 0 0 Lourdes Máiz Carro 7,237 71,593 8,696 64,356 José Maldonado Ramos 10,397 146,874 12,493 136,477 Ana Peralta Moreno 7,237 42,329 8,696 35,092 Juan Pi Llorens 13,943 148,542 18,703 134,599 Ana Revenga Shanklin 8,035 24,214 8,611 16,179 Susana Rodríguez Vidarte (4) 13,648 0 16,400 177,775 Carlos Salazar Lomelín 5,218 17,130 6,270 11,912 Jan Verplancke 6,521 35,772 7,835 29,251 Total 129,471 849,685 150,608 911,637 (1) The number of theoretical shares was calculated according to the average closing price of the BBVA share during the 60 trading sessions prior to the dates of the Annual General Shareholders' Meetings of March 17, 2023 and March 18, 2022, which were € 6.58 and €5.47 per share, respectively. (2) Director appointed by the Annual General Shareholders' Meeting held on March 17, 2023, therefore the allocation of theoretical shares is not due until 2024. (3) Director appointed by the Annual General Shareholders' Meeting held on March 18, 2022, therefore the first allocation of theoretical shares was made in 2023. (4) Director who left office on March 17, 2023. In application of the system, she received a total of 191,423 BBVA shares after leaving office, which is equivalent to the total of theoretical shares accumulated up to that date. Remuneration of executive directors The remuneration of the executive directors corresponding to financial years 2023 and 2022 is the result of the application of the remuneration policies approved by the Annual General Shareholders' Meeting on March 17, 2023 and April 20, 2021, respectively. In accordance with said policies, the remuneration of executive directors corresponding to financial years 2023 and 2022 is indicated below, individually and by remuneration item. Annual Fixed Remuneration (thousands of Euros) 2023 2022 Chair 2,924 2,924 Chief Executive Officer 2,179 2,179 Total 5,103 5,103 In addition, in accordance with the conditions established contractually and in the BBVA Directors' Remuneration Policy, during the 2023 and 2022 financial years, the Chief Executive Officer received €654 thousand each year as "cash in lieu of pension" (equivalent to 30% of his Annual Fixed Remuneration) as he does not have a retirement pension (see the "Pension commitments with executive directors" section of this Note), and €600 thousand as mobility allowance. Remuneration in kind (thousands of Euros) Likewise, during the financial years 2023 and 2022, executive directors received remuneration in kind, which includes insurance premiums and others, for an amount of €213 thousand and €283 thousand in the case of the Chair and €131 thousand and €155 thousand in the case of the Chief Executive Officer, respectively. Variable remuneration With regard to variable remuneration, the main change introduced by the new Directors’ Remuneration Policy approved by the Annual General Shareholders' Meeting in 2023 is that it establishes a new model pursuant to which the Annual Variable Remuneration ("AVR") of the executive directors for financial year 2023, now consists of two components: a Short-Term Incentive (“STI”) and a Long-Term Incentive (“LTI”). The award of both incentives is contingent upon the achievement of the minimum profit and capital ratio thresholds approved by the Board of Directors for this purpose. The sum of the STI and the LTI constitutes the AVR for the year of each executive director. The STI will be awarded once the annual indicators’ measurement year is closed, and its amount will be determined based on its result, taking into account the targets, scales of achievement and weightings established for each of them, and may range between 0% and 150% of the “Target STI” (which represents the amount of the STI if 100% of the pre-established targets for these indicators are met). 131 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. For its part, once the aforementioned minimum profit and capital ratio thresholds are reached, the right to the LTI will arise, the final amount of which, ranging between 0% and 150% of the “Target LTI” (which represents the amount of the LTI if 100% of the pre- established targets for the long-term indicators approved for its calculation are met), will be determined, once the last financial year for measuring long-term indicators is closed and based on its results, taking into account the targets, scales of achievement and weightings established for each of them. A percentage not exceeding 40% of the AVR will be vested and paid, provided that the required conditions are met, as a general rule, in the first quarter of the year following the one to which it corresponds (the "Upfront Portion"), in equal parts in cash and BBVA shares. The remaining amount, and at least 60% of the AVR, will be deferred over a period of 5 years and paid, if the required conditions are met, once each of the 5 years of deferral has elapsed, 40% in cash and 60% in BBVA shares and/or instruments linked to BBVA shares (the "Deferred Portion" or the "Deferred AVR"). Within said deferral period, the payment of the LTI payment will only begin after the expiration of the measurement period of the targets set for the long term indicators, to the result of which its final amount is subject, thus, being part of the Deferred Portion of the AVR of the executive directors. In accordance with the above, in financial year 2023 the executive directors accrued a Short-Term Incentive in the amount of €2,871 thousand in the case of Chair and €2,147 thousand in the case of Chief Executive Officer. Likewise, the executive directors have generated the right to a Long-Term Incentive for a maximum theoretical amount of €1,929 thousand in the case of Chair and €1,443 thousand in the case of Chief Executive Officer, which is equivalent, in both cases, to 150% of their “Target LTI”. Upon expiration of the measurement period of the long-term indicators established for their calculation (once 2026 has ended), its final amount will be determined, which could range between 0% and 150% of the “Target LTI”. Therefore, if 100% of the pre-established objectives are achieved, the LTI will amount to €1,286 thousand in the case of Chair and €962 thousand in the case of Chief Executive Officer. Taking into account the above, the Upfront Portion of the AVR for the financial years 2023 and 2022 of the executive directors, due for payment, respectively, once each of said years has ended, in equal parts in cash and BBVA shares, is indicated below. Annual Variable Remuneration (AVR) 2023 (1) 2022 (2) In cash (thousands of Euros) In shares In cash (thousands of Euros) In shares Chair 897 107,835 926 158,169 Chief Executive Officer 671 80,650 712 121,646 Total 1,568 188,485 1,639 279,815 (1) The Initial Portion of the Annual Variable Remuneration, which represents the first payment of the Short-Term Incentive for fiscal year 2023 and will be paid during the first quarter of fiscal year 2024, in equal parts in cash and BBVA shares. The remaining amount of the Annual Variable Remuneration for fiscal year 2023 (which includes the Long-Term Incentive for fiscal year 2023) will be deferred (40% in cash and 60% in shares and/or share-linked instruments) over a five-year period. The amount of the Deferred Portion will depend on the result of the long-term indicators that will be used to calculate the Long-Term Incentive for fiscal year 2023. Likewise, and as an ex-post risk adjustment mechanism, the Deferred Portion may be reduced if the capital and liquidity thresholds established to guarantee that payment only occurs if it is sustainable, taking into account the Bank's payment capacity, are not reached. In addition, the remaining rules applicable to the Annual Variable Remuneration of the executive directors established in the BBVA Directors’ Remuneration Policy approved by the Annual General Shareholders' Meeting on March 17, 2023 will apply to the Annual Variable Remuneration for fiscal year 2023, which include: (i) a withholding period of one year after delivery of the BBVA shares or instruments linked to BBVA shares received; (ii) the prohibition of hedging strategies or insurance that may undermine the effects of alignment with prudent risk management; (iii) update of the Deferred Portion in cash that finally vests in accordance with the CPI; (iv) malus and clawback arrangements during the whole periods of deferral and withholding of shares or instruments ; and (v) the limitation of variable remuneration up to a maximum amount of 200% of the fixed component of the total remuneration, as resolved by the Annual General Shareholders' Meeting held on 2023. (2) 40% of the Annual Variable Remuneration for fiscal year 2022 that was paid in 2023. Annual Variable Remuneration for financial year 2022 is subject to the rules on deferral, vesting and payment and to the remaining conditions established in the BBVA Directors' Remuneration Policy approved by the Annual General Shareholders' Meeting of April 20, 2021. 132 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Deferred Annual Variable Remuneration from previous financial years 2023 (1) 2022 (2) Deferred AVR In cash (thousands of Euros) In shares In cash (thousands of Euros) In shares Chair 2022 229 56,941 — — 2021 222 57,325 215 57,325 2020 0 0 — — 2019 176 45,529 513 136,587 2018 132 35,795 128 35,795 2017 — — 154 27,898 Subtotal 760 195,590 1,011 257,605 Chief Executive Officer 2022 176 43,793 — — 2021 169 43,552 164 43,552 2020 0 0 — — 2019 158 40,858 460 122,572 2018 — — — — 2017 — — — — Subtotal 503 128,203 624 166,124 Total 1,263 323,793 1,635 423,729 (1) Deferred remuneration to be paid after 2023 year-end. Payment thereof to the Chair and/or the Chief Executive Officer will be made in 2024 in accordance with the vesting and payment rules established in the remuneration policies applicable in each financial year: • 2022 Deferred AVR: first payment (20% of the Deferred Portion) is due to executive directors, including the update of its cash portion. Thereafter, 80% of the 2022 Deferred AVR will be deferred for both executive directors, which, if the conditions are met, will be paid in 2025, 2026, 2027 and 2028. • 2021 Deferred AVR: second payment (20% of the Deferred Portion) is due to executive directors, including the update of its cash portion. Thereafter, 60% of the 2021 Deferred AVR will be deferred for both executive directors, which, if the conditions are met, will be paid in 2025, 2026, and 2027. • 2020 Deferred AVR: given the exceptional circumstances arising from the COVID-19 crisis, executive directors voluntarily waived the accrual of the whole of their AVR for 2020 financial year. • 2019 Deferred AVR: second payment (20% of the Deferred Portion) is due to executive directors, including the update of its cash portion. Thereafter, 20% of the 2019 Deferred AVR will be deferred for both executive directors, which, if the conditions are met, will be paid in 2025. • 2018 Deferred AVR: third and final payment (20% of the Deferred Portion) is due to the Chair, including the update of its cash portion. Thereafter, the payment to the Chair of the 2018 Deferred AVR will be completed. This remuneration is associated with his former position as Chief Executive Officer. (2) Deferred remuneration to be paid after 2022 year-end. Payment thereof to the Chair and Chief Executive Officer was made in 2023 in accordance with the vesting and payment rules established in the remuneration policies applicable in each financial year: • 2021 Deferred AVR: in 2023, the first payment (20% of the Deferred Portion) to the executive directors was made, including the update of its cash portion. • 2019 Deferred AVR: in 2023, the first payment (60% of the Deferred Portion) to the executive directors was made, including the update of its cash portion. • 2018 Deferred AVR: in 2023, the second payment (20% of the Deferred Portion) to the Chair was made, including the update of its cash portion. This remuneration is associated with his former position as Chief Executive Officer. • 2017 Deferred AVR: in 2023, the third and final payment (20% of the Deferred Portion) to the Chair was made, including the update of its cash portion. After this, the payment to the Chair of the 2017 Deferred AVR was completed. This remuneration was associated with his former position as Chief Executive Officer. 133 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Pension commitments with executive directors The Bank has not assumed any pension commitments with non-executive directors. With regard to the executive directors, the BBVA Directors' Remuneration Policy establishes a pension framework whereby, in the case of the Chair, he is entitled to receive a retirement pension, paid in either income or capital, when he reaches the legally established retirement age, provided that he does not leave his position as a result of serious dereliction of his duties. The amount of this pension will be determined by the annual contributions made by the Bank, together with their corresponding accumulated yields at that date. The agreed annual contribution to cover the retirement contingency under the defined contribution system established for the Chair in the BBVA Directors' Remuneration Policy is €439 thousand. The Board of Directors may update this amount during the term of the Policy, in the same manner as it may update the Annual Fixed Remuneration, pursuant to the terms established therein. 15% of this annual contribution will be based on variable components and considered “discretionary pension benefits” and will, therefore, be subject to the conditions regarding delivery in shares, withholding and clawback established in the applicable regulations, as well as any other conditions concerning variable remuneration that may be applicable in accordance with the BBVA Directors' Remuneration Policy. In the event that the Chair's contractual relationship is terminated before he reaches retirement age for reasons other than serious dereliction of duties, the retirement pension payable to the Chair upon him reaching the legally established retirement age will be calculated based on the funds accumulated through the contributions made by the Bank up to that date, as per the terms set out, plus the corresponding accumulated yield, with no additional contributions to be made by the Bank as of the time of termination. With respect to the commitments assumed with the Chair to cover the death and disability contingencies, the Bank shall pay the corresponding annual insurance premiums, in order to top up the coverages for these contingencies. In accordance with the foregoing, in the financial year 2023, an amount of €458 thousand was registered, comprising the annual contribution to cover the retirement contingency, which is €439 thousand, and an amount of €19 thousand corresponding to the upward adjustment of the "discretionary pension benefits" for the financial year 2022, which were declared once that year had ended and which had to be contributed to the accumulated fund in 2023. Likewise, an amount of €322 thousand has been paid in insurance premiums for the death and disability contingencies. As of December 31, 2023, the total accumulated fund to meet the retirement commitments with the Chair amounted to €24,759 thousand. 15% of the annual contribution for the retirement contingency corresponding to the 2023 financial year (€66 thousand) was registered in said financial year as “discretionary pension benefits”. Following the end of the financial year, this amount was adjusted by applying the same criteria used to determine the Short-Term Incentive that is part of the Chair's Annual Variable Remuneration for the 2023 financial year and was determined to amount to €83 thousand, which represents an upward adjustment of €17 thousand. These “discretionary pension benefits” will be contributed to the accumulated fund in the 2024 financial year and will be subject to the conditions established for them in the BBVA Directors' Remuneration Policy. Regarding the Chief Executive Officer, in accordance with the provisions of the BBVA Directors' Remuneration Policy and those in his contract, the Bank has not undertaken any retirement commitments, although he is entitled to an annual cash sum instead of a retirement pension (cash in lieu of pension) equal to 30% of his Annual Fixed Remuneration. In accordance with the above, in the 2023 financial year, the Bank paid the Chief Executive Officer the amount of fixed remuneration relating to "cash in lieu of pension", as described in the "Remuneration of executive directors" section of this Note. However, the Bank has undertaken commitments to cover the death and disability contingencies with the Chief Executive Officer, for which the corresponding annual insurance premiums are paid. To this end, in 2023, €230 thousand have been recognized for this concept. Pension systems (thousands of Euros) Contributions (1) Funds accumulated Retirement Death and disability 2023 2022 2023 2022 2023 2022 Chair 458 451 322 473 24,759 22,771 Chief Executive Officer — — 230 285 — — Total 458 451 552 758 24,759 22,771 (1) Contributions recognized to meet pension commitments to executive directors in financial years 2023 and 2022. In the case of the Chair, these correspond to the sum of the annual retirement pension contribution and the adjustment made to the "discretionary pension benefits" for the financial years 2022 and 2021, the contribution to which was to be made in the financial years 2023 and 2022, respectively, and with the death and disability premiums. In the case of the Chief Executive Officer, the contributions recognized correspond exclusively to the insurance premiums paid by the Bank in 2023 and 2022 to cover the contingencies of death and disability, given that, in his case, the Bank has not undertaken any commitments to cover the retirement contingency. Payments for the termination of the contractual relationship In accordance with the BBVA Directors' Remuneration Policy, the Bank has no commitments to pay severance indemnity to executive directors. 134 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Remuneration of Senior Management The remuneration of all Senior Management, excluding executive directors, for the financial years 2023 and 2022 (15 and 16 members with such status at December 31, of each financial year, respectively, excluding executive directors), are the result of the application of the remuneration policies approved by the Board of Directors (on June 30, 2021 and March 29, 2023, respectively). In accordance with the provisions established in said policies, the remuneration of the entire Senior Management corresponding to financial years 2023 and 2022 is indicated below, by remuneration item. Fixed remuneration (thousands of Euros) 2023 2022 Senior Management Total (1) 18,187 18,149 (1) 15 members at December 31, 2023 and 16 members at December 31, 2022, excluding executive directors in both cases. Remuneration in kind (thousands of Euros) During 2023 and 2022 financial years, all members of Senior Management (15 members as of December 31, 2023 and 16 members at December 31, 2022, excluding executive directors in both cases) have received remuneration in kind, which includes insurance premiums and others, for a total joint amount of €904 thousand and €1,093 thousand, respectively. Variable remuneration Regarding variable remuneration, the main change of the new BBVA Group General Remuneration Policy approved by the Board of Directors in 2023, in line with the changes of the Directors’ Remuneration Policy approved by the Annual General Shareholders' Meeting on March 17, 2023, is that it establishes a new model pursuant to which the Annual Variable Remuneration (AVR) of Senior Management members for financial year 2023, as that of executive directors, now consists of two components: a Short-Term Incentive (STI) and a Long-Term Incentive (LTI). The award of both incentives is contingent upon the achievement of the minimum profit and capital ratio thresholds approved by the Board of Directors for this purpose. The sum of the STI and the LTI constitutes the AVR for the year of each member of the Senior Management. Pursuant to this model, and in the same terms applicable to executive directors set out above, in financial year 2023 all members of the Senior Management, excluding executive directors, have accrued a Short-Term Incentive for a combined total of €7,122 thousand. Likewise, members of the Senior Management, excluding the executive directors, have generated the right to a Long-Term Incentive for a joint maximum theoretical amount of €4,711 thousand, which is equivalent to the sum of 150% of each beneficiary's “Target LTI”. Upon expiration of the measurement period of the long-term indicators established for their calculation (once 2026 has ended), the final amount of each beneficiary's LTI will be determined which could range between 0% and 150% of the “Target LTI”. Therefore, if 100% of the pre-established targets are met, the LTI will amount to a joint total of €3,141 thousand. Taking into account the above, the total sum of the Upfront Portion of the AVR for the financial years 2023 and 2022 of the members of the Senior Management, excluding the executive directors, due for payment, respectively, once each of said financial years has ended, in equal parts in cash and BBVA shares, is indicated below. Annual Variable Remuneration (AVR) 2023 (1) 2022 (2) In cash (thousands of Euros) In shares In cash (thousands of Euros) In shares Senior Management Total (3) 2,226 267,550 2,158 365,746 (1) Initial Portion of the Annual Variable Remuneration, which represents the first payment of the Short-Term Incentive for fiscal year 2023 and will be paid during the first quarter of fiscal year 2024, in equal parts in cash and BBVA shares. The remaining amount of the Annual Variable Remuneration for fiscal year 2023 (which includes the Long-Term Incentive for fiscal year 2023) will be deferred (40% in cash and 60% in shares or share-linked instruments) over a five-year period (the Deferred Portion). The amount of the Deferred Portion will depend on the result of the long-term indicators that will be used to calculate the Long-Term Incentive for fiscal year 2023. Likewise, and as an ex-post risk adjustment mechanism, the Deferred Portion may be reduced if the capital and liquidity thresholds established to guarantee that payment only occurs if it is sustainable, taking into account the Bank's payment capacity, are not reached. In addition, the remaining rules applicable to the Annual Variable Remuneration of the members of the Senior Management established in the BBVA Group General Remuneration Policy approved by the Board of Directors on March 29, 2023 will apply to the Annual Variable Remuneration for fiscal year 2023, which include: (i) a withholding period of one year after delivery of the BBVA shares or instruments linked to BBVA shares received; (ii) the prohibition of hedging strategies or insurance that may undermine the effects of alignment with prudent risk management; (iii) update of the Deferred Portion in cash that finally vests in accordance with the CPI; (iv) malus and clawback arrangements during the whole periods of deferral and withholding of shares or instruments; and (v) the limitation of variable remuneration up to a maximum amount of 200% of the fixed component of the total remuneration, as resolved by the Annual General Shareholders' Meeting held on 2023. 135 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. (2) 40% of the Annual Variable Remuneration for fiscal year 2022 that was paid in 2023. Annual Variable Remuneration for fiscal year 2022 is subject to the rules on deferral, vesting and payment and to the remaining conditions established in the BBVA Group General Remuneration Policy approved by the Board of Directors of June 30, 2021. (3) 15 members at December 31, 2023 and 16 members at December 31, 2022, excluding executive directors in both cases. . Deferred Annual Variable Remuneration from previous financial years 2023 (1) 2022 (2) Deferred AVR In cash (thousands of Euros) In shares In cash (thousands of Euros) In shares Senior Management Total (3) 2022 493 122,566 — — 2021 456 116,528 477 124,602 2020 1,484 289,020 — — 2019 302 77,447 1,364 320,172 2018 138 36,454 155 41,442 2017 — — 171 29,267 Total 2,873 642,015 2,167 515,483 (1) Deferred remuneration to be paid after 2023 year-end. Payment thereof to the members of the Senior Management who are beneficiaries will take place in 2024 in accordance with the vesting and payment rules established in the remuneration policies applicable in each financial year: • 2022 Deferred AVR: first payment (20% of the Deferred Portion), including the update of its cash portion. Thereafter, 80% of the 2022 Deferred AVR will be deferred, and if the conditions are met, it will be paid in 2025, 2026, 2027 and 2028. • 2021 Deferred AVR: second payment (20% of the Deferred Portion), including the update of its cash portion. Thereafter, 60% of the 2021 Deferred AVR will be deferred, and if the conditions are met, it will be paid in 2025, 2026 and 2027. • 2020 Deferred AVR: given the exceptional circumstances arising from the COVID-19 crisis, all members of Senior Management voluntarily waived the accrual of the whole of their AVR for 2020 financial year. Without prejudice to the above, two members of the Senior Management, executives of BBVA USA at that moment, are entitled to the payment of the Deferred Portion of a Success Bonus on the sale of BBVA USA. Of this Deferred Portion, the whole of it is payable in one case and the 60% of it in the other one, in accordance with the vesting and payment schedule applicable in each case pursuant to the remuneration policy applicable in that financial year. • 2019 Deferred AVR: second payment (20% of the Deferred Portion) to the members of Senior Management that are beneficiaries, including the update of its cash portion. Thereafter, 20% of the 2019 Deferred AVR will be deferred, which, if the conditions are met, will be paid in 2025. In addition, it includes the second payment (20%) of the Deferred Portion of a retention plan to be made to a member of Senior Management. • 2018 Deferred AVR: third and final payment (20% of the Deferred Portion) to the members of Senior Management that are beneficiaries, including the update of its cash portion. Thereafter, the payment of the 2018 Deferred AVR to its beneficiaries will be completed. (2) Deferred remuneration to be paid after 2022 year-end. Payment thereof to the members of Senior Management who were beneficiaries was made in 2023 in accordance with the vesting and payment rules established in the remuneration policies in force in each financial year: • 2021 Deferred AVR: in 2023, the first payment (20% of the Deferred Portion) was made to the members of the Senior Management, including the update of its cash portion. • 2019 Deferred AVR: in 2023, the members of Senior Management who were beneficiaries were paid the amounts that corresponded in each case (either 60% of the Deferred Portion or the whole of it) in accordance with the payment schedule established in the remuneration policies applicable in 2019, including the update of its cash portion. In addition, two members of the Senior Management were paid the Deferred Portion of a retention plan pursuant to the vesting and payment rules established in the remuneration policy applicable to that financial year. • 2018 Deferred AVR: in 2023, the second payment (20% of the Deferred Portion) was made to the members of the Senior Management who were beneficiaries, including the update of its cash portion. • 2017 Deferred AVR: in 2023, the third and final payment (20% of the Deferred Portion) was paid to the members of the Senior Management who were beneficiaries, including the update of its cash portion. Thereafter, the payment of the 2017 Deferred AVR to its beneficiaries was completed. (3) 15 members as of December 31, 2023 and 16 members at December 31, 2022, excluding executive directors in both cases. 136 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Pension commitments with members of Senior Management In the 2023 financial year, an aggregate total amount of €3,829 thousand was registered to cover pension commitments with members of Senior Management (15 members with such status as of December 31, 2023, excluding executive directors), which corresponds to the annual contribution agreed to cover the retirement contingency, increased by an amount of €144 thousand corresponding to the upward adjustment of the "discretionary pension benefits" for the financial year 2022, which were declared once that year had ended and which had to be contributed to the accumulated fund in 2023. Likewise, a total joint amount of €1,102 thousand has been paid in insurance premiums for death and disability contingencies. As of December 31, 2023, the total accumulated fund to meet the retirement commitments with members of Senior Management amounted to €34,069 thousand. As in the case of executive directors, 15% of the agreed annual contributions to cover the contingency of retirement for members of Senior Management, will be based on variable components and considered "discretionary pension benefits", and will, therefore, be subject to the conditions regarding delivery in shares, withholding and clawback established in the applicable regulations, as well as to any other conditions concerning variable remuneration as may be applicable to them in accordance with the remuneration policy applicable to members of Senior Management. For these purposes, of the annual contribution for the retirement contingency corresponding to the 2023 financial year, a total combined amount of €551 thousand was registered in said financial year as "discretionary pension benefits". Following the end of the financial year, as in the case of the Chair, this amount was adjusted by applying the same criteria used to determine the Short-Term Incentive that is part of the Annual Variable Remuneration of the members of Senior Management for the 2023 financial year. As a result, the "discretionary pension benefits" for the year, corresponding to all members of Senior Management, have been determined at a total combined amount of €701 thousand, which represents an upward adjustment of €150 thousand. These “discretionary pension benefits” will be contributed to the accumulated fund in the 2024 financial year and will be subject to the conditions established for them in the remuneration policy applicable to members of Senior Management, in accordance with the regulations applicable to the Bank on this matter. Pension systems (thousands of Euros) Contributions (1) Funds accumulated Retirement Death and disability 2023 2022 2023 2022 2023 2022 Senior Management Total (2) 3,829 3,694 1,102 1,465 34,069 29,435 . (1) Contributions recognized to meet pension commitments with all Senior Management in 2023 and 2022, which correspond to the sum of the annual retirement pension contributions and the adjustments made to the "discretionary pension benefits" for 2022 and 2021 whose contribution was to be made in 2023 and 2022, respectively, and to the insurance premiums paid by the Bank for death and disability contingencies. (2) 15 members at December 31, 2023 and 16 members at December 31, 2022, excluding executive directors in both cases Payments for the termination of the contractual relationship Regarding Senior Management, excluding the executive directors, the Bank paid during the 2023 financial year a total of €2,802 thousand derived from the termination of the contractual relationship of a member of the Senior Management which corresponds to the legal severance payment and notice payment in accordance with the provisions of this Senior Manager's contract. In this sense, the Senior Management contracts include the right to receive the corresponding legal severance payment, provided that removal is not pursuant to a willful decision, retirement, disability or serious dereliction of duties, the amount of which will be calculated in accordance with the provisions in the applicable labor regulations, as well as a clause of notice. Likewise, the contract establishes a post-contractual non-compete agreement for a one-year term from removal for any reason other than retirement, disability or serious dereliction of duties. In compensation for this agreement, the aforementioned member of Senior Management received an amount of €110 thousand during 2023. These payments comply with the conditions set out in the regulations applicable to the group of employees with a material impact on the risk profile of BBVA and its Group, to which members of BBVA's Senior Management belong. 137 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. 50. Other information 50.1. Environmental impact Given the activities BBVA entities engage in, the Group has no environmental liabilities, expenses, assets, provisions or contingencies that could have a significant effect on its consolidated equity, financial situation and profits. Consequently, as of December 31, 2023, there is no item included in the Consolidated Financial Statements that requires disclosure in an environmental information report pursuant to Ministry JUS/616/2022, of June 30, by which the new model for the presentation of consolidated annual accounts in the Commercial Register is approved. BBVA's management of environmental impacts and risks is presented in more detail in the attached Management Report. 50.2. Breakdown of agents of credit institutions Appendix XII contains a list of the Bank's agents as required by article 21 of Royal Decree 84/2015, dated February 13, of the Ministry of Economy and Finance. 50.3. Report on the activity of the Customer Care Service and the Customer Ombudsman The report on the activity of the Customer Care Service and the Customer Ombudsman, required pursuant to Article 17 of Ministry of Economy Order ECO/734/2004 dated March 11, is included in the Management Report accompanying these financial statements. 50.4. Reporting requirements of the Spanish National Securities Market Commission (CNMV) Dividends paid The table below presents the dividends per share paid in cash in 2023 and 2022 (cash basis accounting, regardless of the year in which they are accrued). For a complete analysis of all remuneration awarded to shareholders in 2023 and 2022 (see Note 3). Paid Dividends 2023 2022 % Over nominal Euros per share Amount (Millions of Euros) % Over nominal Euros per share Amount (Millions of Euros) Ordinary shares 95.92% 0.47 2,812 71.43% 0.35 2,190 Rest of shares — — — — — — Total dividends paid in cash 95.92% 0.47 2,812 71.43% 0.35 2,190 Dividends with charge to income 95.92% 0.47 2,812 24.49% 0.12 724 Dividends with charge to reserve or share premium 0.00% — — 46.94% 0.23 1,467 Dividends in kind — — — — — — Flexible payment — — — — — — Interest income by geographical area The breakdown of the balance under the heading “Interest Income and similar income” in the accompanying income statements by geographical area is as follows: Interest Income. Breakdown by Geographical Area (Millions of Euros) Notes 2023 2022 Domestic 12,461 5,086 Foreign 2,108 818 European Union 558 193 Eurozone 558 193 No Eurozone — — Rest of countries 1,550 625 Total 33.1 14,569 5,903 138 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Number of employees The breakdown of the average number of employees in the Bank in 2023 and 2022, by gender, is as follows: Average number of employees 2023 2022 Male Female Male Female Management team 1,181 541 1,070 440 Managers 5,166 4,417 4,812 4,050 Other line personnel and clerical staff 3,941 5,937 3,941 6,043 Branches abroad 664 467 601 440 Total 10,951 11,362 10,424 10,973 As of December 31, 2023 BBVA, S.A. in Spain, had 197 handicap employees among the workforce (139 in 2022). The breakdown of the number of employees in the Bank as of December 31, 2023 and 2022, by category and gender, is as follows: Number of employees at the end of year. Professional category and gender 2023 2022 Male Female Male Female Management team 1,207 587 1,155 486 Managers 5,336 4,656 4,999 4,307 Other line personnel and clerical staff 3,984 5,801 3,899 5,950 Branches abroad 691 479 632 455 Total 11,218 11,523 10,685 11,198 50.5. Responsible lending and consumer credit granting BBVA has incorporated the best practices of responsible lending and credit granting to Retail Customers, and has policies and procedures that contemplate these practices complying with the provisions of the Central Bank of Spain, ECB and the Ministries of Asuntos Económicos y Transformación Digital and Hacienda y Función Pública. Specifically, the Corporate Retail Credit Risk Policy (approved by the Executive Committee of the Board of Directors of the Bank on September 18, 2019) and the Rules and the Operating Frameworks derived from it, establish policies, practices and procedures in relation to responsible granting of loans and credit to Retail Customers. In compliance with the different Regulation of the Bank of Spain, ECB and the Ministries of Asuntos Económicos y Transformación Digital and Hacienda y Función Pública, the following summary of those policies contained in the Corporate Retail Credit Risk Policy BBVA is provided: – The need to adapt payment plans with sources of payment capacity; – The evaluation requirements of affordability; – The need when applicable, to take into account the existing financial obligations payments; – In cases where, for commercial reasons or the type of rate/currency, the offer to the borrowers includes contractual clauses or contracting financial products to hedge interest rate and exchange rate risks. – The need, when there is collateral, to establish a reasonable relationship between the amount of the loan and its potential extensions and value of collateral, regardless revaluations thereof; – The need for extreme caution in the use of appraisal values on credit operations that have real estate as an additional borrower's personal guarantee; – The periodic review of the value of collateral taken to hedge loans; – A number of elements of management in order to ensure independence in the activity of appraisal companies; – The need to warn customers of potential consequences in terms of cost by default interest and other expenses that would continue in default; 139 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. – Debt renegotiation criteria (refinancing and restructurings); – The minimum documentation that operations should have in order to be granted and during its term. In order to maintain an effective monitoring of these policies, BBVA has the following control mechanisms: – Validations and computer controls built into the workflows of analysis, decision and contracting operations, in order to embed these principles in management; – Alignment between the specifications of the product catalog with the policies of responsible lending; – Different areas of sanction to ensure adequate hierarchy decision levels in response to the complexity of operations; – A reporting scheme that allows to monitor the proper implementation of the policies of responsible lending. 51. Subsequent events On January 18, 2024, a press release from the Constitutional Court of Spain was published announcing the unanimous decision of the Plenary Session of this jurisdictional body declaring unconstitutional certain measures related to Corporate Income Tax introduced by the Royal Decree-Law 3/2016. On January 29, 2024, this ruling was published on the website of the Constitutional Court, although the publication in the Official State Gazette (BOE), as of the date of preparation of these Consolidated Annual Financial Statements remains pending. The effects of this ruling will depend on the resolution of each of the claims filed in relation to the affected financial years, so the calculation of its impact, both with regard to the quantification of the magnitudes affected, as well as regarding their timing, will depend on said execution process. It is expected that the impacts of the different execution processes could have a positive aggregate impact on the Group's total equity, allowing an acceleration in the use of tax credits and a possible recovery of cash from taxes paid in previous years, all subject to the decisions that, with respect to each financial year and as part of the execution process, the Group may adopt in this regard and without, in any case, said impact expected to exceed approximately 0.4% of the Bank’s total equity. On January 30, 2024, it was announced that a cash distribution in the amount of €0.39 gross per share to be paid in April as a final dividend for the year 2023 and the execution of a share buyback program of BBVA for an amount of €781 million were planned to be proposed to the corresponding corporate bodies for consideration as ordinary remuneration to shareholders for 2023, subject to obtaining the corresponding regulatory authorizations and the communication of the specific terms and conditions of the program before its execution. (See Note 3) From January 1, 2024 to the date of preparation of these financial statements, no other subsequent events not mentioned above in these financial statements have taken place that could significantly affect the Bank’s earnings or its equity position. 52. Explanation added for translation into English Translation of financial statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks. 140 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Appendices 141 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX I. BBVA Group Consolidated Financial Statements Consolidated balance sheets as of December 31, 2023, 2022 and 2021 ASSETS (Millions of Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ CASH, CASH BALANCES AT CENTRAL BANKS AND OTHER DEMAND DEPOSITS 75,416 79,756 67,799 FINANCIAL ASSETS HELD FOR TRADING 141,042 110,671 123,493 Derivatives 34,293 39,908 30,933 Equity instruments 4,589 4,404 15,963 Debt securities 28,569 24,367 25,790 Loans and advances to central banks 2,809 1,632 3,467 Loans and advances to credit institutions 56,599 25,231 31,916 Loans and advances to customers 14,182 15,130 15,424 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS 8,737 6,888 6,086 Equity instruments 7,963 6,511 5,303 Debt securities 484 129 128 Loans and advances to customers 290 247 655 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 955 913 1,092 Debt securities 955 913 1,092 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME 62,205 65,374 60,421 Equity instruments 1,217 1,198 1,320 Debt securities 60,963 64,150 59,074 Loans and advances to credit institutions 26 26 27 FINANCIAL ASSETS AT AMORTIZED COST 451,732 414,421 372,676 Debt securities 49,462 36,639 34,781 Loans and advances to central banks 7,151 4,401 5,681 Loans and advances to credit institutions 17,477 16,031 13,276 Loans and advances to customers 377,643 357,351 318,939 DERIVATIVES - HEDGE ACCOUNTING 1,482 1,891 1,805 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF INTEREST RATE RISK (97) (148) 5 JOINT VENTURES AND ASSOCIATES 976 916 900 Joint ventures 93 100 152 Associates 883 816 749 INSURANCE AND REINSURANCE ASSETS 211 183 269 TANGIBLE ASSETS 9,253 8,737 7,298 Properties, plant and equipment 9,046 8,441 7,107 For own use 8,295 7,911 6,874 Other assets leased out under an operating lease 751 530 233 Investment properties 207 296 191 INTANGIBLE ASSETS 2,363 2,156 2,197 Goodwill 795 707 818 Other intangible assets 1,568 1,449 1,379 TAX ASSETS 17,501 16,725 15,850 Current tax assets 2,860 1,978 932 Deferred tax assets 14,641 14,747 14,917 OTHER ASSETS 2,859 2,586 1,934 Insurance contracts linked to pensions — — — Inventories 276 325 424 Other 2,583 2,260 1,510 NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE 923 1,022 1,061 TOTAL ASSETS 775,558 712,092 662,885 (1) Presented for comparison purposes only. 142 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated balance sheets as of December 31, 2023 , 2022 and 2021 (continued) LIABILITIES AND EQUITY (Millions of Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ FINANCIAL LIABILITIES HELD FOR TRADING 121,715 95,611 91,135 Derivatives 33,045 37,909 31,705 Short positions 15,735 13,487 15,135 Deposits from central banks 6,397 3,950 11,248 Deposits from credit institutions 43,337 28,924 16,176 Customer deposits 23,201 11,341 16,870 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 13,299 10,580 9,683 Customer deposits 717 700 809 Debt certificates issued 3,977 3,288 3,396 Other financial liabilities 8,605 6,592 5,479 Memorandum item: Subordinated liabilities — — — FINANCIAL LIABILITIES AT AMORTIZED COST 557,589 529,172 487,893 Deposits from central banks 20,309 38,323 47,351 Deposits from credit institutions 40,039 26,935 19,834 Customer deposits 413,487 394,404 349,761 Debt certificates issued 68,707 55,429 55,763 Other financial liabilities 15,046 14,081 15,183 Memorandum item: Subordinated liabilities 15,867 12,509 14,808 DERIVATIVES - HEDGE ACCOUNTING 2,625 3,303 2,626 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGES OF INTEREST RATE RISK — — — LIABILITIES UNDER INSURANCE AND REINSURANCE CONTRACTS 12,110 10,131 10,865 PROVISIONS 4,924 4,933 5,889 Pensions and other post-employment defined benefit obligations 2,571 2,632 3,576 Other long term employee benefits 435 466 632 Provisions for taxes and other legal contingencies 696 685 623 Commitments and guarantees given 770 770 691 Other provisions 452 380 366 TAX LIABILITIES 2,554 2,935 2,413 Current tax liabilities 878 1,415 644 Deferred tax liabilities 1,677 1,520 1,769 OTHER LIABILITIES 5,477 4,909 3,621 LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE — — — TOTAL LIABILITIES 720,293 661,575 614,125 (1) Presented for comparison purposes only. 143 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated balance sheets as of December 31, 2023 , 2022 and 2021 (continued) LIABILITIES AND EQUITY (Continued) (Millions of Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ SHAREHOLDERS’ FUNDS 67,955 64,535 60,383 Capital 2,861 2,955 3,267 Paid up capital 2,861 2,955 3,267 Unpaid capital which has been called up — — — Share premium 19,769 20,856 23,599 Equity instruments issued other than capital — — — Other equity 40 63 60 Retained earnings 36,237 32,711 31,841 Revaluation reserves — — — Other reserves 2,015 2,345 (1,857) Reserves or accumulated losses of investments in joint ventures and associates (237) (221) (247) Other 2,252 2,566 (1,610.057) Less: treasury shares (34) (29) (647) Profit or loss attributable to owners of the parent 8,019 6,358 4,653 Less: Interim dividends (951) (722) (532) ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (16,254) (17,642) (16,476) Items that will not be reclassified to profit or loss (2,105) (1,881) (2,075) Actuarial gains (losses) on defined benefit pension plans (1,049) (760) (998) Non-current assets and disposal groups classified as held for sale — — — Share of other recognized income and expense of investments in joint ventures and associates — — — Fair value changes of equity instruments measured at fair value through other comprehensive income (1,112) (1,194) (1,079) Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income — — — Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk 55 72 2 Items that may be reclassified to profit or loss (14,148) (15,760) (14,401) Hedge of net investments in foreign operations (effective portion) (2,498) (1,408) (146) Foreign currency translation (11,419) (13,078) (14,988) Hedging derivatives. Cash flow hedges (effective portion) 133 (447) (533) Fair value changes of debt instruments measured at fair value through other comprehensive income (357) (809) 1,274 Hedging instruments (non-designated items) — — — Non-current assets and disposal groups classified as held for sale — — — Share of other recognized income and expense of investments in joint ventures and associates (8) (18) (9) MINORITY INTERESTS (NON-CONTROLLING INTERESTS) 3,564 3,623 4,853 Accumulated other comprehensive income (loss) (3,321) (3,109) (8,414) Other items 6,885 6,732 13,267 TOTAL EQUITY 55,265 50,517 48,760 TOTAL EQUITY AND TOTAL LIABILITIES 775,558 712,092 662,885 MEMORANDUM ITEM (OFF-BALANCE SHEET EXPOSURES) (Millions of Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ Loan commitments given 152,868 136,920 119,618 Financial guarantees given 18,839 16,511 11,720 Other commitments given 42,577 39,137 34,604 (1) Presented for comparison purposes only. 144 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated income statements for the years ended December 31, 2023, 2022 and 2021 CONSOLIDATED INCOME STATEMENTS (Millions of Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ Interest and other income 47,850 31,432 23,015 Financial assets at fair value through other comprehensive income 3,098 3,110 1,880 Financial assets at amortized cost 38,328 25,258 18,364 Other interest income 6,424 3,064 2,770 Interest expense (24,761) (12,309) (8,329) NET INTEREST INCOME 23,089 19,124 14,686 Dividend income 118 123 176 Share of profit or loss of entities accounted for using the equity method 26 21 1 Fee and commission income 9,899 8,260 6,997 Fee and commission expense (3,611) (2,888) (2,232) Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net 76 64 134 Financial assets at amortized cost 41 8 27 Other financial assets and liabilities 35 56 106 Gains (losses) on financial assets and liabilities held for trading, net 1,352 562 341 Reclassification of financial assets from fair value through other comprehensive income — — — Reclassification of financial assets from amortized cost — — — Other gains (losses) 1,352 562 341 Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net 337 (67) 432 Reclassification of financial assets from fair value through other comprehensive income — — — Reclassification of financial assets from amortized cost — — — Other gains (losses) 337 (67) 432 Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net 96 150 335 Gains (losses) from hedge accounting, net (17) (45) (214) Exchange differences, net 339 1,275 883 Other operating income 619 528 661 Other operating expense (4,042) (3,438) (2,041) Income from insurance and reinsurance contracts 3,081 2,622 2,593 Expense from insurance and reinsurance contracts (1,821) (1,547) (1,685) GROSS INCOME 29,542 24,743 21,066 Administration costs (10,905) (9,373) (8,296) Personnel expense (6,530) (5,601) (5,046) Other administrative expense (4,375) (3,773) (3,249) Depreciation and amortization (1,403) (1,328) (1,234) Provisions or reversal of provisions (373) (291) (1,018) Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification (4,428) (3,379) (3,034) Financial assets measured at amortized cost (4,386) (3,303) (3,017) Financial assets at fair value through other comprehensive income (42) (76) (17) NET OPERATING INCOME 12,432 10,372 7,484 Impairment or reversal of impairment of investments in joint ventures and associates (9) 42 — Impairment or reversal of impairment on non-financial assets (54) (27) (221) Tangible assets (16) 53 (161) Intangible assets (26) (25) (19) Other assets (12) (55) (41) Gains (losses) on derecognition of non-financial assets and subsidiaries, net 28 (11) 24 Negative goodwill recognized in profit or loss — — — Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations 22 (108) (40) PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS 12,419 10,268 7,247 Tax expense or income related to profit or loss from continuing operations (4,003) (3,505) (1,909) PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS 8,416 6,763 5,338 Profit (loss) after tax from discontinued operations — — 280 PROFIT (LOSS) 8,416 6,763 5,618 ATTRIBUTABLE TO MINORITY INTERESTS (NON-CONTROLLING INTERESTS) 397 405 965 ATTRIBUTABLE TO OWNERS OF THE PARENT 8,019 6,358 4,653 (1) Presented for comparison purposes only. 145 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated income statements for the years ended December 31, 2023, 2022 and 2021 (continued) EARNINGS (LOSSES) PER SHARE (Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ EARNINGS (LOSSES) PER SHARE (Euros) 1.29 0.98 0.67 Basic earnings (losses) per share from continuing operations 1.29 0.98 0.63 Diluted earnings (losses) per share from continuing operations 1.29 0.98 0.63 Basic earnings (losses) per share from discontinued operations — — 0.04 Diluted earnings (losses) per share from discontinued operations — — 0.04 146 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated statements of recognized income and expense for the years ended December 31, 2023, 2022 and 2021 CONSOLIDATED STATEMENTS OF RECOGNIZED INCOME AND EXPENSE (Millions of Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ PROFIT (LOSS) RECOGNIZED IN INCOME STATEMENT 8,416 6,763 5,618 OTHER RECOGNIZED INCOME (EXPENSE) 1,175 789 (3,977) ITEMS NOT SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT (223) 190 358 Actuarial gains (losses) from defined benefit pension plans (358) 354 218 Non-current assets and disposal groups held for sale — — (3) Share of other recognized income and expense of entities accounted for using the equity method — — — Fair value changes of equity instruments measured at fair value through other comprehensive income, net 100 (121) 189 Gains (losses) from hedge accounting of equity instruments at fair value through other comprehensive income, net — — — Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk (24) 100 33 Income tax related to items not subject to reclassification to income statement 59 (143) (80) ITEMS SUBJECT TO RECLASSIFICATION TO INCOME STATEMENT 1,398 599 (4,335) Hedge of net investments in foreign operations (effective portion) (1,095) (1,172) (117) Valuation gains (losses) taken to equity (1,095) (1,172) (117) Transferred to profit or loss — — — Other reclassifications — — — Foreign currency translation 1,379 3,413 (2,256) Translation gains (losses) taken to equity 1,378 3,413 (2,239) Transferred to profit or loss 1 — (17) Other reclassifications — — — Cash flow hedges (effective portion) 832 72 (691) Valuation gains (losses) taken to equity 832 91 (553) Transferred to profit or loss — (19) (137) Transferred to initial carrying amount of hedged items — — — Other reclassifications — — — Debt securities at fair value through other comprehensive income 752 (2,498) (1,139) Valuation gains (losses) taken to equity 757 (2,528) (1,082) Transferred to profit or loss (5) 30 (57) Other reclassifications — — — Non-current assets and disposal groups held for sale — — (663) Valuation gains (losses) taken to equity — — (30) Transferred to profit or loss — — (633) Other reclassifications — — — Entities accounted for using the equity method 12 (7) 8 Income tax relating to items subject to reclassification to income statements (482) 791 523 TOTAL RECOGNIZED INCOME (EXPENSE) 9,591 7,552 1,640 Attributable to minority interests (non-controlling interests) 184 1,352 (500) Attributable to the parent company 9,407 6,200 2,141 (1)Presented for comparison purposes only. 147 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated statements of changes in equity for the years ended December 31, 2023, 2022 and 2021 CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros) Capital Share Premium Equity instruments issued other than capital Other Equity Retained earnings Revaluation reserves Other reserves (-) Treasury shares Profit or loss attributable to owners of the parent (-) Interim dividends Accumulated other comprehensive income (loss) Minority interests Total 2023 Accumulated other comprehensiv e income (loss) Other Balances as of January 1, 2023 ⁽¹⁾ 2,955 20,856 — 63 32,536 — 2,345 (29) 6,420 (722) (17,432) (3,112) 6,736 50,615 Effect of changes in accounting policies — — — — 175 — — — (62) — (210) 4 (4) (98) Adjusted initial balance 2,955 20,856 — 63 32,711 — 2,345 (29) 6,358 (722) (17,642) (3,109) 6,732 50,517 Total income/expense recognized — — — — — — — — 8,019 — 1,388 (213) 397 9,591 Other changes in equity (94) (1,087) — (22) 3,526 — (331) (5) (6,358) (228) — 1 (244) (4,842) Issuances of common shares — — — — — — — — — — — — — — Issuances of preferred shares — — — — — — — — — — — — — — Issuance of other equity instruments — — — — — — — — — — — — — — Settlement or maturity of other equity instruments issued — — — — — — — — — — — — — — Conversion of debt on equity — — — — — — — — — — — — — — Common Stock reduction (94) (1,087) — — 75 — (316) 1,422 — — — — — — Dividend distribution — — — — (1,857) — — — — (951) — — (263) (3,071) Purchase of treasury shares — — — — — — — (2,166) — — — — — (2,166) Sale or cancellation of treasury shares — — — — — — 1 739 — — — — — 741 Reclassification of other equity instruments to financial liabilities — — — — — — — — — — — — — — Reclassification of financial liabilities to other equity instruments — — — — — — — — — — — — — — Transfers among components of equity — — — 2 5,651 — (17) — (6,358) 722 — 1 (1) — Increase/Reduction of equity due to business combinations — — — — — — — — — — — — — — Share based payments — — — (41) — — — — — — — — — (41) Other increases or (-) decreases in equity — — — 17 (344) — 2 — — — — — 20 (305) Balance as of December 31, 2023 2,861 19,769 — 40 36,237 — 2,015 (34) 8,019 (951) (16,254) (3,321) 6,885 55,265 (1) Balances as of December 31, 2022 as originally reported in the consolidated Financial Statements for the year 2022. 148 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated statements of changes in equity for the years ended December 31, 2023, 2022 and 2021 (continued) CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros) 2022 ⁽¹⁾ Capital Share Premium Equity instruments issued other than capital Other Equity Retained earnings Revaluation reserves Other reserves (-) Treasury shares Profit or loss attributable to owners of the parent (-) Interim dividends Accumulated other comprehensive income (loss) Minority interests Total Accumulated other comprehensiv e income (loss) Other Balances as of January 1, 2022 ⁽²⁾ 3,267 23,599 — 60 31,841 — (1,857) (647) 4,653 (532) (16,476) (8,414) 13,267 48,760 Effect of changes in accounting policies — — — — 178 — — — — — (186) 1 (6) (12) Adjusted initial balance 3,267 23,599 — 60 32,019 — (1,857) (647) 4,653 (532) (16,662) (8,413) 13,261 48,748 Total income/expense recognized — — — — — — — — 6,358 — (158) 947 405 7,552 Other changes in equity (313) (2,743) — 3 692 — 4,202 617 (4,653) (190) (822) 4,358 (6,935) (5,783) Issuances of common shares — — — — — — — — — — — — — — Issuances of preferred shares — — — — — — — — — — — — — — Issuance of other equity instruments — — — — — — — — — — — — — — Settlement or maturity of other equity instruments issued — — — — — — — — — — — — — — Conversion of debt on equity — — — — — — — — — — — — — — Common Stock reduction (313) (2,743) — — 250 — (355) 3,160 — — — — — — Dividend distribution — — — — (1,463) — — — — (722) — — (185) (2,370) Purchase of treasury shares — — — — — — — (2,966) — — — — — (2,966) Sale or cancellation of treasury shares — — — — — — 9 423 — — — — — 432 Reclassification of other equity instruments to financial liabilities — — — — — — — — — — — — — — Reclassification of financial liabilities to other equity instruments — — — — — — — — — — — — — — Transfers among components of equity (3) — — — — 2,231 — 2,712 — (4,653) 532 (822) 4,358 (4,358) — Increase/Reduction of equity due to business combinations — — — — — — — — — — — — — — Share based payments — — — (22) — — — — — — — — — (22) Other increases or (-) decreases in equity (3) — — — 25 (326) — 1,836 — — — — — (2,392) (857) Balance as of December 31, 2022 2,955 20,856 — 63 32,711 — 2,345 (29) 6,358 (722) (17,642) (3,109) 6,732 50,517 (1) Presented for comparison purposes only. (2) Balances as of December 31, 2021 as originally reported in the consolidated Financial Statements for the year 2021. (3) The headings "Transfers among components of equity" and "Other increases or decreases in equity" include the effects of the application of IAS 29 "Financial Reporting in Hyperinflationary Economies" in the subsidiaries in Turkey (see Note 2.2.18 in the consolidated Financial Statements) for amounts of €1,873 million in "Retained earnings", €1,862 million in "Accumulated other comprehensive income (loss)" and, under the heading of "Minority interests" include, €1,621 million in "Other" and €1,480 million in "Accumulated other comprehensive income (loss)". 149 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated statements of changes in equity for the years ended December 31, 2023, 2022 and 2021 (continued) CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Millions of Euros) Capital Share Premium Equity instruments issued other than capital Other Equity Retained earnings Revaluation reserves Other reserves (-) Treasury shares Profit or loss attributable to owners of the parent (-) Interim dividends Accumulated other comprehensive income (loss) Minority interests Total 2021 ⁽¹⁾ Accumulated other comprehensiv e income (loss) Other Balances as of January 1, 2021 ⁽²⁾ 3,267 23,992 — 42 30,508 — (164) (46) 1,305 — (14,356) (6,949) 12,421 50,020 Effect of changes in accounting policies — — — — — — — — — — — — — — Adjusted initial balance 3,267 23,992 — 42 30,508 — (164) (46) 1,305 — (14,356) (6,949) 12,421 50,020 Total income/expense recognized — — — — — — — — 4,653 — (2,512) (1,465) 965 1,640 Other changes in equity — (393) — 17 1,333 — (1,693) (600) (1,305) (532) 391 — (119) (2,900) Issuances of common shares — — — — — — — — — — — — — — Issuances of preferred shares — — — — — — — — — — — — — — Issuance of other equity instruments — — — — — — — — — — — — — — Settlement or maturity of other equity instruments issued — — — — — — — — — — — — — — Conversion of debt on equity — — — — — — — — — — — — — — Common Stock reduction — — — — — — — — — — — — — — Dividend distribution — (393) — — — — — — — (532) — — (119) (1,045) Purchase of treasury shares — — — — — — — (1,022) — — — — — (1,022) Sale or cancellation of treasury shares — — — — — — 17 421 — — — — — 438 Reclassification of other equity instruments to financial liabilities — — — — — — — — — — — — — — Reclassification of financial liabilities to other equity instruments — — — — — — — — — — — — — — Transfers among components of equity — — — — 1,693 — (780) — (1,305) — 391 — — — Increase/Reduction of equity due to business combinations — — — — — — — — — — — — — — Share based payments — — — (11) — — — — — — — — — (11) Other increases or (-) decreases in equity — — — 28 (360) — (930) — — — — — 1 (1,260) Balance as of December 31, 2021 3,267 23,599 — 60 31,841 — (1,857) (647) 4,653 (532) (16,476) (8,414) 13,267 48,760 (1) Presented for comparison purposes only. (2) Balances as of December 31, 2020 as originally reported in the consolidated Financial Statements for the year 2020. 150 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Consolidated statements of cash flows for the years ended December 31, 2023, 2022 and 2021 CONSOLIDATED STATEMENTS OF CASH FLOWS (Millions of Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ A) CASH FLOWS FROM OPERATING ACTIVITIES (721) 23,718 (1,242) Of which hyperinflation effect from operating activities 1,884 2,692 — Profit for the year 8,416 6,763 5,618 Adjustments to obtain the cash flow from operating activities 12,150 11,746 7,688 Depreciation and amortization 1,403 1,328 1,234 Other adjustments 10,747 10,418 6,454 Net increase/decrease in operating assets (77,408) (42,900) (38,267) Financial assets held for trading (27,884) 14,658 (17,031) Non-trading financial assets mandatorily at fair value through profit or loss (1,288) (421) (908) Other financial assets designated at fair value through profit or loss (42) 179 25 Financial assets at fair value through other comprehensive income 2,512 (1,014) 7,116 Financial assets at amortized cost (51,182) (55,754) (28,062) Other operating assets 476 (548) 592 Net increase/decrease in operating liabilities 61,473 51,343 25,266 Financial liabilities held for trading 24,435 2,907 6,479 Other financial liabilities designated at fair value through profit or loss 2,003 293 (837) Financial liabilities at amortized cost 36,127 48,161 19,682 Other operating liabilities (1,092) (17) (58) Collection/payments for income tax (5,353) (3,234) (1,546) B) CASH FLOWS FROM INVESTING ACTIVITIES (1,419) (3,911) (1,634) Of which hyperinflation effect from investing activities 772 759 — Investment (1,912) (4,506) (12,472) Tangible assets (1,129) (1,812) (396) Intangible assets (690) (630) (550) Investments in joint ventures and associates (93) (81) (50) Subsidiaries and other business units — (1,389) — Non-current assets classified as held for sale and associated liabilities — (594) (11,476) Other settlements related to investing activities — — — Divestments 492 596 10,838 Tangible assets 92 29 78 Intangible assets — — — Investments in joint ventures and associates 58 127 80 Subsidiaries and other business units 21 — 10 Non-current assets classified as held for sale and associated liabilities 321 440 10,670 Other collections related to investing activities — — — C) CASH FLOWS FROM FINANCING ACTIVITIES (1,842) (7,563) (4,349) Of which hyperinflation effect from financing activities — — — Payments (7,224) (7,996) (4,786) Dividend distribution (shareholders remuneration) (2,808) (2,185) (926) Subordinated liabilities (1,629) (2,258) (2,301) Treasury share amortization (94) (313) — Treasury share acquisition (2,072) (2,670) (1,022) Other items relating to financing activities (622) (571) (538) Collections 5,383 434 438 Subordinated liabilities 4,672 — — Treasury shares increase — — — Treasury shares disposal 711 434 438 Other items relating to financing activities — — — D) EFFECT OF EXCHANGE RATE CHANGES (357) (288) (1,864) E) NET INCREASE/DECREASE IN CASH AND CASH EQUIVALENTS (A+B+C+D) (4,339) 11,957 (9,089) F) CASH AND CASH EQUIVALENTS AT BEGINNING OF THE YEAR (2) 79,756 67,799 76,888 G) CASH AND CASH EQUIVALENTS AT END OF THE YEAR (E+F) 75,416 79,756 67,799 COMPONENTS OF CASH AND EQUIVALENTS AT END OF THE YEAR (Millions of Euros) 2023 2022 ⁽¹⁾ 2021 ⁽¹⁾ Cash 7,751 6,533 6,877 Balance of cash equivalent in central banks 60,750 67,314 55,004 Other financial assets 6,916 5,909 5,918 Less: Bank overdraft refundable on demand — — — TOTAL CASH AND CASH EQUIVALENTS AT END OF THE YEAR 75,416 79,756 67,799 (1) Presented for comparison purposes only. (2) In fiscal year 2021, the balance of Group companies in the United States included in the sale to PNC is included. This Appendix is an integral part of Note 1.8 of the financial statements for the year ended December 31, 2023. 151 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX II. Additional information on subsidiaries and structured entities composing the BBVA Group as of December 31, 2023 % share of participation (1) Millions of Euros (2) Affiliate entity data Company Location Activity Direct Indirect Total Net carrying amount Equity excluding profit (loss) 31.12.2023 Profit (loss) 31.12.2023 ACTIVOS MACORP SL SPAIN REAL ESTATE 50.64 49.36 100.00 3 3 — ADQUIRA MEXICO SA DE CV MEXICO SERVICES — 100.00 100.00 11 8 3 ALCALA 120 PROMOC. Y GEST.IMMOB. S.L. SPAIN REAL ESTATE — 100.00 100.00 19 18 1 ANIDA GRUPO INMOBILIARIO SL SPAIN INVESTMENT COMPANY 100.00 — 100.00 1,188 1,198 — ANIDA INMOBILIARIA, S.A. DE C.V. MEXICO INVESTMENT COMPANY — 100.00 100.00 23 23 — ANIDA OPERACIONES SINGULARES, S.A. SPAIN REAL ESTATE — 100.00 100.00 1,136 1,142 -6 ANIDA PROYECTOS INMOBILIARIOS, S.A. DE C.V. MEXICO REAL ESTATE — 100.00 100.00 21 21 — ANIDAPORT INVESTIMENTOS IMOBILIARIOS, UNIPESSOAL, LTDA PORTUGAL REAL ESTATE — 100.00 100.00 24 15 -2 ANTHEMIS BBVA VENTURE PARTNERSHIP LLP UNITED KINGDOM INVESTMENT COMPANY — 100.00 100.00 11 16 -3 APLICA NEXTGEN OPERADORA S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 — — — APLICA NEXTGEN SERVICIOS S.A. DE C.V MEXICO SERVICES — 100.00 100.00 1 1 — ARRAHONA IMMO, S.L. SPAIN REAL ESTATE — 100.00 100.00 53 114 -2 ARRAHONA NEXUS, S.L. SPAIN REAL ESTATE — 100.00 100.00 56 62 — ARRELS CT FINSOL, S.A. SPAIN REAL ESTATE — 100.00 100.00 59 75 — ARRELS CT PATRIMONI I PROJECTES, S.A. SPAIN REAL ESTATE — 100.00 100.00 22 22 — ARRELS CT PROMOU SA SPAIN REAL ESTATE — 100.00 100.00 17 24 — BANCO BBVA ARGENTINA S.A. ARGENTINA BANKING 39.97 26.59 66.56 158 494 820 BANCO BBVA PERÚ SA ⁽³⁾ PERU BANKING — 46.12 46.12 1,390 2,551 463 BANCO BILBAO VIZCAYA ARGENTARIA URUGUAY SA URUGUAY BANKING 100.00 — 100.00 110 242 76 BANCO OCCIDENTAL SA SPAIN BANKING 49.43 50.57 100.00 17 18 1 BANCO PROVINCIAL OVERSEAS NV CURAÇAO BANKING — 100.00 100.00 51 45 6 BANCO PROVINCIAL SA - BANCO UNIVERSAL VENEZUELA BANKING 1.46 53.75 55.21 48 175 45 BBV AMERICA SL SPAIN INVESTMENT COMPANY 99.80 0.20 100.00 — 609 56 BBVA (SUIZA) SA SWITZERLAND BANKING 100.00 — 100.00 118 152 7 BBVA AGENCIA DE SEGUROS COLOMBIA LTDA COLOMBIA INSURANCES SERVICES — 100.00 100.00 — — — BBVA AI FACTORY SL SPAIN SERVICES — 100.00 100.00 5 5 — BBVA ASSET MANAGEMENT ARGENTINA SAU SOCIEDAD GERENTE DE FONDOS COMUNES DE INVERSIÓN ARGENTINA INVESTMENT FUND MANAGEMENT — 100.00 100.00 13 — 13 BBVA ASSET MANAGEMENT MEXICO SA DE CV , SOC.OPERADORA DE FONDOS DE INVERSION, GRUPO FRO. BBVA MEXICO MEXICO INVESTMENT FUND MANAGEMENT — 100.00 100.00 48 25 22 BBVA ASSET MANAGEMENT SA SAF PERU INVESTMENT FUND MANAGEMENT — 100.00 100.00 7 6 1 BBVA ASSET MANAGEMENT SA SGIIC SPAIN INVESTMENT FUND MANAGEMENT 100.00 — 100.00 36 -73 136 BBVA ASSET MANAGEMENT SA SOCIEDAD FIDUCIARIA (BBVA FIDUCIARIA) COLOMBIA INVESTMENT FUND MANAGEMENT — 100.00 100.00 28 20 8 BBVA AXIAL TECH SA DE CV MEXICO SERVICES 100.00 — 100.00 231 281 3 BBVA BOLSA SOCIEDAD AGENTE DE BOLSA S.A. PERU SECURITIES DEALER — 100.00 100.00 3 3 — BBVA BRASIL BANCO DE INVESTIMENTO SA BRAZIL BANKING 100.00 — 100.00 16 21 1 BBVA BROKER ARGENTINA SA ARGENTINA INSURANCES SERVICES — 99.96 99.96 — 2 10 BBVA BROKER CORREDURIA DE SEGUROS Y REASEGUROS SA SPAIN FINANCIAL SERVICES 99.94 0.06 100.00 — 3 6 BBVA COLOMBIA SA COLOMBIA BANKING 77.41 18.06 95.47 521 1,463 89 (1) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary holding a direct ownership interest. (2) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2023. In the carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill. Information on individual companies and foreign companies at exchange rate as of December 31, 2023 . The data of the companies in Turkey and Argentina are prior to the application of hyperinflation accounting. (3) Full consolidation method is used according to accounting rules (see Glossary). 152 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Additional information on subsidiaries and structured entities composing the BBVA Group as of December 31, 2023 (Continued) % share of participation (1) Millions of Euros (2) Affiliate entity data Company Location Activity Direct Indirect Total Net carrying amount Equity excluding profit (loss) 31.12.2023 Profit (loss) 31.12.2023 BBVA CONSUMER FINANCE ENTIDAD DE DESARROLLO A LA PEQUEÑA Y MICRO EMPRESA EDPYME SA (BBVA CONSUMER FINANCE - EDPYME) PERU IN LIQUIDATION — 100.00 100.00 4 4 — BBVA DISTRIBUIDORA DE SEGUROS S.R.L. URUGUAY FINANCIAL SERVICES — 100.00 100.00 7 3 4 BBVA FUNDOS S.GESTORA FUNDOS PENSOES SA PORTUGAL PENSION FUND MANAGEMENT 100.00 — 100.00 9 8 1 BBVA GLOBAL FINANCE LTD CAYMAN ISLANDS OTHER ISSUANCE COMPANIES 100.00 — 100.00 — 5 — BBVA GLOBAL MARKETS BV NETHERLANDS OTHER ISSUANCE COMPANIES 100.00 — 100.00 — — — BBVA GLOBAL SECURITIES, B.V. NETHERLANDS OTHER ISSUANCE COMPANIES 100.00 — 100.00 — — — BBVA GLOBAL WEALTH ADVISORS INC UNITED STATES FINANCIAL SERVICES 100.00 — 100.00 6 7 (1) BBVA HOLDING CHILE SA CHILE INVESTMENT COMPANY 61.22 38.78 100.00 158 291 19 BBVA INSTITUIÇAO FINANCEIRA DE CREDITO SA PORTUGAL FINANCIAL SERVICES 49.90 50.10 100.00 39 62 1 BBVA LEASING MEXICO SA DE CV MEXICO FINANCIAL SERVICES — 100.00 100.00 51 258 40 BBVA MEDIACION OPERADOR DE BANCA-SEGUROS VINCULADO, S.A. SPAIN FINANCIAL SERVICES 99.99 0.01 100.00 11 (14) 28 BBVA MEXICO SA INSTITUCION DE BANCA MULTIPLE GRUPO FINANCIERO BBVA MEXICO MEXICO BANKING — 100.00 100.00 17,545 12,979 4,566 BBVA NEXT TECHNOLOGIES OPERADORA, S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 — — — BBVA NEXT TECHNOLOGIES SLU SPAIN SERVICES 100.00 — 100.00 44 40 6 BBVA NEXT TECHNOLOGIES, S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 1 1 — BBVA OP3N S.L. SPAIN SERVICES — 100.00 100.00 2 2 — BBVA OPERADORA MEXICO SA DE CV MEXICO SERVICES — 100.00 100.00 79 73 6 BBVA PENSIONES MEXICO, S.A. DE C.V., GRUPO FINANCIERO BBVA MEXICO MEXICO INSURANCES SERVICES — 100.00 100.00 397 318 79 BBVA PENSIONES SA ENTIDAD GESTORA DE FONDOS DE PENSIONES SPAIN PENSION FUND MANAGEMENT 100.00 — 100.00 13 16 10 BBVA PERU HOLDING SAC PERU INVESTMENT COMPANY 100.00 — 100.00 112 1,184 214 BBVA PREVISION AFP SA ADM.DE FONDOS DE PENSIONES BOLIVIA PENSION FUND MANAGEMENT 75.00 5.00 80.00 2 5 — BBVA PROCESSING SERVICES INC. UNITED STATES FINANCIAL SERVICES 100.00 — 100.00 1 1 — BBVA RE INHOUSE COMPAÑIA DE REASEGUROS, S.E. SPAIN INSURANCES SERVICES 100.00 — 100.00 63 61 (1) BBVA SECURITIES INC UNITED STATES FINANCIAL SERVICES 100.00 — 100.00 233 244 (16) BBVA SEGUROS ARGENTINA SA ARGENTINA INSURANCES SERVICES 87.78 12.22 100.00 10 11 32 BBVA SEGUROS COLOMBIA SA COLOMBIA INSURANCES SERVICES 94.00 6.00 100.00 10 31 11 BBVA SEGUROS DE VIDA COLOMBIA SA COLOMBIA INSURANCES SERVICES 94.00 6.00 100.00 14 123 52 BBVA SEGUROS MÉXICO SA DE CV GRUPO FINANCIERO BBVA MEXICO MEXICO INSURANCES SERVICES — 100.00 100.00 687 185 502 BBVA SEGUROS SA DE SEGUROS Y REASEGUROS SPAIN INSURANCES SERVICES 99.96 — 99.96 713 704 224 BBVA SEGUROS SALUD MEXICO SA DE CV GRUPO FRO. BBVA MEXICO. MEXICO INSURANCES SERVICES — 100.00 100.00 26 14 11 BBVA SERVICIOS ADMINISTRATIVOS MEXICO, S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 8 6 2 BBVA SERVICIOS CORPORATIVOS MEXICO, S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 5 5 1 BBVA SERVICIOS, S.A. SPAIN COMMERCIAL — 100.00 100.00 — — — BBVA SOCIEDAD TITULIZADORA S.A. PERU OTHER ISSUANCE COMPANIES — 100.00 100.00 1 1 — BBVA TRADE, S.A. SPAIN INVESTMENT COMPANY — 100.00 100.00 9 9 — BBVA VALORES COLOMBIA SA COMISIONISTA DE BOLSA COLOMBIA SECURITIES DEALER — 100.00 100.00 13 11 2 BILBAO VIZCAYA HOLDING SAU SPAIN INVESTMENT COMPANY 100.00 — 100.00 265 387 (61) (1) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary holding a direct ownership interest. (2) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2023. In the carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill. Information on individual companies and foreign companies at exchange rate as of December 31, 2023. The data of the companies in Turkey and Argentina are prior to the application of hyperinflation accounting. 153 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Additional information on subsidiaries and structured entities composing the BBVA Group as of December 31, 2023 (Continued) % share of participation (1) Millions of Euros (2) Affiliate entity data Company Location Activity Direct Indirect Total Net carrying amount Equity excluding profit (loss) 31.12.2023 Profit (loss) 31.12.2023 CAIXA MANRESA IMMOBILIARIA ON CASA SL SPAIN REAL ESTATE 100.00 — 100.00 2 2 — CARTERA E INVERSIONES SA SPAIN INVESTMENT COMPANY 100.00 — 100.00 92 136 1 CASA DE BOLSA BBVA MEXICO SA DE CV MEXICO SECURITIES DEALER — 100.00 100.00 89 52 37 CATALONIA PROMODIS 4, S.A. SPAIN REAL ESTATE — 100.00 100.00 1 1 — CATALUNYACAIXA IMMOBILIARIA SA SPAIN REAL ESTATE 100.00 — 100.00 186 185 1 CATALUNYACAIXA SERVEIS SA SPAIN SERVICES 100.00 — 100.00 2 2 — CIDESSA DOS, S.L. SPAIN INVESTMENT COMPANY — 100.00 100.00 17 17 — CIERVANA SL SPAIN INVESTMENT COMPANY 100.00 — 100.00 53 54 29 COMERCIALIZADORA CORPORATIVA SAC PERU FINANCIAL SERVICES — 50.00 50.00 — — — COMERCIALIZADORA DE SERVICIOS FINANCIEROS, S.A. COLOMBIA SERVICES — 100.00 100.00 5 5 — COMPAÑIA CHILENA DE INVERSIONES SL SPAIN INVESTMENT COMPANY 99.97 0.03 100.00 221 282 (14) CONSOLIDAR A.F.J.P SA ARGENTINA IN LIQUIDATION 46.11 53.89 100.00 1 — — CONTENTS AREA, S.L. SPAIN SERVICES — 100.00 100.00 5 5 — CONTINENTAL DPR FINANCE COMPANY BV NETHERLANDS FINANCIAL SERVICES — 100.00 100.00 — — — CONTRATACION DE PERSONAL, S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 2 1 — CORPORACION GENERAL FINANCIERA SA SPAIN INVESTMENT COMPANY 100.00 — 100.00 510 904 35 CREA MADRID NUEVO NORTE SA SPAIN REAL ESTATE — 75.54 75.54 143 193 (4) DATA ARCHITECTURE AND TECHNOLOGY MEXICO SA DE CV MEXICO SERVICES — 100.00 100.00 — 2 (1) DATA ARQUITECTURE AND TECHNOLOGY OPERADORA SA DE CV MEXICO SERVICES — 100.00 100.00 — — — DEUTSCHE BANK MEXICO SA FIDEICOMISO F/1859 MEXICO FINANCIAL SERVICES — 100.00 100.00 — — — DEUTSCHE BANK MEXICO SA FIDEICOMISO F/1860 MEXICO FINANCIAL SERVICES — 100.00 100.00 — — — ECASA, S.A. CHILE FINANCIAL SERVICES — 100.00 100.00 37 32 4 EMPRENDIMIENTOS DE VALOR S.A. URUGUAY FINANCIAL SERVICES — 100.00 100.00 3 5 (2) EUROPEA DE TITULIZACION SA SGFT . SPAIN FINANCIAL SERVICES 88.24 — 88.24 2 19 2 F/11395 FIDEICOMISO IRREVOCABLE DE ADMINISTRACION CON DERECHO DE REVERSION ⁽³⁾ MEXICO REAL ESTATE — 42.40 42.40 — 1 — F/253863 EL DESEO RESIDENCIAL MEXICO REAL ESTATE — 65.00 65.00 — 1 — FIDEICOMISO 28991-8 TRADING EN LOS MCADOS FINANCIEROS MEXICO FINANCIAL SERVICES — 100.00 100.00 5 3 — FIDEICOMISO F/29764-8 SOCIO LIQUIDADOR DE OPERACIONES FINANCIERAS DERIVADAS MEXICO FINANCIAL SERVICES — 100.00 100.00 57 46 11 FIDEICOMISO F/403112-6 DE ADMINISTRACION DOS LAGOS MEXICO REAL ESTATE — 100.00 100.00 — — — FIDEICOMISO HARES BBVA BANCOMER F/ 47997-2 MEXICO REAL ESTATE — 100.00 100.00 3 2 1 FIDEICOMISO INMUEBLES CONJUNTO RESIDENCIAL HORIZONTES DE VILLA CAMPESTRE COLOMBIA REAL ESTATE — 100.00 100.00 — 1 — FIDEICOMISO LOTE 6.1 ZARAGOZA COLOMBIA REAL ESTATE — 59.99 59.99 — 2 — FIDEICOMISO SCOTIABANK INVERLAT S A F100322908 MEXICO REAL ESTATE — 100.00 100.00 5 2 2 FINANCIERA AYUDAMOS S.A. DE C.V., SOFOMER MEXICO IN LIQUIDATION — 100.00 100.00 7 6 — FOMENTO Y DESARROLLO DE CONJUNTOS RESIDENCIALES S.L. EN LIQUIDACION SPAIN IN LIQUIDATION — 60.00 60.00 — — — FORUM COMERCIALIZADORA DEL PERU SA PERU SERVICES — 100.00 100.00 1 1 — FORUM DISTRIBUIDORA DEL PERU SA PERU FINANCIAL SERVICES — 100.00 100.00 8 7 1 (1) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary holding a direct ownership interest. (2) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2023. In the carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill. Information on individual companies and foreign companies at exchange rate as of December 31, 2023. The data of the companies in Turkey and Argentina are prior to the application of hyperinflation accounting. (3) Full consolidation method is used according to accounting rules (see Glossary). 154 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Additional information on subsidiaries and structured entities composing the BBVA Group as of December 31, 2023 (Continued) % share of participation (1) Millions of Euros (2) Affiliate entity data Company Location Activity Direct Indirect Total Net carrying amount Equity excluding profit (loss) 31.12.2023 Profit (loss) 31.12.2023 FORUM DISTRIBUIDORA, S.A. CHILE FINANCIAL SERVICES — 100.00 100.00 51 39 10 FORUM SERVICIOS FINANCIEROS, S.A. CHILE FINANCIAL SERVICES — 100.00 100.00 234 215 10 G NETHERLANDS BV NETHERLANDS INVESTMENT COMPANY — 100.00 100.00 393 323 — GARANTI BANK SA ROMANIA BANKING — 100.00 100.00 252 363 33 GARANTI BBVA AS TURKEY BANKING 85.97 — 85.97 5,038 5,090 2,671 GARANTI BBVA DIJITAL VARLIKLAR ANONIM SIRKETI TURKEY FINANCIAL SERVICES — 100.00 100.00 14 14 (3) GARANTI BBVA EMEKLILIK AS TURKEY INSURANCES SERVICES — 84.91 84.91 93 46 65 GARANTI BBVA FACTORING AS TURKEY FINANCIAL SERVICES — 81.84 81.84 43 21 32 GARANTI BBVA FILO AS TURKEY SERVICES — 100.00 100.00 169 66 102 GARANTI BBVA FINANSAL TEKNOLOJI ANONIM SIRKETI TURKEY FINANCIAL SERVICES — 100.00 100.00 11 14 — GARANTI BBVA LEASING AS TURKEY FINANCIAL SERVICES — 100.00 100.00 253 121 132 GARANTI BBVA PORTFOY YONETIMI AS TURKEY INVESTMENT FUND MANAGEMENT — 100.00 100.00 22 10 13 GARANTI BBVA YATIRIM AS TURKEY FINANCIAL SERVICES — 100.00 100.00 167 68 99 GARANTI DIVERSIFIED PAYMENT RIGHTS FINANCE COMPANY CAYMAN ISLANDS OTHER ISSUANCE COMPANIES — 100.00 100.00 — (3) (8) GARANTI FILO SIGORTA ARACILIK HIZMETLERI A.S. TURKEY FINANCIAL SERVICES — 100.00 100.00 — — 1 GARANTI HOLDING BV NETHERLANDS INVESTMENT COMPANY — 100.00 100.00 615 393 — GARANTI KONUT FINANSMANI DANISMANLIK HIZMETLERI AS (GARANTI MORTGAGE) TURKEY SERVICES — 100.00 100.00 — — — GARANTI KULTUR AS TURKEY SERVICES — 100.00 100.00 — — — GARANTI ODEME SISTEMLERI AS (GOSAS) TURKEY FINANCIAL SERVICES — 100.00 100.00 10 6 5 GARANTI ODEME VE ELEKTRONIK PARA HIZMETLERI ANONIM SIRKETI TURKEY PAYMENT ENTITIES — 100.00 100.00 7 8 (1) GARANTI YATIRIM ORTAKLIGI AS ⁽³⁾ ⁽⁴⁾ TURKEY INVESTMENT COMPANY — 3.61 3.61 — 2 1 GARANTIBANK BBVA INTERNATIONAL N.V. NETHERLANDS BANKING — 100.00 100.00 833 647 101 GESCAT GESTIO DE SOL SL SPAIN REAL ESTATE 100.00 — 100.00 8 8 — GESCAT LLEVANT, S.L. SPAIN REAL ESTATE — 100.00 100.00 1 1 — GESCAT LLOGUERS SL SPAIN REAL ESTATE 100.00 — 100.00 3 3 — GESCAT VIVENDES EN COMERCIALITZACIO SL SPAIN REAL ESTATE 100.00 — 100.00 34 35 (2) GESTION DE PREVISION Y PENSIONES SA SPAIN PENSION FUND MANAGEMENT 60.00 — 60.00 9 17 5 GESTION Y ADMINISTRACION DE RECIBOS, S.A. - GARSA SPAIN SERVICES — 100.00 100.00 1 2 — GRAN JORGE JUAN SA SPAIN REAL ESTATE 100.00 — 100.00 424 446 15 GRUPO FINANCIERO BBVA MEXICO SA DE CV MEXICO FINANCIAL SERVICES 99.98 — 99.98 9,826 15,950 5,225 INMUEBLES Y RECUPERACIONES BBVA SA PERU REAL ESTATE — 100.00 100.00 37 36 1 INVERAHORRO SL SPAIN INVESTMENT COMPANY 100.00 — 100.00 130 134 (3) INVERSIONES ALDAMA, C.A. VENEZUELA IN LIQUIDATION — 100.00 100.00 — — — INVERSIONES BANPRO INTERNATIONAL INC NV ⁽³⁾ CURAÇAO INVESTMENT COMPANY 48.00 — 48.00 16 47 6 INVERSIONES BAPROBA CA VENEZUELA FINANCIAL SERVICES 100.00 — 100.00 — — — INVERSIONES P.H.R.4, C.A. VENEZUELA INACTIVE — 60.46 60.46 — — — MADIVA SOLUCIONES, S.L. SPAIN SERVICES — 100.00 100.00 4 3 1 (1) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary holding a direct ownership interest. (2) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2023. In the carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill. Information on individual companies and foreign companies at exchange rate as of December 31, 2023 . The data of the companies in Turkey and Argentina are prior to the application of hyperinflation accounting.(3) Full consolidation method is used according to accounting rules (see Glossary). (4) The percentage of voting rights owned by the Group entities in this company is 99.97%. 155 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Additional information on subsidiaries and structured entities composing the BBVA Group as of December 31, 2023 (Continued) % share of participation (1) Millions of Euros (2) Affiliate entity data Company Location Activity Direct Indirect Total Net carrying amount Equity excluding profit (loss) 31.12.2023 Profit (loss) 31.12.2023 MISAPRE, S.A. DE C.V. MEXICO IN LIQUIDATION — 100.00 100.00 — — — MOMENTUM SOCIAL INVESTMENT HOLDING, S.L. SPAIN INVESTMENT COMPANY — 100.00 100.00 7 8 — MOTORACTIVE IFN SA ROMANIA FINANCIAL SERVICES — 100.00 100.00 34 35 4 MOTORACTIVE MULTISERVICES SRL ROMANIA SERVICES — 100.00 100.00 — 4 1 MOVISTAR CONSUMER FINANCE COLOMBIA SAS COLOMBIA IN LIQUIDATION — 50.00 50.00 — 42 (26) MULTIASISTENCIA OPERADORA S.A. DE C.V. MEXICO INSURANCES SERVICES — 100.00 100.00 — — — MULTIASISTENCIA SERVICIOS S.A. DE C.V. MEXICO INSURANCES SERVICES — 100.00 100.00 — — — MULTIASISTENCIA, S.A. DE C.V. MEXICO INSURANCES SERVICES — 100.00 100.00 101 76 25 OPCION VOLCAN, S.A. MEXICO REAL ESTATE — 100.00 100.00 3 3 — OPENPAY ARGENTINA SA ARGENTINA PAYMENT ENTITIES — 100.00 100.00 6 2 1 OPENPAY COLOMBIA SAS COLOMBIA PAYMENT ENTITIES — 100.00 100.00 7 3 (2) OPENPAY PERÚ SA PERU PAYMENT ENTITIES — 100.00 100.00 13 6 (5) OPENPAY SA DE CV MEXICO PAYMENT ENTITIES — 100.00 100.00 44 23 (10) OPENPAY SERVICIOS S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 — — — OPERADORA DOS LAGOS S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 — — — OPPLUS OPERACIONES Y SERVICIOS SA SPAIN SERVICES 100.00 — 100.00 1 33 9 PECRI INVERSION SL SPAIN INVESTMENT COMPANY 100.00 — 100.00 119 111 7 PORTICO PROCAM, S.L. SPAIN REAL ESTATE — 100.00 100.00 26 26 — PROMOTORA DEL VALLES, S.L. SPAIN REAL ESTATE — 100.00 100.00 15 20 — PROMOU CT OPENSEGRE, S.L. SPAIN REAL ESTATE — 100.00 100.00 5 5 — PRONORTE UNO PROCAM, S.A. SPAIN REAL ESTATE — 100.00 100.00 1 1 — PROPEL EXPLORER FUND I LP UNITED STATES INVESTMENT COMPANY — 99.50 99.50 31 28 2 PROPEL EXPLORER FUND II LP UNITED STATES INVESTMENT COMPANY — 99.50 99.50 — — — PROPEL VENTURE PARTNERS BRAZIL US LP UNITED STATES INVESTMENT COMPANY — 99.80 99.80 12 21 — PROPEL VENTURE PARTNERS GLOBAL US, LP UNITED STATES INVESTMENT COMPANY — 99.50 99.50 114 171 41 PROPEL VENTURE PARTNERS US FUND I, L.P. UNITED STATES VENTURE CAPITAL 99.50 — 99.50 163 249 (31) PROPEL XYZ I LP UNITED STATES INVESTMENT COMPANY — 99.40 99.40 11 13 (2) PRO-SALUD, C.A. VENEZUELA INACTIVE — 58.86 58.86 — — — PROVINCIAL DE VALORES CASA DE BOLSA CA VENEZUELA SECURITIES DEALER — 90.00 90.00 1 1 — PROVINCIAL SDAD.ADMIN.DE ENTIDADES DE INV.COLECTIVA CA VENEZUELA INVESTMENT FUND MANAGEMENT — 100.00 100.00 1 1 — PROVIVIENDA ENTIDAD RECAUDADORA Y ADMIN.DE APORTES, S.A. BOLIVIA PENSION FUND MANAGEMENT — 100.00 100.00 2 2 — PSA FINANCE ARGENTINA COMPAÑIA FINANCIERA SA ARGENTINA BANKING — 50.00 50.00 7 6 8 RALFI IFN SA ROMANIA FINANCIAL SERVICES — 100.00 100.00 36 17 (7) RPV COMPANY CAYMAN ISLANDS OTHER ISSUANCE COMPANIES — 100.00 100.00 — — — SATICEM GESTIO SL SPAIN REAL ESTATE 100.00 — 100.00 2 2 — SATICEM HOLDING SL SPAIN REAL ESTATE 100.00 — 100.00 5 5 — SATICEM IMMOBLES EN ARRENDAMENT SL SPAIN REAL ESTATE 100.00 — 100.00 2 2 — (1) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary holding a direct ownership interest. (2) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2023. In the carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill. Information on individual companies and foreign companies at exchange rate as of December 31, 2023. . The data of the companies in Turkey and Argentina are prior to the application of hyperinflation accounting. 156 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Additional information on subsidiaries and structured entities composing the BBVA Group as of December 31, 2023 (Continued) % share of participation (1) Millions of Euros (2) Affiliate entity data Company Location Activity Direct Indirect Total Net carrying amount Equity excluding profit (loss) 31.12.2023 Profit (loss) 31.12.2023 SEGUROS PROVINCIAL CA VENEZUELA INSURANCES SERVICES — 100.00 100.00 10 9 1 SERVICIOS CORPORATIVOS DE SEGUROS, S.A. DE C.V. MEXICO SERVICES — 100.00 100.00 1 1 — SERVICIOS EXTERNOS DE APOYO EMPRESARIAL, S.A DE C.V. MEXICO SERVICES — 100.00 100.00 8 8 (1) SOCIEDAD DE ESTUDIOS Y ANALISIS FINANCIERO SA SPAIN SERVICES 100.00 — 100.00 64 66 (2) SOCIEDAD PERUANA DE FINANCIAMIENTO SAC PERU FINANCIAL SERVICES — 50.00 50.00 2 3 (1) SPORT CLUB 18 SA SPAIN INVESTMENT COMPANY 100.00 — 100.00 11 11 — TREE INVERSIONES INMOBILIARIAS SA SPAIN REAL ESTATE 100.00 — 100.00 1,488 277 59 TRIFOI REAL ESTATE SRL ROMANIA REAL ESTATE — 100.00 100.00 1 1 — UNNIM SOCIEDAD PARA LA GESTION DE ACTIVOS INMOBILIARIOS SA SPAIN REAL ESTATE 100.00 — 100.00 529 437 — URBANIZADORA SANT LLORENC SA SPAIN INACTIVE 60.60 — 60.60 — — — VOLKSWAGEN FINANCIAL SERVICES COMPAÑIA FINANCIERA SA ARGENTINA BANKING — 51.00 51.00 13 8 17 (1) In accordance with Article 3 of Royal Decree 1159/2010, of September 17, in order to determine the state, the voting power relating to subsidiaries was added to the voting power directly held by the parent. Therefore, the number of votes corresponding to the parent company (including indirect control subsidiaries), corresponds to each subsidiary holding a direct ownership interest. (2) Amount without considering the interim dividends of the year, according to the provisional financial statements of each company, generally as of December 31, 2023. In the carrying amount (net of provision and hedge in foreign operations), the Group´s ownership percentage has been applied, without considering the impairment of goodwill. Information on individual companies and foreign companies at exchange rate as of December 31, 2023. The data of the companies in Turkey and Argentina are prior to the application of hyperinflation accounting. This Appendix is an integral part of Note 14.1 of the financial statements for the year ended December 31, 2023. 157 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX III. Additional information on investments joint ventures and associates in the BBVA Group as of December 31, 2023 Most significant companies are included, which together represent 99.5% of the total investment in this group. % Legal share of participation Millions of Euros (1) Affiliate entity data Company Location Activity Direct Indirect Total Consolid ated Net carrying amount Assets 31.12.20 23 Liabilitie s 31.12.20 23 Equity excluding profit (loss) 31.12.202 3 Profit (loss) 31.12.20 23 ASSOCIATES ADQUIRA ESPAÑA, S.A. SPAIN SERVICES — 44.44 44.44 4 23 13 9 1 ATOM HOLDCO LIMITED UNITED KINGDOM INVESTMENT COMPANY 49.51 — 49.51 211 9,222 8,756 444 22 AUREA, S.A. (CUBA) CUBA REAL ESTATE — 49.00 49.00 5 11 1 9 1 BBVA ALLIANZ SEGUROS Y REASEGUROS, S.A. SPAIN INSURANCES SERVICES — 50.00 50.00 251 917 377 530 10 COMPAÑIA ESPAÑOLA DE FINANCIACION DEL DESARROLLO SA SPAIN PUBLIC COMPANIES AND INSTITUTIONS 16.67 — 16.67 35 218 10 187 22 FIDEICOMISO F/00185 FIMPE - FIDEICOMISO F/00185 PARA EXTENDER A LA SOCIEDAD LOS BENEFICIOS DEL ACCESO A LA INFRAESTRUCTURA DE LOS MEDIOS DE PAGO ELECTRONICOS PERU ELECTRONIC MONEY ENTITIES — 28.50 28.50 1 4 — 3 1 FRAUDFENSE SL SPAIN REAL ESTATE — 33.33 33.33 2 6 1 7 (2) METROVACESA SA ARGENTINA PAYMENT ENTITIES 9.44 11.41 20.85 259 2,482 801 1,706 (24) REDSYS SERVICIOS DE PROCESAMIENTO SL SPAIN FINANCIAL SERVICES 24.90 — 24.90 22 134 48 80 7 ROMBO COMPAÑIA FINANCIERA SA ARGENTINA BANKING — 40.00 40.00 3 39 30 2 7 SBD CREIXENT, S.A. SPAIN REAL ESTATE — 23.05 23.05 1 6 1 5 — SEGURIDAD Y PROTECCION BANCARIAS SA DE CV MEXICO SERVICES — 26.14 26.14 1 5 — 4 1 SERVICIOS ELECTRONICOS GLOBALES SA DE CV MEXICO SERVICES — 46.14 46.14 36 77 — 58 19 SERVIRED SOCIEDAD ESPAÑOLA DE MEDIOS DE PAGO SA SPAIN FINANCIAL SERVICES 28.72 — 28.72 8 56 29 27 — SISTEMAS DE TARJETAS Y MEDIOS DE PAGO SA SPAIN PAYMENT ENTITIES 20.61 — 20.61 2 487 478 5 4 SOLARIS SE ⁽²⁾ GERMANY BANKING — 15.53 15.53 34 2,013 1,795 240 (21) TELEFONICA FACTORING ESPAÑA SA ⁽³⁾ SPAIN FINANCIAL SERVICES 30.00 — 30.00 5 120 103 7 10 TF PERU SAC PERU FINANCIAL SERVICES — 24.30 24.30 1 6 1 4 2 VERIDAS DIGITAL AUTHENTICATION SOLUTIONS S.L. SPAIN SERVICES — 32.05 32.05 1 17 13 14 (10) JOINT VENTURES ALTURA MARKETS SOCIEDAD DE VALORES SA SPAIN SECURITIES DEALER 50.00 — 50.00 31 1,808 1,745 48 14 COMPAÑIA MEXICANA DE PROCESAMIENTO SA DE CV MEXICO SERVICES — 50.00 50.00 7 15 — 23 (8) CORPORACION IBV PARTICIPACIONES EMPRESARIALES, S.A. ⁽⁴⁾ SPAIN INVESTMENT COMPANY — 50.00 50.00 29 62 4 58 — F/ 5356 FIDEICOMISO IRREVOCABLE DE ADM. INMOBILIARIA CON DERECHO DE REVERSIÓN- FIDEICOMISO SELVA MEXICO REAL ESTATE — 42.40 42.40 8 19 — 19 — FIDEICOMISO 1729 INVEX ENAJENACION DE CARTERA ⁽⁴⁾ MEXICO REAL ESTATE — 44.09 44.09 12 206 — 206 — INVERSIONES PLATCO CA VENEZUELA FINANCIAL SERVICES — 50.00 50.00 5 11 1 12 (1) PROMOCIONS TERRES CAVADES, S.A. SPAIN REAL ESTATE — 39.11 39.11 1 3 — 3 — RCI COLOMBIA SA COMPAÑIA DE FINANCIAMIENTO COLOMBIA FINANCIAL SERVICES — 49.00 49.00 40 1,000 919 80 1 (1) In foreign companies the exchange rate of December 31, 2023 is applied. (2) The percentage of voting rights owned by the Group entities in this company is 22.22%. (3) Financial Statements as of December 31, 2022. (4) Classified as Non-current asset held for sale. This Appendix is an integral part of Note 14.2 of the financial statements for the year ended December 31, 2023. 158 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX IV. Changes and notifications of participations in the BBVA Group in 2023 Acquisitions or increases of interest ownership in consolidated subsidiaries Company (1) Type of transaction Total voting rights controlled after the disposal Effective date for the last transaction (or notification Date) BBVA GLOBAL WEALTH ADVISORS INC FOUNDING 100.00 01-Jun-23 GARANTI BBVA DIJITAL VARLIKLAR ANONIM SIRKETI FOUNDING 100.00 05-May-23 GARANTI BBVA FINANSAL TEKNOLOJI ANONIM SIRKETI FOUNDING 100.00 30-Apr-23 (1) Variations of less than 0.1% have not been considered due to immateriality. Disposals or reduction of interest ownership in consolidated subsidiaries Company (1) Type of transaction Total voting rights controlled after the disposal Effective date for the last transaction (or notification Date) BAHIA SUR RESORT S.C. LIQUIDATION — 16-May-23 BBVA DISCOVERY INC LIQUIDATION — 01-Nov-23 BBVA INFORMATION TECHNOLOGY ESPAÑA SLU MERGER — 01-Dec-23 CDD GESTIONI S.R.L. IN LIQUIDAZIONE LIQUIDATION — 12-Jan-23 DATA ARCHITECTURE AND TECHNOLOGY S.L. MERGER — 01-Dec-23 FUTURO FAMILIAR, S.A. DE C.V. LIQUIDATION — 01-Nov-23 VERIDAS DIGITAL AUTHENTICATION SOLUTIONS MEXICO SACV DILUTION PARTIC. — 06-Jun-23 VERIDAS DIGITAL AUTHENTICATION SOLUTIONS USA LLC DILUTION PARTIC. — 06-Jun-23 (1) Variations of less than 0.1% have not been considered due to immateriality. Changes and notifications of participations in the BBVA Group in 2023 Business combinations and other acquisitions or increases of interest ownership in associates and joint-ventures accounted for under the equity method Company (1) Type of transaction Total voting rights controlled after the disposal Effective date for the last transaction (or notification Date) F/ 5356 FIDEICOMISO IRREVOCABLE DE ADM. INMOBILIARIA CON DERECHO DE REVERSIÓN- FIDEICOMISO SELVA FOUNDING 42.40 01-Oct-23 NUEVO MARKETPLACE, S.L. ( EN LIQUIDACIÓN) CAPITAL INCREASE 30.23 22-Nov-23 PLAY DIGITAL SA CAPITAL INCREASE 11.06 31-Mar-23 FRAUDFENSE SL FOUNDING 33.33 27-Jul-23 ATOM HOLDCO LIMITED CAPITAL INCREASE 49.51 10-Nov-23 (1) Variations of less than 0.1% have not been considered due to immateriality. 159 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Disposal or reduction of interest ownership in associates and joint-ventures companies accounted for under the equity method Company (1) Type of transaction Total voting rights controlled after the disposal Effective date for the last transaction (or notification Date) CABAL URUGUAY, S.A. DISPOSAL — 03-Jan-23 VERIDAS DIGITAL AUTHENTICATION SOLUTIONS S.L. DILUTION PARTIC. 32.05 06-Jun-23 COMPAÑIA PERUANA DE MEDIOS DE PAGO SAC (VISANET PERU) DISPOSAL 20.20 01-Oct-23 (1) Variations of less than 0.1% have not been considered due to immateriality. This Appendix is an integral part of Note 14.3 of the financial statements for the year ended December 31, 2023. 160 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX V. Fully consolidated subsidiaries with more than 10% owned by non-Group shareholders as of December 31, 2023 % of voting rights controlled by the Bank Company Activity Direct Indirect Total BANCO BBVA PERÚ SA BANKING — 46.12 46.12 BANCO PROVINCIAL SA - BANCO UNIVERSAL BANKING 1.46 53.75 55.21 INVERSIONES BANPRO INTERNATIONAL INC NV INVESTMENT COMPANY 48.00 — 48.00 PRO-SALUD, C.A. NO ACTIVITY — 58.86 58.86 INVERSIONES P.H.R.4, C.A. NO ACTIVITY — 60.46 60.46 BBVA PREVISION AFP SA ADM.DE FONDOS DE PENSIONES PENSION FUND MANAGEMENT 75.00 5.00 80.00 COMERCIALIZADORA CORPORATIVA SAC FINANCIAL SERVICES — 50.00 50.00 CREA MADRID NUEVO NORTE SA REAL ESTATE — 75.54 75.54 GESTION DE PREVISION Y PENSIONES SA PENSION FUND MANAGEMENT 60.00 — 60.00 SOCIEDAD PERUANA DE FINANCIAMIENTO SAC FINANCIAL SERVICES — 50.00 50.00 F/253863 EL DESEO RESIDENCIAL REAL ESTATE — 65.00 65.00 VOLKSWAGEN FINANCIAL SERVICES COMPAÑIA FINANCIERA SA BANKING — 51.00 51.00 FIDEICOMISO LOTE 6.1 ZARAGOZA REAL ESTATE — 59.99 59.99 F/11395 FIDEICOMISO IRREVOCABLE DE ADMINISTRACION CON DERECHO DE REVERSION REAL ESTATE — 42.40 42.40 MOVISTAR CONSUMER FINANCE COLOMBIA SAS IN LIQUIDATION — 50.00 50.00 GARANTI BBVA EMEKLILIK AS INSURANCES — 84.91 84.91 FOMENTO Y DESARROLLO DE CONJUNTOS RESIDENCIALES S.L. EN LIQUIDACION IN LIQUIDATION — 60.00 60.00 PSA FINANCE ARGENTINA COMPAÑIA FINANCIERA SA BANKING — 50.00 50.00 161 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX VI. BBVA Group’s structured entities as of December 31, 2023. Securitization funds Millions of Euros Securitization fund (consolidated) Company Origination date Total securitized exposures at the origination date Total securitized exposures as of December 31, 2023 TDA 19 BANCO BILBAO VIZCAYA ARGENTARIA SA 27-Feb-04 600 29 TDA 22 BANCO BILBAO VIZCAYA ARGENTARIA SA 09-Dec-04 592 37 Hipocat 9 BANCO BILBAO VIZCAYA ARGENTARIA SA 25-Nov-05 1,016 94 Hipocat 10 BANCO BILBAO VIZCAYA ARGENTARIA SA 05-Jul-06 1,526 140 AYT HIP MIXTO V BANCO BILBAO VIZCAYA ARGENTARIA SA 21-Jul-06 120 74 TDA 27 BANCO BILBAO VIZCAYA ARGENTARIA SA 22-Dec-06 275 122 TDA 28 BANCO BILBAO VIZCAYA ARGENTARIA SA 23-Jul-07 250 87 BBVA RMBS 1 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 19-Feb-07 2,500 523 Hipocat 11 BANCO BILBAO VIZCAYA ARGENTARIA SA 09-Mar-07 1,628 157 BBVA RMBS 2 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 26-Mar-07 5,000 982 BBVA Leasing 1 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 24-Jun-07 2,500 87 BBVA RMBS 3 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 22-Jul-07 3,000 921 TDA Tarragona 1 BANCO BILBAO VIZCAYA ARGENTARIA SA 30-Nov-07 397 50 BBVA RMBS 5 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 24-May-08 5,000 1,526 GAT ICO-FTVPO1 BANCO BILBAO VIZCAYA ARGENTARIA SA 25-Jun-09 780 15 BBVA RMBS 9 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 18-Apr-10 1,295 537 BBVA RMBS 14 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 24-Nov-14 700 278 BBVA RMBS 17 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 21-Nov-16 1,800 868 BBVA Consumer Auto 2020-1 BANCO BILBAO VIZCAYA ARGENTARIA SA 15-Jun-20 1,100 521 BBVA Consumo 11 BANCO BILBAO VIZCAYA ARGENTARIA SA 12-Mar-21 2,500 845 BBVA RMBS 20 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 14-Jun-21 2,500 1,929 BBVA RMBS 21 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 17-Mar-22 12,400 9,975 BBVA Consumer Auto 2022-1 BANCO BILBAO VIZCAYA ARGENTARIA SA 13-Jun-22 1,200 765 BBVA RMBS 22 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 28-Nov-22 1,400 1,281 BBVA Consumo 12 BANCO BILBAO VIZCAYA ARGENTARIA SA 13-Mar-23 3,000 2,357 BBVA Consumer Auto 2023-1 BANCO BILBAO VIZCAYA ARGENTARIA SA 08-Jun-23 804 718 BBVA Leasing 3 FT BANCO BILBAO VIZCAYA ARGENTARIA SA 27-Nov-23 2,400 2,313 162 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX VII. Details of the outstanding subordinated debt and preferred securities issued by the Bank or entities in the Group consolidated as of December 31, 2023 and 2022 Issue Type and data (Millions of Euros) 2023 2022 Interest rate in force in 2023 Fix (F) or variable (V) Maturity date Non-convertible March-07 74 74 5.28% V Perpetual March-08 125 125 6.03% V March-33 May-08 — 50 —% V May-23 July-08 — 100 —% F July-23 February-17 1,000 1,000 3.50% F February-27 February-17 99 99 4.00% F February-32 March-17 65 65 4.00% F February-32 March-17 53 53 4.33% V March-27 March-17 109 113 5.70% F March-32 May-17 22 20 1.60% F May-27 May-17 150 150 2.54% F May-27 May-18 269 279 5.25% F May-33 February-19 750 750 2.58% V February-29 January-20 994 994 1.00% V January-30 July-20 345 338 3.10% V July-31 June-23 741 — 5.75% V September-33 August-23 345 — 8.25% V November-33 November-23 679 — 7.88% V November-34 Subordinated debt - convertible November-17 905 938 6.13% V Perpetual September-18 — 1,000 —% V September-23 March-19 1,000 1,000 6.00% V Perpetual September-19 905 938 6.50% V Perpetual jul-20 1,000 1,000 6.00% V Perpetual June-23 1,000 — 8.38% V Perpetual September-23 905 — 9.38% V Perpetual Subtotal 11,535 9,086 Subordinated deposits 177 184 Total 11,712 9,270 This Appendix is an integral part of Note 20.4 of the financial statements for the year ended December 31, 2023. 163 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX VIII. Balance sheets held in foreign currency as of December 31, 2023 and 2022 2023 (Millions of Euros) USD Pounds sterling Other currencies Total Assets Financial assets held for trading 22,542 2,077 611 25,230 Non-trading financial assets mandatorily at fair value through profit or loss 401 5 176 582 Financial assets designated at fair value through other comprehensive income 5,243 211 987 6,441 Financial assets at amortized cost 28,919 2,914 3,205 35,038 Investments in subsidiaries, joint ventures and associates — — 16,617 16,617 Tangible assets 62 13 7 82 Other Assets 5,065 116 1,016 6,197 Total 62,232 5,336 22,619 90,187 Liabilities Financial assets held for trading 22,566 890 590 24,046 Other financial liabilities designated at fair value through profit or loss 1,633 102 503 2,238 Financial liabilities at amortized cost 38,686 3,709 3,708 46,103 Other Liabilities 319 34 93 446 Total 63,204 4,735 4,894 72,833 2022 (Millions of Euros) USD Pounds sterling Other currencies Total Assets Financial assets held for trading 11,592 1,497 515 13,604 Non-trading financial assets mandatorily at fair value through profit or loss 373 — 61 434 Financial assets designated at fair value through other comprehensive income 4,923 197 3,065 8,185 Financial assets at amortized cost 28,645 2,385 3,618 34,648 Investments in subsidiaries, joint ventures and associates — — 15,189 15,189 Tangible assets 7 13 3 23 Other Assets 4,216 44 834 5,094 Total 49,756 4,136 23,285 77,177 Liabilities Financial assets held for trading 10,527 333 399 11,259 Other financial liabilities designated at fair value through profit or loss 1,467 109 284 1,860 Financial liabilities at amortized cost 35,186 4,519 3,022 42,727 Other Liabilities 333 37 86 456 Total 47,513 4,998 3,791 56,302 This Appendix is an integral part of Note 2.16 of the financial statements for the year ended December 31, 2023. 164 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX IX. Income statement corresponding to the first and second half of 2023 and 2022 INCOME STATEMENTS (Millions of Euros) Six months ended June 30, 2023 Six months ended June 30, 2022 Six months ended December 31, 2023 Six months ended December 31, 2022 Interest income 6,304 2,326 8,265 3,577 Financial assets and liabilities at fair value through other comprehensive income 179 182 220 316 Financial assets at amortized cost 5,246 1,801 6,406 3,615 Other interest income 879 343 1,639 (354) Interest expense (3,743) (561) (5,262) (1,521) NET INTEREST INCOME 2,561 1,765 3,003 2,056 Dividend income 3,195 1,485 289 1,984 Fee and commission income 1,345 1,323 1,344 1,289 Fee and commission expense (274) (234) (339) (255) Gains (losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net (51) (1) 75 2 Financial assets at amortized cost — — — — Other financial assets and liabilities (51) (1) 75 2 Gains (losses) on financial assets and liabilities held for trading, net (171) 215 159 223 Reclassification of financial assets from fair value through other comprehensive income — — — — Reclassification of financial assets from amortized cost — — — — Other gains or losses (171) 215 159 223 Gains (losses) on non-trading financial assets mandatorily at fair value through profit or loss, net 22 (48) 178 (3) Reclassification of financial assets from fair value through other comprehensive income — — — — Reclassification of financial assets from amortized cost — — — — Other gains or losses 22 (48) 178 (3) Gains (losses) on financial assets and liabilities designated at fair value through profit or loss, net (2) 81 18 47 Gains (losses) from hedge accounting, net 73 3 (79) (3) Exchange differences, net 40 59 (17) (182) Other operating income 244 165 211 174 Other operating expense (486) (325) (318) (318) GROSS INCOME 6,495 4,489 4,525 5,014 Administrative expense (2,005) (1,808) (2,153) (1,947) Personnel expense (1,161) (1,040) (1,263) (1,177) Other administrative expense (844) (767) (889) (771) Depreciation and amortization (320) (317) (331) (322) Provisions or reversal of provisions (43) (11) (73) (39) Impairment or reversal of impairment on financial assets not measured at fair value through profit or loss or net gains by modification (259) (183) (418) (337) Financial assets at amortized cost (262) (166) (420) (338) Financial assets at fair value through other comprehensive income 4 (17) 2 1 NET OPERATING INCOME 3,869 2,170 1,550 2,369 Impairment or reversal of impairment of investments in subsidiaries, joint ventures and associates 31 634 87 8 Impairment or reversal of impairment on non-financial assets 8 47 (2) (41) Tangible assets 13 47 5 (26) Intangible assets (5) (1) (7) (15) Other assets — 1 — — Gains (losses) on derecognition of non - financial assets and subsidiaries, net (1) 1 4 (1) Negative goodwill recognized in profit or loss — — — — Gains (losses) from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations 3 (10) (1) (16) PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS 3,910 2,843 1,637 2,320 Tax expense or income related to profit or loss from continuing operations (337) (240) (403) (107) PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS 3,574 2,603 1,234 2,212 Profit (loss) after tax from discontinued operations — — — — PROFIT(LOSS) FOR THE YEAR 3,574 2,603 1,234 2,212 165 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX X. Risks related to the developer and real-estate sector in Spain a. Policies and strategies established by the Group to deal with risks related to the developer and real-estate sector BBVA has teams specializing in the management of the Real-Estate Sector risk, given its economic importance and specific technical component. This specialization is not only in the Risk-Acceptance teams, but throughout the handling, commercial, problematic management legal, etc. Specialization has been increased and the management teams in the areas of recovery and the Real Estate Unit itself have been reinforced. The portfolio management policies, established to address the risks related to the developer and real-estate sector, aim to accomplish, among others, the following objectives: to avoid concentration in terms of customers, products and regions; to estimate the risk profile for the portfolio; and to anticipate possible worsening of the portfolio. Specific policies for analysis and admission of new real estate developer risk transactions There are guidelines for action that most of the operations follow, among which the contrast of the commercialization that guarantees the economic and financial viability of the project is of special importance. In this context, the strategy with clients in the development sector is subject, to an asset allocation limit and to an action framework that allows defining a target portfolio, both in volume and in credit quality specifications. Risk monitoring policies Monitoring Committees are held on a monthly basis in which the evolution of the real estate portfolio is reviewed, with a review of its credit quality, the ratings given to customers and the entries in arrears that have occurred. Monitoring Committees are held on a quarterly basis with the risk areas of the countries in which the development of all financed projects, their correct evolution in terms of works and sales, and compliance with the expected delivery schedules are analyzed. As for the policies relating to risk refinancing with the developer and real-estate sector, they are the same as the general policies used for all of the Group’s risks (Appendix XI). In the developer and real estate sector, they are based on clear solvency and viability criteria for projects, being demanding in obtaining additional guarantees and legal compliance with a refinancing tool that standardizes the criteria and variables to be considered in any refinancing. b. Quantitative information on activities in the real-estate market in Spain Lending for real estate development according to the purpose of the loans as of December 31, 2023 and 2022 is shown below: Financing Allocated to Construction and Real Estate Development and its Coverage (Millions of Euros) Gross amount Drawn over the guarantee value Accumulated impairment 2023 2022 2023 2022 2023 2022 Financing to construction and real estate development (including land) (Business in Spain) 2,105 1,861 482 350 (126) (171) Of which: Impaired assets 183 239 53 82 (105) (132) Memorandum item: Write-offs 2,097 2,086 Memorandum item: Total loans and advances to customers, excluding the Public Sector (Business in Spain) 174,280 176,853 Total consolidated assets (total business) 490,883 458,888 Impairment and provisions for normal exposures (1,344) (1,407) 166 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The following is a description of the real estate credit risk based on the types of associated guarantees: Financing allocated by credit institutions to Construction and Real Estate Development and lending for house purchase (Millions of Euros) 2023 2022 Without secured loan 359 232 With secured loan 1,746 1,629 Terminated buildings 857 898 Homes 685 710 Other 172 188 Buildings under construction 749 556 Homes 731 536 Other 18 21 Land 139 175 Urbanized land 92 119 Rest of land 47 56 Total 2,105 1,861 As of December 31, 2023 and 2022, 40,7% and 48.3% of loans to developers were guaranteed with buildings (79,9% and 79.1%, are homes), and only 6.6% and 9.3% by land, of which 66.2% and 68.0% are in urban locations, respectively. The table below provides the breakdown of the financial guarantees given as of December 31, 2023 and 2022: Financial guarantees given (Millions of Euros) 2023 2022 Houses purchase loans 36 54 Without mortgage 3 3 The information on the retail mortgage portfolio risk (housing mortgage) as of December 31, 2023 and 2022 is as follows: Financing Allocated by credit institutions to Construction and Real Estate Development and lending for house purchase (Millions of Euros) Gross amount Of which: impaired loans 2023 2022 2023 2022 Houses purchase loans 71,144 71,799 3,267 2,486 Without mortgage 1,415 1,539 10 8 With mortgage 69,730 70,260 3,257 2,477 The loan to value (LTV) ratio of the above portfolio is as follows: LTV Breakdown of mortgage to households for the purchase of a home (Business in Spain) (Millions of Euros)" Total risk over the amount of the last valuation available (Loan To Value-LTV) Less than or equal to 40% Over 40% but less than or equal to 60% Over 60% but less than or equal to 80% Over 80% but less than or equal to 100% Over 100% Total December 2023 Gross amount 17,201 20,302 22,850 5,856 3,519 69,729 of which: Impaired loans 307 464 642 617 1,227 3,257 December 2022 Gross amount 16,981 20,060 22,255 6,794 4,171 70,260 of which: Impaired loans 248 341 438 450 999 2,477 Outstanding home mortgage loans for house purchase as of December 31, 2023 and 2022 had an average LTV of 42% and 43% respectively. 167 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The breakdown of foreclosed, acquired, purchased or exchanged assets from debt from loans relating to business in Spain, as well as the holdings and financing to non-consolidated entities holding such assets is as follows: Information about Assets Received in Payment of Debts (Business in Spain) (Millions of Euros) Gross Value Provisions Of which: Valuation adjustments on impaired assets, at the time of foreclosure Carrying Amount 2023 2022 2023 2022 2023 2022 2023 2022 Real estate assets from loans to the construction and real estate development sectors in Spain. 16 23 (15) (18) (2) (3) 2 5 Terminated buildings 1 3 — (1) — — — 2 Homes — 2 — — — — — 2 Other 1 1 — (1) — — — — Buildings under construction — — — — — — — — Homes — — — — — — — — Other — — — — — — — — Land 16 20 (14) (17) (2) (3) 1 3 Urbanized land 16 20 (14) (17) (2) (3) 1 3 Rest of land — — — — — — — — Real estate assets from mortgage financing for households for the purchase of a home 528 716 (289) (397) (90) (124) 239 318 Rest of foreclosed real estate assets 364 449 (231) (270) (76) (79) 133 179 Equity instruments, investments and financing to non-consolidated companies holding said assets — 410 — (293) — (254) — 117 Total 909 1,598 (535) (977) (169) (460) 374 620 The gross book value of real-estate assets from mortgage lending to households for home purchase as of December 31, 2023 and 2022 amounted to €527 and €716 million, respectively, with an average coverage ratio of 54.6 % and 55.4%, respectively. As of December 31, 2023 and 2022, the gross book value total real-estate assets (business in Spain), including other real-estate assets received as debt payment, was €908 and €1,188 million, respectively. The coverage ratio was 58.8% and 57.7%, respectively. This Appendix is an integral part of Note 5 of the financial statements for the year ended December 31, 2023. 168 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. APPENDIX XI. Refinanced and restructured operations and other requirements under Bank of Spain Circular 6/2012 a) Policies and strategies established by the Group to deal with risks related to refinancing and restructuring operations. Refinancing and restructuring transactions (see definition in the Glossary) are carried out with customers who have requested such a transaction in order to meet their current loan payments if they are expected, or may be expected, to experience financial difficulty in making the payments in the future. The basic aim of a refinancing and restructuring transaction is to provide the customer with a situation of financial viability over time by adapting repayment of the loan incurred with the Group to the customer’s new situation of fund generation. The use of refinancing and restructuring for other purposes, such as to delay loss recognition, is contrary to BBVA Group policies. The BBVA Group’s refinancing and restructuring policies are based on the following general principles: – Refinancing and restructuring is authorized according to the capacity of customers to pay the new installments. This is done by first identifying the origin of the payment difficulties and then carrying out an analysis of the customers’ viability, including an updated analysis of their economic and financial situation and capacity to pay and generate funds. If the customer is a company, the analysis also covers the situation of the industry in which it operates. – With the aim of increasing the solvency of the transaction, new guarantees and/or guarantors of demonstrable solvency are obtained where possible. An essential part of this process is an analysis of the effectiveness of both the new and original guarantees. – This analysis is carried out from the overall customer or group perspective. – Refinancing and restructuring transactions do not in general increase the amount of the customer’s loan, except for the expense inherent to the transaction itself. – The capacity to refinance and restructure a loan is not delegated to the branches, but decided on by the risk units. – The decisions made are reviewed from time to time with the aim of evaluating full compliance with refinancing and restructuring policies. These general principles are adapted in each case according to the conditions and circumstances of each geographical area in which the Group operates, and to the different types of customers involved. In the case of retail customers (private individuals), the main aim of the BBVA Group’s policy on refinancing and restructuring a loan is to avoid default arising from a customer’s temporary liquidity problems by implementing structural solutions that do not increase the balance of the customer’s loan. The solution required is adapted to each case and the loan repayment is made easier, in accordance with the following principles: – Analysis of the viability of transactions based on the customer’s willingness and ability to pay, which may be reduced, but should nevertheless be present. Therefore, in all cases the customer shall at least make interest payments, in addition to certain limited exceptions where grace periods are afforded in respect of both principal and interest payments. – Refinancing and restructuring of transactions is only allowed on those loans in which the BBVA Group originally entered into. – Customers subject to refinancing and restructuring transactions are excluded from marketing campaigns of any kind. In the case of non-retail customers (mainly companies, enterprises and corporates), refinancing/restructuring is authorized according to an economic and financial viability plan based on: – Forecasted future income, margins and cash flows to allow entities to implement cost adjustment measures (industrial restructuring) and a business development plan that can help reduce the level of leverage to sustainable levels (capacity to access the financial markets). – Where appropriate, the existence of a divestment plan for assets and/or operating segments that can generate cash to assist the deleveraging process. – The capacity of shareholders to contribute capital and/or guarantees that can support the viability of the plan. In accordance with the Group’s policy, the conclusion of a loan refinancing and restructuring transaction does not mean the loan is reclassified from "impaired" or "significant increase in credit risk" to normal risk. The reclassification to "significant increase in credit risk" or normal risk categories must be based on the analysis mentioned earlier of the viability, upon completion of the probationary periods described below. 169 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. The Group maintains the policy of including risks related to refinanced and restructured loans as either: – "Impaired assets", as although the customer is up to date with payments, they are classified as unlikely to pay when there are significant doubts that the terms of their refinancing may not be met; or – "Significant increase in credit risk" until the conditions established for their consideration as normal risk are met. The assets classified as "Impaired assets" should comply with the following conditions in order to be reclassified to "Significant increase in credit risk": – The customer has to have paid a significant part of the pending exposure. – At least one year must have elapsed since the later of: i) the time at which the restructuring measures were extended, – The customer does not have past due payments and objective criteria, demonstrating the borrower´s ability to pay, have been verified. The conditions established for assets classified as “Significant increase in credit risk” to be reclassified out of this category are as follows: – The customer must have paid past-due amounts (principal and interest) since the date of the renegotiation or restructuring of the loan or other objective criteria, demonstrating the borrower´s ability to pay, have been verified; none of its exposures is more than 30 days past-due. – At least two years must have elapsed since completion of the renegotiation or restructuring of the loan or, if later, the date of reclassification from the deteriorated category. Regular payments must have been made during at least half of this probation period; and – It is unlikely that the customer will have financial difficulties and, therefore, it is expected that the customer will be able to meet its loan payment obligations (principal and interest) in a timely manner. Renewals and renegotiations are classified as normal risk, provided that there is no significant increase in risk. This classification is applicable initially, and in the event of any deterioration, the criteria established in the existing policy are followed. In this sense, the aforementioned conditions are considered, including, among others, the requirement that the facility is not more than 30 days past due and that it has not been identified as 'unlikely to pay'. The BBVA Group’s refinancing and restructuring policy provides for the possibility of two modifications in a 24 month period for loans that are not in compliance with the payment schedule. The internal models used to determine allowances for loan losses consider the restructuring and renegotiation of a loan, as well as re- defaults on such a loan, by assigning a lower internal rating to restructured and renegotiated loans than the average internal rating assigned to non-restructured/renegotiated loans. This downgrade results in an increase in the probability of default (PD) assigned to restructured/renegotiated loans (with the resulting PD being higher than the average PD of the non- renegotiated loans in the same portfolios). In any case, a restructuring will be considered impaired when the reduction in the present net value of the financial obligation is greater than 1%. 170 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. b) Quantitative information on refinancing and restructuring operations BALANCE OF FORBEARANCE (Millions of Euros)" TOTAL Unsecured loans Secured loans Accumulated impairment or accumulated losses in fair value due to credit risk Number of operations Gross carrying amount Number of operations Gross carrying amount Maximum amount of secured loans that can be considered Real estate mortgage secured Rest of secured loans 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 Credit institutions — — — — — — — General Governments 49 55 31 37 24 24 7 9 5 6 — — 6 9 Other financial corporations and individual entrepreneurs (financial business) 259 267 16 9 20 18 6 1 5 1 — — 4 5 Non-financial corporations and individual entrepreneurs (corporate non-financial activities) 35,691 38,236 2,228 2,707 4,451 5,380 1,283 1,674 712 911 59 71 1,093 1,471 Of which: financing the construction and property (including land) 85 96 12 14 474 585 194 264 101 137 — — 98 123 Rest homes 53,064 57,386 789 856 36,511 36,956 3,947 3,842 2,817 2,834 2 3 1,254 1,129 Total 89,063 95,944 3,064 3,609 41,006 42,378 5,243 5,526 3,539 3,752 61 74 2,357 2,614 of which: IMAPAIRED TOTAL Unsecured loans Secured loans Accumulated impairment or accumulated losses in fair value due to credit risk Number of operations Gross carrying amount Number of operations Gross carrying amount Maximum amount of secured loans that can be considered Real estate mortgage secured Rest of secured loans 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 Credit institutions — — — — — — — General Governments 25 26 14 20 4 23 2 9 1 5 — — 4 8 Other financial corporations and individual entrepreneurs (financial business) 183 206 5 8 14 14 1 1 1 1 — — 2 4 Non-financial corporations and individual entrepreneurs (corporate non-financial activities) 27,869 30,100 1,275 1,299 3,308 3,910 781 1,075 335 455 6 6 947 1,298 Of which: financing the construction and property (including land) 81 89 12 14 370 436 134 185 49 73 — — 90 111 Rest homes 38,088 39,196 586 611 23,689 19,756 2,622 2,037 1,721 1,331 1 1 1,141 1,008 Total 66,165 69,528 1,880 1,938 27,015 23,703 3,406 3,122 2,058 1,792 7 7 2,094 2,318 171 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. c) Loans and advances to customers by activity (carrying amount) December 2023 (Millions of euros) Collateralized loans and receivables -Loans and advances to customers. Loan to value Less than or equal to 40% Over 40% but less than or equal to 60% Over 60% but less than or equal to 80% Over 80% but less than or equal to 100% Over 100% 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 General governments 13,304 12,485 240 255 172 — 129 92 86 118 21 44 173 1 2 — Other financial institutions and financial individual entrepreneurs 22,697 23,895 487 298 14,285 16,078 123 142 351 107 48 127 10,101 3,707 4,148 12,293 Non-financial institutions and non-financial individual entrepreneurs 99,406 97,716 9,620 9,702 2,030 1,703 4,674 4,508 3,304 3,270 1,743 1,481 833 865 1,098 1,282 Construction and property development 1,759 1,484 1,598 1,374 6 3 917 807 480 388 125 126 25 26 57 29 Construction of civil works 5,071 5,202 482 514 218 257 217 244 185 165 75 85 22 32 200 245 Other purposes 92,576 91,031 7,541 7,814 1,806 1,443 3,540 3,457 2,639 2,717 1,543 1,269 785 806 840 1,008 Large companies 68,012 65,221 2,828 2,701 1,256 941 1,445 1,268 814 808 724 397 594 641 507 527 SMEs (2) and individual entrepreneurs 24,564 25,810 4,713 5,113 550 503 2,096 2,188 1,825 1,909 819 872 191 165 333 481 Rest of households and NPISHs (**) 89,545 89,790 70,141 71,156 257 321 18,175 17,961 20,905 20,691 22,902 22,516 5,555 6,652 2,861 3,657 Housing 71,184 72,283 69,325 70,303 88 104 17,898 17,702 20,701 20,446 22,767 22,339 5,442 6,496 2,605 3,424 Consumption 15,174 14,637 78 80 104 134 54 57 57 55 26 51 16 22 29 30 Other purposes 3,187 2,871 739 773 66 83 224 203 147 190 109 126 97 134 228 203 TOTAL 224,952 223,887 80,488 81,411 16,743 18,102 23,101 22,703 24,645 24,186 24,715 24,167 16,662 11,224 8,108 17,232 MEMORANDUM: Forbearance operations (4) 5,950 6,521 3,970 4,200 64 78 872 920 887 839 792 756 608 631 875 1,131 (1) The amounts included in this table are net of loss allowances. (2) Small and medium enterprises (3) Nonprofit institutions serving households. (4) Net of provisions. d) Concentration of risks by activity and geographical area (carrying amount) Concentration of exposures by activity and geographical area TOTAL (1) Spain Rest of the European Union America Rest of the world 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 Credit institutions 152,727 123,167 51,219 54,616 56,130 30,904 19,386 16,053 25,992 21,594 General governments 66,512 64,214 50,853 44,905 9,827 11,506 4,029 3,897 1,802 3,906 Central Administration 51,224 49,251 36,920 31,535 9,167 10,727 3,798 3,572 1,338 3,418 Other 15,288 14,963 13,933 13,370 660 779 232 325 464 488 Other financial institutions and financial individual entrepreneurs 61,221 59,130 11,216 11,885 27,195 26,013 16,810 14,908 6,000 6,324 Non-financial institutions and non-financial individual entrepreneurs 148,032 145,087 84,753 86,078 22,953 22,617 23,327 20,426 16,999 15,966 Construction and property development 2,621 2,371 2,621 2,371 — — — — — — Construction of civil works 8,798 8,352 6,230 6,254 842 1,056 748 263 978 780 Other purposes 136,613 134,365 75,902 77,454 22,111 21,561 22,579 20,163 16,020 15,186 Large companies 110,076 106,495 50,293 50,424 21,571 21,037 22,428 19,989 15,784 15,045 SMEs and individual entrepreneurs 26,537 27,869 25,609 27,029 540 525 152 174 236 141 Other households and NPISHs 89,850 90,066 88,513 88,500 1,027 1,180 78 91 233 295 Housing 71,184 72,284 70,073 70,901 839 1,044 65 78 207 261 Consumer 15,174 14,637 15,111 14,595 43 20 12 11 9 10 Other purposes 3,492 3,146 3,329 3,004 145 116 1 2 17 24 TOTAL 518,343 481,665 286,554 285,985 117,132 92,219 63,631 55,375 51,026 48,085 (1) The definition of risk for the purpose of this statement includes the following items on the public balance sheet: “Loans and advances to credit institutions”, “Loans and advances”, “Debt securities”, “Equity instruments”, “Other equity securities”, “Derivatives and hedging derivatives”, “Investments in subsidiaries, joint ventures and associates” and “Guarantees given”. The amounts included in this table are net of loss allowances. 172 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. December 2023 - Spain (Millions of euros) TOTAL (1) Andalucia Aragon Asturias Baleares Canarias Cantabria Castilla La Mancha Castilla y León Cataluña 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 Credit institutions 51,219 54,616 1,006 717 688 40 — — 28 45 — — 1,558 687 1 3 — — 241 401 Government agencies 50,853 44,905 1,655 964 404 466 393 236 408 526 905 678 7 9 331 408 1,221 1,039 1,707 1,656 Central Administration 36,920 31,535 — — — — — — — — — — — — — — — — — — Other 13,933 13,370 1,655 964 404 466 393 236 408 526 905 678 7 9 331 408 1,221 1,039 1,707 1,656 Other financial institutions and financial individual entrepreneurs 11,216 11,885 92 114 56 50 16 6 18 16 3 3 — — 2 1 6 11 365 383 Non-financial institutions and non- financial individual entrepreneurs 84,753 86,078 7,650 7,660 1,974 2,109 1,268 1,628 2,371 2,436 2,397 2,301 526 572 1,663 1,544 1,589 1,637 14,553 15,001 Construction and property development 2,621 2,371 380 320 27 17 32 21 24 15 91 98 10 9 62 45 23 25 584 622 Construction of civil works 6,230 6,254 572 566 113 130 48 50 137 144 114 136 49 52 216 151 95 91 1,008 1,023 Other purposes 75,902 77,454 6,698 6,775 1,834 1,962 1,188 1,557 2,210 2,277 2,192 2,066 468 511 1,385 1,348 1,471 1,522 12,961 13,356 Large companies 50,293 50,424 2,483 2,579 1,109 1,139 881 1,248 1,493 1,449 1,056 843 270 303 534 489 653 658 7,113 7,196 SMEs and individual entrepreneurs 25,609 27,029 4,215 4,195 725 823 307 309 717 828 1,137 1,223 197 208 851 859 818 864 5,848 6,160 Other households and NPISHs 88,514 88,500 13,593 13,402 1,377 1,404 1,231 1,229 1,961 1,980 3,896 3,885 858 863 2,539 2,546 2,932 2,938 26,577 26,810 Housing 70,073 70,901 10,647 10,592 1,078 1,116 890 887 1,588 1,636 2,739 2,789 698 706 1,880 1,923 2,238 2,259 21,912 22,259 Consumer 15,111 14,595 2,596 2,472 266 256 279 283 347 318 1,061 1,004 131 126 601 567 577 568 3,610 3,547 Other purposes 3,329 3,004 350 339 33 32 61 59 27 26 96 92 30 31 57 55 116 111 1,055 1,004 TOTAL 286,554 285,985 23,995 22,857 4,500 4,069 2,908 3,099 4,786 5,002 7,201 6,867 2,949 2,131 4,534 4,502 5,748 5,626 43,443 44,251 (1) The definition of risk for the purpose of this statement includes the following items on the public balance sheet: “Loans and advances to credit institutions”, “Loans and advances”, “Debt securities”, “Equity instruments”, “Other equity securities”, “Derivatives and hedging derivatives”, “Investments in subsidiaries, joint ventures and associates” and “Guarantees given”. The amounts included in this table are net of loss allowances. December 2023 - Spain (Millions of euros) Extremadura Galicia Madrid Murcia Navarra Comunidad Valenciana País Vasco La Rioja Ceuta y Melilla 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 Credit institutions — — 393 375 44,610 51,010 — — — 6 2,400 1,095 293 238 — — — — Government agencies 267 312 755 730 3,277 3,446 95 129 303 313 696 746 1,362 1,560 82 84 67 67 Central Administration — — — — — — — — — — — — — — — — — — Other 267 312 755 730 3,277 3,446 95 129 303 313 696 746 1,362 1,560 82 84 67 67 Other financial institutions and financial individual entrepreneurs 1 1 28 30 9,936 10,710 2 2 — — 5 4 684 552 — — — — Non-financial institutions and non-financial individual entrepreneurs 989 955 2,802 2,608 30,474 30,343 1,718 1,767 1,041 1,112 5,908 6,010 7,372 7,936 342 352 116 106 Construction and property development 10 12 59 71 994 825 47 41 3 4 146 143 122 99 4 2 2 3 Construction of civil works 53 48 333 225 2,795 2,941 109 88 55 56 302 291 209 236 10 12 14 12 Other purposes 926 894 2,410 2,311 26,685 26,577 1,562 1,638 984 1,052 5,460 5,577 7,041 7,601 328 338 100 91 Large companies 403 354 1,448 1,322 22,366 22,148 806 806 686 711 3,010 2,727 5,826 6,309 139 139 17 5 SMEs and individual entrepreneurs 524 540 963 989 4,319 4,429 755 832 297 341 2,451 2,850 1,214 1,292 189 199 83 86 Other households and NPISHs 1,474 1,447 3,270 3,194 14,240 14,126 1,979 1,969 487 496 8,075 8,192 2,937 2,917 333 336 755 766 Housing 1,084 1,073 2,378 2,361 11,494 11,628 1,502 1,511 380 389 6,318 6,526 2,374 2,349 261 266 613 629 Consumer 352 337 688 669 1,928 1,874 442 422 92 91 1,552 1,470 397 404 60 59 130 128 Other purposes 38 37 204 164 818 624 34 35 15 15 206 197 165 164 12 12 11 10 TOTAL 2,732 2,716 7,248 6,937 102,538 109,634 3,794 3,867 1,831 1,928 17,084 16,048 12,648 13,204 757 773 937 940 173 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Appendix XII Agency Network ISABEL ALVAREZ CALDERON MONTSERRAT COSTA CALAF RAMON LINARES LOPEZ DIEGO TORRES PARRA ESTHER MONTOYA CARRASCO TANIA FERNANDEZ NOGALES ANA GAROZ DURO GERARD MARTINEZ ALCAÑIZ DIEGO HERNANDEZ QUERO MARIA ROSARIO SANCHEZ PALACIOS JOSEFA FOLCRA MARTIN EVA MARIA FERNANDEZ CAMPO JAVIER CANALES FUENTE EDUARD RECASENS BLANCH MARIA JOSE RODRIGUEZ PEREZ RAQUEL SANCHEZ MUÑOZ MARCOS GIL TEJADA BELEN FIRVIDA PLAZA ANTONIO DAVILA RUEDA ANNA MARIA CESARI MORA DARIO ALFONSO GINES LAHERA JESUS CARRASCO MORA MARIA BELEN SOLE RODRIGUEZ JOSE MANUEL LOPEZ IRIARTE ANGEL GARCIA DESCALZO LLUIS CERVERA SABALLS LLUIS CASAS CASTELLA FERNANDO PEGUERO LANZOS ISAAC OLIVA RUIZ SANDRA BERRAL PLATERO RUFINO NIETO GONZALEZ MIGUEL BELLO NAVARRO JUAN LOPEZ MARTINEZ JOSE ANTONIO SANCHEZ SANCHEZ MARIA PILAR CALVET REVERTE ISABEL SOTO DE PRADO JAVIER ANTONIO GONZALEZ GOMEZ MARIANO PELLICER BARBERA BEATRIZ MARIN ROBLES JAVIER ALOSETE MINGUEZ MARIA DOLORES SUBIRATS ESPUNY PAU CASAS AMBLAS ARTURO MARIA GOMEZ JUEZ JOAN POMAR GUILLEN SALVADOR CASELLAS GASSO JOSE ANTONIO PAREDES GOMEZ JUAN FRANCISCO DIAZ FLORES VICENC COMAS VICENS JOSE MARIA GOMEZ CIDONCHA CATALINA MARIA RAMIS BOYERAS MARIA ANGELS MIRO SALA JUAN CARLOS RODRIGUEZ HERNANDEZ ANNA DURAN VIDAL MARIA CISTERO BOFARULL JUAN CARLOS DUQUE MEDRANO DAVID PERUCHET GARNICA NURIA NOGUERON MATAMOROS JOSE LUIS GARCIA PRIETO JOSE LUIS ORTUÑO CAMARA MARIA LOPEZ GALINDO BEATRIZ INMACULADA JUNQUERA FRESCO ESTIBALIZ REBOLLO GARCIA NOELIA TORRELLAS GRAMAJE ALBERTO GOMEZ MARTINEZ JAVIER GARCIA LORENZO EMILIO GUSTAVO GONZALEZ GUTIERREZ MIGUEL ANGEL LANERO PEREZ SERGIO GONZALEZ RUIZ SERGIO DIENTE ALONSO MARBELLA CASADO RODRIGUEZ MARIA ISABEL ARCOS PEIXOTO DAVID REYES HERNANDO ESTHER SIERRA SIERRA MARIA TERESA DE ZAYAS CAMPOS LUCIA MARTINEZ FERNANDEZ ARMANDO GRANDA RODRIGUEZ DE LA FLOR JOSE MARIA GUILLAMON CAMARERO PEDRO CRUCERA GARCIA ALEJANDRO NUEVO DIAZ ENRIQUE MATA SANTIN ALZO CAPITAL S.L. MARIA ENCARNACION MARTINEZ MEZQUITA LUIS DURO DOMENE MEDINA FINANZAS S.L. IVAN CALLES VAQUERO FATIMA ROMERO FORMOSO CORCUERA ABOGADOS Y ASESORES DE PATRIMONIO S.L. MIGUEL JOSE FERNANDEZ MARDOMINGO BARRIUSO PAULA REY FERRIN LEONILA PLUS S.L. VIRGINIA GARCIA DEL HOYO ALEJANDRO PEREZ ANDREU BENALWIND S.L. REBECA GUTIERREZ FERNANDEZ JAVIER ALAYON FUMERO ROLO GESTION E INVERSION SOCIEDAD LTDA. MARIA GUTIERREZ FERNANDEZ GONZALO CAMPOS BRAVO ASESORES FINANCIEROS R V SABIO S L U BEGOÑA MONICA FERNANDEZ QUILEZ MARIANO DOMINGO BALTA GESTION Y SERVICIOS SAN ROMAN DURAN S.L. JESUS ANGEL ZUECO GIL JOSEP GIBERT GATELL AFIN 7 BAGES S.L. FRANCISCO JAVIER SMITH BASTERRA DAVID SOTERAS MORERA AF ABELENDA S.L. FERNANDO MARIA ORTEGA ALTUNA JESUS MARTOS LOPEZ CLUSTER CAPITAL S.L. LEIRE TERRADILLOS PEREZ CATARINA PARDIÑAS SUAREZ GESTION FINANCIERA MIGUELTURRA S.L. DANIEL FERNANDEZ ONTAÑON LAURA SOTOCA SANCHEZ A E S T E S.L. ANA CAÑAS BLANCO RAUL ANTELO JALLAS GESTORA PAMASA SL PEDRO RAFAEL MARTINEZ GARCIA LETICIA GARCIA CAMAFREITA NANOBOLSA S.L. FERNANDO MARIA ARTAJO JARQUE ESPERANZA MACARENA POZO GONZALEZ SERVICIOS FINANCIEROS AZMU S.L. VICENTE MONTESINOS CONTRERAS DAVID LLOPIS GINESTRA JUAN LORENZO S.L. IGNACIO VALLS BENAVIDES TERESA VERNET VILLAGRASA CREACIONES CARLINA S.L. MIGUEL IZQUIERDO DOLS ELISENDA FERNANDEZ RAMON FRANCISCO JOSE PEÑUELA SANCHEZ S.L. 174 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. BENJAMIN MONFORT GUILLAMON CRISTINA MODOL RUIZ ESTUDIOS FISCALES Y FINANCIEROS RIOJANOS S.L. MONICA MIGUEL MOLINA MARIA TERESA SEGURA MASSOT GALARRETA Y PROVEDO S.L. CARLOS GOMEZ EBRI CRISTINA FARRE BOSCH FRESNO CAPITAL S.L. FRANCISCO EULOGIO ORTIZ MARTIN ALBA ASENSIO REIG ESCRIVA DE ROMANI S.L. ANTONIO RUIZ SORIA LAURA RIERA GARCIA ACOFI S.L. JUAN JOSE GARRIDO RODRIGUEZ CARLES BOSOM MORA ALERCIA INTERNATIONAL WEALTH MANAGEMENT S.L. FRANCISCO JOSE DIEGO MARTI LUIS ALBERTO LARA GARCIA GESTION ESTUDIO Y AUDITORIA DE EMPRESAS GEA S.R.L. RAFAEL CLAVER GIMENO ANGEL ENRIQUE EUGENIO CUBEROS INVERSIONES IZARRA 2000, S.L. JUAN LUIS CU AT ALVAREZ OSSORIO DOLORES MARIA RAMIREZ PEREA ZARIZA CONSULTORES S.L. PEDRO PRIGMAN RUIZ JOSE RAMON MORSO PELAEZ AGENTES TRIBUTARIOS Y FINANCIEROS S.L. MARIA JESUS LOPEZ RASCON REGINA MARIA ARESTI MUGICA MSJN FINANCIAL ADVISORS S.L. EDUARDO BALLESTER GOMILA ANTONIO FERMIN LUNA GARCIA MINA STRAFY 4 ASSET MANAGEMENT S.L. HECTOR JAVIER LAGIER MATEOS LUIS FELIPE ALVAREZ BURON FAMILYSF SALUFER S.L. MANUEL LUIS DEL BARCO ASENCIO CECILIA PEREZ PIQUERAS GOMEZ OKAPI SES SALINES S.L. FRANCISCO JAVIER SANCHEZ PARRA PATRICIA LOPEZ SANCHEZ CAPAFONS Y CIA S.L. JORGE LUIS RAMOS ROMAN JORGE SANZ ARIÑO PROELIA S.L. JERONIMO ESTEBAN VERA RIOS PEDRO JOSE GARCIA LOPEZ MIQUEL VALLS ECONOMISTES ASSOCIATS S.L. ANTONIO LOPEZ GARCIA ALFONSO MARTINEZ PUJANTE MEDONE SERVEIS S.L. MARIA ISABEL MORENO SILVERIA ANGEL MAYA MONTERO PUENTE B GESTION INTEGRAL S.L. LUIS ALBERTO GRAÑON LOPEZ ROCIO ARCONES GARCIA TIO CODINA ASSESSORS D INVERSIONS S.L. TERESA BARRENENGOA MENENDEZ PABLO GAGO COMES TRUC PEBE SALLENT S.L. JON MIKEL LEJONA DE SOLA JOSE ANDRES RAMOS SOBRIDO MALGOFRE S.L. MARTA MARIA GOMEZ DE MAINTENANT ALEXIA MARIA GONZALEZ LANZA ARAN PALLARS ASSESSORS S.L. SIRA ASUNCION ORUE BARASOAIN NATALIA FERNANDEZ DEL VISO GARCIA FINFORYOU ADVISORS S.L. JOSE IGNACIO DE PRADO MANEIRO BEATRIZ MARIA PACHA PRIOR PAZGRANDIO S.L. ASIER LARREA ORCOYEN ANA MARIA CARO MARTIN ASESORIA LEMA Y GARCIA S.L. VIRGINIA FENOY CRUZ CRISTINA ACEBES PEREZ DEBCO ESTRUCTURA PROFESIONAL S L P MARIA DEL PILAR FERNANDEZ VERGARA JOSE DEL OLMO LOZANO CHILCO GESTION S.L. JULIAN CALVO FERNANDEZ MANUEL ANTONIO DE LAS MORENAS LOPEZ ASTILLERO SERFINESPO S.L. PAULA BARCIA PEREZ MARIA ISABEL CALVO SANCHEZ DACEZA SOLUCIONES S L U GONZALO CASTEJON DE LA ENCINA DIEGO LOPEZ PRO INVERSIONES SUAREZ IBAÑEZ S.L. MIGUEL DIAZ GARCIA FUENTES IVAN PELAYO MARTIN LAFUENTE SERVICIOS EXTERNOS S.L. FRANCISCO JAVIER REZA MONTES JOSE IGNACIO ARIAS HERREROS ARRILUCEA 2017 S.L. MARIA CRISTINA FERREIRO GARCIA ALVARO FUENTE VILLARAN MITJAVILA Y ASOCIADOS ESTUDIO JURIDICO FISCAL S.L. IGNACIO JORDAN CHIVELI RUBEN SANTOS MAYORDOMO AULES ASESORES SL JOSE JUAN LAFUENTE ALMELA BERNARDO ANDRES GIRALDO CHALARCA Q INVEST FAMILY OFFICE S.L. ANABEL VARELA PAZ JULIO MARCO MORERA CELDRAN PERALTA Y ARENSE ASESORES Y CONSULTORES S.L. MARIA CARMEN OJEDA OSA SARA ROBLES ALONSO MONTE AZUL CASAS S.L. MARIA ISABEL GONZALEZ ALVAREZ CRISTINA CEBALLOS URCELAY ENDOR INVERSIONES S.L. MARIA LOPEZ PEREZ LAURA GISTAU LATRE ALPHALYNX CAPITAL S.L. DORLETA LOPEZ LOPEZ NURIA VAZQUEZ CARRASCO JARAIZ SELECCION S.L. SILVIA ATANES GONZALEZ MARIA ESMERALDA RUIZ ALMIRON VALDELASIERRA ASESORES S.L. FRANCISCO MANUEL GOMEZ RODRIGUEZ IVAN RODRIGUEZ CIFUENTES EMPRENDE SERVICIOS FINANCIEROS S.L. 175 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. FRANCISCO JAVIER GOMEZ CARRILLO ASEFINSO SC URBANSUR GLOBAL S.L. MARIA ISABEL PIÑERO MARTINEZ PERUCHET GRUP CONSULTOR D ENGINYERIA SCP XESCONTA ASESORIA DE EMPRESAS SOCIEDAD LTDA. JULIAN FERREIRA FRAGA EASY MODE S C SAENZ DE TEJADA ASESORES SL MANUEL SALGADO FEIJOO FEM AGENTS SCP INVAL 02 S.L. JUAN ANTONIO ASTORGA SANCHEZ ASESORES FINANCIEROS PADRON EMASFA S.L. MARTIN GUERRERO ARPI LINA CAYUELA FRANCIAMAR S L U JOAN ALBERT ROS NURIA ROIG MARTORELL J RETA ASOCIADOS S.L. LAURA BARBAZAN DURAN BLANMED ASESORES SOCIEDAD COOP. TELEMEDIDA Y GAS S.L. AITOR HOYOS HUERGA NOCOC INVESTMENTS S C MUÑOZ VIÑOLES S.L. LEOPOLDO MARTINEZ BERMUDEZ JUAN DIOS COBLER FERNANDEZ EZEQUIEL AND SANCHEZ CONSULTORES S.L. MORILLO-MUÑOZ CB 176 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Glossary Additional Tier 1 Capital Includes: Preferred stock and convertible perpetual securities and deductions. Adjusted acquisition cost The acquisition cost of the securities less accumulated amortizations, plus interest accrued, but not net of any other valuation adjustments. Amortized cost The amortized cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured at initial recognition minus the principal repayments, plus or minus, the cumulative amortization using the effective interest rate method of any difference between the initial amount and the maturity amount and, for financial assets, adjusted for any loss allowance. Associates Companies in which the Group has a significant influence, without having control. Significant influence is deemed to exist when the Group owns 20% or more of the voting rights of an investee directly or indirectly. Baseline macroeconomic scenarios IFRS 9 requires that an entity must evaluate a range of possible outcomes when estimating provisions and measuring expected credit losses, through macroeconomic scenarios. The baseline macroeconomic scenario presents the situation of the particular economic cycle. Basic earnings per share Calculated by dividing “Profit attributable to Parent Company” corresponding to ordinary shareholders of the entity by the weighted average number of shares outstanding throughout the year (i.e., excluding the average number of treasury shares held over the year). Basis risk Risk arising from hedging exposure to one interest rate with exposure to a rate that reprices under slightly different conditions. Building Block Approach (BBA) This is one of the three measurement models for the valuation of technical provisions for insurance contracts. This model is used by default and is mandatory except when the conditions are met to apply the other two methods: Variable Fee Approach or Premium Allocation Approach. Business combination A business combination is a transaction, or any other event, through which a single entity obtains the control of one or more businesses. Business Model The assessment as to how an asset shall be classified is made on the basis of both the business model for managing the financial asset and the contractual cash flow characteristic of the financial asset (SPPI Criterion). Financial assets are classified on the basis of its business model for managing the financial assets. The Group’s business models shall be determined at a level that reflects how groups of financial assets are managed together to achieve a particular business objective and generate cash flows. Cash flow hedges Those that hedge the exposure to variability in cash flows attributable to a particular risk associated with a recognized asset or liability or a highly probable forecast transaction and could affect profit or loss. Commissions Income and expenses relating to commissions and similar fees are recognized in the income statement using criteria that vary according to their nature. The most significant income and expense items in this connection are: · Fees and commissions relating linked to financial assets and liabilities measured at fair value through profit or loss, which are recognized when collected. · Fees and commissions arising from transactions or services that are provided over a period of time, which are recognized over the life of these transactions or services. · Fees and commissions generated by a single act are accrued upon execution of that act. Consolidation method Method used for the consolidation of the accounts of the Group’s subsidiaries. The assets and liabilities of the Group entities are incorporated line-by-line on the consolidate balance sheets, after conciliation and the elimination in full of intragroup balances, including amounts payable and receivable. Group entity income statement income and expense headings are similarly combined line by line into the consolidated income statement, having made the following consolidation eliminations: a) income and expenses in respect of intragroup transactions are eliminated in full. b) profits and losses resulting from intragroup transactions are similarly eliminated. The carrying amount of the parent's investment and the parent's share of equity in each subsidiary are eliminated. Contingencies Current obligations of the entity arising as a result of past events whose existence depends on the occurrence or non-occurrence of one or more future events independent of the will of the entity. Contingent commitments Possible obligations of the entity that arise from past events and whose existence depends on the occurrence or non-occurrence of one or more future events independent of the entity’s will and that could lead to the recognition of financial assets. Control An investor controls an investee when it is exposed, or has rights, to variable returns from its involvement with the investee and has the ability to affect those returns through its power over the investee. An investor controls an investee if and only if the investor has all the following: a) Power; An investor has power over an investee when the investor has existing rights that give it the current ability to direct the relevant activities, i.e. the activities that significantly affect the investee’s returns. b) Returns; An investor is exposed, or has rights, to variable returns from its involvement with the investee when the investor’s returns from its involvement have the potential to vary as a result of the investee’s performance. The investor’s returns can be only positive, only negative or both positive and negative. c) Link between power and returns; An investor controls an investee if the investor not only has power over the investee and exposure or rights to variable returns from its involvement with the investee, but also has the ability to use its power to affect the investor’s returns from its involvement with the investee. Correlation risk Correlation risk is related to derivatives whose final value depends on the performance of more than one underlying asset (primarily, stock baskets) and indicates the existing variability in the correlations between each pair of assets. 177 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Credit Valuation Adjustment (CVA) An adjustment to the valuation of OTC derivative contracts to reflect the creditworthiness of OTC derivative counterparties. Current service cost Current service cost is the increase in the present value of a defined benefit obligation resulting from employee service in the current period. Current tax assets Taxes recoverable over the next twelve months. Current tax liabilities Corporate income tax payable on taxable profit for the year and other taxes payable in the next twelve months. Debit Valuation Adjustment (DVA) An adjustment made by an entity to the valuation of OTC derivative liabilities to reflect within fair value the entity’s own credit risk. Debt certificates Obligations and other interest-bearing securities that create or evidence a debt on the part of their issuer, including debt securities issued for trading among an open group of investors, that accrue interest, implied or explicit, whose rate, fixed or benchmarked to other rates, is established contractually, and take the form of securities or book-entries, irrespective of the issuer. Default An asset will be considered as defaulted whenever it is more than 90 days past due. Deferred tax assets Taxes recoverable in future years, including loss carry forwards or tax credits for deductions and tax rebates pending application. Deferred tax liabilities Income taxes payable in subsequent years. Defined benefit plans Post-employment obligation under which the entity, directly or indirectly via the plan, retains the contractual or implicit obligation to pay remuneration directly to employees when required or to pay additional amounts if the insurer, or other entity required to pay, does not cover all the benefits relating to the services rendered by the employees when insurance policies do not cover all of the corresponding post- employees benefits. Defined contribution plans Defined contribution plans are retirement benefit plans under which amounts to be paid as retirement benefits are determined by contributions to a fund together with investment earnings thereon. The employer's obligations in respect of its employees current and prior years' employment service are discharged by contributions to the fund. Deposits from central banks Deposits of all classes, including loans and money market operations, received from the Bank of Spain and other central banks. Deposits from credit institutions Deposits of all classes, including loans and money market operations received, from credit entities. Deposits from customers Redeemable cash balances received by the entity, with the exception of debt certificates, money market operations through counterparties and subordinated liabilities, which are not received from either central banks or credit entities. This category also includes cash deposits and consignments received that can be readily withdrawn. Derivatives The fair value in favor (assets) or again (liabilities) of the entity of derivatives not designated as accounting hedges. Derivatives - Hedging derivatives Derivatives designated as hedging instruments in an accounting hedge. The fair value or future cash flows of those derivatives is expected to offset the differences in the fair value or cash flows of the items hedged. Diluted earnings per share Calculated by using a method similar to that used to calculate basic earnings per share; the weighted average number of shares outstanding, and the profit attributable to the parent company corresponding to ordinary shareholders of the entity, if appropriate, is adjusted to take into account the potential dilutive effect of certain financial instruments that could generate the issue of new Bank shares (share option commitments with employees, warrants on parent company shares, convertible debt instruments, etc.). Dividends and retributions Dividend income collected announced during the year, corresponding to profits generated by investees after the acquisition of the stake. Domestic activity Domestic balances are those of BBVA´s Group entities domiciled in Spain, which reflect BBVA´s domestic activities, being the allocation of assets and liabilities based on the domicile of the Group entity at which the relevant asset or liability is accounted for. Early retirements Employees that no longer render their services to the entity but which, without being legally retired, remain entitled to make economic claims on the entity until they formally retire. Economic capital Methods or practices that allow banks to consistently assess risk and attribute capital to cover the economic effects of risk-taking activities. Effective interest rate (EIR) Discount rate that exactly equals the value of a financial instrument with the cash flows estimated over the expected life of the instrument based on its contractual period as well as its anticipated amortization, but without taking the future losses of credit risk into consideration. Employee expenses All compensation accrued during the year in respect of personnel on the payroll, under permanent or temporary contracts, irrespective of their jobs or functions, irrespective of the concept, including the current costs of servicing pension plans, own share based compensation schemes and capitalized personnel expenses. Amounts reimbursed by the state Social Security or other welfare entities in respect of employee illness are deducted from personnel expenses. Equity The residual interest in an entity's assets after deducting its liabilities. It includes owner or venturer contributions to the entity, at incorporation and subsequently, unless they meet the definition of liabilities, and accumulated net profits or losses, fair value adjustments affecting equity and, if warranted, non- controlling interests. Equity instruments An equity instrument that evidences a residual interest in the assets of an entity, that is after deducting all of its liabilities. 178 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Equity instruments issued other than capital Includes equity instruments that are financial instruments other than “Capital” and “Equity component of compound financial instruments”. Equity Method Is a method of accounting whereby the investment is initially recognized at cost and adjusted thereafter for the post-acquisition change in the investor’s share of the investee’s net assets. The investor’s profit or loss includes its share of the investee’s profit or loss and the investor’s other comprehensive income includes its share of the investee’s other comprehensive income. Exchange/translation differences Exchange differences (P&L): Includes the earnings obtained in currency trading and the differences arising on translating monetary items denominated in foreign currency to the functional currency. Exchange differences (valuation adjustments): those recorded due to the translation of the financial statements in foreign currency to the functional currency of the Group and others recorded against equity. Expected Credit Loss (ECL) Expected credit losses are a probability-weighted estimate of credit losses over the expected life of the financial instrument. Hence, credit losses are the present value of expected cash shortfalls. The measurement and estimate of these expected credit losses should reflect: 1. An unbiased and probability-weighted amount. 2. The time value of money by discounting this amount to the reporting date using a rate that approximates the EIR of the asset, and 3. Reasonable and supportable information that is available without undue cost or effort. The expected credit losses must be measured as the difference between the asset’s gross carrying amount and the present value of estimated future cash flows discounted at the financial asset’s original effective interest rate or an approximation thereof (forward looking). Exposure at default EAD is the amount of risk exposure at the date of default by the counterparty. Fair value The price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value hedges Derivatives that hedge the exposure to changes in the fair value of assets and liabilities or firm commitments that have not be recognized, or of an identified portion of said assets, liabilities or firm commitments, attributable to a specific risk, provided it could affect the income statement. Financial Assets at Amortized Cost Financial assets that do not meet the definition of financial assets designated at fair value through profit or loss and arise from the financial entities' ordinary activities to capture funds, regardless of their instrumentation or maturity. Financial Assets at fair value through other comprehensive income Financial instruments with determined or determinable cash flows and in which the entire payment made by the entity will be recovered, except for reasons attributable to the solvency of the debtor. This category includes both the investments from the typical lending activity as well as debts contracted by the purchasers of goods, or users of services, that form part of the entity’s business. It also includes all finance lease arrangements in which the subsidiaries act as lessors. Financial guarantees Contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs when a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument, irrespective of its instrumentation. These guarantees may take the form of deposits, technical or financial guarantees, insurance contracts or credit derivatives. Financial guarantees given Transactions through which the entity guarantees commitments assumed by third parties in respect of financial guarantees granted or other types of contracts. Financial instrument A financial instrument is any contract that gives rise to a financial asset of one entity and to a financial liability or equity instrument of another entity. Financial liabilities at amortized cost Financial liabilities that do not meet the definition of financial liabilities designated at fair value through profit or loss and arise from the financial entities' ordinary activities to capture funds, regardless of their instrumentation or maturity. Foreign activity International balances are those of BBVA´s Group entities domiciled outside of Spain, which reflect our foreign activities, being the allocation of assets and liabilities based on the domicile of the Group entity at which the relevant asset or liability is accounted for. Goodwill Goodwill acquired in a business combination represents a payment made by the acquirer in anticipation of future economic benefits from assets that are not able to be individually identified and separately recognized. Hedges of net investments in foreign operations Foreign currency hedge of a net investment in a foreign operation. Held for trading (assets and liabilities) Financial assets and liabilities acquired or incurred primarily for the purpose of profiting from variations in their prices in the short term. This category also includes financial derivatives not qualifying for hedge accounting, and in the case of borrowed securities, financial liabilities originated by the firm sale of financial assets acquired under repurchase agreements or received on loan (“short positions”). Immunized portfolios This is considered to be the portfolios on which "cash flow matching" is carried out, that is, balance sheet management with the aim of trying to mitigate the risk derived from the different maturities and interest rates between assets and liabilities. 179 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Impaired financial assets An asset is credit-impaired according to IFRS 9 if one or more events have occurred and they have a detrimental impact on the estimated future cash flows of the asset. Evidence that a financial asset is credit- impaired includes observable data about the following events: a. significant financial difficulty of the issuer or the borrower, b. a breach of contract (e.g. a default or past due event), c. a lender having granted a concession to the borrower – for economic or contractual reasons relating to the borrower’s financial difficulty – that the lender would not otherwise consider, d. it becoming probable that the borrower will enter bankruptcy or other financial reorganization, e. the disappearance of an active market for that financial asset because of financial difficulties, or f. the purchase or origination of a financial asset at a deep discount that reflects the incurred credit losses. Income from equity instruments Dividends and income on equity instruments collected or announced during the year corresponding to profits generated by investees after the ownership interest is acquired. Income is recognized gross, i.e., without deducting any withholdings made, if any. Insurance contracts linked to pensions The fair value of insurance contracts written to cover pension commitments. Inventories Assets, other than financial instruments, under production, construction or development, held for sale during the normal course of business, or to be consumed in the production process or during the rendering of services. Inventories include land and other properties held for sale at the real estate development business. Investment properties Investment property is property (land or a building—or part of a building—or both) held (by the owner or by the lessee under a finance lease) to earn rentals or for capital appreciation or both, rather than for own use or sale in the ordinary course of business. Joint arrangement An arrangement of which two or more parties have joint control. Joint control The contractually agreed sharing of control of an arrangement, which exists only when decisions about the relevant activities require the unanimous consent of the parties sharing control. Joint operation A joint arrangement whereby the parties that have joint control of the arrangement have rights to the assets of the arrangement and obligations for the liabilities. A joint venturer shall recognize the following for its participation in a joint operation: a) its assets, including any share of the assets of joint ownership; b) its liabilities, including any share of the liabilities incurred jointly; c) income from the sale of its share of production from the joint venture; d) its share of the proceeds from the sale of production from the joint venturer; and e) its expenses, including any share of the joint expenses. A joint venturer shall account for the assets, liabilities, income and expenses related to its participation in a joint operation in accordance with IFRS applicable to the assets, liabilities, income and expenses specific question. Joint venture A joint arrangement whereby the parties that have joint control of the arrangement have rights to the net assets of the arrangement. A joint venturer shall recognize its interest in a joint venture as an investment and shall account for that investment using the equity method in accordance with IAS 28 Investments in Associates and Joint Ventures. Leases A lease is an agreement whereby the lessor conveys to the lessee in return for a payment or series of payments the right to use an asset for an agreed period of time, a stream of cash flows that is essentially equivalent to the combination of principal and interest payments under a loan agreement. a) A lease is classified as a finance lease when it substantially transfers all the risks and rewards incidental to ownership of the asset forming the subject-matter of the contract. b) A lease will be classified as operating lease when it is not a financial lease. Lease liability Lease that represents the lessee’s obligation to make lease payments during the lease term. Liabilities included in disposal groups classified as held for sale The balance of liabilities directly associated with assets classified as non-current assets held for sale, including those recognized under liabilities in the entity's balance sheet at the balance sheet date corresponding to discontinued operations. Liabilities under insurance contracts The technical reserves of direct insurance and inward reinsurance recorded by the entities to cover claims arising from insurance contracts in force at period-end. Loans and advances to customers Loans and receivables, irrespective of their type, granted to third parties that are not credit entities. Loss given default (LGD) It is the estimate of the loss arising in the event of default. It depends mainly on the characteristics of the counterparty, and the valuation of the guarantees or collateral associated with the asset. Mortgage-covered bonds Financial asset or security created from mortgage loans and backed by the guarantee of the mortgage loan portfolio of the entity. Non Performing Loans (NPL) The balance of non performing risks, whether for reasons of default by customers or for other reasons, for exposures on balance loans to customers. This figure is shown gross: in other words, it is not adjusted for value corrections (loan loss reserves) made. Non-controlling interests The net amount of the profit or loss and net assets of a subsidiary attributable to associates outside the group (that is, the amount that is not owned, directly or indirectly, by the parent), including that amount in the corresponding part of the earnings for the period. Non-current assets and disposal groups held for sale A non-current asset or disposal group, whose carrying amount is expected to be realized through a sale transaction, rather than through continuing use, and which meets the following requirements: a) it is immediately available for sale in its present condition at the balance sheet date, i.e. only normal procedures are required for the sale of the asset. b) the sale is considered highly probable. 180 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Non-monetary assets Assets and liabilities that do not provide any right to receive or deliver a determined or determinable amount of monetary units, such as tangible and intangible assets, goodwill and ordinary shares subordinate to all other classes of capital instruments. Non-trading financial assets mandatorily at fair value through Profit or loss The financial assets registered under this heading are assigned to a business model whose objective is achieved by obtaining contractual cash flows and / or selling financial assets but which the contractual cash flows have not complied with the SPPI test conditions. Option risk Risks arising from options, including embedded options. Other financial assets/ liabilities at fair value through profit or loss Instruments designated by the entity from the inception at fair value with changes in profit or loss. An entity may only designate a financial instrument at fair value through profit or loss, if doing so more relevant information is obtained, because: a) It eliminates or significantly reduces a measurement or recognition inconsistency (sometimes called "accounting mismatch") that would otherwise arise from measuring assets or liabilities or recognizing the gains and losses on them on different bases. It might be acceptable to designate only some of a number of similar financial assets or financial liabilities if doing so a significant reduction (and possibly a greater reduction than other allowable designations) in the inconsistency is achieved. b) The performance of a group of financial assets or financial liabilities is managed and evaluated on a fair value basis, in accordance with a documented risk management or investment strategy, and information about the group is provided internally on that basis to the entity´s key management personnel. These are financial assets managed jointly with “Liabilities under insurance and reinsurance contracts” measured at fair value, in combination with derivatives written with a view to significantly mitigating exposure to changes in these contracts' fair value, or in combination with financial liabilities and derivatives designed to significantly reduce global exposure to interest rate risk. These headings include customer loans and deposits effected via so-called unit-linked life insurance contracts, in which the policyholder assumes the investment risk. Other Reserves This heading is broken down as follows: i) Reserves or accumulated losses of investments in subsidiaries, joint ventures and associate: include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years. ii) Other: includes reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve. Other retributions to employees long term Includes the amount of compensation plans to employees long term. Own/treasury shares The amount of own equity instruments held by the entity. Past service cost It is the change in the present value of the defined benefit obligation for employee service in prior periods, resulting in the current period from the introduction of, or changes to, post-employment benefits or other long-term employee benefits. Post-employment benefits Retirement benefit plans are arrangements whereby an enterprise provides benefits for its employees on or after termination of service. Premium Allocation Approach (PAA) This is one of the three measurement models for the valuation of technical provisions for insurance contracts. This model is mandatory for contracts with direct participation of the policyholder Probability of default (PD) It is the probability of the counterparty failing to meet its principal and/or interest payment obligations. The PD is associated with the rating/scoring of each counterparty/transaction. Property, plant and equipment/tangible assets Buildings, land, fixtures, vehicles, computer equipment and other facilities owned by the entity or acquired under finance leases. Provisions Provisions include amounts recognized to cover the Group’s current obligations arising as a result of past events, certain in terms of nature but uncertain in terms of amount and/or cancellation date. Provisions for contingent liabilities and commitments Provisions recorded to cover exposures arising as a result of transactions through which the entity guarantees commitments assumed by third parties in respect of financial guarantees granted or other types of contracts, and provisions for contingent commitments, i.e., irrevocable commitments which may arise upon recognition of financial assets. Provisions for pensions and similar obligation Constitutes all provisions recognized to cover retirement benefits, including commitments assumed vis-à- vis beneficiaries of early retirement and analogous schemes. Provisions or (-) reversal of provisions Provisions recognized during the year, net of recoveries on amounts provisioned in prior years, with the exception of provisions for pensions and contributions to pension funds which constitute current or interest expense. Refinanced Operation An operation which is totally or partially brought up to date with its payments as a result of a refinancing operation made by the entity itself or by another company in its group. Refinancing Operation An operation which, irrespective of the holder or guarantees involved, is granted or used for financial or legal reasons related to current or foreseeable financial difficulties that the holder(s) may have in settling one or more operations granted by the entity itself or by other companies in its group to the holder(s) or to another company or companies of its group, or through which such operations are totally or partially brought up to date with their payments, in order to enable the holders of the settled or refinanced operations to pay off their loans (principal and interest) because they are unable, or are expected to be unable, to meet the conditions in a timely and appropriate manner. 181 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Renegotiated Operation An operation whose financial conditions are modified when the borrower is not experiencing financial difficulties, and is not expected to experience them in the future, i.e. the conditions are modified for reasons other than restructuring. Repricing risk Risks related to the timing mismatch in the maturity and repricing of assets and liabilities and off-balance sheet short and long-term positions. Restructured Operation An operation whose financial conditions are modified for economic or legal reasons related to the holder's (or holders') current or foreseeable financial difficulties, in order to enable payment of the loan (principal and interest), because the holder is unable, or is expected to be unable, to meet those conditions in a timely and appropriate manner, even if such modification is provided for in the contract. In any event, the following are considered restructured operations: operations in which a haircut is made or assets are received in order to reduce the loan, or in which their conditions are modified in order to extend their maturity, change the amortization table in order to reduce the amount of the installments in the short term or reduce their frequency, or to establish or extend the grace period for the principal, the interest or both; except when it can be proved that the conditions are modified for reasons other than the financial difficulties of the holders and, are similar to those applied on the market on the modification date for operations granted to customers with a similar risk profile. Retained earnings Accumulated net profits or losses recognized in the income statement in prior years and retained in equity upon distribution. Right of use asset Asset that represents the lessee’s right to use an underlying asset during the lease term. Securitization fund A fund that is configured as a separate equity and administered by a management company. An entity that would like funding sells certain assets to the securitization fund, which, in turn, issues securities backed by said assets. Share premium The amount paid in by owners for issued equity at a premium to the shares' nominal value. Shareholders' funds Contributions by stockholders, accumulated earnings recognized in the income statement and the equity components of compound financial instruments. Short positions Financial liabilities arising as a result of the final sale of financial assets acquired under repurchase agreements or received on loan. Significant increase in credit risk In order to determine whether there has been a significant increase in credit risk for lifetime expected losses recognition, the Group has develop a two-prong approach: a. Quantitative criterion: based on comparing the current expected probability of default over the life of the transaction with the original adjusted expected probability of default. The thresholds used for considering a significant increase in risk take into account special cases according to geographic areas and portfolios. b) Qualitative criterion: most indicators for detecting significant risk increase are included in the Group's systems through rating/scoring systems or macroeconomic scenarios, so quantitative analysis covers the majority of circumstances. The Group will use additional qualitative criteria when it considers it necessary to include circumstances that are not reflected in the rating/score systems or macroeconomic scenarios used. Significant influence Is the power to participate in the financial and operating policy decisions of the investee but is not control or joint control of those policies. If an entity holds, directly or indirectly (i.e. through subsidiaries), 20 per cent or more of the voting power of the investee, it is presumed that the entity has significant influence, unless it can be clearly demonstrated that this is not the case. Conversely, if the entity holds, directly or indirectly (i.e. through subsidiaries), less than 20 per cent of the voting power of the investee, it is presumed that the entity does not have significant influence, unless such influence can be clearly demonstrated. A substantial or majority ownership by another investor does not necessarily preclude an entity from having significant influence. The existence of significant influence by an entity is usually evidenced in one or more of the following ways: a) representation on the board of directors or equivalent governing body of the investee; b) participation in policy-making processes, including participation in decisions about dividends or other distributions; c) material transactions between the entity and its investee; d) interchange of managerial personnel; or e) provision of essential technical information. Solely Payments of Principle and Interest (SPPI) The assessment as to how an asset shall be classified is made on the basis of both the business model for managing the financial asset and the contractual cash flow characteristic of the financial asset (SPPI Criterion). To determine whether a financial asset shall be classified as measured at amortized cost or FVOCI, a Group assesses (apart from the business model) whether the cash flows from the financial asset represent, on specified dates, solely payments of principal and interest on the principal amount outstanding (SPPI). Stages IFRS 9 classifies financial instruments into three categories, which depend on the evolution of their credit risk from the moment of initial recognition. The first category includes the transactions when they are initially recognized - without significant increase in credit risk (Stage 1); the second comprises the operations for which a significant increase in credit risk has been identified since its initial recognition - significant increase in credit risk (Stage 2) and the third one, the impaired operations Impaired (Stage 3). The transfer logic is defined in a symmetrical way, whenever the condition that triggered a transfer to Stage 2 is no longer met, the exposure will be transferred to Stage 1. In the case of forbearances transferred to stage 2, as long as the loan is flagged as forbearance it will keep its status as Stage 2. However, when the loan is not flagged as forbearance it will be transferred back to Stage 1. 182 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Statements of cash flows The indirect method has been used for the preparation of the statement of cash flows. This method starts from the entity’s profit and adjusts its amount for the effects of transactions of a non-cash nature, any deferrals or accruals of past or future operating cash receipts or payments, and items of income or expense associated with cash flows classified as investment or finance. As well as cash, short-term, highly liquid investments subject to a low risk of changes in value, such as cash and deposits in central banks, are classified as cash and equivalents. When preparing these financial statements the following definitions have been used: · Cash flows: Inflows and outflows of cash and equivalents. · Operating activities: The typical activities of credit institutions and other activities that cannot be classified as investment or financing activities. · Investing activities: The acquisition, sale or other disposal of long-term assets and other investments not included in cash and cash equivalents or in operating activities. · Financing activities: Activities that result in changes in the size and composition of the Group’s equity and of liabilities that do not form part of operating activities. Statements of changes in equity The statements of changes in equity reflect all the movements generated in each year in each of the headings of the equity, including those from transactions undertaken with shareholders when they act as such, and those due to changes in accounting criteria or corrections of errors, if any. The applicable regulations establish that certain categories of assets and liabilities are recognized at their fair value with a charge to equity. These charges, known as “Valuation adjustments” (see Note 31), are included in the Group’s total equity net of tax effect, which has been recognized as deferred tax assets or liabilities, as appropriate. Statements of recognized income and expenses The statement of recognized income and expenses reflect the income and expenses generated in each fiscal year, distinguishing between those recognized in the profit and loss accounts and the “Other recognized income and expenses”; which are recorded directly in the equity. The “Other recognized income and expenses” includes the variations that have occurred in the period in “accumulated other comprehensive income”, detailed by concepts. The sum of the variations recorded in the “accumulated other comprehensive income” caption of the equity and the profit for the year represents the “Total income and expenses”. Structured credit products Special financial instrument backed by other instruments building a subordination structure. Structured Entities A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. A structured entity often has some or all of the following features or attributes: a) restricted activities. b) a narrow and well-defined objective, such as to effect a tax-efficient lease, carry out research and development activities, provide a source of capital or funding to an entity or provide investment opportunities for investors y passing on risks and rewards associated with the assets of the structured entity to investors. c) insufficient equity to permit the structured entity to finance its activities without subordinated financial support. d) financing in the form of multiple contractually linked instruments to investors that create concentrations of credit or other risks (tranches). Subordinated liabilities Financing received, regardless of its instrumentation, which ranks after the common creditors in the event of a liquidation. Subsidiaries Companies over which the Group exercises control. An entity is presumed to have control over another when it possesses the right to oversee its financial and operational policies, through a legal, statutory or contractual procedure, in order to obtain benefits from its economic activities. Control is presumed to exist when the parent owns, directly or indirectly through subsidiaries, more than one half of an entity's voting power, unless, exceptionally, it can be clearly demonstrated that ownership of more than one half of an entity's voting rights does not constitute control of it. Control also exists when the parent owns half or less of the voting power of an entity when there is: a) an agreement that gives the parent the right to control the votes of other shareholders; b) power to govern the financial and operating policies of the entity under a statute or an agreement; power to appoint or remove the majority of the members of the board of directors or equivalent governing body and control of the entity is by that board or body; c) power to cast the majority of votes at meetings of the board of directors or equivalent governing body and control of the entity is by that board or body. Tangible book value Tangible Book Value represents the tangible equity's value for the shareholders as it does not include the intangible assets and the minority interests (non-controlling interests). It is calculated by discounting intangible assets, that is, goodwill and the rest of consolidated intangibles recorded under the public balance sheet (goodwill and intangible assets of companies accounted for by the equity method or companies classified as non-current assets for sale are not subtracted).It is also shown as ex-dividends. Tax liabilities All tax related liabilities except for provisions for taxes. Territorial bonds Financial assets or fixed asset security issued with the guarantee of portfolio loans of the public sector of the issuing entity. 183 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Tier 1 Capital Mainly includes: Common stock, parent company reserves, reserves in companies, non-controlling interests, deductions and others and attributed net income. Tier 2 Capital Mainly includes: Subordinated, preferred shares and non- controlling interest. Unit-link This is life insurance in which the policyholder assumes the risk. In these policies, the funds for the technical insurance provisions are invested in the name of and on behalf of the policyholder in shares of Collective Investment Institutions and other financial assets chosen by the policyholder, who bears the investment risk. Write- off When the recovery of any recognized amount is considered to be remote, this amount is removed from the balance sheet, without prejudice to any actions taken by the entities in order to collect the amount until their rights extinguish in full through expiry, forgiveness or for other reasons. Value at Risk (VaR) Value at Risk (VaR) is the basic variable for measuring and controlling the Group’s market risk. This risk metric estimates the maximum loss that may occur in a portfolio’s market positions for a particular time horizon and given confidence level VaR figures are estimated following two methodologies: a) VaR without smoothing, which awards equal weight to the daily information for the immediately preceding last two years. This is currently the official methodology for measuring market risks vis-à-vis limits compliance of the risk. a. VaR with smoothing, which weighs more recent market information more heavily. This is a metric which supplements the previous one. b. VaR with smoothing adapts itself more swiftly to the changes in financial market conditions, whereas VaR without smoothing is, in general, a more stable metric that will tend to exceed VaR with smoothing when the markets show less volatile trends, while it will tend to be lower when they present upturns in uncertainty. Variable Fee Approach (VFA) This is one of the three measurement models for the valuation of technical provisions for insurance contracts. This model is optional and is used for short-term insurance contracts or those contracts whose results are similar to those of the Building Block Approach. Yield curve risk Risks arising from changes in the slope and the shape of the yield curve. 184 Translation of Financial Statements originally issued in Spanish and prepared in accordance with Bank of Spain Circular 4/2017, and as amended thereafter, which adapts the EU-IFRS for banks (see notes 1 to 51). In the event of a discrepancy, the original Spanish-language version prevails. Contents 1. BBVA in brief 2 2. Non-financial information report 3 2.1 Information on strategy and business model 3 2.2 Information on customers 5 2.3 Information on employees 13 2.4 Information on social matters 27 2.5 Information on suppliers 34 2.6 Report on climate change and other environmental and social issues 36 2.7 Additional information 44 3. Financial information 91 3.1 Balance sheet, business activity and earnings 91 3.2 Capital base and solvency 91 4. Risk management 92 4.1 General risk management and control model 92 4.2 Risks associated with climate change 100 4.3 Operational risk 100 4.4 Reputational risk 104 4.5 Risk factors 104 Subsequent events 109 Annual Corporate Governance Report 110 Annual Report on Directors' Remuneration 111 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 1. BBVA in brief Banco Bilbao Vizcaya Argentaria, S.A. (hereinafter, the “Bank” or “BBVA”) is a private-law entity governed by the rules and regulations applicable to banks operating in Spain. BBVA S.A is a bank founded in 1857 and constitutes the parent company of the BBVA Group (hereafter, the Group or the Bank), a global financial services group with a vision focused on the customer and significant presence in the traditional banking business of retail banking, asset management and wholesale banking. During its 165-year history, BBVA has stood out for its leadership in the transformation of the financial industry, which is clearly reflected in the Group's Purpose: “To bring the age of opportunity to everyone”. BBVA wants to help people, families, entrepreneurs, the self-employed, businessmen, employees and society in general to take advantage of the opportunities provided by innovation and technology. BBVA, S.A., as the parent company of the BBVA Group, operates internationally, which is why it is affected by economic and regulatory trends in all the geographical areas where it operates through the entities of the BBVA Group. More information related to the economic and sector environment and perspectives, as well as a summary of the significant aspects of the regulatory environment, are included in the chapter “Macroeconomic and regulatory environment” of the BBVA Group Consolidated Management Report. 2 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 2. Non-financial information report In accordance with the provisions of the Commercial Code and the Capital Companies Law, this “Non-financial information report” includes, among other matters: the information necessary to understand the performance, results and situation of the Bank; and the impact of its activity with respect to environmental and social issues, respect for human rights and the fight against corruption and bribery, as well as regarding employees. This Non-financial information report of Banco Bilbao Vizcaya Argentaria, SA, which forms part of its Individual Management Report, includes references to the sections of the Consolidated Non-Financial Information Report included in the BBVA Group Consolidated Management Report when these sections contain additional and complementary information to obtain a better understanding of the Bank, the BBVA Group and their respective actions in the matters described above. For the publication of the key indicators of non-financial results, the guide of the Global Reporting Initiative (hereinafter, GRI), last modified in December 2021, has been followed as an international information framework for some selected GRI, as well as on European Commission Guidelines on non-financial reporting, the regulation relating to European Taxonomy (Regulation (EU) 2020/852 and Commission delegated regulations 2021/2139 and 2021/2178 as amended by Delegated Regulations (EU) 2022/1214, 2023/2485 and 2023/2486). In preparing the non-financial information contained in this Non-financial information report, the Bank has carried out, in accordance with this framework, a materiality analysis that has allowed it to identify the most relevant aspects on which to inform its stakeholders. For more information on the materiality analysis that has been carried out at BBVA Group level, and which then also applies to the Bank, see the section “Materiality Analysis” within the chapter “ Additional information” of this report. The information included in the non-financial information report is verified by Ernst & Young Auditores, S. L., in its capacity as independent provider of verification services. 2.1 Information on strategy and objectives BBVA’s strategy and business model comprises the Group as a whole, including BBVA,S.A. The current environment continues to be marked by uncertainty with significant repercussions on geopolitics and the global economy, The Russia-Ukraine war, the Israeli- Palestinian conflict and increasing polarization between blocs are slowing economic growth and increasing risk aversion. The fight against inflation through the tightening of monetary policies is also not helping to boost economic activity in general, reducing credit demand and putting pressure on risk indicators. The uncertainty of the short-term environment has in no way slowed down the consolidation of the long-term global trends on which BBVA´s strategy is based and which play a critical role in the transformation of the economy: digitalization, innovation and sustainability, both from a decarbonization and inclusive growth perspective: – Digitalization continues to consolidate with an increasing presence in all economic sectors. The growth potential is evolving towards a value proposition and personalized advice with a positive impact on the customer´s life beyond a pure digital offering. – Major trends in innovation, such as artificial intelligence, will make a difference: ◦ 2023 has been the year in which generative artificial intelligence has shown in a very preliminary way its great potential for disruption in multiple economic sectors, revolutionizing the relationship with the customer, automating processes and changing the ways of working to increase productivity. ◦ Other technologies such as blockchain quantum computing, cloud processing, continue to advance and generate a real era of opportunities for society at large. – The decarbonization of the economy is consolidated as the greatest economic opportunity and disruption of the last century and one of the main challenges facing humanity, where the banking sector has a key role in achieving zero emissions objectives. ◦ The fight against climate change is already having a strong impact on the competitive dynamics of a multitude of sectors, which is expected to increase even more in the future. ◦ The decarbonization of the economy is consolidated as the greatest economic disruption of the last century and one of the main challenges facing humanity, where the banking sector has a key role in achieving zero emissions objectives. It must be a joint effort and involve the entire society, both large and small companies and the end consumer. ◦ Innovation and new technologies play a key role in achieving decarbonization objectives. Financing the transition and new technologies represent both a challenge and an opportunity for the banking sector. ◦ On our path towards sustainability, decarbonization is just one of the drivers to recover our ecosystems and protect biodiversity. It is key to continue working to preserve and expand natural capital. ◦ Climate change has an effect on the lives of thousands of people who are exposed to its consequences (natural disasters, droughts, epidemics), which cause an increase in inequality. Along with plans to decarbonize the economy, robust plans are necessary that promote a just climate transition and guarantee economic and social inclusion for all. BBVA's strategy encompasses these trends that are transforming the world. A strategy that revolves around a single Purpose: “To make the opportunities of this new era available to everyone” , always with the customer at the center of the BBVA Group's activity. Likewise, the Group is based on solid values: the customer comes first, we think big and we are a single team. 3 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. BBVA's values, and their associated behaviors, are integrated into the key models and levers that promote the Group's transformation, as well as in the global processes of people management: from the selection of new employees, role assignment processes, evaluation, people development and training to incentives for meeting annual objectives. These values, along with the Purpose and the strategic priorities, guide all decisions and are in the DNA of all the people who form part of the BBVA Group.For more information on values, see section “2.3.2 Employees - Culture and values”, in chapter “2.3 Social” of this report. Guided by its Purpose and values, BBVA's strategy is structured around six strategic priorities: The information regarding progress in the execution of the strategy and objectives is broken down in chapter “1.2 BBVA Group Strategy” of the BBVA Group Consolidated Management Report 4 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 2.2 Information on customers Within the framework of its "Customer First" value, which is part of BBVA's culture, the Group places customers at the center of its activities. The relationship with customers goes beyond the provision of services and is aimed at assisting them in their transition to sustainability, improving their financial health and, ultimately, meeting their life goals. To respond to the needs of its customers and maintain responsible conduct with them, BBVA has developed a differential value proposition to promote a transparent, clear and accessible customer experience, while strengthening and reinforcing security in the existing interactions between the customer and the Group. Responsible conduct with the customers is developed through the following topics: Conduct with customers BBVA has an internal regulatory framework for customer protection. In addition to the Code of Conduct, which establishes guidelines for behavior with customers in line with the Group's values, BBVA has governance policies and procedures in place that establish the principles to be observed when evaluating the characteristics and risks of products and services, as well as when defining their distribution conditions in such a way that, based on customer insight, their interests must be taken into account at all times and they must be offered products and services in line with their financial needs. BBVA has also implemented processes geared toward the prevention, or, when this has not been possible, the management of potential conflicts of interest that may arise in the marketing of its products. Finally, BBVA has conduct indicators with customers in order to ensure management of the sources of risk and to facilitate the monitoring of their performance and/or the effectiveness of the control models applied in this area. During 2023, BBVA evolved and strengthened internal regulation, as well as mitigation, control and monitoring frameworks in the area of customer protection, while also considering the priorities of regulators and supervisors. The main lines of action include the updating of Group-wide standards in the area of customer protection, including the approval of the Product Governance Standard, which develops the product governance provisions that BBVA must comply with throughout the entire life cycle of the product or service, i.e., from the very moment they are conceived or designed, as well as during their distribution or marketing, and in the post- contract phase (follow-up and after-sales service). Also noteworthy is the approval of the Standard on Fees and Commissions, which establishes the reference framework applicable to the Group in matters concerning fees and commissions. It establishes guidelines in relation to the internal governance model for setting fees and commissions, the minimum obligations that must be met in relation to this matter throughout the life cycle of the products and services offered by BBVA, as well as guidelines to ensure their adequate parameterization in the automated processes. Both rules develop the General Policy on Customer Conduct and Product Governance approved in 2022, which encompasses and updates several internal policies in this area, reinforcing and harmonizing in a single general policy the principles and provisions that BBVA will take into account to adequately address the interests of customers during the offer, provision and, where appropriate, recommendation of products and services, thus providing the Group with a single framework of reference in terms of conduct with customers. During 2023, the customer protection training plan was also enhanced with the launch of a course on the General Policy on Customer Conduct and Product Governance, aimed at raising awareness of the general principles on which the relationship with customers is based when providing them with services or offering or recommending products, whatever the distribution channels, and also considering the life cycle of the product or service. Also noteworthy is the updated course on Conflicts of Interest, which provides information on how to recognize and manage situations in which conflicts of interest may arise in the marketing of products and provision of services to customers, as well as the measures to be taken into account to resolve them. Both courses are available at the training model of BBVA, Campus BBVA. 5 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Furthermore, the Group has continued working to embed the customer-protection vision in the development of marketing protocols, digital and advertising content and the design of digital contract formation processes, as well as in the development of new products and businesses, both retail and wholesale, from the outset of their design or creation, including modifications arising from regulatory developments in the field of sustainability. Security and protection Digital transformation and new emerging technologies mean an increase in potential threats and exposure to risk and new challenges affecting security, privacy and, in general, digital trust, which are key aspects for the better development and survival of the digital economy. For BBVA, information security is not only a fundamental part of ensuring operational resilience, but also one of the main elements within its strategy. Information security is organized into four fundamental pillars: (I) Cybersecurity, (II) Data Security, (III) Physical Security and (IV) Business Process Security and Fraud. For each of them, a program has been designed with the aim of reducing the risks to which the Group is exposed. These programs, which consider the best practices established in internationally recognized security standards, are reviewed periodically to assess progress and effective impact in mitigating the aforementioned risks. In 2023, the measures adopted have been further strengthened to guarantee effective protection of the information and assets which support the Group's business processes from a global perspective and an integrated approach, i.e., considering not only the technological area but also the areas of people, processes and security governance. Among these measures are those designed to: (I) ensure end-to-end protection of business processes, considering logical and physical security, privacy and fraud management; (II) ensure compliance of the principles of security and privacy by design for new products and services; and (III) improve access and authentication control for customers associated with the provision of online services, both from the point of view of security and customer experience. Below are some of the initiatives that are being implemented globally or in specific geographic areas of the Group to improve the security and protection of customers: – Enabling of global technical capabilities that allow autonomous, remote, agile and secure onboarding or digital activation of customers in the bank, using cutting-edge technologies in the market such as intelligent document recognition, facial recognition and capture of customer proofs of life (videos) in certain geographies and ensuring compliance with applicable legal requirements. – Possibility of activating biometrics in BBVA's mobile applications, so that fingerprint or facial biometrics can be used to connect to BBVA (authentication method that reinforces security). – Use of biometrics to sign transactions on the BBVA app, which improves the user experience and prevents SIM duplication and smishing attacks. – Strengthening security measures implemented in all the business processes with greatest risk of fraud. – Reinforcement of behavior biometrics and malware protection to enhance analytical and fraud detection capabilities on mobile channels. – Use of advanced analytics models to protect the funds of BBVA customers. – Enhancement of the contents on security advice to make customers aware of the main cybersecurity risks they are exposed to, so that they can prevent or act against possible threats. These new initiatives help protect BBVA customers, alongside the use of robust customer authentication mechanisms in e- commerce, the possibility of turning cards on and off from the BBVA app, the sending of real-time notifications on payments or transfers made and the reinforcement of card security to prevent possible fraudulent use of card data, such as the use of the Aqua, which is the first card using a dynamic CCV (without numbering and without a printed CVV). Additionally, BBVA has continued performing the training and awareness initiatives related to security and privacy, performing training actions and awareness campaigns for BBVA’s employees, customers and society in general. Among the main campaigns, awareness-raising actions carried out and recommendations included in the application, in BBVA's online channels and in social networks in recent years, those related to information protection, secure password management, detection of social engineering (phishing 3, smishing 4, vishing 5), protection of devices (computers, cell phones, etc.), secure connections, detection of malware and other computer attacks, detection of cyber scams, security in online shopping and action in the event of a security incident could be highlighted. The subject matter of the different awareness campaigns is selected on the basis of a risk analysis focused on identifying the behaviors that imply a higher cybersecurity risk for the Entity, using sources such as ENISA's Threat Landscape. Other lines of action also include periodic performance of global and local simulation exercises in order to raise the level of training and awareness of key BBVA personnel and ensure an immediate and effective response in case of a security incident. 6 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 3 Social engineering technique consisting of sending fraudulent emails in which the cybercriminal impersonates the identity of legitimate companies and requests confidential information from the recipients. 4 Sending text messages with fraudulent links in which cybercriminals impersonate the identity of a public entity or body so that users access an illegitimate web page and provide confidential information. 5 Telephone scam in which cybercriminals pose as technical support teams or financial institutions to get the victim to reveal private information, or install malware on their device. Cybersecurity In recent years there has been a rise in the number of cyber-attacks, accentuated by the presence of organized crime groups that specialize in the banking sector. In addition, the acceleration of digitization in the world has led to the emergence of new risks and new challenges for businesses, including those related to security in work-from-home arrangements, security in cloud environments, the increase in the risk exposure surface and the management of risks associated with service providers. Moreover, and especially since the onset of the COVID-19 pandemic, the scope of social engineering attacks carried out via email, SMS messages, instant messaging systems and social networks has increased. As cyber attacks evolve and become more sophisticated, the group has strengthened its prevention and monitoring efforts to ensure effective protection of its assets and customer information. The Computer Emergency Response Team (CERT) is the Group’s first line of detection and response to cyberattacks aimed at global users and the Group’s infrastructure, combining information on cyber threats from our Threat Intelligence Unit. The Global CERT, which is based in Madrid, operates 24 hours 7 days a week and provides services in all countries where BBVA operates, under a scheme of managed security services, with operation lines dedicated to fraud and cybersecurity. During 2023 the Bank has increased its system monitoring capabilities, paying special attention to critical assets that support business processes. Incident prevention, detection and response capabilities have also been strengthened through the use of integrated information sources, improved analytical capabilities and automated platforms. Moreover, work is being done on the development of new artificial intelligence and machine learning models which can predict and prevent cyberattacks against bank infrastructure, providing a more secure experience for customers. The measures implemented have improved information security management from a predictive and proactive approach, based on the use of digital intelligence and advanced analytical capabilities. The main objective of these measures is to ensure an immediate and effective response to any security incident that may occur, with the coordination of different business and support areas involved, while reducing the possible negative impact and, if necessary, reporting in a timely manner to the corresponding supervisory or regulatory authorities. A communication protocol has been established for those cases in which relevant incidents affecting BBVA customers occur. This protocol contemplates both the groups to be informed (employees, customers, media, etc.) and the communication channels to be used (social networks, call center, App messages, website, etc.) and the procedure for coordinating the messages to be transmitted, in order to ensure that communication is proactive and uniform and that it responds to the principles of honesty and transparency. In addition, in order to ensure that security is integrated into business processes, the security management model has been reinforced both in the software development life cycle and in the management of infrastructure, architecture and operations, which has strengthened the security culture in BBVA. The Threat Intelligence area has also been strengthened, adopting measures aimed at transforming detailed technical information into intelligence that can be used as a driver in decision-making related to risk management. The Threat Intelligence area continuously monitors the threats affecting the financial sector and analyzes risk trends in order to implement measures to minimize the security risks to which BBVA is exposed. In addition, together with the incident detection and response teams, it analyzes the attacks that have occurred and their origin, in order to adopt the necessary action plans. The analyses carried out consider both security trends and the type, frequency and origin of attacks on systems and information. In addition, in the search for excellence in the operating model, BBVA has taken measures in recent years to promote operational efficiency and automation, as well as to strengthen safety competencies, in order to ensure that the company has a team with the necessary knowledge and skills in a constantly changing environment. BBVA routinely reviews, reinforces and tests its security processes and procedures through simulation exercises in the areas of physical security and digital security. Specialized teams periodically perform security technical tests in order to detect and correct possible security vulnerabilities. These tests include both technical testing of the technology platforms and simulation of real attacks by malicious users (using the same techniques, tactics and procedures). The outcome of these exercises is essential to continuous improvement of the Group's safety strategy. BBVA's security strategy is based on internationally recognized security standards. It considers best practices and security measures established in standards such as ISO/IEC 27002 and the ISO 2700 family, COBIT 5 and NIST Cybersecurity Framework. BBVA has also obtained several certifications (TIER IV certification, ISAE 3402, etc.) in different countries. To maintain these certifications, external providers carry out external audits regularly, considering the specific requirements of each certification. The external auditors who perform these audits are selected from among the most recognized auditing firms in the specific areas of expertise applicable in each case. Additionally, the annual financial audit includes the review of several areas related to information security and cybersecurity in BBVA's internal platforms. Furthermore, and given that one of the main risks faced by organizations today are risks derived from third parties, during the year 2023 controls have continued to be strengthened to ensure adequate protection of information by third parties. BBVA requires that the service providers it works with have internationally recognized security certifications. 7 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. In addition, security clauses are included in the contracts signed with service providers, in order to guarantee both an adequate level of security in relation to the services rendered and compliance with applicable legal requirements (with particular attention to current legislation on the protection of personal data). The effective implementation of these measures by the suppliers providing the most critical services is routinely verified. Security in business processes and fraud Cybersecurity initiatives are always carried out in close coordination with fraud prevention initiatives, so that there are considerable interactions and synergies between the teams involved. The measures in place enable us to actively monitor fraud risks and mitigation plans, assess the impact of fraud risks on the Group's businesses and customers, and monitor relevant fraud facts, events and trends. As part of the efforts to actively support the deployment of appropriate anti-fraud policies and measures, and in an environment of increasing sophistication and regulatory focus on financial crime, the Financial Crime Prevention Unit has been created to perform a joint analysis of fraud and money laundering operations, as the former is often an underlying crime of the latter. This has made it possible to improve operational processes, increase Advanced Analytics, Artificial Intelligence and Machine Learning capabilities and, in short, strengthen fraud analytical capabilities by providing them with a more holistic vision. Both the Bank and the rest of the Group's subsidiaries have cybersecurity and fraud insurance, subject to certain loss limits, deductions and exclusions applicable, as the case may be. Business Continuity In recent years, Business Continuity has continued to be strengthened from a comprehensive perspective, paying special attention to the Group's digital operational resilience. This consolidates the performance from a model fundamentally aimed at ensuring the uninterrupted delivery of products and services, in infrequent but plausible situations of great impact, towards a model that provides the organization with the ability to absorb and adapt to situations with operational impact due to disruptions of various kinds (such as pandemics, cybersecurity incidents, natural disasters or technological failures), which has resulted in an intense activity of the Business Continuity functions. Information protection The main initiatives performed in this area are related to the adoption of measures to ensure that all BBVA's information assets are properly protected, limiting their use to the related processes and controlling access to them, considering the security guidelines established by the Group. All the initiatives are performed guaranteeing compliance of the security and privacy regulatory requirements applicable, especially those related to personal data protection. For more information about personal data protection, see the section “Data protection” in the "Compliance" chapter of this report. Information security governance BBVA has implemented an information security governance model to achieve its security objectives. The Corporate Security unit is organized as a system of committees and working groups to manage the different areas related to information security: security in operations, security related to technology, physical security, security in business processes, personnel-related security, etc. These working groups are responsible for supervising the execution of the information security strategy and effective implementation of the programs designed for each of its four constituent pillars. The main body of this governance model is the Technology and Cybersecurity Committee, whose functions include monitoring of the technology and cybersecurity strategy and cybersecurity risk management. This Committee assists the Board of Directors in monitoring the technological risks to which BBVA is exposed, current cybersecurity and technology trends, and any relevant technological security event that could affect the Group. During the year 2023, the security governance, legal compliance and corporate assurance models were updated in order to ensure their adaptation to an increasingly demanding and constantly evolving regulatory environment. 8 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Customer experience Consumers are increasingly demanding and expect agile and personalized attention. BBVA is working to satisfy their needs and exceed their expectations with the aim of guaranteeing a new standard in customer experience. Customer satisfaction The differential value proposition, leveraged on an omnichannel strategy, with cell phones as the reference channel, bore fruit in 2023, a record year in customer acquisition and leadership in individual NPS, underpinned by a simplified and transparent catalog of services, with proactive and personalized proposals or solutions. The internationally recognized Net Promoter Score (NPS) methodology measures customers’ willingness to recommend a company and therefore, the level of satisfaction of BBVA’s customers with its products, channels and services. This information is vital for checking for alignment between customer needs and expectations and the initiatives that have been implemented, establishing plans that eliminate detected gaps and providing the best experiences. For years, the NPS has therefore been part of the strategic indicators that are monitored on a monthly basis by senior management, both at local and Group level. The Bank’s consolidation and application of this methodology over the last twelve years provides a common language both internally and with customers that facilitates everyone’s involvement and the integration of the voice of customers in everything the Bank does, from the outset. This translates into a constant increase in the trust of customers who recognize BBVA as one of the safest and most recommended banking entities in each of the countries in which it is present. Thus, in Spain in 2023 it reached the best historical figure of 18,9% for retail NPS. As of December 31, 2023, BBVA has maintained leadership in the retail NPS indicator in Spain. In the NPS SMEs, BBVA has maintained second position. In the NPS of the enterprises segment, for its part, BBVA has finished in third position. Accessibility In order to generate a positive impact on society, the accessibility and universal design of digital channels is fundamental to achieve this purpose, favoring financial inclusion. Noteworthy is the participation in the protocol to guarantee the financial autonomy of people with disabilities in Spain within the framework of a collaborative agreement with the Spanish Banking Association (AEB) and other representative institutions. In addition, in response to the social demand related to senior citizens and with the aim of contributing to accelerating progress towards an inclusive economy in Spain, the Strategic Protocol for Social and Sustainable Commitment in Banking, which was reinforced in 2022 by the banking associations AEB (Spanish Banking Association), CECA (Spanish Confederation of Savings Banks) and UNACC (National Union of Credit Cooperatives), remains in force, and within its framework BBVA has established a series of measures to ensure that senior citizens receive personalized and satisfactory attention. Finally, it is important to highlight the sectoral agreement reached in Spain to ensure face-to-face access to banking services in all Spanish municipalities. The measures included in the "Roadmap to Ensure Financial Inclusion" will make it possible to cover 100% of the territory, by offering a physical access point to banking services even in municipalities that have never had one. Customer care Complaints and claims BBVA has a claims model based on two key aspects: the agile resolution of claims and, most importantly, the analysis and eradication of the origin of the causes that give rise to them. This model integrates at country level all the policies and guidelines set by the regulatory bodies, in compliance with the local regulations issued by them in relation to the attention, processing and resolution of claims (Ministerial Order ECO/734/2004, of March 11, of the Ministry of Economy in Spain; regulation PUSF - Protection of Financial Services Users, of 04/17/2023, of the BCRA in Argentina; Law for the Transparency and Regulation of Financial Services, of 03/9/2018, in Mexico; etc.). This model is considered to add value when it comes to improving the customer experience, generating peace of mind and strengthening the trust of customers, providing a quick resolution to their problems, through a simple and agile experience, and with a clear and personalized response. In compliance with the above, the customer service teams in each of the countries attend to and resolve the complaints and claims received from customers in relation to the products and services marketed and contracted in the local BBVA financial entity, recording all the information in this regard, which subsequently allows identifying improvements both at the level of the management model itself and specific improvements in the response process, root cause analysis, etc. This information (evolution of the volume of claims, response times, main reasons and root causes, etc.) is periodically reported to the Senior Management of the geographic area for follow-up and action, as well as made available to the regulator. It is also integrated at Group level in half-yearly reports to the supervisors of the Bank of Spain and the European Central Bank, as well as in the annual report submitted to the BBVA Group Board of Directors. 9 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. In 2023, the different claims units worked to keep up the response times achieved in 2022 and proactively identify potential new problems and eradicate the root causes of the most common types of complaints. The security measures and communication and awareness-raising campaigns for customers have made it possible to reduce or contain these cases (as is the case in Spain, with 32% fewer cases than in 2022). The number of complaints filed with the financial authority in Spain was 2,377 in 2023, 27% less compared to the 2022 figure, due largely to the reduction in cases of fraud (the main reason for complaints to the supervisory bodies, with 50% less than in 2022). There have been no substantiated complaints regarding breaches of privacy and loss of customer data filed with the supra-bank authorities, thanks to policies and measures to prevent and control risks that could lead to leakage of customer data. Customer Care Service and Customer Ombudsman in Spain The activities of the Customer Care Service and Customer Ombudsman in 2023 were carried out in accordance with the stipulations of Article 17 of the Ministerial Order (OM) ECO/734/2004, dated March 11, of the Ministry of the Economy, in compliance with the competences and procedures established in the Customer Protection Charter in Spain of BBVA Group, approved on July 23, 2004 by the Board of Directors of the Bank, with subsequent amendments (the latest on February 25, 2021). This regulation establishes in article 5 that the SAC and the Customer Ombudsman present,to the BBVA Board of Directors within the first quarter of each year, a joint or separate explanatory report of all BBVA Group entities included in the scope of this regulation, containing statistical summaries, the general criteria contained in the resolution of complaints regarding the most complained about matters and recommendations and suggestions to improve the service provided to customers and to avoid bad banking practices. Based on the aforementioned regulations, the SAC is entrusted with the function of attending to and resolving claims and complaints received from customers in relation to the products and services marketed and contracted in Spanish territory by BBVA Group entities. In addition, in accordance with the aforementioned regulation, the Customer Ombudsman is made aware of and resolves, in the first instance, all claims and complaints submitted by the participants and beneficiaries of the pension plans. It also resolves those related to insurance and other financial products that BBVA Group Customer Care Service considers appropriate to transfer it, based on the amount or particular complexity, as established under article 4 of the Customer Protection Charter. In the second instance, it hears and resolves claims and complaints, within the quantitative limits established by the Regulations, which the customers decided to submit for its consideration after having obtained a rejection by the Customer Care Service. Activity report on the Customer Care Service in Spain At BBVA, customer protection is considered a top priority. It is recognized that, as in any human activity, banking can be affected by errors. Therefore, it is essential to anticipate the possibility of such errors occurring and proactively correct them. To this end, the pertinent protocols and delegations should be implemented to ensure that this process is as quick as possible without the need to file a claim. To this end, the SAC is responsible for internally transferring the criteria and recommendations made by regulators in their reports, promoting compliance with regulations on transparency and customer protection. The service also ensures compliance with good banking practices and usages applied at BBVA. To this end, it participates in the various internal communication channels aimed at the commercial network or in the committees that authorize the creation of new products and services, among many other forums. In addition, the SAC is entrusted with the task of attending to and resolving complaints from customers of the BBVA Group in Spain in a timely and appropriate manner. As such, it serves as an early warning mechanism for problems arising from the marketing of products or services and/or the relationship between the entity and its customers. The management of these complaints results in actions aimed not only at solving the particular case, but also at detecting the causes that give rise to the specific case of the claim. The SAC analyzes complaints management data on an ongoing basis to identify and address recurring or systemic issues, and potential legal, operational and behavioral risks. As a result of this analysis and evaluation work, the SAC coordinates and heads various committees and working groups in which recurring, systemic or potential problems of the entity are highlighted and in which solutions are studied, assessed and promoted with a view to the continuous improvement of the service provided by BBVA. The SAC, in line with BBVA's values, provides coherence and meaning to all operations, playing an essential role in the relationship that BBVA establishes with its customers. User complaints received at the BBVA Group Customer Service in Spain in 2023 amounted to 162,861 (147,476 in 2022) of which 135,302 were admitted for processing (135,377 in 2022).In that same period, 27,967 files were not admitted for processing because they did not comply with the requirements set forth in OM ECO/734 (including claims pending management at the end of 2022). Throughout 2023, 129,652 were resolved by the Customer Service (including claims pending management at the end of 2022), leaving 11,154 pending management as of December 31, 2023. The average resolution time for claims in 2023 was 13 days 6, well below the legal term required. The main types of claims received in 2023 were those related to checking accounts and mortgage loans. 10 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 6 The claims considered for the calculation of the average resolution time include the claims resolved during the 2023 financial year, including claims pending resolution at the end of 2022. Additional complaints data points as of December 31, 2023 and 2022 are provided below: COMPLAINTS HANDLED BY THE CUSTOMER CARE SERVICE BY COMPLAINT TYPE (BBVA, S.A. PERCENTAGE) Type 2023 2022 Resources 25 32 Credit cards 21 23 Fraud 11 16 Assets products 24 12 Financial counselling and quality service 6 7 Collection and other services 4 4 Insurances 2 — Securities and equity portfolios 1 1 Other 6 5 Total 100 100 COMPLAINTS HANDLED BY THE CUSTOMER CARE SERVICE ACCORDING TO RESOLUTION (BBVA, S.A. NUMBER) 2023 2022 In favor of the person submitting the complaint 42,774 44,672 Partially in favor of the person submitting the complaint 6,545 6,376 In favor of the BBVA Group 80,333 82,026 Total 129,652 133,074 Activity report of the Customer Ombudsman in Spain Once again this year, the Customer Ombudsman maintained the common objective with the BBVA Group of unifying criteria and favoring the defense and security of customers, in order to make progress in promoting compliance with transparency and customer protection regulations. In order to effectively convey his/her thoughts and criteria on the matters submitted for his/her consideration, the Ombudsman organized several meetings with the Group's areas and units. In the 2023 financial year, 1,233 customer complaints were filed with the Customer Ombudsman's Office (1,017 in 2022). Of these, 18 were not admitted to processing due to a failure to comply with the requirements of OM ECO/734/2004 and 43 were pending as of December 31, 2023. The 31.7% of customers who brought complaints before the Customer Ombudsman during the course of 2023 obtained some type of satisfaction, total or partial, by resolution of the Customer Ombudsman Office in 2023 (57.7% in 2022). Customers who are not satisfied with the Customer Ombudsman’s response can go to the official supervisory bodies (the Bank of Spain, the CNMV and General Directorate of Insurance and Pension Funds). 124 complaints were filed by customers to supervisory bodies in 2023 (94 in 2022). BBVA continues making progress in the implementation of the different recommendations and suggestions of the Customer Ombudsman with regard to adapting products to the customer profiles and the need for transparent, clear and responsible information. Throughout 2023, due to the type of complaints received, the Ombudsman's suggestions focused on the need for measures to be taken to improve customer service protocols, especially in matters such as pension plans and blocking, and, as in previous years, to reinforce and improve the measures the Bank is taking to prevent and raise awareness among customers about cyber fraud. The data on complaints handled by the Customer Ombudsman by type, at the close of 2023 and 2022, are set out below: COMPLAINTS HANDLED BY THE CUSTOMER OMBUDSMAN OFFICE BY COMPLAINT TYPE (BBVA, S.A. NUMBER) Type 2023 2022 Insurance and welfare products — — Assets operations 72 85 Investment services 24 36 Liabilities operations 73 38 Other banking products (credit card, ATMs, etc.) 482 582 Collection and payment services 362 174 Other 220 102 Total 1,233 1,017 The categorization of the complaints handled in the above table follows the criteria established by the Complaints Department of the Bank of Spain, in its requests for information. The data on complaints handled by the Customer Ombudsman by outcome, at the close of 2023 and 2022, are as follows: 11 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. COMPLAINTS HANDLED BY THE CUSTOMER OMBUDSMAN OFFICE ACCORDING TO RESOLUTION (BBVA, S.A. NUMBER) 2023 2022 Formal resolution — — Estimate (in whole or in part) 402 419 Dismissed 865 572 Processing suspended 1 — Total 1,268 991 12 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 2.3 Information on employees Culture & Values BBVA’s values and behaviors are the action guidelines for the employees in their day-to-day decision-making and help them accomplish the Groups' purpose "to bring the age of opportunity to everyone." Values and behaviors are the hallmark of all those who work in the Group and define BBVA's actions. BBVA's values are embedded in the key models and levers that promote the Bank's transformation. They are also included in the global people management processes: from the selection of new employees to the procedures for allocating roles, assessment, people development, training, and even incentives for achieving annual goals. BBVA conducts an annual Employee Engagement Survey, managed externally by Gallup. In 2023, the seventh listening process was carried out, in which almost 96% of employees participated. BBVA shows an outstanding performance in employee engagement with an overall rating of 4.43 (on a scale of 5), up 6 basis points from 2022, entering the top quartile of Gallup's customer base with 86.6% of employees showing an engagement rating equal to or higher than 4. Likewise, in 2023, the sixth edition of Values Day was held, a day on which employees celebrate BBVA's culture and delve into the positive impact that the daily application of values has on stakeholders. This edition, with the motto "Connected by our purpose", worked on BBVA's purpose through the connection with the personal purpose of each of BBVA's employees, that which gives meaning to their lives. Aligning personal and professional purpose strengthens employee engagement. It was conducted in a mixed format of face-to-face and online activities in all of the Group's geographies and involved more than 100,000 employees globally. BBVA continues to promote a corporate culture of social and environmental commitment to help customers in the transition to a sustainable future, with a focus on climate change and inclusive and sustainable social development. Within this program, other actions include among other facilitating employees' access to community service activities. For more information on volunteer actions, see the “Volunteering” section in chapter “2.4 Information on social aspects”, section “Contribution to society”. Professional development In 2023, BBVA consolidated its professional development model that makes employees the owners of their development and is structured in three modules: 1. know themselves better, 2. improve to grow and 3. explore new paths. This model is equipped with an ecosystem of tools that allows employees to make decisions about their professional career and take advantage of the opportunities that best align with their interests. The employee has also a team of Advisors dedicated to supporting and advising them throughout the entire process, as part of the framework of the T&C Relationship Model. 13 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Talent attraction BBVA seeks to offer a unique value proposition through a common brand, in line with a global and digital entity.BBVA has a global reference model for attracting talent, with clear policies that strengthen transparency, trust and flexibility for all stakeholders involved in the process Innovation and technology are the fundamental levers of BBVA's transformation. The Group has therefore reinforced its efforts to attract talent in strategic profiles with high demand through segmented measures and initiatives (differentiated and specific attraction measures depending on the profiles). In 2023, BBVA rolled out a new global organizational model in the area of talent attraction, which aims to change the approach to the market, significantly increasing proactive searches for the passive candidate and the presence in specialized niches, especially in technology and investment banking. Likewise, a profound technological and process transformation is underway to provide recruiting teams with tools that enhance this approach to the market, giving maximum relevance to the experience of candidates and the knowledge that the teams must have of the supply and demand of an increasingly dynamic and competitive market. With this transformation, BBVA aims to be at the forefront of talent acquisition, also incorporating attraction and branding capabilities that make the most of such a well-positioned brand. As shown in the following table, in 2023, 1,308 professionals joined the Bank (1,211 in 2022). SIGNED CONTRACTS BY GENDER (BBVA S.A. NUMBER) 2023 2022 Total Male Female Total Male Female Total 1,779 979 800 1,607 852 755 Of which new hires are (1): 1,308 767 541 1,211 693 518 (1) Including hires through consolidations. Development BBVA's talent development and growth model is centered on the employee. It is a model based on the principles of trust, empowerment and transparency that govern the relationship between BBVA and people. Employees are responsible for their own professional development and rely on their manager as their main support in the bank to accompany and guide them throughout their career at BBVA. In 2023, BBVA continued to promote the figure of the manager as a key player in BBVA's transformation, defining the characteristics of a good manager and the key competencies he/she should have in order to evaluate them periodically and prepare and implement personalized growth plans that allow BBVA managers to continue to grow professionally. The role of the manager takes on a differential role, with three key factors at BBVA: someone who lives the Group's values, impacts the achievement of results and the development of people. It requires, therefore, skills, attitudes and behaviors to achieve it. A good manager impacts the development of teams by accompanying them as a reference, being a daily example on a daily basis from a professional point of view: setting objectives, promoting the achievement of results, participating in people's assessment processes and ensuring their well-being. professional development. But also from a personal perspective, promoting the culture of 'feedback', promoting people's well-being, motivation and commitment. BBVA has a growth model based on meritocracy and transparency. This model makes it possible to evaluate all employees with an established periodicity and objective and common criteria throughout the group, to determine the individual performance of each employee. The Bank's development model has different tools and specific communication moments throughout the year that allow for development and performance conversations with employees. The opportunity to give and receive feedback is generated in an agile way through specific processes and initiatives such as the annual people assessment process, the quarterly Project Review process or in an ad hoc fashion, through the Hot Feedback initiative. BBVA continues to evolve the global ecosystem of tools that are part of its development model, expanding its scope and impact and focusing on the personalization of the service offering. Training 7 BBVA's training model provides employees with resources that make them the central players in their learning experience, using methodologies that are recognized as benchmarks in the market. Technological innovation also facilitates guided learning accompanied by personalized advice, enabling them to make the best career decisions. 14 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 7 The quantitative data in the "Training" section correspond to BBVA, S.A. employees. in Spain. The advances in the implementation of the training model, BBVA Campus, and its solidity allow BBVA to anticipate and adapt with agility to the increasingly changing training needs in the midst of the transformation challenges in which the Bank is immersed to shape its future. Campus BBVA makes it possible to respond to the needs of the Group, areas and people, supporting the achievement of strategic business objectives. The basic training data for 2023 and 2022 are shown below: BASIC TRAINING DATA (BBVA, S.A.) 2023 2022 Total investment in training (millions of euros) 23.0 20.7 Investment in training per employee (euros) (1) 1011 944 Employees who received training (%) (2) 99.0 98.5 Satisfaction with the training (rating out of 10) 9.7 9.7 Amounts received from FORCEM for training in Spain (millions of euros) 1.5 1.3 (1) Ratio calculated considering the BBVA´s workforce at the end of each year (22,741 in 2023 and 21,883 in 2022). (2) Ratio calculated by dividing the total training hours for the entire year by the Group's total workforce at closing, with access to the training platform. BBVA offers employees a global learning platform with a training catalog that incorporates, on an ongoing basis, a selection of specific resources for professionals to acquire the knowledge and skills necessary for their development. It highlights the variety of formats that, due to their dynamism and flexibility, adapt to the employee's way of learning: MOOCs (Massive Open Online Courses), podcasts, videos, blogs, practical communities, portals structured by areas of knowledge or simulators, etc. In addition, for specialized technical profiles, access to external training platforms of recognized worldwide prestige and courses from leading educational institutions is offered. All of this has contributed to consolidating a culture of unparalleled continuous learning that employees integrate naturally into their daily routines. It enables employees to be trained when they need it and in the formats that suit them best to help them meet their business challenges. Online training has established itself as the employee's preferred learning methodology, as over the last 4 years, more than 94% of training has been conducted online (in 2023 it was 92%) with an average satisfaction index of 9,71 (out of 10), in 2023. As part of the Bank's training offerings at Campus BBVA, "The Camp" is a gamified and digital experience that allows employees to boost and accelerate the development of the Group's strategic capabilities, both for their current and future roles. The BBVA Group's training catalog (also applicable to BBVA, S.A.), is organized into 4 major content groups: 1) business accelerators, 2) facilitating skills, 3) human skills and 4) technological capabilities. This structure seeks to facilitate the assimilation of knowledge at different levels of depth and to guarantee a positive impact on the personal and professional development of employees. TRAINING DATA BY PROFESSIONAL CATEGORY AND GENDER (1) (BBVA, S.A. 2023) Number of employees with training Training hours (thousands) Total Male Female Total Male Female Management team (2) 2,056 1,400 656 65.17 41.14 24.03 Managers 10,371 5,585 4,786 589.61 299.94 289.67 Rest of employees 10,099 4,140 5,959 684.48 293.91 390.58 Total 22,526 11,125 11,401 1339.27 634.99 704.28 (1) Data including the Bank's total workforce at closing (2) The management team includes the highest range of the Bank´s management. TRAINING DATA BY PROFESSIONAL CATEGORY AND GENDER (1) (BBVA, S.A. 2022) Number of employees with training Training hours (thousands) Total Male Female Total Male Female Management team (2) 1,843 1,309 534 61 42 19 Managers 9,652 5,214 4,438 629 333 296 Rest of employees 10,067 4,009 6,058 655 256 400 Total 21,562 10,532 11,030 1,345 631 714 (1) Data including the Bank's total workforce at closing, with access to the training platform. (2) The management team includes the highest range of the Bank´s management. 15 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Diversity and inclusion BBVA understands that diversity and inclusion are firmly aligned with its purpose and values, and works to ensure that its workforce is a true reflection and representative of the society in which it operates. BBVA's focus on diversity issues allows us not only to attract and retain the best talent, but also to better understand and meet the needs of our customers. In 2023, efforts were intensified in gender diversity, LGTBIQ+ inclusion, generational diversity, ethnic diversity and the integration of people with disabilities, recognizing that each individual brings unique perspectives that enrich the organization and society at large. BBVA works together with the Employee Resource Groups (hereinafter ERGs), which are internal working groups created and managed at the employees' own initiative. Their function is to promote diversity and foster professional relationships among people with common interests. Several ERGs have been established in different geographic areas, with which we cooperate in identifying the needs of our employees and implementing impact initiatives. In order to be a true reflection of the society in which it operates, BBVA is focusing on different types of diversity: gender, LGTBIQ+, people with disabilities, intergenerational and ethnic-cultural. In terms of gender diversity, in 2022, and after reaching the target of 40% women on the Board of Directors, BBVA took a further step towards gender equality and set a target of 35% women in management positions at the end of 2024, as a sign of its commitment to promoting equal opportunities. In 2023, work continued on defining and launching initiatives at a global level to achieve the target set. For instance, the "Yo Soy Talento Femenino" (I am Female Talent) program has been launched, an initiative through which a group of high-potential female BBVA employees has been identified and provided with various tools to help them develop to their full potential. These tools include: – Specialized training: preferential access to management development programs (MDP) and scholarships in external training programs such as "Yo Soy Promociona" or "Yo Soy Progresa". – Mentoring: includes the "Top Mentoring" program through which they are mentored by the top managers of their areas, including members of BBVA's Global Leadership. – Coaching: prioritization in obtaining a place in internally organized coaching programs. – Networking activities: participation in both internal and external activities with women from other companies, with the aim of establishing professional ties that will help them advance in their professional career. In Spain, BBVA signed a new Equality Plan with 97.4% of union representatives, which aims to achieve real and effective equality of opportunities between men and women. The new Plan reinforces the Bank's current policy of ensuring equality and integrating the gender perspective in all areas. It also incorporates measures to move towards a balanced presence of women and men at all organizational levels. The agreement also addresses other important aspects, such as remuneration policy, culture and leadership, health from a gender perspective and inclusive communication. The agreement also includes BBVA's commitment to increase support for victims of gender-based violence and includes a protocol against sexual and gender-based harassment. The different reporting channels are noted, prevention and victim protection measures are implemented, and a catalog of best practices is included, including dissemination and awareness-raising among the workforce. The Bank has protocols for preventing and dealing with sexual harassment, expressly stating BBVA's rejection of any behavior of a sexual nature or connotation that has the intention or has the effect of violating a person's dignity, and is committed to the application of said agreement as a solution to prevent, detect, correct and punish this type of conduct within the company. Likewise, BBVA's Code of Conduct, which is applicable to the entire Group, expressly mentions the Group's non-acceptance of this type of conduct and its efforts to eradicate it. In the area of LGTBIQ+ diversity, the Agreement on measures to achieve equality for LGTBIQ+ people and the protocol on harassment due to sexual orientation, sexual identity and gender expression was signed in Spain with 100% of the legal representation of employees. This agreement reinforces the Bank's current policy of promoting plurality in the work environment and ensuring equal and inclusive treatment of all people. In addition, it includes a protocol for reporting cases of harassment motivated by sexual orientation, sexual identity and gender expression. Likewise, in Spain, BBVA holds the presidency of the Business Network for LGTBI Diversity and Inclusion (REDI), the first business association in Spain created to promote an inclusive and respectful environment in organizations, and globally celebrates LGTBIQ+ Pride Day. In Argentina, BBVA continues with its initiative for the insertion of trans and non-binary people in the labor market. In terms of diversity for people with disabilities, BBVA reaffirms its commitment to the labor integration of this group with the launching of different specific initiatives: – In Spain, BBVA, together with the Adecco Foundation, has the Family Plan in place, which provides support to family members of employees with disabilities. Various volunteer activities have also been carried out with the NGO Special Olympics or with the ConectTEA Foundation As of December 31, 2023, BBVA, S.A.had 147 8 people with disabilities on the staff (139 in 2022). BBVA in Spain also favors inclusion and diversity by engaging services through "special employment centers" (CEEs, for its acronym in Spanish). These are sheltered employment companies where the labor integration of people with disabilities is promoted. During the 2023 financial year, the turnover of CEEs to the Bank amounted to approximately 2.5 million euros (as of December 31, 2022, turnover amounted to 1.9 million euros). 16 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 8 This is the data from BBVA, S.A. (without the branches of the foreign network or Portugal). In relation to generational diversity, BBVA co-organized, together with the Transforma Foundation, the second edition of the Added Value Awards. The aim is to recognize those people who have contributed with their work and merits in the educational, scientific, technical, cultural, social and business areas to enhance the value of senior talent in Spain, especially if their greatest achievement has been attained during their senior years. Likewise, at BBVA, diversity has an important milestone, which is the annual celebration of "Diversity Days", internal days to promote diversity, inclusion and equity in the workforce through activities, conferences and events over the course of a week, which also aims to further explore projects promoted by the Group around the world in this area.The fourth edition of the event was held in 2023 with Peru as the host country. Over the course of these conferences, BBVA signed a declaration of principles against discrimination and harassment in the workplace that protects its employees against discriminatory behavior, as well as any unfavorable treatment related to nationality, race, ethnic origin, religion, gender, sexual orientation, sexual identity or gender expression, marital status, age, economic status, disability or family responsibility. The document dedicates a point to highlighting support for the LGTBIQ+ collective to make itself visible and identify itself, to the decisive promotion of a corporate culture that embraces differences, to the generation of an inclusive and safe work environment, and to committing to prevent, detect, correct and sanction any type of discriminatory conduct. In Spain, BBVA once again holds the Distinction for Equality in the Company awarded by the Ministry of Equality for a period of 3 years. This recognizes the Bank's commitment to Equal Opportunities between men and women, with measures that promote productivity and the reconciliation of work and leisure time, dissemination and awareness-raising measures in the Bank and in society as a whole, including actions to give greater visibility to women who hold positions of responsibility in the organization, as well as initiatives that promote female vocations in careers in STEM. Main employee metrics EMPLOYEES BY COUNTRIES AND GENDER (BBVA, S.A. NUMBER) 2023 2022 Number of employees Male Female Number of employees Male Female Spain 21,571 10,527 11,044 20,796 10,053 10,743 The United States 288 193 95 266 175 91 France 75 53 22 68 45 23 United Kingdom 154 103 51 128 86 42 Italy 65 35 30 52 29 23 Germany 47 32 15 43 28 15 Belgium 19 11 8 21 13 8 Portugal 350 181 169 349 177 172 Hong Kong 104 60 44 93 56 37 China 27 6 21 27 6 21 Japan 6 5 1 4 3 1 Singapore 16 4 12 15 5 10 United Arab Emirates 1 1 — 2 1 1 India 2 1 1 2 1 1 Indonesia 2 1 1 2 1 1 South Korea 2 1 1 2 1 1 Taiwan 12 4 8 12 4 8 Cuba — — — 1 1 — Total 22,741 11,218 11,523 21,883 10,685 11,198 EMPLOYEES AVERAGE AGE AND DISTRIBUTION BY AGE STAGES (BBVA, S.A. YEARS AND PERCENTAGE) 2023 2022 Average age <30 30-39 40-49 ≥50 Average age <30 30-39 40-49 ≥50 Total 45.4 6.5 13.0 48.1 32.4 45.3 4.8 14.1 52.3 28.8 17 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. EMPLOYEES DISTRIBUTION BY PROFESSIONAL CATEGORY AND GENDER (BBVA, S.A. PERCENTAGE) 2023 2022 Total Male Female Total Male Female Management team (1) 9.1 68.2 31.8 8.6 71.1 28.9 Managers 45.8 53.8 46.2 44.4 54.0 46.0 Rest of employees 45.1 41.0 59.0 47.1 39.9 60.1 Total 100.0 49.3 50.7 100.0 48.8 51.2 (1) The management team includes the highest range of the Bank´s management. EMPLOYEE DISTRIBUTION BY TYPE OF CONTRACT AND GENDER (BBVA, S.A. PERCENTAGE) 2023 2022 (1) Total Male Female Total Male Female Permanent employee full-time 99.9 49.3 50.7 100.0 48.8 51.2 Permanent employee part-time — — — — — — Temporary employee 0.1 53.9 46.2 — 57.1 42.9 Total 100.0 49.3 50.7 100.0 48.8 51.2 (1) 2022 data differ from those published in the 2022 Statement of Non-Financial Information due to additional updates and checks. EMPLOYEE DISTRIBUTION BY TYPE OF CONTRACT AND AGE STAGES (BBVA , S.A. PERCENTAGE) 2023 2022 (1) Total <30 30-39 40-49 ≥50 Total <30 30-39 40-49 ≥50 Permanent employee full-time 99.9 6.4 13.0 48.1 32.4 100.0 4.8 14.0 52.3 28.9 Permanent employee part-time — — 50.0 25.0 25.0 — — 66.7 33.3 — Temporary employee 0.1 88.5 11.5 — — — 71.4 28.6 — — Total 100.0 6.5 13.0 48.1 32.4 100.0 4.8 14.1 52.3 28.8 (1) 2022 data differ from those published in the 2022 Statement of Non-Financial Information due to additional updates and checks. EMPLOYEE DISTRIBUTION BY PROFESSIONAL CATEGORY AND TYPE OF CONTRACT (BBVA, S.A. PERCENTAGE) 2023 2022 (1) Permanent employee full- time Permanent employee part- time Temporary employee Permanent employee full- time Permanent employee part- time Temporary employee Management team (2) 100.0 — 0.1 100.0 — — Managers 100.0 — — 100.0 — — Rest of employees 99.8 — 0.2 100.0 — — Media BBVA 99.9 — 0.1 100.0 — — (1) 2022 data differ from those published in the 2022 Statement of Non-Financial Information due to additional updates and checks. (2) The management team includes the highest range of the Bank´s management. In 2023, the annual average of full-time permanent contract, part-time permanent contract and temporary contract was 99.9%, —% and 0.1%%, respectively (in 2022, 100.0%, —% and —%, respectively). DISCHARGE OF EMPLOYEES BY DISCHARGE TYPE AND GENDER (BBVA S.A. NUMBER) 2023 2022 Total Male Female Total Male Female Retirement and early retirement 179 104 75 213 131 82 Voluntary redundancies 30 18 12 11 7 4 Resignations 331 178 153 277 177 100 Dismissals 62 43 19 33 24 9 Others (1) 348 118 230 433 189 244 Total 950 461 489 967 528 439 (1) Others include permanent termination and death. 18 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. DISCHARGE OF EMPLOYEES BY DISCHARGE TYPE AND AGE (BBVA S.A. NUMBER) 2023 2022 Total <30 30-39 40-49 ≥50 Total <30 30-39 40-49 ≥50 Retirement and early retirement 179 — — 4 175 213 — — 5 208 Voluntary redundancies 30 — — 8 22 11 1 3 3 4 Resignations 331 119 100 85 27 277 91 102 66 18 Dismissals 62 2 13 21 26 33 1 5 7 20 Others (1) 348 63 93 121 71 433 54 126 154 99 Total 950 184 206 239 321 967 147 236 235 349 (1) Others include permanent termination and death. DISMISSALS BY PROFESSIONAL CATEGORY AND AGE STAGES (BBVA S.A. PERCENTAGE) 2023 2022 Total <30 30-39 40-49 ≥50 Total <30 30-39 40-49 ≥50 Management team (1) 22.6 — 14.3 7.1 78.6 33.3 — — 18.2 81.8 Managers 48.4 3.3 16.7 56.7 23.3 18.2 — 16.7 33.3 50.0 Rest of employees 29.0 5.6 33.3 16.7 44.4 48.5 6.3 25.0 18.8 50.0 Total 100.0 3.2 21.0 33.9 41.9 100.0 3.0 15.2 21.2 60.6 (1) The management team includes the highest range of the Bank´s management. Working environment BBVA continues to make progress in its transformation process, anticipating and redefining the aspects which are key for motivating and protecting its teams, and making it easier for them to work together. Below are the actions and/or policies that the Group has in place in the area of working conditions and employee rights, work/life balance and occupational health and safety. Work organization In 2023, and with the aim of continuing to drive the Agile transformation in the Group, BBVA developed the organizational and operational model around 3 areas: – Development of the organizational model, promoting autonomy and end-to-end empowerment in the execution of processes. – Promotion of multidisciplinary teams, advancing in the configuration of transversal teams and the Agile work methodology. – Development of the project prioritization model. BBVA consolidated the flexible work model implemented in 2022 in those functions in which it is feasible, with a general model that consists of working a minimum of 60% of the working day in person and a maximum of 40% remotely, although there are adaptations to this model motivated, among other issues, by the local legislation of each country or by the type of function performed. In 2023, BBVA promoted the remote work model in certain groups of the network, such as the Zona Contigo for remote management of customers in Spain. This voluntary work model, which is generally reversible for both BBVA and the employee, is based on flexibility, responsibility and trust in people. Respecting the flexibility to specify the days of remote work, it promotes the coordination of the people who make up the work teams to coincide in person, in the belief that the proximity between people is key to having solid and cohesive teams. Digital disconnection The right to digital disconnection is included in the internal regulations and policies of each country unit, and recognized as a fundamental element for achieving better organization of working time in order to respect private and family life, to improve the balance between personal, family and working life and to contribute to the optimization of workers' occupational health. To promote disconnection, initiatives have been carried out such as not sending e-mails or not calling meetings after certain hours in the evening or during weekends and holidays, or not calling meetings one afternoon a week in order to dedicate that time to planning tasks and individual work. Maternity and paternity leave BBVA is committed to the welfare of its employees, complementing and expanding the benefits established at local level in the main geographical areas where it operates. 19 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. In Spain, in order to safeguard the period of pregnancy and the care of the child, during pregnancy it is permitted to shorten working hours by reducing the midday break or by reducing the working day by one hour. The use of time off for infant care is improved, so that if it is taken in the form of a reduction of the working day, the time of the reduction is extended from half an hour to one hour; and if it is taken in the form of accumulated leave, the period for taking the leave is extended to twelve months of the child's life instead of nine months. During maternity or paternity leave, BBVA complements the economic benefits up to 100% of the usual salary and upon reincorporation, both the mother and the non-pregnant parent may convert the split workday into a continuous workday for up to twelve months of the child's life, a possibility that is also extended to cases of adoption of a child up to the age of five. The period during which a reduced working day may be taken is extended from the child's twelfth birthday until the end of the school year. Y in the event of the birth or adoption of a disabled child, employees may be granted a leave of twenty-two days, reduced working hours or additional flexibility in addition to the general working hours. In addition, BBVA offers its employees the possibility of taking certain leaves of absence to care for family members for health reasons, with varying degrees of coverage depending on the particularities of local legislation and public systems. For example, in the case of Spain there is a range of licenses/exemptions that can be used for this purpose with different levels of remuneration, as well as specific financial support. Freedom of association and representation In accordance with the different regulations in force in the countries in which BBVA operates, the labor conditions and rights of employees, such as freedom of association and union representation, are set forth in regulations, collective bargaining agreements and agreements entered into, where applicable, with the corresponding workers' representatives. Dialogue and negotiation are part of the Group's way of dealing with any differences or conflicts, for which there are specific procedures for consultation with union representatives in the different countries, including occupational health and safety aspects. In Spain, employee representatives are elected every four years by personal, free, direct and secret suffrage and are informed of any relevant changes that may occur in the organization of work in the Bank under the terms provided for in the legislation in force. The banking industry collective agreement is applied to the 100% of the workforce (except for members of senior management), supplemented by employer-specific collective agreements which build upon and improve the provisions of the sector-wide agreement, and which are entered into with union representatives. All persons have the right to freely join trade unions and to engage in trade union activity, and any rule or decision that entails any type of discrimination on the grounds of membership or not of a trade union, or the exercise of trade union activities in general, is null. Occupational safety and health BBVA considers the promotion of occupational health and safety as a basic principle that is addressed through the continuous improvement of working conditions. Prevention of occupational hazards The Bank's occupational risk prevention model is regulated by local regulations, conventions and agreements in Spain. In all cases, employees have the right to consultation and participation in these areas, which is exercised and developed through union representation or interest groups in the different existing committees. BBVA's Occupational Risk Prevention Management System identifies and evaluates risks, establishes the criteria, methods and resources that ensure the effectiveness of the management system, analyzes the results obtained and implements actions that allow the processes and system to be improved. This Occupational Risk Prevention Management System complies with the requirements of the OSHAS 18001:200 standard. As a cornerstone of this system, BBVA has an occupational risk prevention plan that integrates the company's preventive activity into its general management system and establishes its occupational risk prevention policy, which is implemented in an annual plan with specific objectives for action in this area. The actions by BBVA include: occupational risk assessments; specific evaluations of psychosocial risks; evaluations of particularly sensitive personnel and pregnant women; specific technical reports; training and information for workers; preparation and implementation of self-protection plans and emergency manuals; safety inspections, investigation and reporting of accidents; actions for the coordination of business activities in construction works and services; health surveillance through medical check-ups; preventive health campaigns as well as health examination satisfaction surveys. Likewise, there is an emergency Action Plan that includes guidelines for dealing with possible emergencies, determines the people who are- organized and trained- to guarantee speed and efficiency in the actions to be taken, and provides information to all users of the facilities on how to act in the event of an emergency, and can also guarantee the necessary relations for coordination with external services. The prevention service is divided into two lines of action: – Technical-preventive, in which the Bank carries out systematic evaluations of occupational risks and psychosocial evaluations from which the corresponding action plans are derived, detailing those responsible and deadlines, and ensuring their implementation. BBVA is also responsible for preparing and implementing emergency and evacuation plans, as well as safety training. In addition, BBVA also carries out continuous coordination of business activities (CAE for its acronym in Spanish) with the companies and their external personnel that work in the Group's work centers with the support of a document exchange platform, establishing different procedures for works and another for services. 20 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. – Occupational medicine, through which the Bank has the following objectives: monitor the health of workers by carrying out medical examinations; protect especially sensitive employees; evaluate medical records; adapt workplaces with specific ergonomic material; develop health and well-being programs with the aim of promoting healthy lifestyle habits and a preventive culture within BBVA. In Spain, BBVA is governed by the Occupational Risk Prevention Act or the collective bargaining agreement on occupational health for the consultation and participation of workers in matters of occupational risk prevention. There are preventive policies that affect the 100% of the workforce of all the companies and which are carried out by the Occupational Risk Prevention Service, as well as a collective bargaining agreement that defines the instruments for employee participation in this matter. Likewise, the corresponding governing bodies are in place for its proper management: a State Health and Safety Committee, Health and Safety Committees of Large Centers and Territorial Prevention Delegates, which meet on a quarterly basis. The Prevention Service of BBVA, S.A. in Spain monitors the measures implemented. At the same time, and with the objective that prevention is integrated into the set of activities and at all hierarchical levels, the Bank has a periodic verification of the system, carried out by an independent auditor, in which a systematic, documented evaluation is carried out. and objective evaluation of the effectiveness of the occupational risk prevention system, with the results being favorable and highly qualified. Employee training in occupational safety and health In coordination with the Training area, the Group plans different training actions in the area of Occupational Risk Prevention to raise awareness and provide employees with the necessary knowledge they need to perform their work. Online courses are available for all the workforce through the E-Campus platform and on-site courses are given by trainers from external entities who are highly specialized, with specialists from the Prevention Service also taking part in the training of some groups. The BBVA Occupational Risk Prevention Training Plan includes courses such as: training in safety, health and well-being at work; first aid courses; defibrillator handling courses in centers that have them, psychosocial courses (Personal Risk Situations for new employees, initial support and hold-up protocol); specific emergency training courses for emergency teams; Contingency exercises for emergency management and practical fire courses for Personal Protective Equipment (PPE) and emergency management; road safety courses; CAE training for supervisors of external personnel.¨ In addition, a wide range of health and wellness training is available to all Group employees, both online and in person, including workshops and courses on sleep hygiene, emotional management, musculoskeletal prevention and healthy eating, among others. Occupational health Health check-ups The BBVA Group carries out medical check-ups for its employees to ensure their health and well-being, in accordance with local regulations in force. In 2023, for BBVA, S.A., more than 10,000 people were scheduled for medical examinations. In addition,ergonomic procedures have been carried out to adapt the workplace to the worker's pathology and more than 150 requests made by pregnant employees have been medically and ergonomically assessed. Medical and nursing care appointments are managed online to accommodate new flexible ways of working and allow for a more efficient management of services. Health and well-being program BBVA's Health and Well-being program is made up of two main lines of action: Work Better and Enjoy life, and under the motto "You Move Us", where a set of initiatives are coordinated aimed at caring for the people who are part of BBVA, with the focus on empowering them to be the protagonists of their own health. The "Work Better" axis fosters a culture based on commitment, trust and respect for the time of others to achieve the best productivity and efficiency and optimal use of working time. Digital disconnection, work flexibility, active listening and efficient meetings are promoted. The "Enjoy Life" axis focuses on the integral health and well-being of the workforce, in line with the 2030 Agenda of the United Nations and the WHO, and has been implemented through two main pillars: – Mind (mental health / stress management): informative conferences have been held with the participation of more than 10,000 employees, workshops and courses on emotional management, and a psychological support program has been implemented for employees and their family members, and were well received by the employees. Workshops have been held for anxiety management, support for digital disconnection, on positive psychology, mindfulness, book club, knitting, etc. In addition, adequate sleep hygiene has been promoted among employees through conferences, courses, workshops and sleep studies. – Body: awareness campaigns have been carried out with renowned speakers on cancer prevention, food and nutrition, prevention of neurodegenerative diseases, migraine in the workplace, diabetes prevention, flu and covid vaccination, etc., with special emphasis on the celebration of World Health Days. 21 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. In Spain the following initiatives have been carried out: genetic study of hereditary cardiovascular diseases, detecting four cases of positive cardiovascular mutation; colon cancer prevention program, detecting one cancer at an incipient stage and six premalignant lesions; and skin cancer prevention through a dermatoscopic study, detecting five malignant lesions and two premalignant lesions. In addition, permanent preventive campaigns on the control of modifiable cardiovascular risk factors ( stopping smoking, controlling high blood pressure, diabetes, obesity, etc.), stroke prevention, donation campaigns and flu vaccination are maintained. Training and Information Platforms available to employees There are two platforms available to all employees for the dissemination of content related to health and well-being, demonstrating BBVA's commitment to promoting health and safety at work: – On the Work Better / Enjoy life portal where you can find the latest news on health and well-being: current campaigns, conferences and workshops given, upcoming events, most visited resources, etc. – The Occupational Health Portal that is structured into eight main blocks: 1) healthy work environment (including remote working); 2) healthy life with information on nutrition, physical exercise, sleep hygiene, etc., to lead a healthy life; 3) prevention of pathologies, such as cardiovascular risk, diabetes, eye pathologies, cancer, etc.; 4) procedures to follow in work accidents, medical check-ups, pregnancy, etc.; 5) road safety; 6) "Women, your health is your best gift", with specific preventive information for women at all stage; 7) health conferences; 8) risk assessment and emergency measures. The portal also contains information on first aid and emergency procedures, as well as information on the specific risks associated with remote working and their prevention. Cardioprotected spaces BBVA has semiautomatic defibrillators (DESA) in the main work centers in different geographical areas to assist in cardiopulmonary resuscitation in the event of cardiorespiratory arrest, thus forming part of the Cardioprotected spaces. Defibrillator operation and basic life support skills are part of the first aid training integrated into the emergency measures course. Below are the basic data on occupational health and safety of BBVA, S.A.: OCCUPATIONAL HEALTH MAIN DATA (BBVA, S.A. NUMBER) 2023 2022 Number of technical preventive actions 40,966 56,159 Number of preventive actions to improve working conditions 41,594 56,668 Employees represented in health and safety committees (%) 100 100 Number of withdrawn 6,264 8,369 Total number of absenteeism hours(1) 1,336,526 1,461,015 Number of accidents with medical withdrawn 99 27 Absenteeism rate (%) 3.6 4.1 General note: BBVA, S.A. data is included (without the branches of the foreign network or Portugal). (1) Total withdrawn hours by medical leave or accident during the year. Work-related injuries WORK-RELARED INJURIES BY GENDER (BBVA S.A.) 2023 2022 Total Male Female Total Work-related accidents (number) 266 91 175 89 Severity index for labor accidents (%) 0.12 0.08 0.16 0.04 Frequency rate (%) 2.7 1.79 3.57 0.76 General note: BBVA, S.A. data is included (without the branches of the foreign network or Portugal). At BBVA S.A. In Spain, a total of 266 work accidents were recorded in 2023 (89 in 2022), of which 99 27 were with medical leave (27 in 2022) and 167 without medical leave 62 in 2022), of which none were fatal ( as in 2022), data that represents a low workplace accident rate, with rates below the sector. The main types of injuries in accidents with sick leave are sprains and strains, superficial injuries and foreign bodies in the eyes and closed fractures. The majority of accidents among internal staff are in itinere (that is, when going to or returning from work), with the rest being due to falls. At BBVA S.A. No case of occupational disease was recorded among internal staff. 22 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Remuneration BBVA has a General Remuneration Policy, which applies to all Group employees, including BBVA's Senior Management - with the exception of BBVA's executive directors - (the "BBVA Group General Remuneration Policy") and a BBVA Directors' Remuneration Policy (which applies to both non-executive and executive directors), both designed within the framework of the specific regulations applicable to credit institutions, considering the best practices and recommendations in remuneration matters both locally and internationally (the "Remuneration Policies"). The Remuneration Policy for BBVA Directors applicable during the years 2023, 2024, 2025 and 2026 was approved by the General Shareholders' Meeting held on March 17, 2023. For its part, the Board of Directors, at the proposal of the Commission of Remuneration, also approved in March 2023, a new update of the General Remuneration Policy of the BBVA Group that is applicable to remuneration for the 2023 financial year and onwards. Both policies are the result of the reflection carried out in 2022 on the Remuneration Policies, with special focus on the variable remuneration model of executive directors and the rest of the employees whose professional activities significantly affect the risk profile (the “Identified Group”), with the fundamental objective of strengthening the alignment of the remuneration of this group with the creation of value, long-term sustainable performance and adequate and effective risk management. These Policies incorporate, as the main novelty, a change in the Annual Variable Remuneration scheme associated with the corporate model of the executive directors and the rest of the Identified Group, which, as of fiscal year 2023, has become composed of an Short-Term Incentive and a Long-Term Incentive. Both Remuneration Policies are based on the same principles and are oriented toward the recurrent generation of value for the Group, the alignment of the interests of its employees and shareholders with prudent risk management and the implementation of the strategy defined by the Group. They are part of the elements devised by the Board of Directors as part of BBVA's Corporate Governance System to foster proper management and supervision in the Group and are based on the following principles: long-term value creation; the achievement of results based on prudent and responsible risk-taking; attracting and retaining the best professionals; rewarding the level of responsibility and professional career; ensuring internal equity and external competitiveness and equal pay for men and women; encouraging responsible conduct and fair treatment of customers, as well as avoiding conflicts of interest; and ensuring the transparency of the remuneration model. These principles are specified in that the Policies: – They contribute to the BBVA Group's business strategy, and to the achievement of its objectives, values and interests, as well as to the creation of value and long-term sustainability. – They are compatible with and promote prudent and effective risk management, and do not offer incentives to assume risks that exceed the level tolerated by the Group, in a manner consistent with the BBVA Group's risk strategy and culture. – They are clear, comprehensible, transparent and simply drafted, allowing easy understanding of the different elements that make up the remuneration and conditions for its concession, vesting and payment. To this end, they clearly distinguish between the criteria for establishing fixed and variable remuneration and are transparent as regards the setting of objectives and parameters for their calculation. – They include a competitive remuneration system, with the aim of attracting and retaining the best professionals and adequately rewarding the functions performed. – They are impartial in terms of gender, reflecting an equal remuneration for the same functions or functions of equal value, and does not establish any difference or discrimination for reasons of gender. – They include measures to avoid conflicts of interest, promoting the independence of criteria of the persons involved in decision making, in the supervision and control of management and in the establishment of remuneration systems, incorporating predetermined calculation rules that avoid discretion in their application. – They seek to ensure that remuneration is not based exclusively or primarily on quantitative criteria, taking into account adequate qualitative criteria, which reflect compliance with applicable rules. The remuneration system generally applicable to all BBVA Group staff comprises the following: – A fixed remuneration takes into account the level of responsibility, the functions performed and the professional trajectory of each employee, the principles of internal equity and the value of the function in the market, constituting a relevant part of the total remuneration. The vesting and the amount of the fixed remuneration are based on objective predetermined and non-discretionary criteria. – A variable remuneration constituted by those payments or benefits additional to the fixed remuneration, whether monetary or not, that are based on variable parameters. This remuneration shall be linked, in general, to the achievement of previously established objectives and shall include both the annual variable remuneration corresponding to the corporate model (defined below) and, if applicable, other variable incentive schemes and any other variable component that the BBVA Group may grant to its personnel or to certain groups of employees at any given time. As established in the Group's General Remuneration Policy, BBVA has a corporate model of variable remuneration which, in general, is applicable to the entire workforce, depending on their functions, consisting of the award of an incentive that reflects performance measured through the fulfillment of objectives associated with Group, Area and Individual financial and non-financial indicators, measured on an annual basis. These indicators take into account the strategic priorities defined by the Group as well as current and future risks and serve as management parameters to determine the payment of annual variable remuneration based on the degree of compliance with BBVA's strategy. In 2023, the level of achievement of the Group's annual scope indicators (short-term component of Annual Variable Remuneration) was 126% (129% in 2022), based on the results obtained from each of the financial and non-financial indicators. The level of achievement of the Group's annual financial indicators for incentive purposes is detailed below: 23 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. ANNUAL VARIABLE REMUNERATION (MEASUREMENT PERIOD 2023) (BBVA GROUP) - ANNUAL FINANCIAL INDICATORS Annual Financial Indicators 2023 2022 Weight (1) Goal Result (2) Level of attainment Weight (3) Goal (4) Result (2) Level of attainment Attributed result — 7.124 mill. € 8.019 mill. € 1.38 0.1 4.661 mill. € 6.381 mill. € 1.5 RORC — — 0.1806 1.23 0.1 0.1256 0.1526 1.5 Efficiency ratio — — 0.4166 1.37 0.1 0.4533 0.4323 1.31 Tangible book value per share (TBV per share) (5) n.a. n.a. n.a. n.a. 0.1 7,28 € 7,64 € 1.15 Gross margin n.a. n.a. n.a. n.a. 0.1 20.182 mill € 24.890 mill. € 1.5 n.a.: not applicable. (1) Weights set for the 2023 Annual Variable Remuneration of the BBVA Group staff, including executive directors. (2) Results approved for incentive purposes. In the case of AVR 2022, they do not include the impact generated by the Turkish takeover bid or by the BBVA office repurchase operation in Spain. (3) Weights set for the 2022 Annual Variable Remuneration of the BBVA Group staff, excluding executive directors. (4) The 2022 targets were set above the analyst consensus at the time and were in line with the existing economic outlook. (5) In the case of TBV per share, there are two objectives: one linked to growth (budget target) and the other linked to value creation, which is the one used for incentive purposes (shown in the table). In 2022, the budget target was EUR 6.80 per share. For the annual non-financial indicators, the Group's level of achievement for incentive purposes is detailed below: ANNUAL VARIABLE REMUNERATION (MEASUREMENT PERIOD 2023) (BBVA GROUP) - ANNUAL NON-FINANCIAL INDICATORS Annual Non-financial Indicators 2023 2022 Weight (1) Goal (2) Result Level of attainment Weight (3) Goal (2) Result Level of attainment Net Recommendation Score (NRS) 15% 100% 1 1.09 10% 100% 108% 108% Mobilization of sustainable financing (4) 10% 55,004 mill. € 68,218 mill. € 1.5 10% 32,146 mill. € 40,643 mill. € 150% Target customers 15% 100% 98% 98% 10% 100% 111% 111% Digital sales n.a. n.a. n.a. n.a. 10% 100% 110% 110% Transactional engagement of corporate clients n.a. n.a. n.a. n.a. 10% 100% 112% 112% n.a.: not applicable. (1) Weights set for the 2023 Annual Variable Remuneration of the BBVA Group staff, including executive directors. (2) For the indicators IReNe, Target Customers and Digital Sales, objectives have been established at the country level. The Group achievement for these indicators is calculated as the average weighted by the net margin of the achievements obtained by the countries. (3) Weights set for the 2022 Annual Variable Remuneration of the BBVA Group staff, excluding executive directors. (4) In 2023, this indicator incorporates the sustainable business channeling related to inclusive growth, which in 2022 was not included for incentive purposes. On the other hand, the result of the "2025 Goal" announced by the Bank for channeling sustainable business does not coincide with the result for incentive purposes, since the latter does not take into account the activity of the BBVA Microfinance Foundation. As indicated previously, in the case of the members of the identified staff, including executive directors and the rest of BBVA's senior management, their annual variable remuneration includes a short-term incentive, calculated on the basis of the same annual Group- wide indicators described above, and in addition a long-term incentive. The long-term incentive will be calculated on the basis of the result of a series of multi-year indicators, both financial and non-financial, which will prioritize the creation of value and profitability for the shareholder and for the Group in the long term, as well as the progressive achievement of the goals and objectives assumed by the Bank in terms of sustainability. The indicators for calculating the long-term incentive include a portfolio decarbonization indicator that will measure the degree of compliance with the decarbonization goals of a series of sectors for which the Bank publishes specific goals, and will therefore be directly related to the BBVA Group's strategic priority of helping customers in the transition to a sustainable future and to the Bank's climate action goals. Additionally, a social indicator is included that will measure the performance of the percentage of women in management positions in the BBVA Group, which is fully aligned with the strategic priority of having the best, most engaged and diverse team, guided by the Bank's purpose and its values and behaviors, and with a talent development model that provides growth opportunities for all. In particular, the approved indicators for the calculation of the long-term incentive for this group for the 2023 financial year are as follows: 24 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. LONG-TERM INDICATORS AVR 2023 (1) (BBVA GROUP, PERCENTAGE) Peso Financial Indicators Tangible Book Value per share (TBV per share) 40% Relative Total Shareholder Return (Relative TSR) 40% Non-financial Indicators Decarbonization of the portfolio 15% Percentage of women in Management positions 5% (1) Measurement as of December 31, 2026, taking into account the evolution of these indicators since January 1, 2023. Average remunerations Below is the table with the average remuneration of BBVA employees: AVERAGE REMUNERATION (1) BY PROFESSIONAL CATEGORY, AGE STAGES AND GENDER (BBVA, S.A. EUROS) 2023 2022 Management team (2) Managers Rest of employees Management team (2) Managers Rest of employees < 30 years Male (3) — 51,010 33,761 — 52,345 33,396 Female — 44,426 31,980 — 50,834 30,090 30-39 years Male 125,701 59,661 40,679 131,248 56,060 39,677 Female 127,589 52,288 37,496 122,418 48,998 36,045 40-49 years Male 140,859 56,569 43,291 130,201 54,476 41,955 Female 112,022 51,657 41,526 108,114 50,164 40,148 ≥ 50 years Male 174,338 64,930 50,411 169,988 63,187 48,943 Female 138,617 59,120 47,305 141,540 58,587 46,196 General note: The data of 2022 differs from that published in the 2022 Consolidated Non-Financial Information Report due to a change in the fixed remuneration considered. As from 2023, additionally to fixed remuneration, it is considered the salary allowances, except mobility, housing and expatriation allowances, which are not considered. This represents a 99% of total fixed remuneration. The data of 2022 has been restated following this criteria. (1) Considering fixed remuneration and salary allowances (except mobility, housing and expatriation allowances). (2) This Group does not include the BBVA Top Management. (3) The value of the remuneration of the only person in the professional category of management team was not included because of confidentiality reasons. The differences observed in the average remuneration of some professional categories derive from their varied composition and other factors such as seniority in the entity or in the position. The average remuneration of each category is influenced by aspects such as the different distribution of men and women in the highest paid positions or the higher proportion of women in countries with lower average remuneration. In the case of executive directors and other members of BBVA Senior Management who held their positions on December 31, 2023, the information on their remuneration is included in Note 49 of the accompanying consolidated financial statements. The remuneration paid to executive directors is individualized and itemized, while for the other members of Senior Management the amounts are presented as an aggregate. The average total compensation of BBVA's senior management (excluding executive directors) in 2023 was 2.437 thousand euros for men (2,034 thousand euros in 2022) and 1,981 thousand euros for women (1,841 thousand euros in 2022). Wage gap Remuneration Policies are gender neutral, reflecting equal remuneration for the same functions or functions of equal value, and do not differentiate or discriminate on the basis of gender. The remuneration model takes into account the level of responsibility, the functions carried out and the professional career of each employee, ensuring internal equity and external competitiveness, as well as equal remuneration for men and women. This model defines a number of positions on which remuneration is based. Each of these positions has a unique theoretical value depending on different factors, such as the level of responsibility, the complexity of the function, the impact on results, and so on. Each position has a unique value linked to the achievement of previously established objectives. The adjusted salary gap compares the total remuneration received by men and women in equal positions in the Group. 25 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. For each of the positions described above, BBVA calculates the average total remuneration received by all the men and women who occupy these positions. BBVA calculates the job-adjusted salary gap as the percentage resulting from dividing the difference of the average of men's salaries minus the average of women's salaries by the average of men's salaries. BBVA Group's adjusted salary gap is calculated as the weighted average of the gaps obtained in each of the positions. Total remuneration includes fixed remuneration and target annual variable remuneration (target bonus) linked to objectives. BBVA does not include in its calculation elements such as per diems, social benefits, etc., the amount of which is very unrepresentative of total employee remuneration, and whose award criteria and amounts are clearly defined and do not discriminate between men and women. Based on 2023 and 2022 data, the adjusted 9 pay gap is 2.1% and 3,6% respectively. The calculation of the adjusted gap includes 87.7% of BBVA, S.A. employees. The rest of the employees cannot be incorporated into the calculation because they are associated with positions in which there is no representation of both sexes. Additional information about remuneration Annual total compensation ratio BBVA calculates the annual total remuneration ratio for BBVA, S.A. employees located in Spain, as well as for employees located in Mexico, Turkey, Peru, Colombia, Argentina, Uruguay and Chile. located in Spain, and for employees located in Mexico, Turkey, Peru, Colombia, Argentina, Uruguay and Chile, as the ratio of the annual total remuneration (fixed remuneration plus accrued variable remuneration and pension contributions) of the highest paid person in each of the geographic areas to the average annual total compensation (fixed remuneration plus accrued variable remuneration and pension contributions) of all employees in the same geographic area, taking the annualized full-time remuneration and excluding the highest paid person. The annual total compensation ratios for the 2023 and 2022 financial years are 126.0 and 130,9 respectively. Ratio of standard entry-level wage by gender compared to local minimum wage The standard initial category is the lowest full-time employment category. In BBVA, this category is established by level and by nature of the function to be performed, and does not distinguish by gender. The minimum local salary is the minimum legal amount established in each of the geographic areas which each employee has a right to be remunerated for services rendered.BBVA calculates the standard entry level wage ratio as the quotient of the entry level wage between the minimum wage. In 2023 the entry remuneration of BBVA, S.A. In Spain it was 1.3 times higher than the legal minimum wage for both men and women (in 2022, 1.3 times higher). Pensions and other benefits BBVA has social welfare systems that are differentiated according to geographical areas and coverage offered to different groups of employees, with no differences based on gender or any other type of personal circumstances. In general, the social welfare system is a defined contribution system for retirement. The Group’s Pension Policy is compatible with the Company’s business strategy, objectives and long-term interests. Contributions to the social security systems of the Bank's employees are made within the framework of labor regulations and individual or collective agreements applicable to each entity, sector or geographical area. The calculation bases on which the benefits revolve (commitments for retirement, death and disability) reflect fixed annual amounts, with no temporary fluctuations derived from variable components or individual results. As for the rest of the benefits, the Bank has a benefits package for employees within its specific remuneration scheme, without applying differences based on gender or personal differences of any other type. In 2023, in Spain the Bank made a payment of €23.08million euros (21.2 million euros in 2022) for savings contributions to pension plans and life and accident insurance premiums, of which 11,95 million euros related to contributions to men and 11,13 million euros to that of women (in 2022, 11.3 million euros and 9.8 million, respectively). On average, the contribution received by each employee is 1.095 euros in the year (1,179 euros for men and 1,017 euros for women) compared to 1,032 euros in 2022 (1,143 euros for men and 927 euros for women). Additionally, in Spain, the Bank has launched a new voluntary pension system for employees. Based on the members, a payment of 14.2 million euros has been made in 2023, of which 8.8 million euros correspond to men and 5.5 to women. On average, for this voluntary system, the contribution received by each employee is 1,374 euros per year. These payments account for more than 95% of pension spending in Spain, excluding individual systems. 26 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 9 For this calculation, the median is used, since this statistical indicator is less affected by the presence of biases in the distribution of extreme values and better represents the real situation of the Bank. 2.4 Information on social matters Contribution to the Community In the area of contributing to the inclusive growth of the societies in which the Group is present, BBVA has the Community Investment Goal 2025, whereby it will allocate 550 million euros between 2021 and 2025 to social initiatives to support the inclusive growth of these societies. The objective of this plan is for these initiatives to reach 100 million people by 2025. Specifically, it will support five million entrepreneurs, contribute to the financial literacy training of two million people and help more than three million people gain access to quality education. This plan is structured around three main areas of action and aims to contribute to the achievement of certain Sustainable Development Goals (SDGs): – Reduce inequality and promote entrepreneurship (SDGs 8 and 10): it includes initiatives that provide access to basic goods and services needed to improve people's social well-being; financial literacy training and digital training to empower the population, improve their financial resilience and promote financial inclusion, employability and digital security. It also includes support for vulnerable entrepreneurs through the activities of the BBVA Microfinance Foundation and other support programs for SMEs and entrepreneurs. – Create opportunities for all through education (SDG 4): includes programs to reduce the digital education gap, scholarships to support access to quality education, programs for the development of values and competencies, programs to support higher education and vocational training. It also includes collaboration initiatives with public education systems and the creation of free, quality content that is disseminated through the Group's various channels, and – Support research and culture (SDGs 9 and 11): includes initiatives to support researchers and creators in the fields of science, culture or economics, support for leading cultural institutions and scientific dissemination. Additionally, in 2023, BBVA launched a social response plan after the earthquake, which took place in Turkey and Syria on February 7, in order to help alleviate the effects of the humanitarian emergency. Among the measures stand out: the donation of 650 million Turkish Liras (approximately 20 million euros) in favor of the AFAD (Presidency of Disaster and Emergency Management of the Ministry of the Interior of the Government of Turkey) and the launch of a donation campaign in favor of the Red Cross that has channeled donations from employees, customers and non-customers in Spain worth 1.66 million euros through Bizum. In 2023, BBVA S.A. allocated 28.14 million euros 10 to investment in the community (29.3 million euros in 2022). Through this contribution, 32.42 million people 11 have been reached (38.2 million in 2022). In particular, among the direct beneficiaries, 1,341 entrepreneurs have been supported, 3,796 people have been trained in financial education and 72,412 people have participated in educational programs (in 2022 1,760, 3,769 and 92,419, respectively). Additionally, in the area of contribution to the community, BBVA develops other relevant initiatives such as volunteer activities, alliances with environmental organizations, support for non-profit organizations, the promotion of corporate responsibility through its participation in different working groups and participation in initiatives (SDG 17) Below, the investment and people reached (in percentage) of the Commitment to the Community in 2023 are broken down by focus of action, which have been described at the beginning of this section: CONTRIBUTION TO THE COMMUNITY (INVESTMENT) BY FOCUS. 2023 CONTRIBUTION TO THE COMMUNITY (PEOPLE REACHED) BY FOCUS. 2023 27 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 10 The total figure is an estimated figure, of which 84% is the actual investment figure as of October 31, 2023 and 16% is an estimate of the investment made in the months of November and December 2023. 11 The people reached data is estimated, 84.8% of the figure is the actual number of people reached as of October 31, 2023 and 15.2% corresponds to the estimate of people reached in the months of November and December 2023. Below is a breakdown by type of people reached of the Community Contribution in 2023 and 2022 by focus of action: PEOPLE REACHED BREAKDOWN BY TYPE AND FOCUS AREAS (MILLIONS OF PEOPLE) (1) Direct beneficiaries (2) Indirect beneficiaries (3) Unique users (4) Focus area/Type of people reached 2023 2022 2023 2022 2023 2022 Reduce inequalities and promote entrepreneurship 0.07 1.37 0 — — — Create opportunities for all through education 0.10 0.09 — — 32.20 36.70 Support research and culture 0.03 0.02 — — 0.02 0.01 (1) The data on people reached are estimates, 84.8% of the figure is the actual data of people reached as of October 31, 2023 and 15.2% corresponds to the estimate of people reached in the months of November and December 2023. (2) People who directly participate in the programs and initiatives developed or promoted by BBVA and who therefore receive a direct benefit. (3) People who are related to the participate in the initiatives and programs promoted and developed by BBVA and who receive an indirect benefit. (4) People who access free and quality content on various BBVA platforms. Other contributions to society With regard to contributions to foundations and non-profit entities, the figure for BBVA S.A in 2023 stood at 11.1 million euros (8.6 million euros in 2022). In 2023, BBVA made: – 52 contributions to foundations and other non-profit social entities with social purpose in the amount of 3.5 million euros, which include both one-time contributions and those contributing to social programs (in 2022, 19 donations in the amount of 1.7 million euros). – 74 contributions (not donations) to foundations and other non-profit social entities in the amount of 1.5 million euros (in 2022, 53 contributions in the amount of 2 million euros), including association and sponsorship actions. – 293 contributions, of a non-social nature (dues, institutional contributions and commercial sponsorships), to foundations, business associations, lobbies, think-tanks and other non-profit entities in the amount of 6.1 million euros (in 2022, 207 contributions, of a non-social nature in the amount of 4.9 million euros). Volunteer work In the General Sustainability Policy, BBVA states its willingness to promote a corporate culture of social and environmental support by facilitating the conditions for its employees to carry out volunteer actions. This policy is applied in all countries in which the Group is present. BBVA's corporate volunteering initiatives encourage employee collaboration to generate a relevant social impact, increase their sense of pride in belonging, satisfaction and productivity, and position BBVA as a benchmark company in corporate volunteering, thus increasing its attractiveness to both existing and potential employees. Volunteering is a key element in developing the approaches and lines of work of the Community Investment Goal 2025 (explained above in the section "Contribution to the community"). In fact, this is in line with the Agenda for Sustainable Development 2030, which has explicitly recognized voluntary work as a vehicle for the sustainable development and voluntary work groups as actors for achieving the seventeen SDGs. In addition, volunteering activities are aligned with BBVA's Purpose and values. Overall, 1,988 BBVA employees participated in volunteer initiatives during 2023 (8,637 in 2022), having dedicated more than 8,475 hours (65% during working hours and 35% outside working hours). The time spent by employees in 2023 is equivalent to a contribution of 265,053 euros (429,044 euros in 2022). Compliance The BBVA Group's commitment to carrying out all its activities and businesses in strict compliance with current legislation at all times and in accordance with strict standards of ethical behavior, with a detailed description of the key elements of its compliance system (such as Mission and scope of action, Organization, internal governance and management model as well as the established policies and procedures, among other things) as well as the procedures, processes and policies applicable in matters of conduct in the securities markets, the protection of personal data, other standards of conduct and the criminal prevention model are described in the "Compliance" section within the Chapter "Governance" of BBVA Group’s Consolidated Management Report and are developed in the Bank through local functions in Spain. 28 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Prevention of money laundering and terrorist financing Anti-money laundering and financing of terrorism (AML/FT) is an indispensable requirement for preserving corporate integrity and one of its main assets: the trust of the people and institutions with which the Group interacts (mainly customers, employees, shareholders and suppliers) in the different jurisdictions where it operates. BBVA pays special attention to compliance with AML/FT regulations and those relating to restrictions imposed by national and international bodies for operating with certain jurisdictions and individuals or corporations. The BBVA Code of Conduct establishes the basic guidelines for action in this area. As a consequence of the above, as a global financial group with branches and subsidiaries that operate in numerous countries, BBVA applies the Compliance model described above for AML/FT risk management in all entities that make up the Group. This model also incorporates the local regulations of the jurisdictions in which BBVA is present, the best practices of the international financial industry in this matter and the recommendations issued by international organizations, such as the International Financial Action Group (FATF). The Group is continuously developing this risk management model. Thus, the risk analysis carried out annually make it possible to reinforce controls and establish, if necessary, additional mitigating measures to strengthen it. In 2023, the Group's affected counterparties carried out this AML/FT risk assessment exercise, under a common methodology and the supervision of the corporate AML/FT function. As part of the AML/FT Function’s Strategic Plan, in 2023, BBVA has created a global financial crime prevention unit, a pioneer in the Spanish banking industry. With a holistic vision, focused on prevention and the protection of its customers, the objective of this new unit is to reinforce the prevention of financial crime, integrating fraud responsibilities and AML/FT processes related to the identification, alert management and analysis of suspicious transactions, which must be managed by the first line of defense. In the belief that technology and data are essential to implement an effective AML/FT program and for the proactive protection of customers, the entity itself and society, the improvement of the technological infrastructure and the use of advanced analytical techniques and models constitute fundamental lines of work in the aforementioned Strategic Plan. With regard to technological infrastructure, in 2023, following the creation of the global financial crime prevention unit, a Strategic Plan was defined for the transformation of fraud prevention, money laundering and terrorism financing. As regards AML/FT, the monitoring tool implemented in Spain, Mexico and Turkey will be deployed in Argentina, Colombia and Peru in the short term. For the medium term, work has begun in two lines: to seek tools with even more advanced monitoring capabilities and to implement advanced analytics capabilities and artificial intelligence . In terms of data exploitation, the Group continues to develop different applications of new data-based technologies (artificial intelligence, business analytics, etc.) to complement the AML/FT processes in order to (I) enhance risk detection capabilities; (II) increase the efficiency of these processes; and (III) enhance analysis and investigation capabilities. Additionally, and leveraged on the creation of a global Compliance data model, during 2023 progress has been made in the creation of a global supervision model, which allows centralized analysis over the AML/FT processes. During 2023, BBVA continued to tighten internal corporate regulations (including financial sanctions, risk assessment, customer admission and due diligence measures, Customer Risk Rating (allocation of AML risk to customers), cross-border correspondent banking or admission and maintenance of relationships with publicly accountable persons). The Internal Control Body, which BBVA has at the corporate level, meets periodically and supervises the implementation and effectiveness of the AML/TF risk management model in the Group. This supervision scheme is also replicated at the local level through the corresponding committees in each geographic area. Likewise, the assignment of greater powers to the Global Internal Control body and the creation of an Operational Internal Control Body, which globally manages more operational aspects, represent progress in improving governance and the traceability of the decisions adopted for the day-to-day AML/FT risk management. In 2023, the BBVA, S.A. resolved 4,127 investigation files that resulted in 1,452 suspicious transaction reports sent to the corresponding authorities in Spain. In terms of training related to AML/FT, each of the BBVA Group entities offers an annual training plan for employees. This plan, defined according to the needs identified, establishes training actions such as face-to-face or e-learning courses, videos, brochures, etc. for both new hires and employees on staff. Likewise, the content of each training action is adapted to the target group, including general concepts derived from the regulation of applicable AML/FT standards, both internal and external, as well as specific issues that affect the functions performed by the target group of the training. In 2023, 2,563 attendees participated in AML/FT training activities. This figure includes 1,875 employees belonging to the most sensitive groups from the perspective of AML/FT, who received an enhanced level of training. In addition to the reviews performed by the Compliance Testing teams, the AML/FT risk management model is subject to continuous independent review. This review is complemented by internal and external audits and those carried out by local supervisory bodies, both in Spain and in other jurisdictions. In accordance with Spanish regulations, an external expert conducts an annual review of the AML&FT program implemented in Spain. In 2023, this external expert concluded that "in general terms and taking into account the type of deficiencies detected, the BBVA Group's procedures in Spain are in line with current legislation and best market practices". The Internal Control Body, which BBVA has at corporate level, meets periodically and supervises the implementation and effectiveness of the Group's AML&FT risk management model. This supervision scheme is also replicated at the local level, through the committees corresponding to each geographical area. 29 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. It should be noted that BBVA cooperates with the different government agencies and international organizations in this field: participation in various committees of the European Banking Federation (Executive Committee Financial Crime Strategy Group, Anti- Money Laundering & Financial Crime Committee and Financial Sanctions Expert Group), member of the KYC/RBA (Know Your Customer / Risk-based Approach) and Information Sharing working groups of the European Banking Federation, member of the AML Working Group of the Institute of International Finance (IIF), participation in initiatives and forums aimed at increasing and improving exchanges of information for AML&FT purposes, such as the Europol Financial Intelligence Public Private Partnership (EFIPPP), participation in the "UNODC (United Nations Office on Drugs and Crime) private sector dialogue on disruption of financial crimes related to forestry crimes" as well as contributions to public consultations issued by national and international bodies (Committee, European Commission, European Banking Authority and FATF-FATF (Financial Action Task Force), among others) Anti-corruption information A key element in the management of Conduct risk at BBVA is the Group's General Anti-Corruption Policy (whose update was approved by the Bank's Board in 2023), which is the standard on which the Corruption Prevention Program is based and develops the principles and guidelines set out, mainly, in section 5.3 of the Code of Conduct. The Policy is in line with the spirit of national and international standards on the matter, taking into consideration the recommendations of international organizations for the prevention of corruption and those established by the International Organization for Standardization (ISO). This Policy has been communicated again to 100% of the employees and to all members of the governing bodies of the main subsidiaries of the Group. Regarding the communication of the Anti-Corruption Policy to third parties, BBVA released a public statement summarizing its contents through the shareholders' and investors' website. Additionally, BBVA makes the Code of Conduct available to its suppliers on the supplier portal, which in section 5.3 includes information on BBVA’s Anti-Corruption Policy. The Group's General Anti-Corruption Policy is developed through various specific internal regulations that establish guidelines for action and precautions in cases in which the risk of corruption could eventually materialize (i.e. Standard for the Acquisition of Goods and Contracting of Services, Corporate Standard for Gifts and Events, regulations regarding the granting of donations and commercial sponsorships, for example). In line with the above, BBVA generally has a clause in its contracts in which suppliers undertake to comply with applicable anti- corruption legislation. BBVA anti-corruption framework is composed of the aforementioned regulatory body, and, in compliance with the crime prevention model, has a program that includes the following elements: (i) a risk map; (ii) a specific governance model; (iii) a set of mitigation measures aimed at reducing these risks; (iv) procedures for action in the event of the emergence of risk situations; (v) training and communication programs and plans; (vi) indicators aimed at understanding the situation of risks and their mitigation and control framework; (vii) a whistleblower channel; and (viii) a disciplinary regime. In relation to the evaluation of corruption risk in the Group, several types of transactions were evaluated: (i) 4,127 operations out of a total of 5,389 (76.58%) in relation to AML&FT risk (for the number of communications made to the corresponding authorities, see previous section on " Anti-Money Laundering and Financing of Terrorism"); (ii) with respect to internal fraud risk, a total of 59 (100%) operations have been analyzed; and (iii) from the AML&FT and Corruption risk side, 1,301 out of a total of 1,301 third parties evaluated in the Group's procurement processes (100%) have been evaluated. In addition, in recent years, anti-corruption risk assessments were conducted on banks in the main geographical areas in which the BBVA Group operates. According to the overall result of this analysis, it was concluded that the control framework for corruption risk in the BBVA Group is adequate. In relation to the training program on the prevention of corruption, BBVA has a corporate online course in most of the jurisdictions in which BBVA is present, which is mandatory and recurrent for all BBVA employees. At the close of the 2023 financial year, this course had been taken by a total of 21,073 (97.1%) employees in Spain. Data protection BBVA has privacy policies or notices in accordance with current legislation. These policies or notices explain how BBVA collects and treats the personal data of its customers, suppliers, and employees, as well as other individuals whose personal data is processed, and how they can exercise their rights in this area. These privacy policies or notices are subject to periodic review and updating, based on the applicable regulations, as well as the BBVA Group's General Privacy and Data Protection Policy and the Corporate Standard on Personal Data Protection. During the year 2023, the Personal Data Protection unit, integrated in the Compliance area and led by the Data Protection Officer (DPO), has continued to promote supervision and control processes to ascertain the degree of application of data protection regulations and, where appropriate, to promote the necessary actions for their proper application. This has been implemented through (I) the reinforcement of the global regulatory framework, as well as rules and procedures of local application, and the review of personal data protection governance, (II) the development and adaptation of tools to help implement control and compliance processes in Spain and other countries (III) the review of relevant processes, as well as (IV) the follow-up and resolution of the recommendations resulting from the audit and Compliance Testing activities (carried out by specially dedicated teams in the Compliance units) carried out in this area. 30 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Tax contribution The principles that guide BBVA's tax actions are not removed from its responsible and sustainable way of understanding finance and banking. In the tax area, in addition to providing legitimate added value to investors, BBVA's actions must also address other stakeholders and must align with the values and commitments that it has undertaken with society in order to bring the age of opportunities to everyone. As such, the principles that guide its action are: – Integrity. in the tax sphere, integrity is defined as the observance of the letter and spirit of the law and the maintenance of a cooperative and good faith relationship with the various tax administrations. – Prudence. In the tax context, BBVA always assesses the implications of its decisions beforehand, including, among other assessments, the impact that its activity may have in the geographical areas in which we operate. – Transparency. In the tax area, BBVA provides information on its activity and its approach to taxation to customers and other stakeholders in a clear and accurate manner. – Achievement of a profitable and sustainable business in the long term. The tax function will provide proactive support to the Group's business areas, taking into account our explicit commitment to the payment of taxes, respect for human rights, prudence in risk management, and a horizon of generating recurring and sustainable results over time. – Long-term value creation for its stakeholders. The tax function is aware of the impact of its decisions not only for the BBVA Group, but also for society as a whole, and will therefore take into consideration, from a tax perspective, the interests of its different stakeholders. – Compliance with applicable legislation at all times. This compliance extends not only to the letter but also to the spirit of the rule, refraining from any kind of abuse of the law or any unreasonable interpretation. In addition, the Board establishes in this General Policy the guidelines for monitoring compliance. BBVA is committed to transparency in paying taxes and this is the reason why, for yet another year, the it voluntarily breaks down the total tax contribution in countries in which it has a significant presence. The total tax contribution of BBVA, S.A. (Total Tax Contribution - TTC Report) includes both own and third-party payments made by BBVA, S.A. and its branches abroad for corporate income tax, VAT, local taxes and rates, personal income tax withholdings, social security taxes, as well as payments made during the year for tax litigation relating to the aforementioned taxes. GLOBAL TAX CONTRIBUTION (BBVA SPAIN. MILLIONS OF EUROS) 2023 2022 Own taxes 2,118 1,395 Third-party taxes 1,378 1,312 Total tax contribution 3,496 2,707 Offshore financial centers As a result of the express policy on activities in permanent establishments domiciled in offshore financial centers, the Bank closed in 2018 the branch it had in the Cayman Islands and, therefore, does not have activities in offshore financial centers. 31 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Other tax information by countries TAX INFORMATION BY COUNTRIES (BBVA, S.A. MILLIONS OF EUROS) 2023 2022 CIT payments cash basis CIT expense consol Profit (loss) before CIT Subsidies CIT payments cash basis CIT expense consol Profit (loss) before CIT Subsidies Germany 21 4 25 — 19 10 30 — Argentina 4 — — Belgium 1 1 5 — — — 2 — Chile 2 — — — 2 — — — China (1) 16 6 30 1 1 6 35 1 Colombia 4 — — — 2 — — — Spain (2)(3) 828 600 4,918 — 534 255 4,694 — Of which: Tax Group 6 370 — — 6 393 — Subsidiaries 78 2,984 — — 55 2,930 — Impairment of Garanti 132 — — — 647 — The United States 66 53 191 — 22 21 122 — France 27 17 79 — 25 13 51 — Italy 50 32 95 — 11 33 110 — Japan — (3) — — — (1) — Netherlands 2 — — — 3 — — — Paraguay — — — — — — — — Peru 5 — — — 4 — — — Portugal 7 1 66 — 4 (1) 45 — The United Kingdom 19 23 101 — 15 7 55 — Switzerland 4 — — — 4 — — — Singapur 2 4 26 — 3 3 20 — Taiwan — 13 — — 1 1 — Turkey 18 — — — 3 — — — Total 1,076 740 5,547 — 651 347 5,163 — (1) Includes Hong Kong and Shanghai branches (2) Including dividends from foreign subsidiaries which are taxed in their home country. See Note 4 of Dividends of the Financial Statements. (3) The PBT includes the capital gain generated in 2021 as a result of the sale of the US business, which is classified in the income statement under the heading "Profits (losses) after taxes from discontinued operations ". Likewise, the balance of "Corporate tax expense" in Spain is highly conditioned because it includes the tax effects associated with the sale of the US, which is classified in the income statement under the heading "Profits (losses) after tax from discontinued operations". The amounts of "Corporate income tax cash payments" are highly conditioned and derive fundamentally from the methodology for calculating the installment payments provided for in the regulations governing corporate income tax in the different geographical areas, producing differences between the installment payments made in the current year and the refund of installment payments from previous years that may result once the definitive tax returns have been filed. In this respect, it should also be noted that it is normal for there to be differences between the amounts of "Corporate income tax cash payments" and "Corporate income tax expense", since the tax paid in the year is not necessarily directly related to the pre-tax profit existing in a jurisdiction, but takes into account the tax payments (and refunds) in respect of the profits obtained in previous years, as well as the installment payments made in the current year and the withholding of input taxes. However, the "Corporate income tax expense" for the current year is more directly related to the pre-tax profit for a given year. In 2023, the Bank, as well as BBVA Group, has not received any public aid directed to the financial sector aimed at promoting the development of the banking activity and which is significant, as mentioned in Annex XII - Annual Banking Report of the Consolidated Financial Statements of BBVA Group. 32 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Commitment to human rights BBVA supports respect for internationally recognized human rights and this is reflected in the relationships that it establishes with its customers, suppliers, employees and the communities in which it conducts its business and activities. This support is framed within the Group's General Sustainability Policy and is aligned with its Code of Conduct. It also takes the United Nations Guiding Principles on Business and Human Rights as a point of reference. Since 2022, BBVA has adopted an active role within the ambit of future EU legal initiatives. Within the framework of its participation in the Working Groups on Sustainable Finance of the European Banking Federation (EBF), in the European Financial Markets Association and in the European Financial Services Roundtable, BBVA contributes to the development of sectorial positions on various community initiatives. We played an important role of dialogue and accompaniment with the European regulator in relation to the proposed directive on corporate due diligence in sustainability matters. BBVA also forms part of the EBF advisory group on diversity and inclusion. BBVA identifies the social and labor risks derived from its activity in the different areas and countries in which it operates in order to manage their possible impacts through processes designed specifically for this purpose, or through already existing processes which integrate the human rights perspective. For additional information on the Equator Principles, see section “Management of indirect environmental and social impacts” of this report. On the other hand, the methodology for evaluating BBVA's reputational risk, which is mentioned in the "Reputational risk" section of the "Risk management" chapter of the BBVA Group's Consolidated Management Report, is an essential complement to this management. 33 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 2.5 Information on suppliers BBVA provides complete and transparent information to its suppliers in the procurement processes, ensuring compliance with the legal framework in force in all areas, including: tax, labor and environmental matters, human rights, and stimulating the demand for socially responsible products and services. As a part of the procurement process, BBVA suitably manages the impacts, both real and potential, that may be generated by its activity through a series of mechanisms and rules: the General Procurement Principles, a supplier evaluation process and the Corporate Rules for the Acquisition of Goods and the Contracting of Services. These impacts may be: environmental; caused by labor practices carried out in supplier companies; a result of the absence of freedom of association; or related to human rights. The General Procurement Principles and the BBVA Code of Ethics for Suppliers establish the fundamental guidelines that must be followed by all suppliers with which any company or entity of the Group has dealings. – The General Procurement Principles establish, among other aspects, that it is necessary to ensure compliance with all applicable legal requirements throughout the provisioning process regarding human, labor, association and environmental rights by all parties involved in this process, as well becoming involved in the Group's efforts aimed at preventing corruption. It also ensures that the selection of suppliers remains in compliance with existing internal regulations at all times and, in particular, with the values of the Group's Code of Conduct, based on respect for legality (among other matters, those related to anti-corruption), commitment to integrity, competition, objectivity, transparency, value creation, confidentiality, continuous improvement and segregation of duties. – Through the implementation of the Supplier Code of Ethics in the purchasing units of all countries in which the Group is present, minimum standards of conduct in terms of ethical, social and environmental matters were established which suppliers are expected to follow when providing products and services. The clauses of the contracts include the supplier's obligation to comply with the provisions of the BBVA Group's Code of Conduct and Code of Ethics for Suppliers in force at any given time. BBVA understands that integrating ethical, social and environmental factors into its supply chain is part of its responsibility. The purchasing function is based on three core pillars of the procurement model: – Service, maximizing the quality and experience of the internal customer, who is accompanied throughout the process. – Risk, limiting the Group's operational risk in contracts with suppliers, thus ensuring compliance with regulations and processes and incorporating sustainability in the Group's procurement processes. – Efficiency, contributing to the Group's efficiency by the proactive managing costs and suppliers. The following is the basic data on suppliers at the end of 2023 and 2022: ESSENTIAL DATA ABOUT SUPPLIERS (BBVA SPAIN) 2023 2022 Number of third parties (1) 1,058 1,033 Volume provided by suppliers (millions of euros) (1) 2,674 2,408 Suppliers satisfaction index (2) 82 n.a Number of approved suppliers (3) 1,301 1,425 General note: Third party is that natural or legal person with whom there is a payment obligation. Supplier is the third party with whom the BBVA Group maintains a contractual relationship for the supply of goods and services. n.a.: not applicable. (1) Payments to third parties. Suppliers lower than €100.000 are not included. (2) Suppliers Net Promoter Score. Obtained based on the results of a satisfaction survey that is carried out every 2 years among Group suppliers that have more than €10,000 in awards and €100,000 in billing. It is calculated as the difference between the average number of promoters, who have answered 9 and 10 out of a maximum of 10, to the question whether they would recommend working with the Purchasing area, and the average number of detractors whose answers have gone from 1 to 6 on the question. same question. (3) In 2022 and 2021, the figure includes suppliers with materiality of more than 10,000 euros (in 2020, suppliers of 100,000 euros) evaluated in GPS from Spain. Of a total of 1,446 suppliers evaluated: 1,425, 99%, were suitable and 21, 1%, were not suitable, with whom work is stopped immediately or an exit plan is established, whenever possible, with a period migration to stop working with the provider. The average payment period to suppliers in Spain during the financial year 2023 is 23 days 12 below the legal maximum term of 60 days established in Law 15/2010 of July 5, which establishes measures to combat late payment in commercial transactions. The calculation of the average payment has been made in accordance with the provisions of said law. BBVA has technological platforms that support all phases of the Group's procurement process, from budgeting to recording and accounting for invoices. Moreover, BBVA has a supplier portal that facilitates the Group's online relationship with its suppliers. The BBVA's supplier evaluation process covers the review of several key aspects including financial, legal, labor, reputational, anti- corruption and anti-money laundering measures, concentration and country risks, sustainability, data protection and customer protection. The analysis of these aspects is aimed at mitigating potential risks in contracting with third parties, as well as verifying that they comply with their legal obligations, in turn allowing them to promote their civic responsibilities and validate that they share the same values as the Group in terms of social responsibility. 34 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 12 The ratio is calculated as the arithmetic mean of the days of payment of invoices paid to suppliers. In 2023, BBVA implemented a sustainability module as part of the supplier evaluation process. The module covers a broad spectrum of sustainability aspects evaluated: (I) compliance with environmental and social regulations, (II) management and measurement of environmental impacts, (III) human rights, (IV) control structures, (V) sustainability reporting, and (VI) ESG assessment of the supplier's own supply chain. During 2023, the model has been calibrated to adjust it to the different types of suppliers that the Group has. Supplier evaluation is reviewed periodically and is subject to continuous monitoring. As of December 31, 2023, the percentage of contract awards made to evaluated suppliers reached 98.6%. As of December 31, 2023, 98.6% of the total number of BBVA third parties (representing 91.3% of total revenue) corresponds to local third parties, thus contributing to economic and social development. The Bank defines a local third party as one whose tax identification coincides with the country of the company receiving the good or service. Finally, it is worth noting that in fiscal year 2022, the Internal Audit area conducted evaluations of suppliers regarding the procurement processes for goods and services in different areas and the service provided by certain suppliers, generally outsourcing suppliers. These are risk-based assessments, and reviews are carried out according to a defined internal methodology. The supplier evaluation process was audited with a favorable result and the recommendations fully implemented in 2022. 35 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 2.6 Report on climate change and other environmental and social issues Sustainability is governed by the principle of ensuring the needs of the present without compromising the needs of future generations, always without sacrificing environmental protection, economic growth and social development. In accordance with its General Sustainability Policy, BBVA faces the challenge of "sustainable development" (or "sustainability" in general) from a holistic perspective, taking into account environmental, social and governance (hereinafter "ESG") aspects. BBVA aims to generate a positive impact through the activities of its customers, its own activity, as well as its relationship and support to society, to make its Purpose of "Making the opportunities of this new era available to all" and deliver on its strategic priority "Helping our customers in the transition to a sustainable future". Environmental The fight against climate change represents one of the greatest disruptions in history, with extraordinary economic consequences, to which all actors in our environment (governments, regulators, companies, consumers and society in general) must adapt. BBVA understands the environmental dimension of sustainability as the management of the impacts, risks and opportunities linked to the fight against climate change, the transition to a low-carbon economy and the protection and regeneration of natural capital. Social Companies are key players in the development and progress of societies. BBVA understands the social dimension of sustainability as the management of impacts, risks and opportunities in relation to its customers, employees, suppliers, communities affected by its activity and society in general. In accordance with the provisions of Law 7/2021, of May 20, on climate change and energy transition (hereinafter, Law 7/2021), BBVA incorporates its Climate Change Report into the Group's Management Report, which accompanies the Consolidated Annual Accounts corresponding to the financial year 2023 and includes, among others, the content provided for in article 32 of Law 7/2021 and its implementing regulations This Report on climate change and other environmental and social issues of Banco Bilbao Vizcaya Argentaria, S.A., which forms part of its Individual Management Report, includes by reference the sections of the Consolidated Climate Change Report that appears in the Consolidated Management Report of BBVA Group, since these sections contain additional and complementary information to obtain a better understanding of the Bank, the BBVA Group and their respective actions in the matters required by article 32 of Law 7/2021, as shown in the table: Non-financial Information Report. Contents index of the Law 7/2021, of May 20, about climate change and energetic transition Topic Reporting criteria Response included in BBVA Group's consolidated management report Govern Governance structure of organization, including the role that its various bodies perform, in relation to the identification, evaluation and management of risks and opportunities related to climate change. 5. Other information/5.2 Organizational Chart NFIS/2.1.6 Governance model Strategy Strategic approach, in terms of adaptation and mitigation of the entities to manage the financial risks associated with climate change, taking into account the current risks at the time of writing the report, and those that may arise in the future, identifying the actions necessary at that time to mitigate such risks. NFIS/2.1.1 ESG strategy and objectives Impacts The real and potential impacts of risks and opportunities associated with climate change on the organization's activities and its strategy, as well as on its financial planning. NFIS/2.1 Sustainability in BBVA Group NFIS/2.2 Environmental Risk management The processes for identifying, evaluating, controlling and managing climate- related risks and how these are integrated into its global business risk analysis and its integration into the organization's global risk management. NFIS/2.2.2 Management of risks associated with climate change and environmental factors Metrics and goals Metrics, scenarios and objectives used to assess and manage important risks and opportunities related to climate change and, if calculated, the scope 1, 2 and 3 of its carbon footprint and how its reduction is addressed . NFIS/2.1 Sustainability in BBVA Group NFIS/2.2 Environmental The calculation of scope 1, 2 and 3 of the carbon footprint and how BBVA Spain deals with its reduction, as well as other aspects related to direct and indirect impacts, are broken down in the section “Management of direct and indirect impacts” below. 36 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Management of direct and indirect impacts As a financial institution, BBVA has a direct impact on the environment and society through its use of natural resources and its relationship with its stakeholders. Management of direct environmental impacts BBVA has a clear commitment to society and the environment. Thus, the global strategy for managing direct environmental impacts is structured around three main axes: – (I) Calculation of the environmental footprint, including the expansion of the scope of carbon footprint calculation with new categories 13 reported by 2023: – 3.1: Goods and services acquired, including credit card transportation and distribution, cash management services, and storage and logistics services. – 3.2: Capital goods. – 3.3: Activities related to the consumption of fuels and energy not accounted for in scope 1 or 2. – 3.13: Downstream leased assets. Includes emissions from buildings owned by BBVA rented to third parties. The remaining Scope 3 categories not included in the footprint calculation (except for 3.15, corresponding to financed emissions) are considered either not material or not applicable due to the nature of the BBVA Group's business. – (II) Reduction of environmental impact, including: the reduction of consumption through energy efficiency initiatives and water and paper consumption, the use of electricity from renewable sources, and the awareness and involvement of employees and other stakeholders on the path towards a low-carbon economy. – (III) Purchase and retirement of carbon credits for an amount equivalent to Scope 1, 2 and part of Scope 3 emissions (category 5 waste, category 6 emissions from business travel and category 7 employee commuting to work) 14 in quality projects. In addition, BBVA collaborates in the development of Voluntary Carbon Markets through its participation in initiatives with regulators and other stakeholders. Likewise, BBVA also contributes to the development of new and innovative low-carbon technologies through investments in climate capital funds focused on decarbonization, investing in technologies with enormous potential impact (more details in the section "Investment in climate funds" in the section "2.1.1 ESG Strategy and Objectives" of the BBVA Group's Statement of Non-Financial Information 2023). I. Calculation of the environmental footprint 1. Carbon footprint In terms of its own carbon footprint, BBVA's emissions are made up of: – Scope 1 greenhouse gas emissions, comprising direct emissions from the combustion installations of the company's own buildings (including data centers), fuel for the vehicle fleet and refrigerant gases. – Scope 2 greenhouse gas emissions, including indirect emissions related to the production of electricity purchased and consumed by buildings (including data centers) and branches. – Scope 3 greenhouse gas emissions, which include other indirect emissions. In previous years it included emissions from business travels (by plane and train), emissions from waste management and emissions from employee commuting to the workplace. This year, BBVA has expanded the calculation of its footprint, reporting the rest of the material and applicable categories due to the nature of the Group's business. Both Scope 1 and 2 emissions and Scope 3 emissions are calculated taking into consideration the GHG Protocol standard established by the WRI (World Resources Institute) and the WBCSD (World Business Council for Sustainable Development). The process of measuring and calculating the additional Scope 3 categories has been carried out with an external supplier, which follows the guidelines of the GHG Protocol Corporate Accounting and Reporting Standard and the Corporate Value Chain (Scope 3) Accounting and Reporting Standard. BBVA's environmental performance data obtained in 2023 and the evolution with respect to 2022 15 are shown in the following table: 37 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 13 In the calculation of Scope 1, Scope 2 and Scope 3 emissions (categories 5 waste management, category 6 business travel and category 7 commuting), certain BBVA Group companies in Spain and BBVA S.A. branches outside Spain, which represent 3.6% of total employees, are not included in the perimeter. The data for Scope 3 emissions corresponding to purchased goods and services (3.1) and capital goods (3.2) are calculated based on BBVA's annual turnover in Spain and include those companies whose turnover is recorded through the global technology platform that supports all phases of the procurement process in the BBVA Group in Spain, including the companies BBVA, S.A., Gran Jorge Juan, S.A. and Banco Occidental, S.A. 14 No carbon credits are purchased for an amount equivalent to the following Scope 3 categories defined in the GHG Protocol: Category 1 purchase of goods and services; Category 2 capital goods; Category 3 fuel and energy-related activities (not included in Scope 1 or 2); Category 4 upstream transportation and distribution; Category 8 upstream leased assets; Category 9 downstream transportation and distribution; Category 10 processing of products sold; Category 11 use of products sold; Category 12 end-of-life treatment of products sold; Category 13 downstream leased assets; Category 14 franchising; Category 15 investments. 15 Consumption associated with the first months of 2022 was affected by low attendance at corporate buildings as a result of the COVID19 pandemic. CARBON FOOTPRINT (BBVA SPAIN) (1) 2023 2022 (2) ∆ 23-22 Scope 1 emissions (tons CO2e)(3) 3,611 3,311 9% Emissions from fuels in facilities (t CO2e) 1,883 2,325 (19)% Emissions from vehicle fleet fuels (t CO2e) 590 612 (4)% Emissions from refrigerant gases (t CO2e) 1,139 373 205% Scope 2 emissions (tons CO2e) market-based method (4) — — n/a Scope 2 emissions (tons CO2e) location-based method (5) 22,710 25,107 (10)% Scope 1&2 emissions (tons CO2 e) market-based method 3,611 3,311 9% Scope 1&2 emissions (tons CO2 e) location-based method 26,322 28,417 (7)% Scope 3 emissions (t CO2e) (6) 325,349 14,198 n/a 3.1 Emissions from purchased goods and services (t CO2e) (7) 238,535 * n/a 3.2 Emissions from capital goods (t CO2e) 27,355 * n/a 3.3 Emissions from fuel and energy related activities (t CO2e) 12,684 * n/a 3.5 Emissions from waste management (t CO2e) (8) 75 107 (30)% 3.6 Emissions from business travel (t CO2e) (9) 14,190 6,752 110% 3.7 Emissions from employees commuting (t CO2e) (10) 28,883 7,339 294% 3.13 Emissions from downstream leased assets 3,627 * n/a Total CO2e emissions (t CO2e) market-based method 328,960 17,509 n/a Total CO2e emissions (t CO2e) location-based method 351,671 42,615 n/a Impact of emissions (Scope 1&2) (€) (11) 167,254 152,175 10% n/a: not applicable : Data reported for the first time in 2023. General note: The data indicated in this table includes data from the following entities: BBVA S.A., BBVA Asset Management S.A., SGIIC, BBVA Broker Correduría de Seguros Y Reaseguros S.A., BBVA IT España, BBVA Mediación Operador de Banca-Seguros Vinculado, S.A., BBVA Next Technologies SLU, BBVA Pensiones, BBVA RE Inhouse Compañía De Reaseguros, S.E., BBVA Seguros S.A. De Seguros Y Reaseguros, BBVA Servicios, S.A., Contents Area, S.L., Gestión de Previsión y pensiones, S.A., Gestión Y Administración de recibos S.A., GARSA, Gran Jorge Juan, S.A. and OPPLUS operaciones y servicios S.A., as well as Fundación BBVA and Fundación Microfinanzas BBVA. (1) Some of the data for 2023 are estimates since complete information for the year was not yet available at the close of the report. In the calculation of Scope 1, 2 and Scope 3 emissions corresponding to activities related to fuel and energy (3.3), waste management (3.5), business travel (3.6) and employee commuting (3.7), BBVA branches outside Spain and certain BBVA Group companies in Spain, which represent 3.6% of total employees in Spain, are not included in the perimeter. The data for Scope 3 issues corresponding to purchased goods and services (3.1) and capital goods (3.2) are calculated based on BBVA's annual turnover in Spain and include those companies whose turnover is recorded through the global technology platform that supports all phases of the procurement process in the BBVA Group in Spain, including the companies BBVA, S.A., Gran Jorge Juan, S.A. and Banco Occidental, S.A.. (2) The 2022 data differ from those published in the previous Non-Financial Information Statement because the estimates included at the end of the 2022 financial year have been replaced by the actual consumption available after the publication of said report and have been modified. certain values according to the new data. (3) Emissions derived from direct energy consumption (fossil fuels) and calculated based on the emission factors of the 2006 IPCC Guidelines for National Greenhouse Gas Inventories. For its conversion to CO2e, the IPCC Fifth Assessment Report and the IEA have been used as sources. Starting in 2021, emissions derived from the use of the vehicle fleet and refrigerant gas leaks at facilities were included in this scope, applying DEFRA emission factors to calculate CO2e emissions. (4) Refrigerant gas emissions in 2023 have increased significantly compared to those registered in 2022 due to the implementation of improvements in consumption measurement processes. (5) Emissions derived from electricity consumption and calculated based on contractual data and, failing that, on the latest available emission factors from the IEA for each country. (6) Emissions derived from electricity consumption and calculated based on the energy mix of each geographic area. The emission factors are the latest available according to IEA for each country. (7) Indirect emissions derived from business travel (plane and train), waste management and employee travel, using the emission factors published by DEFRA in 2023. (8) Purchased goods and services issues include credit card transportation and distribution, cash management services and warehousing and logistics services. (9) The implementation of the hybrid work model has meant a significant decrease in the generation of organic waste in work centers, which in turn translates into a decrease in the footprint generated by waste management. (10) The annual increase in emissions derived from business trips is due to the effect of the COVID-19 pandemic on fiscal year 2022. (11) The annual increase in emissions derived from the displacement of employees is due to the incorporation of emissions caused by the displacement of network employees in 2023 (in 2022 only the displacement of Central Services employees was taken into account). (12) The impact of greenhouse gas emissions for 2023 is calculated using only Scope 1 and 2 emissions and using the social cost of CO2 factor based on a proportional estimate of the EPA's social cost of carbon for 2020 ( 51 $/tCO2) and for 2025 ($56/tCO2), (discount rate of 3%, with exchange rate 1.166€/$). 38 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 2. Other consumption CONSUMPTION (BBVA S.A.) 2023 2022 (1) ∆ 23-22 Total water consumption (cubic meters) 211,944 187,248 13% Public water supply (cubic meters) 195,250 174,226 12% Recycled water (cubic meters) 16,694 13,022 28% Paper (tons) 743 1,486 (49)% Total Energy (Megawatt hour) (2) 160,755 175,195 (8)% Energy from renewable sources (%) 93.8% 93.0% 1% Energy from non renewable sources (%) 6.2% 7.0% (12)% General note: The data indicated in this table includes data from the following entities: BBVA S.A., BBVA Asset Management S.A., SGIIC, BBVA Broker Correduría de Seguros Y Reaseguros S.A., BBVA IT España, BBVA Mediación Operador de Banca-Seguros Vinculado, S.A., BBVA Next Technologies SLU, BBVA Pensiones, BBVA RE Inhouse Compañía De Reaseguros, S.E., BBVA Seguros S.A. De Seguros Y Reaseguros, BBVA Servicios, S.A., Contents Area, S.L., Gestión de Previsión y pensiones, S.A., Gestión Y Administración de recibos S.A., GARSA, Gran Jorge Juan, S.A. and OPPLUS operaciones y servicios S.A., as well as Fundación BBVA and Fundación Microfinanzas BBVA. (1) The data for 2022 differs from that published in the previous Non-Financial Information Report because the estimates included at the end of the 2022 financial year have been replaced by the actual consumption available after the publication of said report and certain values have been modified according to to the corrected data. (2) Includes the consumption of electricity and fossil fuels (diesel, natural gas and LP gas), except fuels consumed in fleets. Given the business activities in which the BBVA Group engages, it has no environmental liabilities, expenses, assets, provisions or contingencies that might be material with respect to its equity, financial position and results. For this reason, at December 31, 2023, the consolidated financial statements did not present any item that should be included in the environmental information document provided for in Order JUS/616/2022, of June 30, approving the new model for the filing with the Commercial Registry of the consolidated financial statements of the entities obliged to publish them. II. Reduction of environmental impact In its objective to reduce environmental impacts within the framework of Goal 2025 (Goal), BBVA set two targets: (a) to reduce 68% of scope 1 and 2 CO2 emissions compared to 2015 and (b) to consume 70% of electricity from renewable sources by 2025, both already achieved in 2023. In addition, BBVA has been a member since 2018 of the RE100 initiative, through which the world's most influential companies are committed to ensuring that their electricity is 100% renewable by 2050, although BBVA has set a more ambitious internal target of reaching that goal by 2030. In order to promote the reduction of direct impacts and the achievement of Goal 2025, in 2021 BBVA established a new Global Eco- efficiency Plan (PGE) for the period 2021-2025, defining more ambitious objectives, aligned with its climate strategy. With regard to the evolution of these indicators of the eco-efficiency plan, BBVA's environmental footprint in Spain presents very positive data with respect to the base year 2019, exceeding the defined objectives in all areas, with reductions of (18%) in electricity consumption, (18%) in energy consumption, (22%) in water consumption, (63%) in paper, (56%) in net waste (all per employee) and (17%) in scope 1 and 2 emissions (according to the market based method). The percentage of renewable electricity consumption reached 100%, and the percentage of environmentally certified surface area reached 96%. 39 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. EVOLUTION OF THE INDICATORS OF THE GLOBAL ECO-EFFICIENCY PLAN(1) (BBVA SPAIN) Values 2023 Achievement 23 (∆ 23-19) 2023 interannual GEP target Target GEP 2025 Renewable electricity 100% +0 p.p. 100% 100% Electricity consumption per employee (MWh/ Employee) (2) 5.67 (18)% (11)% (15)% Energy consumption per employee (MWh/Employee) (3) 6.04 (18)% (4)% (6)% Water consumption per employee (m3/Employee) 7.97 (22)% (17)% (21)% Paper consumption per employee (kg/Employee) 27.93 (64)% (4)% (4)% Net waste per employee (t/Employee)(4) 0.01 (57)% (13)% (14)% Scope 1&2 carbon emissions (tCO2 e)(5) 3,611.45 (17)% (6)% (6)% Environmentally certified area (%)(6) 96% +60 p.p. 40% 43% (1) Data corresponding to the last months of 2023 are estimates. The 2023 Achievement indicators for Renewable Electricity and Environmentally Certified Area are expressed as a percentage point change over the 2019 value (100% and 36% respectively). (2) Includes the sum of renewable and non-renewable electricity (per employee). (3) Includes consumption of electricity and fossil fuels (natural gas, liquefied petroleum gas (LPG), diesel and coal), except fuels consumed in fleets. (4) Net waste is total waste generated minus waste that is recycled. To obtain the 2023 achievement, the 2019 baseline data for net waste was subtracted in 2022, including the estimate of recycled waste, since its measurement was not incorporated until 2020. (5) Includes scope 1 (fuels in facilities and vehicle fleet and refrigerant gases), scope 2 market-based. In 2022 the 2015 and 2019 Scope 1 emissions baseline was subtracted, including the estimate of emissions from Refrigerant Gases and Fleet Fuels as their measurement was incorporated in 2021. (6) Includes IS0 14001, ISO 50001, LEED, Edge, WWF Green Office and Zero Waste certifications. The achievement of these indicators has been possible thanks to the following 4 action vectors: 1. Consumption With the aim of reducing BBVA's environmental footprint 16 , the following lines of actions will be implemented: – Electricity consumption: BBVA's strategy is focused on the use of renewable energy as it is the most important lever to contribute to the decarbonization of the energy markets where the Group is present. To this end, the strategy consists of reaching Power Purchase Agreements such as those already in place in Spain, Mexico, Turkey and Argentina, as well as acquiring renewable energy certificates such as Guarantees of Origin in Spain and Portugal, or International Renewable Energy Certificates (iREC) in Mexico, Turkey, Peru, Colombia and Argentina. We will also focus on the self-generation of renewable energy through the installation of solar photovoltaic and solar thermal panels at the Group's facilities, as is already happening in several of our subsidiaries in Spain, Turkey, Argentina and Uruguay. – Implementation of energy saving measures (ESM) in property management, with the aim of controlling and reducing consumption. – Initiatives to reduce water consumption, such as gray water recycling systems and the reuse of rainwater for irrigation at the headquarters in Spain and Mexico, and the installation of dry urinals in some of the buildings in Spain – Finally, digitalization and printing centralization measures to reduce the consumption of paper which, in the case of Spain, is 100% recycled or environmentally certified. 2. The circular economy Waste generation is becoming a serious problem at global level, so part of BBVA's contribution to sustainable development must consist of transitioning linear consumption practices towards circular consumption. Thus, BBVA has been working for many years to reduce this impact through sustainable construction standards or with the implementation of Environmental Management Systems certified with ISO 14001 and additionally with the implementation of Aenor's Zero Waste certification in Ciudad BBVA, headquarters of BBVA in Spain. The objective is to minimize the waste that is sent to landfills, which is why its facilities have clearly differentiated and signposted areas that allow to carry out a correct segregation and subsequent recycling of waste. 40 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 16 Certain BBVA Group companies in Spain and BBVA S.A. branches outside Spain, which represent 3.6% of the total number of employees, are not included in the perimeter. WASTE - CIRCULAR ECONOMY (BBVA S.A.) 2023 2022 (1) Hazardous waste (tons) 166 126 Recycled hazardous waste (tons) 123 97 Disposed hazardous waste (tons) 43 29 Non-hazardous waste (tons) (2) 684 1,204 Non-hazardous waste (%) 564 1,030 Disposed non-hazardous waste (tons) 120 174 General note: The data indicated in this table includes data from the following entities: BBVA S.A., BBVA Asset Management S.A., SGIIC, BBVA Broker Correduría de Seguros Y Reaseguros S.A., BBVA IT España, BBVA Mediación Operador de Banca-Seguros Vinculado, S.A., BBVA Next Technologies SLU, BBVA Pensiones, BBVA RE Inhouse Compañía De Reaseguros, S.E., BBVA Seguros S.A. De Seguros Y Reaseguros, BBVA Servicios, S.A., Contents Area, S.L., Gestión de Previsión y pensiones, S.A., Gestión Y Administración de recibos S.A., GARSA, Gran Jorge Juan, S.A. and OPPLUS operaciones y servicios S.A., as well as Fundación BBVA and Fundación Microfinanzas BBVA. (1) Hazardous waste disposed data for 2022 differs from that published in the Statement of Non-Financial Information 2022 due to a refinement of the data due to improvements in the waste measurement methodology. (2) In 2023 there is a significant decrease in the amount of non-hazardous waste due to a major waste removal in 2022 caused by the completion of construction work on a building in Spain. 3. Sustainable construction Another objective is to guarantee the implementation of the best standards, both environmental and energy, in BBVA buildings, with the aim of achieving a large percentage of environmentally certified surface area. In this sense, BBVA facilities have several construction and management certifications. Among the construction certifications, there are 5 BBVA buildings in Spain with the prestigious LEED (Leadership in Energy and Environmental Design) standard for sustainable construction. In terms of management certifications, BBVA has implemented an Environmental Management System in many of its buildings based on the ISO 14.001:2015 Standard, which is certified every year by an independent entity. Through this certification, the environmental performance in the operations of some of its buildings is monitored and evaluated. This system is implemented in 21 buildings and 13 branches in Spain. Finally, during 2023, BBVA in Spain achieved certification for 30 buildings and 1,905 branches with an Energy Management System also certified by an independent third party and meeting the ISO 50.001:2018 standard. 4. Carbon footprint The reduction of the carbon footprint is one of the objectives established within Objective 2025, for which BBVA has implemented the following initiatives: – With regard to Scope 1 and 2 CO2 emissions, the reduction of emissions comes from the strategies for reducing energy consumption and sustainable construction described in the previous sections, the replacement of fleets with traditional fuels by hybrid and electric fleets, and reaching Power Purchase Agreements, as well as the acquisition of renewable energy certificates such as Guarantees of Origin or International Renewable Energy Certificates (iRECs).. – Regarding Scope 3 CO2 emissions, BBVA is working on a series of measures not included in the Eco-efficiency Plan to reduce carbon emissions: – Waste: Through the implementation of certifications such as ISO 14,001:2015 and Zero Waste. – Employee commuting: BBVA has 284 recharging points for 100% electric and plug-in hybrid vehicles (PHEV) in its buildings in Spain available to its employees. – Business travels: an awareness initiative has begun to be deployed, communicating to different areas of BBVA the footprint generated monthly for this reason and identifying levers and alternatives to reduce emissions, thus promoting employee awareness when it comes to planning your work trips. – Suppliers: in 2023 BBVA implemented a sustainability module in the supplier evaluation process, which includes, among others, the management and measurement of their environmental impact. For more information on this module, see section "2.5 Information on suppliers" of this report. III. Purchase of carbon credits BBVA purchases and retires carbon credits in an amount equivalent to its CO2 emissions from the categories over which it has direct management capacity (i.e., scopes 1, 2 and categories 5, 6 and 7 of scope 3) 17. In order to ensure the quality of these carbon credits, BBVA has established some requirements that the selected projects must meet, among which are the obligation that theyhave to be certified under the highest quality standards such as VCS (Verified Carbon Standard by Verra), Gold Standard, American Carbon Registry (ARC), Climate Action Reserve (CAR) and Plan Vivo; and that they are CO2 absorption or capture projects. Additionally, in 2023, BBVA developed an internal Voluntary Carbon Market standard, based on best practices, to evaluate high-quality carbon credit programs and types of credits that generate a real, additional and verifiable climate impact. 41 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 17 Carbon credits are not purchased in an amount equivalent to the following Scope 3 categories defined in the GHG Protocol: Category 1 purchase of goods and services; Category 2 capital goods; Category 3 fuel and energy-related activities (not included in scope 1 or 2); Category 4 upstream transportation and distribution; Category 8 upstream leased assets; Category 9 downstream transportation and distribution; Category 10 processing of products sold; Category 11 use of products sold; Category 12 end-of-life treatment of products sold; Category 13 downstream leased assets; Category 14 franchises; Category 15 investments. The projects selected in 2023 have been a reforestation/afforestation project in Colombia (Cumare) and a set of improved forest management projects in Mexico developed by Bioforestal Innovación Sustentable S.C. (Ejido Atopixco, Ejido La Selva and Ejido Zacualtipán). Other actions In addition to the purchase of carbon credits, BBVA is contributing to the development of carbon markets through the following initiatives: – In regulated markets, BBVA participates in government auctions in the EU ETS and futures markets since January 2023. Additionally, in June 2023, BBVA inaugurated its trading desk for regulated carbon markets, allowing its customers to access the purchase and sale of credits. – In the voluntary markets, BBVA carried out a first operation on its own account to purchase carbon credits through its trading desk at the end of 2023. In addition, BBVA is one of the investors in Carbonplace, a carbon credit trading platform. – BBVA is also involved in activities and initiatives such as participation in the development of reports such as the World Economic Forum's playbook on Voluntary Carbon Markets or participation in panels and forums such as the European Roundtable on Climate Change and Sustainable Transition. In addition, BBVA is present in the Advisory Board of EEX Global Carbon Index Family and LIFE COASE, a project co-founded by the EU Life Programme of the European Commission. Likewise, BBVA also contributes to the development of new and innovative low-carbon technologies through investments in climate capital funds focused on decarbonization, investing in technologies with enormous potential impact (more details in the section "Investment in climate funds" in the section "2.1.1 ESG Strategy and Objectives" of the BBVA Group's Statement of Non-Financial Information 2023). 42 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Management of indirect environmental and social impacts BBVA addresses environmental, natural capital and social risks from the perspective of prevention and mitigation of impacts. To do this, it uses tools such as its Environmental and Social Framework or the Equator Principles, which have an environmental and social focus.. Environmental and social framework The Framework (originally approved in 2020) is prepared and coordinated within the Global Sustainability Area and is approved by its manager. Equator Principles Although financing projects in sectors such as energy, transportation and social services drives economic development and creates jobs, it also carries potential environmental and social impacts. Therefore, BBVA implements environmental and social risk assessment processes in this area to mitigate and prevent negative impacts, reinforcing the economic, social and environmental value of these financings. In 2004, BBVA adhered to the Equator Principles (hereinafter, EP), which establish standards for environmental and social risk management in project financing. Currently, in their fourth version (EP4), these principles are applied globally in all industrial sectors and cover five financial products related to projects: (I) financing advice; (II) financing; (III) corporate loans; (IV) bridge loans; and (V) refinancing and acquisition. In accordance with the EP, BBVA subjects each project under the scope of EP4 to an environmental and social due diligence analysis, considering impacts on climate change and human rights. This analysis is integrated into BBVA's internal operations structuring, admission and monitoring processes, aligning with its Environmental and Social Framework. Each operation is classified according to its risk level (categories A, B or C) and the documentation provided by the customer and independent advisors is reviewed. A specialized team at BBVA supervises and evaluates these projects, contributing to committee decisions and risk approvals. In addition, BBVA financing contracts include specific environmental and social obligations for the proper management of the project by the customer. Regarding the evaluation of human rights and according to the EP, BBVA requires due diligence on projects that may impact indigenous communities. In cases where this circumstance occurs, the free, prior and informed consent of these communities must be obtained, regardless of the geographical location of the project. It also requires, in accordance with the projects, liaison with the communities impacted by the projects. If potential risks are detected, the operation must include effective management of these risks as well as operational mechanisms for managing claims. Regarding climate impacts, in accordance with the EP, the impacts of the projects are evaluated considering scenarios as well as mitigation and management measures adopted. 43 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 2.7 Additional information Contents index of the Law 11/2018 18 Non-financial information report. Contents Index to the Law 11/2018 Page / Section Management report BBVA 2021 GRI reporting criteria Page(s) General information Business model Brief description of the group’s business model BBVA in brief GRI 2-6 GRI 2-7 2 Geographical presence and Organization and Sturcture BBVA in brief NFIS/Additional information/Organizational Chart GRI 2-1 GRI 2-6 2 53 Objectives and strategies of the organization NFIS/Information on strategy and objectives GRI 2-22 3-4 Main factors and trends that may affect your future evolution NFIS/Information on strategy and objectives GRI 2-16 3-4 General Reporting framework Non-financial information report GRI 1 3 Principle of materiality Non-financial information report NFIS/Additional information/Materiality analysis GRI 3-1 GRI 3-2 3 50-51 Management approach Description of the applicable policies NFIS/Information on strategy and objectives, Information on customers, Information on employees, Information on suppliers, Information on social matters, Report on climate change and other environmental and social issues GRI 3-3 GRI 2-25 3-43 The results of these policies NFIS/Information on strategy and objectives, Information on customers, Information on employees, Information on suppliers, Information on social matters, Report on climate change and other environmental and social issues GRI 3-3 GRI 2-25 3-43 The main risks related to these issues involving the activities of the group NFIS/Information on strategy and objectives, Information on customers, Information on employees, Information on suppliers, Information on social matters, Report on climate change and other environmental and social issues GRI 2-16 3-43 Environmental questions Environmental management Detailed information on the current and foreseeable effects of the company's activities on the environment and, where appropriate, health and safety NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 2-16 37-43 Environmental assessment or certification procedures NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 3-3 GRI 2-25 37-43 Resources dedicated to the prevention of environmental risks NFIS/Report on climate change and other environmental and social issues GRI 3-3 GRI 2-25 36-43 Application of the precautionary principle NFIS/Report on climate change and other environmental and social issues GRI 2-23 GRI 3-3 GRI 2-25 36-43 Amount of provisions and guarantees for environmental risks NFIS/Report on climate change and other environmental and social issues GRI 3-3 GRI 2-25 36-43 44 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 18 Law 5/2021 once again modifies article 49 of the Commercial Code on social and personnel issues. Those modifications are included in this content index. Contamination Measures to prevent, reduce or repair emissions that seriously affect the environment; taking into account any form of activity-specific air pollution, including noise and light pollution NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 3-3 GRI 2-25 37-43 Circular economy and waste prevention and management Prevention, recycling, reuse, other forms of recovery and types of waste disposal NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 3-3 GRI 2-25 GRI 306-2 with respect to recycling and reusing 37-43 Actions to combat food waste BBVA Group considers this indicator not to be material GRI 3-3 GRI 2-25 Sustainable use of resources Water consumption and water supply according to local constraints NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 303-5 (2018) with respect total water consumption 37-43 Use of raw materials and measures taken to improve the efficiency of their utilization NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 301-1 with respect to renewable materials used 37-43 Energy use, direct and indirect NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 302-1 GRI 302-3 37-43 Measures taken to improve energy efficiency NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 3-3 GRI 2-25 GRI 302-4 37-43 Use of renewable energies NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 302-1 with respect to renewable energies consumption 37-43 Climate change Greenhouse gas emissions generated as a result of the company's activities, including the use of the goods and services it produces NFIS/Report on climate change and other environmental and social issues/Management of direct and indirect impacts GRI 305-1 GRI 305-2 GRI 305-3 GRI 305-4 37-43 Measures taken to adapt to the consequences of climate change NFIS/Report on climate change and other environmental and social issues GRI 3-3 GRI 2-25 GRI 201-2 36-43 Reduction goals established voluntarily in the medium and long term to reduce greenhouse gas emissions and measures implemented for that purpose NFIS/Report on climate change and other environmental and social issues GRI 305-5 36-43 45 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Protection of biodiversity Measures taken to protect or restore biodiversity The metric describes the size of the protected or restored areas of habitats and BBVA's financial activity, as well as the activity of its offices, has no impact in this regard. This metric and its various breakdowns are currently considered non-material. GRI 304-3 Impacts caused by activities or operations in protected areas The operations centers and / or offices owned, leased or managed by BBVA are located in urban areas, so the impacts of the entity's activities on biodiversity are considered not significant. Although the products and services commercialised can potentially have an impact on it, they are managed according to the regulations and criteria applicable to the nature of the financed activities, and nowadays there are no defined and comparable metrics for their monitoring and reporting in relation with BBVA's value chain. However, the entity undertakes to follow up on regulatory developments regarding biodiversity for future reporting if necessary. GRI 304-1 GRI 304-2 Social and personnel questions Employees Total number and distribution of employees according to country, gender, age, country and professional classification NFIS/Information on employees/Professional development/Main employee metrics GRI 2-7 GRI 2-8 GRI 405-1 17-19 Total number and distribution of work contract modalities NFIS/Information on employees/Professional development/Main employee metrics GRI 2-7 GRI 2-8 17-19 Annual average of work contract modalities (permanent, temporary and part-time) by sex, age, and professional classification NFIS/Information on employees/Professional development/Main employee metrics GRI 2-7 GRI 2-8 17-19 Number of dismissals by sex, age, and professional classification NFIS/Information on employees/Professional development/Main employee metrics GRI 3-3 GRI 2-25 GRI 401-1 with respect to staff turn-over by sex, age and country 17-19 The average remunerations and their evolution disaggregated by sex, age, and professional classification or equal value NFIS/Information on employees/Remuneration GRI 3-3 GRI 2-25 GRI 405-2 with respect to women remuneration compared to men's by professional category 23-26 The average remuneration of directors and executives, including variable remuneration, allowances, compensation, payment to long-term forecast savings and any other perception broken down by gender NFIS/Information on employees/Remuneration GRI 3-3 GRI 2-25 GRI 405-2 with respect to women remuneration compared to men's by professional category 23-26 Salary gap NFIS/Information on employees/Remuneration GRI 3-3 GRI 2-25 GRI 405-2 with respect to women remuneration compared to men's by professional category 23-26 Implementation of employment termination policies NFIS/Information on employees/ Work environment /Work organization GRI 3-3 GRI 2-25 19-20 Employees with disabilities NFIS/Information on employees/Professional development/Diversity, inclusion and different capacities GRI 405-1 16-17 46 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Work organization Work schedule organization NFIS/Information on employees/ Work environment /Work organization GRI 3-3 GRI 2-25 19-20 Number of hours of absenteeism NFIS/Information on employees/ Work environment/Occupational safety and health GRI 403-9 20-22 Measures designed to facilitate access to mediation resources and encourage the responsible use of these by both parents NFIS/Information on employees/ Work environment /Work organization GRI 3-3 GRI 2-25 19-20 Health and safety Work health and safety conditions NFIS/Information on employees/ Work environment/Occupational safety and health GRI 3-3 GRI 2-25 GRI 403-1 GRI 403-2 GRI 403-3 GRI 403-7 (2018) 20-22 Work accidents, in particular their frequency and severity, disaggregated by gender NFIS/Information on employees/ Work environment/Occupational safety and health GRI 403-9 (2018) with respect to labor accident injuries 20-22 Occupational diseases, disaggregated by gender NFIS/Information on employees/ Work environment/Occupational safety and health GRI 403-10 (2018)with respect to recordable labor injuries 20-22 Social relationships Organization of social dialog, including procedures to inform and consult staff and negotiate with them NFIS/Information on employees/ Work environment/Freedom of association and representation GRI 3-3 GRI 2-25 20 Mechanisms and procedures that the company has to promote the involvement of workers in the management of the company, in terms of information, consultation and participation NFIS/Information on employees/ Culture & Values NFIS/Information on employees/ Work environment/Freedom of association and representation GRI 3 -3 GRI 2-25 13 20 Percentage of employees covered by collective agreement by country NFIS/Information on employees/ Work environment/Freedom of association and representation GRI 2-30 20 The balance of collective agreements, particularly in the field of health and safety at work NFIS/Information on employees/ Work environment/Occupational safety and health GRI 403-4 ( 2018) 20-22 Training Policies implemented for training activities NFIS/Information on employees/ Professional development/Training GRI 3-3 GRI 2-25 GRI 404-2 14-15 The total amount of training hours by professional category NFIS/Information on employees/ Professional development/Training GRI 404-1 14-15 Universal accessibility for people with disabilities Integration and universal accessibility of people with disabilities NFIS/Information on employees/Professional development/Diversity, inclusion and different capacities GRI 3-3 GRI 2-25 16-17 Equality Measures taken to promote equal treatment and opportunities between women and men NFIS/Information on employees/Professional development/Diversity, inclusion and different capacities GRI 3-3 GRI 2-25 16-17 Equality plans (Section III of Organic Law 3/2007, of March 22, for effective equality of women and men) NFIS/Information on employees/Professional development/Diversity, inclusion and different capacities GRI 3-3 GRI 2-25 16-17 Measures adopted to promote employment, protocols against sexual and sex-based harassment. NFIS/Information on employees/Professional development/Diversity, inclusion and different capacities GRI 3-3 GRI 2-25 16-17 Policy against any type of discrimination and, where appropriate, diversity management NFIS/Information on employees/Professional development/Diversity, inclusion and different capacities GRI 3-3 GRI 2-25 16-17 Information about the respect for human rights 47 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Human rights Application of due diligence procedures in the field of human rights; prevention of the risks of violation of human rights and, where appropriate, measures to mitigate, manage, and repair possible abuses committed NFIS/Information on social matters/Commitment to human rights GRI 2-23 GRI 2-26 33 Claims regarding cases of human rights violations NFIS/Information on social matters/Commitment to human rights BBVA has a whistleblowing channel that allows any interest group to report confidentially and anonymously if they wish, any behavior that is directly or indirectly linked to human rights. In the complaints received through this channel in 2023 and 2022, there are no human rights violations attributable to Banco Bilbao Vizcaya Argentaria, S.A. GRI 3-3 GRI 2-25 GRI 406-1 33 Promotion and compliance with the provisions contained in the related fundamental Conventions of the International Labor Organization with respect for freedom of association and the right to collective bargaining; the elimination of discrimination in employment and occupation; the elimination of forced or compulsory labor; and the effective abolition of child labor NFIS/Information on employees/ Work environment/Freedom of association and representation NFIS/Information on social matters/Commitment to human rights BBVA has not identified work centers or suppliers likely to have significant risks in relation to forced labor or child exploitation. GRI 3-3 GRI 2-25 GRI 407-1 GRI 408-1 GRI 409-1 20 33 Information about anti-bribery and anti-corruption measures Corruption and bribery Measures adopted to prevent corruption and bribery NFIS/Information on social matters/Compliance GRI 3-3 GRI 2-25 GRI 2-23 GRI 2-26 GRI 205-2 GRI 205-3 28-30 Measures adopted to fight against antimoney laundering NFIS/Information on social matters/Compliance GRI 3-3 GRI 2-25 GRI 2-23 GRI 2-26 GRI 205-3 28-30 Contributions to foundations and non-profit-making bodies NFIS/Information on social matters/Contribution to the Community GRI 2-28 GRI 201-1 with respect to community investment 27-28 Information about the society 48 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Commitment by the company to sustainable development Impact of the company’s activities on employment and local development NFIS/Information on social matters/Contribution to the Community GRI 3-3 GRI 2-25 GRI 203-2 with respect to significant indirect economic impacts GRI 204-1 27-28 The impact of company activity on local populations and on the territory NFIS/Information on social matters/Contribution to the Community GRI 413-1 GRI 413-2 27-28 The relationships maintained with representatives of the local communities and the modalities of dialog with these NFIS/Information on social matters/Contribution to the Community GRI 2-29 GRI 413-1 27-28 Actions of association or sponsorship NFIS/Information on social matters/Contribution to the Community GRI 3-3 GRI 2-25 GRI 201-1 with respect to investments in the community 27-28 Subcontractors and suppliers The inclusion of social, gender equality and environmental issues in the purchasing policy NFIS/Information on suppliers GRI 3-3 GRI 2-25 34-35 Consideration of social and environmental responsibility in relations with suppliers and subcontractors NFIS/Information on suppliers GRI 2-6 GRI 308-1 GRI 414-1 34-35 Supervision systems and audits, and their results NFIS/Information on suppliers GRI 2-6 GRI 308-1 GRI 308-2 GRI 414-2 34-35 Consumers Customer health and safety measures NFIS/Information on customers/Security and protection GRI 3-3 GRI 2-25 GRI 416-1 6-8 Claims systems, complaints received and their resolution NFIS/Information on social matters/Customer care GRI 3-3 GRI 2-25 GRI 418-1 9-12 Tax information Benefits obtained by country NFIS/Information on social matters/Tax contribution GRI 201-1 GRI 207-4 (2019) with respect to tax on corporate profit payed and tax on corporate profit 31-32 Taxes on paid benefits NFIS/Information on social matters/Tax contribution GRI 201-1 GRI 207-4 (2019) with respect to corporate income tax paid and corporate income tax accrued on profit/loss. 31-32 Public subsidies received NFIS/Information on social matters/Tax contribution GRI 201-4 31-32 Requirements of the Taxonomy regulation NFIS/Additional information/Information related to article 8 of the European Taxonomy 53-90 49 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Materiality analysis The materiality analysis has been carried out at the BBVA Group level, and therefore also applies to the Bank: BBVA carries out a qualitative materiality analysis to identify those environmental, social and governance issues that are significant for the Group and its stakeholders, taking into account in the analysis the double perspective of materiality, which underlies the NFRD and Law 11/2018, as well as in the GRI guide (December 2021 version). BBVA, based on this double perspective on materiality, identifies issues related to its business that could be currently or potentially affected by sustainability issues (“outside-in” perspective also known as “financial materiality”), as well as the way in which its activities could currently or potentially affect society and the environment (“inside-out” perspective also known as “impact materiality”). There are considered material those topics that could have a high probability of generating a significant current or potential effect on both the performance of BBVA and its stakeholders and its broader environment. The results of this analysis are aligned with both the six strategic priorities and BBVA's Purpose and allow the identification and prioritization of BBVA's most significant internal and external issues for adequate monitoring and follow-up. The scope of this analysis includes the main geographic areas in which BBVA operates (Spain, Mexico, Turkey, Argentina, Colombia and Peru) and short, medium and long-term time horizons have been taken into account. Materiality Matrix As a result of this analysis, the issues with the most significant impact for BBVA's stakeholders and for BBVA are those that appear in the following matrix: (1) Based on qualitative analysis conducted to recognize both the “outside-in” perspective also known as “financial materiality,” as well as the “inside-out” perspective also known as “impact materiality.” Main results The materiality analysis carried out in 2023 had as its starting point the year carried out in 2022 and represents an evolution of it. The most notable material issues in 2023 are the following: 50 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. – Climate change: adequate management of measures aimed at adapting to the consequences of climate change through the establishment of policies, as well as the identification and management of climate risks and opportunities. To this end, decarbonization goals have been defined for the company's footprint and portfolio in line with the objectives of the Paris Agreement and work is being done on the inclusion of sustainability criteria and specifically climate change criteria within the credit analysis of the companies. operations with customers. – Inclusive growth: adequate management to promote access to financing sources for vulnerable or low-income people and small businesses/professionals with fewer resources, accompanied by financial and digital education actions to promote responsible banking and informed decision-making. To achieve this, products are developed with the help of new technologies, which allow access to new, previously inaccessible markets. Additionally, BBVA seeks to support governments and companies to promote employment and local development of the territory and communities, as well as to promote the development of society through philanthropic activities. – Customers: adequate management of the simplicity, agility, speed and self-service of commercial channels, innovation and digitalization of the service. Likewise, BBVA works to offer solutions that promote the financial health of customers, taking care of their finances and offering proposals or solutions for issues that are more complex or that require greater specialization. – Integrity and ethical behavior in business: appropriate management to establish an environment of business integrity and ethics, ensuring compliance with regulations and the establishment of internal policies, standards and procedures and other control measures to prevent and manage risks linked to anti-competitiveness and monopolistic practices, market abuse, corruption and bribery and money laundering, among others. In addition, BBVA works to prevent and manage conflicts of interest, adequately address the interests of customers through transparent communication and the prevention and detection of bad sales practices, among others. – Cybersecurity: adequate management of measures aimed at guaranteeing the security of the entity at the software and information security level that prevent theft, attacks or alterations of any type, compromising the credibility and good work of the company.. Additionally, the analysis has identified four other issues that do not have the same relevance as the previous ones because it is considered, as a result of the analysis carried out, that they would have a lesser effect on the environment and BBVA's interest groups, or that the effect that the environment and its interest groups could have on BBVA's activity would be more limited: – Natural capital: appropriate management of dependencies, impacts, risks and opportunities related to natural capital, including the development of products and services that support customers in the responsible use of resources, in the preservation or restoration of biodiversity and the ecosystems; sustainable use and protection of water and marine resources, prevention and control of pollution and transition to a circular economy. In relation to the Group's direct impact, improve efficiency in the use of resources (paper, water and energy) and the prevention and management of waste and pollution in order to reduce the environmental footprint. – Defense of the human rights: adequate management of employment conditions including fair hiring and remuneration, occupational health and safety, forced labor, child labor, freedom of association and collective bargaining, equal pay or discrimination. Responsible supply chain of suppliers (environmental footprint, fair hiring, working conditions of its workers, discrimination, etc.). In terms of projects and products, the impact on human rights derived from credit activity is measured (with a focus on large corporate customers in sectors with great environmental or social impact) and the well-being of customers (accessibility, security, etc.) as well as respect for communities, environmental protection and inclusive businesses. Process management to prevent, mitigate and remedy potential violations. – Employees: adequate management and integration of individual differences through the implementation of policies on discrimination, equality and diversity, as well as conciliation, work disconnection, well-being, prevention of occupational risks, safety and health of employees (physical and mental ), freedom of association, relationship with unions. etc It additionally includes talent management, attraction, retention and development measures, with remuneration policies, competitive salaries, training, career plan, etc. – Responsible use of data: appropriate management to protect the privacy and security of personal data from personal data leaks that pose a risk to the rights and freedoms of data subjects. It should be noted that, with respect to the materiality analysis published in 2022, the number of issues has been reduced to a total of nine, with the issues “Solvency and financial results” and “Corporate governance and adequate management of all risks” being deleted as they are cross-cutting aspects included in each and every one of the issues identified. Additionally, two 2022 customer issues “Simplicity, agility and self-service” and “Financial health and personalized customer advice” have been grouped into a single more holistic matter “Customers: Accessibility of commercial channels and financial health” and the two issues from 2022, related to employees “Commitment to employees” and “Diversity and conciliation” – have been included in a single issue “Employees” that encompasses issues related to measures aimed at properly managing people. For more details on the sources used, the methodology used, as well as the objectives and degree of progress of these material matters for the BBVA Group and its stakeholders, see the section “Additional information on the materiality analysis” within chapter “Additional information” of the BBVA Group Consolidated Management Report. 51 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Other non-financial risks Spanish judicial authorities are investigating the activities of Centro Exclusivo de Negocios y Transacciones, S.L. (“Cenyt”). Such investigation includes the provision of services by Cenyt to BBVA. On July 29, 2019, BBVA was named as an investigated party (investigado) in a criminal judicial investigation (Preliminary Proceeding No. 96/2017 – Piece No. 9, Central Investigating Court No. 6 of the National High Court) for alleged facts which could constitute bribery, revelation of secrets and corruption. Certain current and former officers and employees of the Group, as well as former directors, have also been named as investigated parties in connection with this investigation. Since the beginning of the investigation, BBVA has been proactively collaborating with the Spanish judicial authorities, including sharing with the courts information obtained in the internal investigation hired by the entity in 2019 to contribute to the clarification of the facts. As at the date of this Annual Report, no formal accusation against BBVA has been made. By order of the Criminal Chamber of the National High Court, the pre-trial phase ended on January 29, 2024. It is not possible at this time to predict the possible outcomes or implications for the Group of this matter, including any fines, damages or harm to the Group’s reputation caused thereby. 52 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Organizational Chart In 2023, the Group's organizational structure remains in line with the one approved by the BBVA Board of Directors at the end of 2018, a structure that meets the objective of continuing to promote the transformation and businesses of the Group, while advancing in the delimitation of executive functions. The main aspects of the organizational structure are: – The Chair is responsible for the management and proper functioning of the Board of Directors, for the functions of management supervision, for the institutional representation of the entity, as well as for the leadership and promotion of the group's strategy and its transformation process. The areas that report to the Chair are those related to the key levers of transformation: Engineering, Talent & Culture and Data; those related to strategy: Strategy & M&A, Communications and the figure of the Senior Advisor to the Chair; and those related to the legal field and the Council: Legal and General Secretary. – The Chief Executive Officer is responsible for the day-to-day management of the Group's businesses, reporting directly to the Board of Directors on his duties. The areas that report to the Chief Executive Officer are the business units in the different countries, Corporate & Investment Banking, Sustainability and Client Solutions, as well as the following global functions: Finance, which integrates accounting and tax functions, and Global Risk Management. – Lastly, certain areas of control have a direct report of those responsible to the Board of Directors through the corresponding committees. These control areas are Internal Audit and Regulation & Internal Control, the area in charge of the relationship with supervisors and regulators, the monitoring and analysis of regulatory trends and the development of the Group's regulatory agenda, and the management of derived risks of regulatory compliance issues. Information related to article 8 of the European Taxonomy Regulation (EU) 2020/852 of the European Parliament and of the Council, of June 18, 2020 (hereinafter, the Taxonomy Regulation), regarding the establishment of a framework to facilitate sustainable investments, has as its objective to establish the criteria to determine whether an economic activity is considered environmentally sustainable, in line with the objective of keeping global warming below 1.5 ºC compared to pre-industrial levels and with the European Green Deal. Article 8 additionally establishes certain obligations of disclosure of non-financial information to companies subject to the Non- Financial Reporting Directive (hereinafter NFRD). 53 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Based on this, financial institutions must include in their Non-Financial Information Report certain indicators relating to sustainable economic activities according to the EU taxonomy. The Taxonomy Regulation identifies six environmental objectives: 1. Climate change mitigation; 2. Climate change adaptation; 3. Sustainable use and protection of water and marine resources; 4. Transition to a circular economy; 5. Pollution prevention and control; 6. Protection and restoration of biodiversity and ecosystems Based on these objectives, the regulation has also developed technical criteria to evaluate whether an activity is environmentally sustainable. The first step is to determine if an activity falls within those detailed as eligible by the EU taxonomy, which are those that can potentially contribute to one or more of the environmental objectives. An economic activity, to be considered eligible, must be included in the delegated acts that develop the European taxonomy, regardless of whether that economic activity does not meet any or all of the technical screening criteria established in those delegated acts and ultimately cannot be classified. as environmentally sustainable. Subsequently, once eligibility has been determined, it has to be checked whether the activity is aligned according to the EU taxonomy, to this end, it should be verified that the following technical screening criteria are met: – The activity contributes substantially to one or more of the six environmental objectives. – The activity does not significantly harm any of the other environmental objectives (hereinafter DNSH). – The activity is carried out in accordance with the minimum social and human rights safeguards (hereinafter MSS). OECD Guidelines for Multinational Enterprises and the United Nations Guiding Principles on Business and Human Rights, including the principles and rights set out in the eight fundamental Conventions referred to in the International Labor Organization Declaration on fundamental principles and rights at work and the International Bill of Human Rights. The requirements to disclose information based on the EU taxonomy and the technical screening criteria, have been specified in successive regulatory developments and in notices on the interpretation and application of EU taxonomy delegated acts. These obligations establish a progressive calendar for the disclosure. In this regard, as of December 31, 2023, the disclosure obligations for financial entities are the following: – Economic activities aligned with the environmental objectives of Mitigation and Adaptation to Climate Change. In the recent publication of Delegated Regulation (EU) 2023/2485 that complements the Taxonomy Regulation of mitigation and adaptation objectives, new economic activities have been included, for which BBVA has no exposure to eligible activities. – Specific breakdowns on the alignment of some activities related to Nuclear energy and Gas – Eligible Economic Activities for the environmental objectives of Sustainable use and protection of water and marine resources; Transition to a circular economy; Pollution prevention and control; and Protection and restoration of biodiversity and ecosystems. It should be noted that those economic activities that are not included within the Taxonomy framework or that do not comply with all of their requirements should not be considered to be harmful or to have a negative impact on the environment, but only that they do not meet all the conditions to be part of this classification Aligned Economic Activities for the environmental objectives of climate change Mitigation and Adaptation The economic activities of credit institutions are reflected in the different products and services they offer to customers as well as in the investments they make to manage their equity and liquidity. These activities are considered aligned in accordance with the EU taxonomy to the extent that the activities that carry out certain counterparties of those products or investments are aligned considering the regulations. To calculate the alignment of their activity, credit institutions shall consider whether the lending granted to a counterparty has a general purpose, or whether it responds to a specific purpose. General Purpose Lending Non-financial companies that are subject to the NFRD Directive should have published for the first time, in their management reports as of end of the 2022 financial year, their indicators (KPIs) 19 related to the objectives of mitigation and adaptation to climate change: i) turnover and ii) its investments in fixed assets (CapEx) and operating expenses (OpEx). From 2024 onwards, the indicators corresponding to the rest of the environmental objectives will be added to these publications. 54 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 19 The template in Annex VI of the Delegated Disclosure Act of Article 8 is the reference for GAR disclosures: i) Covered assets (GAR, off-balance sheet), ii) GAR: information by sector, iii) Stock of GAR KPIs, iv) GAR KPI flow, v) Financial guarantees, assets and management. The original EU taxonomy tables and the necessary notes with details on the perimeter and methodology are found in section “5.3 Tables relating to Article 8 of the European Taxonomy” of this report. The information published by non-financial companies subject to the NFRD is necessary so that financial institutions can calculate the eligibility and alignment of certain exposures recorded in their assets. In this way, the information published by these counterparties is used to calculate the proportion of the general purpose exposure aligned with the EU taxonomy. The Group has obtained the data published by certain companies through an external provider and uses it to calculate the alignment of the general purpose financing granted to them. Likewise, public customer information has been used to more accurately reflect eligible activities, which represents an evolution of the granular information of the main EU customers. The indicators (KPIs) established by the regulation for credit institutions offer an exhaustive breakdown of the bank's exposures to activities covered (eligible) by the EU taxonomy, and additionally those that are not only eligible, but that meet all the requirements. of the taxonomy to be considered sustainable (aligned). Specific Purpose Lending The alignment with the EU taxonomy of the financing that is granted for a purpose or destination that the entity knows, must be analyzed taking into account all the requirements established by the aforementioned technical screening criteria (i) substantial contribution, ii) do significant harm and iii) minimum social safeguards. In order to determine if a specific lending does not cause significant harm (DNSH), it must be demonstrated, based on requirements established by the regulation. that it does not harm the remaining environmental objectives. Thus, the financing granted to a company that contributes substantially to the climate change mitigation objective must also guarantee compliance with the DNSH criteria on the rest of the objectives. For example, in relation to the activity “generation of electricity using solar photovoltaic technology”, which is a key technology for the transition towards renewable energies in the EU, under the criterion of non-significant damage to the circular economy objective, the expectation is that availability is evaluated and, when feasible, equipment and components with high durability and recyclability are used, as well as being easy to disassemble and restore," according to the taxonomy regulation. BBVA considers the substantial contribution criteria of the specific purpose lending, however, the degree of maturity regarding the implementation and usability of the EU taxonomy in the banking industry makes it currently complex to establish a similar process to guarantee compliance with DNSH and MSS. Therefore, a portion of the specific financing granted by BBVA that substantially contributes to an environmental objective is not included in the alignment metrics. BBVA has identified specific financing with a substantial contribution to other specific products such as project financing, cars or other products or activities included in the EU taxonomy that have not been included in the alignment metrics for the reasons described above. As an exception, loans granted to families (households) intended for the purchase of newly built, highly energy efficient homes 20, under the assumption that they have followed the technical building standards in force for this type of property that include requirements to implement practical more sustainable construction methods, which reduce the risks of environmental deterioration as well as mitigate the consequences of certain adverse atmospheric impacts. Green Asset Ratio The Green Asset Ratio (GAR) is an indicator to reflect the extent to which certain assets on the bank balance sheet are aligned with the EU taxonomy. This indicator has been prepared following the regulatory definitions of the European Commission. Currently, the EU taxonomy methodology does not allow financial institutions to include in the numerator of sustainability ratios those exposures to companies not subject to the Non-Financial Reporting Directive (NFRD). Therefore, exposures on companies domiciled in a third country outside the EU and those on EU companies that are not subject to said Directive, for example, the vast majority of SMEs are excluded from the numerator although they are part of the denominator. This implies, in In practice, any eligible economic activity that is being financed outside the EU will not be counted in the ratio (with limited exceptions). This structural characteristic of the GAR leads to large differences depending on each bank's business model, its customer base and its geographical footprint. This structural characteristic of the GAR leads to large differences depending on each bank's business model, its customer base and its geographical footprint. 55 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 20 In accordance with a conservative approach, only properties that meet the criterion of substantial contribution to climate change mitigation described in section 7.7 are included. “Acquisition and ownership of buildings” and that a non-inferred energy efficiency certificate is available. Climate Change (CCM) + (CCA) TURNOVER CAPEX Total [gross] carrying amount Of which towards taxonomy relevant sectors (Taxonomy- eligible) Of which environmentally sustainable (Taxonomy- aligned) Of which towards taxonomy relevant sectors (Taxonomy- eligible) Of which environmentally sustainable (Taxonomy-aligned) Million € % Million € % Million € % Million € % Million € % GAR - Covered assets in both numerator and denominator 173,663 35.38% 90,826 33.10% 2,131 0.78% 91,651 33.40% 3,253 1.19% Financial undertakings 51,483 5,292 0 5,277 0 Non-financial undertakings 22,230 6,504 1,474 7,344 2,595 Households 96,020 78,480 657 78,480 657 Of which loans collateralised by residential immovable property 70,392 70,392 657 70,392 657 Other assets (local administrations, foreclosed assets) 3,930 550 1 550 1 Assets excluded from the numerator for GAR calculation (covered in the denominator) 100,721 20.52% Non-financial undertakings 82,806 SMEs and NFCs (other than SMEs) not subject to NFRD disclosure obligations 55,045 Non-EU country counterparties not subject to NFRD disclosure obligations 27,761 Derivatives 780 On demand interbank loans 2,570 Cash and cash-related assets 990 Other categories of assets (e.g. Goodwill, commodities etc.) 13,575 Total GAR assets 274,384 55.89% Assets not covered for GAR calculation 216,531 44.11% Central governments and Supranational issuers 53,965 Central banks exposure 45,738 Trading book 116,828 Total assets 490,915 100.00% Financial guarantees 18,784 1,045 365 1,655 1,030 Assets under management 19,047 37 16 50 33 Of which debt securities 1,075 13 4 17 8 Of which equity instruments 237 24 12 33 25 General note: this table does not include all the sections of Annex VI (1.Covered assets (GAR,off-bal)) of the EU Taxonomy disclosure delegated regulation 2021/2178. The original EU taxonomy tables and the necessary detailed notes on perimeter and methodology are provided below. 56 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Transition activities included in EU taxonomy (Nuclear and Gas) Commission Delegated Regulation (EU) 2022/1214 of March 9, 2022 establishes the requirements that are necessary for the economic activities of energy generation with natural gas and nuclear power plants to be included within the taxonomy of the EU, since they are considered transition activities. Nuclear energy, which is described as "low carbon" and "subject to strict environmental and safety conditions that ensure respect for the principle of do no significant harm, it can play a role in the transition towards climate neutrality." Regarding electricity generation with natural gas, it is considered less polluting than other alternatives, such as coal. The activities included in the Nuclear and Gas delegated act (European Union Taxonomy (EUT) Activity) are the following: – Nuclear Energy: – Pre-commercial phases of advanced technologies to produce energy from nuclear processes with minimal waste from the fuel cycle – Construction and safe operation of new nuclear power plants for the generation of electricity or heat, including the production of hydrogen, using the best available technologies. – Generation of electricity from nuclear energy in existing facilities – Energy from gaseous fossil fuels: – Generation of electricity from gaseous fossil fuels – High-efficiency cogeneration of heat/cooling and electricity from gaseous fossil fuels – Production of heat/cooling from gaseous fossil fuels in an efficient urban heating and cooling system The BBVA Group's exposure to gas and nuclear power generation activities of NFRD customers (subject to EU non-financial reporting directive) amounts to 176 million euros, of which only 8 million are considered aligned in accordance with the taxonomy according to the turnover information, and 10 million in the case of investments in fixed assets (CapEx). RATIOS (BBVA S.A., MILLION EUROS) - TURNOVER BASED 2023 Eligible activities according to the EU Taxonomy for energy generation with gas and nuclear from NFRD clients 176 Aligned activities with the EU Taxonomy for energy generation with gas and nuclear from NFRD clients 8 New environmental objectives included in EU taxonomy Commission Delegated Regulation (EU) 2023/2486 of 27 June 2023 completes the EU taxonomy, establishing the technical selection criteria to determine economic activities that contribute to environmental objectives that had not already been included in the taxonomy: i) the sustainable use and protection of water and marine resources, ii) the transition to a circular economy, iii) the prevention and control of pollution, iv) the protection and recovery of biodiversity and ecosystems, and establishes new requirements for the disclosure of specific public information about these economic activities. In fiscal year 2023, credit institutions must publish the exposure to eligible economic activities included in the aforementioned delegated regulation. When an economic activity contributes substantially to multiple environmental objectives, for the purposes of the calculation, it is assigned to the most significant environmental objective (generally Climate Change Mitigation (CCM)), avoiding double counting at the same time. BBVA’s exposure ratio to activities included in the delegated regulation of the 4 environmental objectives recently covered in the taxonomy is 0.70% and the exposure to non-eligible activities is 29.49%, taking into account all the environmental objectives published to date. To estimate eligibility, given that the delegated regulation is recently published and there has been no time for NFRD customers to publish their degree of eligibility, the customer's economic activity information that is used for internal risk management has been used. and which is based on the Statistical Nomenclature of Economic Activities of the European Community (NACE). Trading portfolio Global Markets is the area that manages BBVA's trading portfolio, and is part of the CIB business area which, as already mentioned, has developed a Sustainable Products framework The trading portfolio mainly responds to two different activities. The first consists of promoting that customers have products to manage their own risks or make their investments and, the second, managing the risks inherent to the trading portfolio. The main activity carried out considering some ESG factor comes from facilitating the issuance of bonds (DCM) 21 with some ESG characteristics by clients. Client demand for other types of trading book products to manage their own ESG risks has proven to be still limited and sporadic. 57 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 21 Debt Capital Markets Regarding the management of the risks inherent to the trading portfolio, this is carried out under a strict risk-reward angle, where ESG factors do not currently represent a key factor (unless market dynamics or profitability are turn towards them). The exposure on the trading portfolio amounts to 24% of the total assets. In accordance with the deadlines established by Regulation (EU) 2020/852 and its delegated regulations, BBVA will disclose quantitative information on trading exposures that comply with the EU taxonomy, including the general composition, observed trends, objectives and politics for the first time at the end of the 2025 financial year. 58 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. SUMMARY OF THE KPIs TO BE DISCLOSED BY CREDIT INSTITUTIONS Total environmentally sustainable assets (1) KPI (2) KPI (3) % coverage (over total assets)(4) Green asset ratio (GAR) stock 2,131 0.78% 1.19% 55.89% Total environmentally sustainable activities KPI KPI % coverage (over total assets) GAR (flow) Trading book Financial guarantees 365 1.95% 5.48% Assets under management 16 0.09% 0.17% Fees and commissions income (5) (1) The figure corresponding to the total environmentally sustainable assets (turnover), in line with the Pillar III ESG summary. (2) based on the Turnover KPI of the counterparty. (3) based on the CapEx KPI of the counterparty, except for lending activities where for general lending Turnover KPI is used. (4) % of assets covered by the KPI over banks´ total assets. (5) Fees and commissions income from services other than lending and AuM. ASSETS FOR THE CALCULATION OF GAR - TURNOVER Million EUR Disclosure reference date T Total [gross] carrying amount Climate Change Mitigation (CCM) Climate Change Adaptation (CCA) TOTAL (CCM + CCA) Of which towards taxonomy relevant sectors (Taxonomy-eligible) Of which towards taxonomy relevant sectors (Taxonomy-eligible) Of which towards taxonomy relevant sectors (Taxonomy-eligible) Of which environmentally sustainable (Taxonomy-aligned) Of which environmentally sustainable (Taxonomy-aligned) Of which environmentally sustainable (Taxonomy-aligned) Of which specialised lending Of which transitional Of which enabling Of which specialised lending Of which adaptation Of which enabling Of which specialised lending Of which transitional Of which enabling GAR - Covered assets in both numerator and denominator Loans and advances, debt securities and equity instruments not HfT eligible for GAR calculation 173,663 89,982 2,012 — 119 682 844 119 — — 9 90,826 2,131 — 119 691 Financial corporations 51,483 4,940 — — — — 352 — — — — 5,292 — — — — Credit institutions 21,630 2,252 — — — — 252 — — — — 2,504 — — — — Loans and advances 13,080 1,626 — — — — 151 — — — — 1,777 — — — — Debt securities, including UoP 2,870 627 — — — — 100 — — — — 727 — — — — Equity instruments 5,681 — — — — — — — — — — — Other financial corporations 29,852 2,688 — — — — 100 — — — — 2,789 — — — — of which investment firms 925 222 — — — — — — — — — 222 — — — — 59 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Loans and advances 859 222 — — — — — — — — — 222 — — — — Debt securities, including UoP 66 — — — — — — — — — — — — — — — Equity instruments — — — — — — — — — — — — of which management companies 426 — — — — — — — — — — — — — — — Loans and advances 322 — — — — — — — — — — — — — — — Debt securities, including UoP 19 — — — — — — — — — — — — — — — Equity instruments 85 — — — — — — — — — — — of which insurance undertakings 1,881 21 — — — — 30 — — — — 51 — — — — Loans and advances 723 21 — — — — — — — — — 21 — — — — Debt securities, including UoP — — — — — — — — — — — — — — — — Equity instruments 1,158 — — — — 30 — — 30 — — — Non-financial corporations 22,230 6,012 1,354 — 119 682 492 119 — — 9 6,504 1,474 — 119 691 NFCs subject to NFRD disclosure obligations Loans and advances 18,320 5,807 1,272 — 113 630 466 117 — — 7 6,273 1,389 — 113 637 Debt securities, including UoP 1,266 131 67 — 6 38 3 3 — — 2 134 69 — 6 40 Equity instruments 2,644 74 15 — 14 23 — — 97 15 — 14 Households 96,020 78,480 657 — — — — — — — — 78,480 657 — — — of which loans collateralised by residential immovable property 70,392 70,392 657 — — — — — — — — 70,392 657 — — — of which building renovation loans 2,923 2,923 — — — — — — — — — 2,923 — — — — of which motor vehicle loans 5,165 5,165 — — — — — — — — — 5,165 — — — — Local governments financing 3,380 — — — — — — — — — — — — — — — Collateral obtained by taking possession: residential and commercial immovable properties 550 550 1 — — — — — — — — 550 1 — — — Other local government financing 3,380 — — — — — — — — — — — — — — — Other assets excluded from the numerator for GAR calculation (covered in the denominator) 100,721 — — — — — — — — — — — — — — — Non-financial corporations 82,806 SMEs and NFCs (other than SMEs) not subject to NFRD disclosure obligations 55,045 Loans and advances 54,451 of which loans collateralised by commercial immovable property 8,875 of which building renovation loans 367 60 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Debt securities 452 Equity instruments 142 Non-EU country counterparties not subject to NFRD disclosure obligations 27,761 Loans and advances 24,633 Debt securities 2,856 Equity instruments 271 Derivatives 780 On demand interbank loans 2,570 Cash and cash-related assets 990 Other assets (e.g. Goodwill, commodities etc.) 13,575 Total GAR assets 274,384 89,982 2,012 — 119 682 844 119 — — 9 90,826 2,131 — 119 691 Other assets not covered for GAR calculation 216,531 Sovereigns 53,965 Central banks exposure 45,738 Trading book 116,828 Total assets 490,915 — — — — — — — — — — — — — — — Off-balance sheet exposures - Corporates subject to NFRD disclosure obligations Financial guarantees 18,784 938 364 0 17 178 107 2 0 0 0 1,045 365 0 17 178 Assets under management 19,047 35 15 0 0 12 2 1 0 0 0 37 16 0 0 12 Of which debt securities 1,075 13 4 0 0 3 0 0 0 0 0 13 4 0 0 3 Of which equity instruments 237 22 11 0 0 10 2 1 0 0 0 24 12 0 0 10 1. The present information has been prepared in accordance with Commission Delegated Regulation (EU) 2021/2178, of July 6, 2021, which supplements Regulation (EU) 2020/852 of the European Parliament and of the Council by specifying the content and the presentation of information on environmentally sustainable economic activities 2. Customers' economic activities are classified as eligible or aligned in accordance with the Delegated Acts supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council. Specifically, the economic activities covered by Delegated Regulations (EU) 2021/2139 on mitigation and adaptation to climate change have been taken into consideration. 3. Customers' economic activities are classified as eligible or aligned taking into account the modifications implemented by Commission Delegated Regulation (EU) 2022/1214 of March 9, 2022, which includes economic activities in certain energy sectors, and Commission Delegated Regulation (EU) 2023/2485 of 27 June 2023 establishing additional technical criteria. 4. The data includes the most significant BBVA Group entities that correspond to 96.5% of the total assets and represent in the best possible way the Group information required by current regulations. The financial assets analyzed correspond to the categories of financial instruments valued “At amortized cost”, “Fair Value with Changes in Other Comprehensive Income (FVOCI)”, “Fair Value with Changes in P&L” and “Non-negotiable at Fair Value with changes in result 5. NFRD counterparties are those subject to Directive 2014/95/EU (the Non-Financial Reporting Directive or NFRD), such as large listed companies, banks and insurance companies, with more than 500 employees. BBVA identifies NFRD counterparties mainly in two ways: i) review of the registered office in a country of the European Union and ii) more than 500 employees. In the event that the previous criterion is not met and if the client belongs to a business group, the same review is carried out at the parent company level. 6. Eligibility information for NFRD counterparties is obtained through an external reference provider in the sector, which obtains EU taxonomy KPI information directly from their corporate reports, EINF or equivalent. In the case of NFRD clients for whom the information has not been provided through the previous means, the information from their corporate reports is captured by BBVA or the client's main activity is analyzed to establish their eligibility. 7. Exposure to individuals includes self-employed workers, in which case the activity code (NACE) is reviewed to determine eligibility. The rest of the exposure corresponding to the individual segment is reviewed for the use of funds to be considered eligible, for example, in the case of housing loans. EU Taxonomy activity 7.7 Acquisition and ownership of buildings, EU Taxonomy activity 7.2 Renovation of independently existing buildings, or Cars: EUT 6.5 Transport by motorcycles, passenger cars and light commercial vehicles) 8. While exposures to governments and central banks are excluded from the GAR calculation symmetrically, from the numerator and denominator, financing to small and medium-sized enterprises that do not fall within the scope of the NFRD or financing outside EU (even if they meet the taxonomy criteria requirements) cannot qualify as aligned with the taxonomy. Furthermore, activities not covered by the EU taxonomy will be excluded from the numerator, but not from the denominator of GAR. 61 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. ASSETS FOR THE CALCULATION OF GAR - CAPEX Million EUR Disclosure reference date T Total [gross] carrying amount Climate Change Mitigation (CCM) Climate Change Adaptation (CCA) TOTAL (CCM + CCA) Of which towards taxonomy relevant sectors (Taxonomy-eligible) Of which towards taxonomy relevant sectors (Taxonomy-eligible) Of which towards taxonomy relevant sectors (Taxonomy-eligible) Of which environmentally sustainable (Taxonomy-aligned) Of which environmentally sustainable (Taxonomy-aligned) Of which environmentally sustainable (Taxonomy-aligned) Of which specialised lending Of which transitional Of which enabling Of which specialised lending Of which adaptation Of which enabling Of which specialised lending Of which transitional Of which enabling GAR - Covered assets in both numerator and denominator Loans and advances, debt securities and equity instruments not HfT eligible for GAR calculation 173,663 90,790 3,136 — 120 1,212 861 117 — — 17 91,651 3,253 — 120 1,229 Financial corporations 51,483 4,923 — — — — 354 — — — — 5,277 — — — — Credit institutions 21,630 2,185 — — — — 252 — — — — 2,437 — — — — Loans and advances 13,080 1,588 — — — — 151 — — — — 1,739 — — — — Debt securities, including UoP 2,870 597 — — — — 100 — — — — 698 — — — — Equity instruments 5,681 — — — — — — — — — — — Other financial corporations 29,852 2,738 — — — — 102 — — — — 2,840 — — — — of which investment firms 925 220 — — — — — — — — — 220 — — — — Loans and advances 859 220 — — — — — — — — — 220 — — — — Debt securities, including UoP 66 — — — — — — — — — — — — — — — Equity instruments — — — — — — — — — — — — of which management companies 426 — — — — — — — — — — — — — — — Loans and advances 322 — — — — — — — — — — — — — — — Debt securities, including UoP 19 — — — — — — — — — — — — — — — Equity instruments 85 — — — — — — — — — — — of which insurance undertakings 1,881 10 — — — — 30 — — — — 40 — — — — Loans and advances 723 10 — — — — — — — — — 10 — — — — Debt securities, including UoP — — — — — — — — — — — — — — — — Equity instruments 1,158 — — — — 30 — — 30 — — — Non-financial corporations 22,230 6,837 2,478 — 120 1,212 507 117 — — 17 7,344 2,595 — 120 1,229 NFCs subject to NFRD disclosure obligations Loans and advances 18,320 6,489 2,227 — 110 1,141 488 114 — — 14 6,977 2,341 — 110 1,154 Debt securities, including UoP 1,266 311 230 — 10 58 4 3 — — 3 315 234 — 10 62 Equity instruments 2,644 37 21 — 13 15 — — 52 21 — 13 Households 96,020 78,480 657 — — — — — — — — 78,480 657 — — — 62 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. of which loans collateralised by residential immovable property 70,392 70,392 657 — — — — — — — — 70,392 657 — — — of which building renovation loans 2,923 2,923 — — — — — — — — — 2,923 — — — — of which motor vehicle loans 5,165 5,165 — — — — — — — — — 5,165 — — — — Local governments financing 3,380 — — — — — — — — — — — — — — — Collateral obtained by taking possession: residential and commercial immovable properties 550 550 1 — — — — — — — — 550 1 — — — Other local government financing 3,380 — — — — — — — — — — — — — — — Other assets excluded from the numerator for GAR calculation (covered in the denominator) 100,721 — — — — — — — — — — — — — — — Non-financial corporations 82,806 SMEs and NFCs (other than SMEs) not subject to NFRD disclosure obligations 55,045 Loans and advances 54,451 of which loans collateralised by commercial immovable property 8,875 of which building renovation loans 367 Debt securities 452 Equity instruments 142 Non-EU country counterparties not subject to NFRD disclosure obligations 27,761 Loans and advances 24,633 Debt securities 2,856 Equity instruments 271 Derivatives 780 On demand interbank loans 2,570 Cash and cash-related assets 990 Other assets (e.g. Goodwill, commodities etc.) 13,575 Total GAR assets 274,384 90,790 3,136 — 120 1,212 861 117 — — 17 91,651 3,253 — 120 1,229 Other assets not covered for GAR calculation 216,531 Sovereigns 53,965 Central banks exposure 45,738 Trading book 116,828 63 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Total assets 490,915 — — — — — — — — — — — — — — — Off-balance sheet exposures - Corporates subject to NFRD disclosure obligations Financial guarantees 18,784 1,541 1,028 — 32 272 114 2 — — — 1,655 1,030 — 32 272 Assets under management 19,047 48 32 — 1 25 2 1 — — — 50 33 — 1 25 Of which debt securities 1,075 17 8 — 1 4 — — — — — 17 8 — 1 4 Of which equity instruments 237 31 24 — — 21 2 1 — — — 33 25 — — 21 1. The present information has been prepared in accordance with Commission Delegated Regulation (EU) 2021/2178, of July 6, 2021, which supplements Regulation (EU) 2020/852 of the European Parliament and of the Council by specifying the content and the presentation of information on environmentally sustainable economic activities 2. Customers' economic activities are classified as eligible or aligned in accordance with the Delegated Acts supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council. Specifically, the economic activities covered by Delegated Regulations (EU) 2021/2139 on mitigation and adaptation to climate change have been taken into consideration. 3. Customers' economic activities are classified as eligible or aligned taking into account the modifications implemented by Commission Delegated Regulation (EU) 2022/1214 of March 9, 2022, which includes economic activities in certain energy sectors, and Commission Delegated Regulation (EU) 2023/2485 of 27 June 2023 establishing additional technical criteria. 4. The financial assets analyzed correspond to the categories of financial instruments valued “At amortized cost”, “Fair Value with Changes in Other Comprehensive Income (FVOCI)”, “Fair Value with Changes in P&L” and “Non-negotiable at Fair Value with changes in result 5. NFRD counterparties are those subject to Directive 2014/95/EU (the Non-Financial Reporting Directive or NFRD), such as large listed companies, banks and insurance companies, with more than 500 employees. BBVA identifies NFRD counterparties mainly in two ways: i) review of the registered office in a country of the European Union and ii) more than 500 employees. In the event that the previous criterion is not met and if the client belongs to a business group, the same review is carried out at the parent company level. 6. Eligibility information for NFRD counterparties is obtained through an external reference provider in the sector, which obtains EU taxonomy KPI information directly from their corporate reports, EINF or equivalent. In the case of NFRD clients for whom the information has not been provided through the previous means, the information from their corporate reports is captured by BBVA or the client's main activity is analyzed to establish their eligibility. 7. Exposure to individuals includes self-employed workers, in which case the activity code (NACE) is reviewed to determine eligibility. The rest of the exposure corresponding to the individual segment is reviewed for the use of funds to be considered eligible, for example, in the case of housing loans. EU Taxonomy activity 7.7 Acquisition and ownership of buildings, EU Taxonomy activity 7.2 Renovation of independently existing buildings, or Cars: EUT 6.5 Transport by motorcycles, passenger cars and light commercial vehicles) 8. While exposures to governments and central banks are excluded from the GAR calculation symmetrically, from the numerator and denominator, financing to small and medium-sized enterprises that do not fall within the scope of the NFRD or financing outside EU (even if they meet the taxonomy criteria requirements) cannot qualify as aligned with the taxonomy. Furthermore, activities not covered by the EU taxonomy will be excluded from the numerator, but not from the denominator of GAR. 64 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. GAR SECTOR INFORMATION - TURNOVER Breakdown by sector - NACE 4 digits level (code and label) Climate Change Mitigation (CCM) Climate Change Adaptation (CCA) TOTAL (CCM + CCA) Non-Financial corporates (Subject to NFRD) SMEs and other NFC not subject to NFRD Non-Financial corporates (Subject to NFRD) SMEs and other NFC not subject to NFRD Non-Financial corporates (Subject to NFRD) SMEs and other NFC not subject to NFRD [Gross] carrying amount [Gross] carrying amount [Gross] carrying amount [Gross] carrying amount [Gross] carrying amount [Gross] carrying amount Mn EUR Of which environmentally sustainable (CCM) Mn EUR Of which environmentally sustainable (CCM) Mn EUR Of which environmentally sustainable (CCA) Mn EUR Of which environmentally sustainable (CCA) Mn EUR Of which environmentally sustainable (CCM + CCA) Mn EUR Of which environmentally sustainable (CCM + CCA) A.02.10 Silviculture and other forestry activities 1 0 1 1 0 0 0 0 1 1 B.05.10 Mining of hard coal 0 0 0 0 0 0 0 0 0 0 C.16.29 Manufacture of other products of wood; manufacture of articles of cork, straw and plaiting materials 10 0 10 0 0 0 0 0 10 0 C.17.11 Manufacture of pulp 0 0 0 0 0 0 0 0 0 0 C.17.12 Manufacture of paper and paperboard 6 0 6 0 0 0 0 0 6 0 C.17.21 Manufacture of corrugated paper and paperboard and of containers of paper and paperboard 0 0 0 0 0 0 0 0 0 0 C.17.23 Manufacture of paper stationery 0 0 0 0 0 0 0 0 0 0 C.17.29 Manufacture of other articles of paper and paperboard 0 0 0 0 0 0 0 0 0 0 C.20.11 Manufacture of industrial gases 0 0 0 0 0 0 0 0 0 0 C.20.13 Manufacture of other inorganic basic chemicals 11 2 12 2 1 1 0 0 12 2 C.20.14 Manufacture of other organic basic chemicals 107 0 107 0 0 0 0 0 107 0 C.20.15 Manufacture of fertilisers and nitrogen compounds 0 0 0 0 0 0 0 0 0 0 C.20.16 Manufacture of plastics in primary forms 40 0 40 0 0 0 0 0 40 0 C.20.52 Manufacture of glues 0 0 0 0 0 0 0 0 0 0 C.22.11 Manufacture of rubber tyres and tubes; retreading and rebuilding of rubber tyres 0 0 0 0 0 0 0 0 0 0 C.22.22 Manufacture of plastic packing goods 71 0 71 0 0 0 0 0 71 0 C.22.29 Manufacture of other plastic products 6 0 6 0 0 0 0 0 6 0 65 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. C.23.11 Manufacture of flat glass 1 0 1 0 0 0 0 0 1 0 C.23.12 Shaping and processing of flat glass 0 0 0 0 0 0 0 0 0 0 C.23.13 Manufacture of hollow glass 1 0 1 0 0 0 0 0 1 0 C.23.14 Manufacture of glass fibres 4 0 4 0 0 0 0 0 4 0 C.23.31 Manufacture of ceramic tiles and flags 6 0 6 0 0 0 0 0 6 0 C.23.43 Manufacture of ceramic insulators and insulating fittings 10 4 11 5 1 1 0 0 11 5 C.23.51 Manufacture of cement 37 0 37 0 0 0 0 0 37 0 C.23.61 Manufacture of concrete products for construction purposes 0 0 0 0 0 0 0 0 0 0 C.23.63 Manufacture of ready-mixed concrete 4 0 4 0 0 0 0 0 4 0 C.23.64 Manufacture of mortars 1 0 1 0 0 0 0 0 1 0 C.23.91 Production of abrasive products 1 0 1 0 0 0 0 0 1 0 C.23.99 Manufacture of other non-metallic mineral products n.e.c. 0 0 0 0 0 0 0 0 0 0 C.24.10 Manufacture of basic iron and steel and of ferro-alloys 141 98 185 143 45 45 0 0 185 143 C.24.20 Manufacture of tubes, pipes, hollow profiles and related fittings, of steel 0 0 0 0 0 0 0 0 0 0 C.24.32 Cold rolling of narrow strip 1 0 1 0 0 0 0 0 1 0 C.24.42 Aluminium production 4 0 4 0 0 0 0 0 4 0 C.24.51 Casting of iron 9 0 9 0 0 0 0 0 9 0 C.24.52 Casting of steel 0 0 0 0 0 0 0 0 0 0 C.25.11 Manufacture of metal structures and parts of structures 0 0 0 0 0 0 0 0 0 0 C.25.12 Manufacture of doors and windows of metal 0 0 0 0 0 0 0 0 0 0 C.25.50 Forging, pressing, stamping and roll-forming of metal; powder metallurgy 19 0 19 0 0 0 0 0 19 0 C.25.72 Manufacture of locks and hinges 1 0 1 0 0 0 0 0 1 0 C.25.73 Manufacture of tools 1 0 1 0 0 0 0 0 1 0 C.25.92 Manufacture of light metal packaging 0 0 0 0 0 0 0 0 0 0 C.25.99 Manufacture of other fabricated metal products n.e.c. 5 0 5 0 0 0 0 0 5 0 C.26.11 Manufacture of electronic components 0 0 0 0 0 0 0 0 0 0 C.26.30 Manufacture of communication equipment 3 0 3 0 0 0 0 0 3 0 66 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. C.26.51 Manufacture of instruments and appliances for measuring, testing and navigation 0 0 0 0 0 0 0 0 0 0 C.26.60 Manufacture of irradiation, electromedical and electrotherapeutic equipment 140 0 140 0 0 0 0 0 140 0 C.27.11 Manufacture of electric motors, generators and transformers 142 8 143 9 0 0 0 0 143 9 C.27.12 Manufacture of electricity distribution and control apparatus 0 0 0 0 0 0 0 0 0 0 C.27.20 Manufacture of batteries and accumulators 2 1 2 1 0 0 0 0 2 1 C.27.51 Manufacture of electric domestic appliances 0 0 0 0 0 0 0 0 0 0 C.27.90 Manufacture of other electrical equipment 4 0 4 0 0 0 0 0 4 0 C.28.11 Manufacture of engines and turbines, except aircraft, vehicle and cycle engines 13 0 13 0 0 0 0 0 13 0 C.28.15 Manufacture of bearings, gears, gearing and driving elements 0 0 0 0 0 0 0 0 0 0 C.28.22 Manufacture of lifting and handling equipment 3 0 3 0 0 0 0 0 3 0 C.28.29 Manufacture of other general- purpose machinery n.e.c. 16 0 16 0 0 0 0 0 16 0 C.28.91 Manufacture of machinery for metallurgy 6 0 6 0 0 0 0 0 6 0 C.28.99 Manufacture of other special- purpose machinery n.e.c. 88 0 88 0 0 0 0 0 88 0 C.29.10 Manufacture of motor vehicles 543 89 547 93 4 4 0 0 547 93 C.29.31 Manufacture of electrical and electronic equipment for motor vehicles 0 0 0 0 0 0 0 0 0 0 C.29.32 Manufacture of other parts and accessories for motor vehicles 72 0 72 0 0 0 0 0 72 0 C.30.20 Manufacture of railway locomotives and rolling stock 36 36 71 71 36 36 0 0 71 71 C.33.12 Repair of machinery 74 9 74 9 0 0 0 0 74 9 C.33.17 Repair and maintenance of other transport equipment 0 0 0 0 0 0 0 0 0 0 C.33.20 Installation of industrial machinery and equipment 0 0 0 0 0 0 0 0 0 0 D.35.11 Production of electricity 1,055 307 1,076 324 21 17 0 0 1076 324 67 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. D.35.12 Transmission of electricity 378 298 378 298 0 0 0 0 378 298 D.35.13 Distribution of electricity 28 9 28 9 0 0 0 0 28 9 D.35.21 Manufacture of gas 5 0 5 0 0 0 0 0 5 0 D.35.22 Distribution of gaseous fuels through mains 2 0 2 0 0 0 0 0 2 0 D.35.30 Steam and air conditioning supply 9 3 9 3 0 0 0 0 9 3 E.36.00 Water collection, treatment and supply 55 16 56 17 1 1 0 0 56 17 E.37.00 Sewerage 31 16 33 17 1 1 0 0 33 17 E.38.11 Collection of non-hazardous waste 9 5 9 5 0 0 0 0 9 5 E.38.21 Treatment and disposal of non- hazardous waste 1 1 1 1 0 0 0 0 1 1 E.38.32 Recovery of sorted materials 19 3 19 3 0 0 0 0 19 3 F.41.10 Development of building projects 433 0 433 0 0 0 0 0 433 0 F.41.20 Construction of residential and non- residential buildings 698 41 698 42 1 1 0 0 698 42 F.42.11 Construction of roads and motorways 143 52 144 53 1 1 0 0 144 53 F.42.12 Construction of railways and underground railways 217 119 217 120 0 0 0 0 217 120 F.42.91 Construction of water projects 4 2 4 2 0 0 0 0 4 2 F.42.99 Construction of other civil engineering projects n.e.c. 29 17 29 17 0 0 0 0 29 17 F.43.21 Electrical installation 19 7 19 7 0 0 0 0 19 7 F.43.22 Plumbing, heat and air conditioning installation 2 0 2 0 0 0 0 0 2 0 F.43.29 Other construction installation 0 0 0 0 0 0 0 0 0 0 F.43.32 Joinery installation 1 0 1 0 0 0 0 0 1 0 F.43.99 Other specialised construction activities n.e.c. 2 0 2 0 0 0 0 0 2 0 G.46.19 Agents involved in the sale of a variety of goods 0 0 0 0 0 0 0 0 0 0 G.46.69 Wholesale of other machinery and equipment 0 0 0 0 0 0 0 0 0 0 G.46.72 Wholesale of metals and metal ores 0 0 0 0 0 0 0 0 0 0 G.46.90 Non-specialised wholesale trade 4 3 4 3 0 0 0 0 4 3 68 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. G.47.19 Other retail sale in non-specialised stores 0 0 0 0 0 0 0 0 0 0 H.49.10 Passenger rail transport, interurban 245 1 245 1 0 0 0 0 245 1 H.49.20 Freight rail transport 0 0 0 0 0 0 0 0 0 0 H.49.31 Urban and suburban passenger land transport 74 0 74 0 0 0 0 0 74 0 H.49.32 Taxi operation 61 2 61 2 0 0 0 0 61 2 H.49.39 Other passenger land transport n.e.c. 3 0 3 0 0 0 0 0 3 0 H.49.41 Freight transport by road 73 0 73 0 0 0 0 0 73 0 H.49.50 Transport via pipeline 0 0 0 0 0 0 0 0 0 0 H.50.20 Sea and coastal freight water transport 7 7 7 7 0 0 0 0 7 7 H.50.30 Inland passenger water transport 0 0 0 0 0 0 0 0 0 0 H.51.10 Passenger air transport 0 0 0 0 0 0 0 0 0 0 H.51.21 Freight air transport 0 0 0 0 0 0 0 0 0 0 H.52.21 Service activities incidental to land transportation 7 0 7 0 0 0 0 0 7 0 H.52.22 Service activities incidental to water transportation 0 0 0 0 0 0 0 0 0 0 H.52.23 Service activities incidental to air transportation 0 0 0 0 0 0 0 0 0 0 H.52.24 Cargo handling 0 0 0 0 0 0 0 0 0 0 H.52.29 Other transportation support activities 72 54 72 54 0 0 0 0 72 54 H.53.20 Other postal and courier activities 24 0 24 0 0 0 0 0 24 0 I.55.10 Hotels and similar accommodation 0 0 0 0 0 0 0 0 0 0 J.59.11 Motion picture, video and television programme production activities 0 0 37 0 37 0 0 0 37 0 J.60.20 Television programming and broadcasting activities 0 0 8 1 8 1 0 0 8 1 J.61.90 Other telecommunications activities 0 0 8 8 8 8 0 0 8 8 J.62.01 Computer programming activities 0 0 0 0 0 0 0 0 0 0 J.62.02 Computer consultancy activities 123 0 123 0 0 0 0 0 123 0 J.62.09 Other information technology and computer service activities 61 22 63 25 2 2 0 0 63 25 J.63.11 Data processing, hosting and related activities 97 0 97 0 0 0 0 0 97 0 69 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. K.64.99 Other financial service activities, except insurance and pension funding n.e.c. 1 0 1 0 0 0 0 0 1 0 K.65.12 Non-life insurance 0 0 0 0 0 0 0 0 0 0 L.68.10 Buying and selling of own real estate 228 101 228 101 0 0 0 0 228 101 L.68.20 Renting and operating of own or leased real estate 0 0 0 0 0 0 0 0 0 0 M.70.22 Business and other management consultancy activities 0 0 0 0 0 0 0 0 0 0 M.71.12 Engineering activities and related technical consultancy 87 13 87 13 0 0 0 0 87 13 M.71.20 Technical testing and analysis 0 0 0 0 0 0 0 0 0 0 M.72.11 Research and experimental development on biotechnology 0 0 0 0 0 0 0 0 0 0 M.72.19 Other research and experimental development on natural sciences and engineering 0 0 0 0 0 0 0 0 0 0 M.74.90 Other professional, scientific and technical activities n.e.c. 0 0 57 0 57 0 0 0 57 0 N.77.11 Renting and leasing of cars and light motor vehicles 62 2 62 2 0 0 0 0 62 2 N.77.12 Renting and leasing of trucks 0 0 0 0 0 0 0 0 0 0 N.77.39 Renting and leasing of other machinery, equipment and tangible goods n.e.c. 2 0 2 0 0 0 0 0 2 0 N.79.11 Travel agency activities 0 0 0 0 0 0 0 0 0 0 N.80.20 Security systems service activities 0 0 129 0 129 0 0 0 129 0 N.81.21 General cleaning of buildings 0 0 0 0 0 0 0 0 0 0 N.81.29 Other cleaning activities 0 0 0 0 0 0 0 0 0 0 N.82.99 Other business support service activities n.e.c. 0 0 0 0 0 0 0 0 0 0 O.84.11 General public administration activities 0 0 105 0 105 0 0 0 105 0 P.85.20 Primary education 0 0 0 0 0 0 0 0 0 0 P.85.59 Other education n.e.c. 0 0 0 0 0 0 0 0 0 0 Q.86.10 Hospital activities 0 0 10 0 10 0 0 0 10 0 Q.86.90 Other human health activities 0 0 5 0 5 0 0 0 5 0 Q.87.10 Residential nursing care activities 0 0 2 0 2 0 0 0 2 0 70 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Q.87.20 Residential care activities for mental retardation, mental health and substance abuse 0 0 1 0 1 0 0 0 1 0 Q.87.30 Residential care activities for the elderly and disabled 0 0 3 0 3 0 0 0 3 0 Q.87.90 Other residential care activities 0 0 13 0 13 0 0 0 13 0 R.90.03 Artistic creation 0 0 2 0 2 0 0 0 2 0 R.91.04 Botanical and zoological gardens and nature reserves activities 0 0 0 0 0 0 0 0 0 0 1. Exposures of the banking book to sectors covered (eligible) by the taxonomy (NACE sectors at the fourth level of detail), using the relevant NACE codes according to the economic activities of the counterparty. 2. The present information has been prepared in accordance with Commission Delegated Regulation (EU) 2021/2178, of July 6, 2021, which supplements Regulation (EU) 2020/852 of the European Parliament and of the Council by specifying the content and the presentation of information on environmentally sustainable economic activities 3. Customers' economic activities are classified as eligible or aligned in accordance with the Delegated Acts supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council. Specifically, the economic activities covered by Delegated Regulations (EU) 2021/2139 on mitigation and adaptation to climate change have been taken into consideration. 4. Customers' economic activities are classified as eligible or aligned taking into account the modifications implemented by Commission Delegated Regulation (EU) 2022/1214 of March 9, 2022, which includes economic activities in certain energy sectors, and Commission Delegated Regulation (EU) 2023/2485 of 27 June 2023 establishing additional technical criteria. 5. The financial assets analyzed correspond to the categories of financial instruments valued “At amortized cost”, “Fair Value with Changes in Other Comprehensive Income (FVOCI)”, “Fair Value with Changes in P&L” and “Non-negotiable at Fair Value with changes in result 6. NFRD counterparties are those subject to Directive 2014/95/EU (the Non-Financial Reporting Directive or NFRD), such as large listed companies, banks and insurance companies, with more than 500 employees. BBVA identifies NFRD counterparties mainly in two ways: i) review of the registered office in a country of the European Union and ii) more than 500 employees. In the event that the previous criterion is not met and if the client belongs to a business group, the same review is carried out at the parent company level. 7. Eligibility information for NFRD counterparties is obtained through an external reference provider in the sector, which obtains EU taxonomy KPI information directly from their corporate reports, EINF or equivalent. In the case of NFRD clients for whom the information has not been provided through the previous means, the information from their corporate reports is captured by BBVA or the client's main activity is analyzed to establish their eligibility. 8. While exposures to governments and central banks are excluded from the GAR calculation symmetrically, from the numerator and denominator, financing to small and medium-sized enterprises that do not fall within the scope of the NFRD or financing outside EU (even if they meet the taxonomy criteria requirements) cannot qualify as aligned with the taxonomy. Furthermore, activities not covered by the EU taxonomy will be excluded from the numerator, but not from the denominator of GAR. GAR SECTOR INFORMATION - CAPEX Breakdown by sector - NACE 4 digits level (code and label) Climate Change Mitigation (CCM) Climate Change Adaptation (CCA) TOTAL (CCM + CCA) Non-Financial corporates (Subject to NFRD) SMEs and other NFC not subject to NFRD Non-Financial corporates (Subject to NFRD) SMEs and other NFC not subject to NFRD Non-Financial corporates (Subject to NFRD) SMEs and other NFC not subject to NFRD [Gross] carrying amount [Gross] carrying amount [Gross] carrying amount [Gross] carrying amount [Gross] carrying amount [Gross] carrying amount Mn EUR Of which environmentally sustainable (CCM) Mn EUR Of which environmenta lly sustainable (CCM) Mn EUR Of which environmentally sustainable (CCA) Mn EUR Of which environmenta lly sustainable (CCA) Mn EUR Of which environmentally sustainable (CCM + CCA) Mn EUR Of which environmenta lly sustainable (CCM + CCA) A.02.10 Silviculture and other forestry activities 19 19 11 11 30 30 B.05.10 Mining of hard coal 0 0 0 0 0 0 B.09.10 Support activities for petroleum and natural gas extraction 0 0 0 0 0 0 C.11.01 Distilling, rectifying and blending of spirits 0 0 0 0 0 0 C.11.02 Manufacture of wine from grape 2 0 0 0 2 0 71 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. C.16.29 Manufacture of other products of wood; manufacture of articles of cork, straw and plaiting materials 10 0 0 0 10 0 C.17.11 Manufacture of pulp 0 0 0 0 0 0 C.17.12 Manufacture of paper and paperboard 6 0 0 0 6 0 C.17.21 Manufacture of corrugated paper and paperboard and of containers of paper and paperboard 0 0 0 0 0 0 C.17.23 Manufacture of paper stationery 0 0 0 0 0 0 C.17.29 Manufacture of other articles of paper and paperboard 0 0 0 0 0 0 C.19.20 Manufacture of refined petroleum products 0 0 0 0 0 0 C.20.11 Manufacture of industrial gases 0 0 0 0 0 0 C.20.13 Manufacture of other inorganic basic chemicals 8 3 1 1 10 4 C.20.14 Manufacture of other organic basic chemicals 134 1 0 0 135 1 C.20.15 Manufacture of fertilisers and nitrogen compounds 0 0 0 0 0 0 C.20.16 Manufacture of plastics in primary forms 18 2 0 0 18 2 C.20.52 Manufacture of glues 0 0 0 0 0 0 C.22.11 Manufacture of rubber tyres and tubes; retreading and rebuilding of rubber tyres 0 0 0 0 0 0 C.22.22 Manufacture of plastic packing goods 71 0 0 0 71 0 C.22.29 Manufacture of other plastic products 6 0 0 0 6 0 C.23.11 Manufacture of flat glass 1 0 0 0 1 0 C.23.12 Shaping and processing of flat glass 0 0 0 0 0 0 C.23.13 Manufacture of hollow glass 1 0 0 0 1 0 C.23.14 Manufacture of glass fibres 4 0 0 0 4 0 C.23.31 Manufacture of ceramic tiles and flags 6 0 0 0 6 0 C.23.43 Manufacture of ceramic insulators and insulating fittings 7 2 1 1 7 3 C.23.51 Manufacture of cement 29 0 0 0 29 0 C.23.61 Manufacture of concrete products for construction purposes 0 0 0 0 0 0 C.23.63 Manufacture of ready-mixed concrete 4 0 0 0 4 0 72 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. C.23.64 Manufacture of mortars 1 0 0 0 1 0 C.23.91 Production of abrasive products 1 0 0 0 1 0 C.23.99 Manufacture of other non-metallic mineral products n.e.c. 0 0 0 0 0 0 C.24.10 Manufacture of basic iron and steel and of ferro-alloys 118 83 45 45 163 128 C.24.20 Manufacture of tubes, pipes, hollow profiles and related fittings, of steel 0 0 0 0 0 0 C.24.32 Cold rolling of narrow strip 1 0 0 0 1 0 C.24.42 Aluminium production 4 0 0 0 4 0 C.24.51 Casting of iron 9 0 0 0 9 0 C.24.52 Casting of steel 0 0 0 0 0 0 C.25.11 Manufacture of metal structures and parts of structures 0 0 0 0 0 0 C.25.12 Manufacture of doors and windows of metal 0 0 0 0 0 0 C.25.50 Forging, pressing, stamping and roll-forming of metal; powder metallurgy 19 0 0 0 19 0 C.25.72 Manufacture of locks and hinges 1 0 0 0 1 0 C.25.73 Manufacture of tools 1 0 0 0 1 0 C.25.92 Manufacture of light metal packaging 0 0 0 0 0 0 C.25.99 Manufacture of other fabricated metal products n.e.c. 5 0 0 0 5 0 C.26.11 Manufacture of electronic components 0 0 0 0 0 0 C.26.30 Manufacture of communication equipment 3 0 0 0 3 0 C.26.51 Manufacture of instruments and appliances for measuring, testing and navigation 0 0 0 0 0 0 C.26.60 Manufacture of irradiation, electromedical and electrotherapeutic equipment 140 0 0 0 140 0 C.27.11 Manufacture of electric motors, generators and transformers 163 28 2 2 165 30 C.27.12 Manufacture of electricity distribution and control apparatus 0 0 0 0 0 0 C.27.20 Manufacture of batteries and accumulators 6 3 0 0 6 3 C.27.51 Manufacture of electric domestic appliances 0 0 0 0 0 0 C.27.90 Manufacture of other electrical equipment 4 0 0 0 4 0 73 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. C.28.11 Manufacture of engines and turbines, except aircraft, vehicle and cycle engines 13 0 0 0 13 0 C.28.15 Manufacture of bearings, gears, gearing and driving elements 0 0 0 0 0 0 C.28.22 Manufacture of lifting and handling equipment 3 0 0 0 3 0 C.28.29 Manufacture of other general- purpose machinery n.e.c. 30 0 0 0 30 0 C.28.91 Manufacture of machinery for metallurgy 6 0 0 0 6 0 C.28.99 Manufacture of other special- purpose machinery n.e.c. 88 0 0 0 88 0 C.29.10 Manufacture of motor vehicles 398 133 12 12 410 145 C.29.31 Manufacture of electrical and electronic equipment for motor vehicles 0 0 0 0 0 0 C.29.32 Manufacture of other parts and accessories for motor vehicles 72 0 0 0 72 0 C.30.20 Manufacture of railway locomotives and rolling stock 36 32 36 32 71 64 C.33.12 Repair of machinery 117 17 0 0 117 17 C.33.17 Repair and maintenance of other transport equipment 0 0 0 0 0 0 C.33.20 Installation of industrial machinery and equipment 0 0 0 0 0 0 D.35.11 Production of electricity 1919 1347 8 7 1927 1354 D.35.12 Transmission of electricity 506 469 0 0 506 469 D.35.13 Distribution of electricity 14 1 0 0 14 1 D.35.21 Manufacture of gas 23 18 0 0 23 18 D.35.22 Distribution of gaseous fuels through mains 11 8 0 0 11 8 D.35.23 Trade of gas through mains 0 0 0 0 0 0 D.35.30 Steam and air conditioning supply 9 7 0 0 9 7 E.36.00 Water collection, treatment and supply 36 9 2 2 37 10 E.37.00 Sewerage 14 10 2 2 16 12 E.38.11 Collection of non-hazardous waste 4 3 0 0 4 3 E.38.21 Treatment and disposal of non- hazardous waste 7 7 0 0 7 7 E.38.32 Recovery of sorted materials 20 3 0 0 20 3 E.39.00 Remediation activities and other waste management services 0 0 0 0 0 0 F.41.10 Development of building projects 433 0 0 0 433 0 74 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. F.41.20 Construction of residential and non- residential buildings 465 16 0 0 465 16 F.42.11 Construction of roads and motorways 138 33 0 0 138 33 F.42.12 Construction of railways and underground railways 84 18 1 1 84 19 F.42.22 Construction of utility projects for electricity and telecommunications 1 1 0 0 1 1 F.42.91 Construction of water projects 2 0 0 0 2 0 F.42.99 Construction of other civil engineering projects n.e.c. 25 18 0 0 25 18 F.43.12 Site preparation 14 3 0 0 14 3 F.43.21 Electrical installation 46 33 0 0 46 33 F.43.22 Plumbing, heat and air conditioning installation 1 0 0 0 1 0 F.43.29 Other construction installation 0 0 0 0 0 0 F.43.32 Joinery installation 1 0 0 0 1 0 F.43.99 Other specialised construction activities n.e.c. 1 0 0 0 1 0 G.46.19 Agents involved in the sale of a variety of goods 0 0 0 0 0 0 G.46.31 Wholesale of fruit and vegetables 0 0 0 0 0 0 G.46.69 Wholesale of other machinery and equipment 0 0 0 0 0 0 G.46.72 Wholesale of metals and metal ores 0 0 0 0 0 0 G.46.76 Wholesale of other intermediate products 0 0 0 0 0 0 G.46.90 Non-specialised wholesale trade 0 0 0 0 0 0 G.47.19 Other retail sale in non-specialised stores 3 0 0 0 3 0 H.49.10 Passenger rail transport, interurban 237 2 0 0 237 2 H.49.20 Freight rail transport 0 0 0 0 0 0 H.49.31 Urban and suburban passenger land transport 74 0 0 0 74 0 H.49.32 Taxi operation 127 10 0 0 127 10 H.49.39 Other passenger land transport n.e.c. 3 0 0 0 3 0 H.49.41 Freight transport by road 60 1 0 0 60 1 H.49.50 Transport via pipeline 1 1 0 0 1 1 H.50.20 Sea and coastal freight water transport 7 7 0 0 7 7 H.50.30 Inland passenger water transport 0 0 0 0 0 0 H.51.10 Passenger air transport 0 0 0 0 0 0 75 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. H.51.21 Freight air transport 0 0 0 0 0 0 H.52.21 Service activities incidental to land transportation 7 0 0 0 7 0 H.52.22 Service activities incidental to water transportation 3 0 0 0 3 0 H.52.23 Service activities incidental to air transportation 0 0 0 0 0 0 H.52.24 Cargo handling 0 0 0 0 0 0 H.52.29 Other transportation support activities 94 13 0 0 94 13 H.53.20 Other postal and courier activities 24 0 0 0 24 0 I.55.10 Hotels and similar accommodation 0 0 0 0 0 0 I.56.21 Event catering activities 1 0 0 0 1 0 I.56.29 Other food service activities 0 0 0 0 0 0 J.59.11 Motion picture, video and television programme production activities 0 0 9 0 9 0 J.60.20 Television programming and broadcasting activities 0 0 22 0 22 0 J.62.01 Computer programming activities 0 0 0 0 0 0 J.62.02 Computer consultancy activities 123 0 0 0 123 0 J.62.09 Other information technology and computer service activities 49 12 1 1 51 13 J.63.11 Data processing, hosting and related activities 40 0 0 0 40 0 K.64.99 Other financial service activities, except insurance and pension funding n.e.c. 0 0 0 0 0 0 K.65.12 Non-life insurance 0 0 0 0 0 0 L.68.10 Buying and selling of own real estate 482 80 0 0 482 80 L.68.20 Renting and operating of own or leased real estate 0 0 0 0 0 0 M.71.12 Engineering activities and related technical consultancy 98 24 0 0 98 24 M.71.20 Technical testing and analysis 0 0 0 0 0 0 M.72.11 Research and experimental development on biotechnology 0 0 0 0 0 0 M.72.19 Other research and experimental development on natural sciences and engineering 0 0 0 0 0 0 M.74.90 Other professional, scientific and technical activities n.e.c. 0 0 57 0 57 0 N.77.11 Renting and leasing of cars and light motor vehicles 61 1 0 0 61 1 N.77.12 Renting and leasing of trucks 0 0 0 0 0 0 76 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. N.77.39 Renting and leasing of other machinery, equipment and tangible goods n.e.c. 2 0 0 0 2 0 N.79.11 Travel agency activities 0 0 0 0 0 0 N.80.20 Security systems service activities 0 0 129 0 129 0 N.81.10 Combined facilities support activities 0 0 0 0 0 0 N.81.21 General cleaning of buildings 0 0 0 0 0 0 N.81.29 Other cleaning activities 0 0 0 0 0 0 N.82.99 Other business support service activities n.e.c. 0 0 0 0 0 0 O.84.11 General public administration activities 0 0 105 0 105 0 P.85.20 Primary education 0 0 0 0 0 0 P.85.59 Other education n.e.c. 0 0 0 0 0 0 Q.86.10 Hospital activities 0 0 10 0 10 0 Q.86.90 Other human health activities 0 0 5 0 5 0 Q.87.10 Residential nursing care activities 0 0 33 0 33 0 Q.87.20 Residential care activities for mental retardation, mental health and substance abuse 0 0 1 0 1 0 Q.87.30 Residential care activities for the elderly and disabled 0 0 3 0 3 0 Q.87.90 Other residential care activities 0 0 13 0 13 0 R.90.03 Artistic creation 0 0 0 0 0 0 1. Exposures of the banking book to sectors covered (eligible) by the taxonomy (NACE sectors at the fourth level of detail), using the relevant NACE codes according to the economic activities of the counterparty. 2. The present information has been prepared in accordance with Commission Delegated Regulation (EU) 2021/2178, of July 6, 2021, which supplements Regulation (EU) 2020/852 of the European Parliament and of the Council by specifying the content and the presentation of information on environmentally sustainable economic activities 3. Customers' economic activities are classified as eligible or aligned in accordance with the Delegated Acts supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council. Specifically, the economic activities covered by Delegated Regulations (EU) 2021/2139 on mitigation and adaptation to climate change have been taken into consideration. 4. Customers' economic activities are classified as eligible or aligned taking into account the modifications implemented by Commission Delegated Regulation (EU) 2022/1214 of March 9, 2022, which includes economic activities in certain energy sectors, and Commission Delegated Regulation (EU) 2023/2485 of 27 June 2023 establishing additional technical criteria. 5. The financial assets analyzed correspond to the categories of financial instruments valued “At amortized cost”, “Fair Value with Changes in Other Comprehensive Income (FVOCI)”, “Fair Value with Changes in P&L” and “Non-negotiable at Fair Value with changes in result 6. NFRD counterparties are those subject to Directive 2014/95/EU (the Non-Financial Reporting Directive or NFRD), such as large listed companies, banks and insurance companies, with more than 500 employees. BBVA identifies NFRD counterparties mainly in two ways: i) review of the registered office in a country of the European Union and ii) more than 500 employees. In the event that the previous criterion is not met and if the client belongs to a business group, the same review is carried out at the parent company level. 7. Eligibility information for NFRD counterparties is obtained through an external reference provider in the sector, which obtains EU taxonomy KPI information directly from their corporate reports, EINF or equivalent. In the case of NFRD clients for whom the information has not been provided through the previous means, the information from their corporate reports is captured by BBVA or the client's main activity is analyzed to establish their eligibility. 8. While exposures to governments and central banks are excluded from the GAR calculation symmetrically, from the numerator and denominator, financing to small and medium-sized enterprises that do not fall within the scope of the NFRD or financing outside EU (even if they meet the taxonomy criteria requirements) cannot qualify as aligned with the taxonomy. Furthermore, activities not covered by the EU taxonomy will be excluded from the numerator, but not from the denominator of GAR. 77 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. GAR KPI STOCK - TURNOVER % (compared to total covered assets in the denominator) Disclosure reference date T Climate Change Mitigation (CCM) Climate Change Adaptation (CCA) TOTAL (CCM + CCA) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proporti on of total assets covered Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Of which specialised lending Of which transitional Of which enabling Of which specialised lending Of which transitional Of which enabling Of which specialised lending Of which transitional Of which enabling GAR - Covered assets in both numerator and denominator Loans and advances, debt securities and equity instruments not HfT eligible for GAR calculation 51.81 1.16 — 0.07 0.39 0.49 0.07 — — 0.01 52.30 1.23 — 0.07 0.40 35.38 Financial corporations 9.6 — — — — 0.68 — — — — 10.28 — — — — 10.49 Credit institutions 10.41 — — — — 1.16 — — — — 11.58 — — — — 4.41 Loans and advances 12.43 — — — — 1.16 — — — — 13.58 — — — — 2.66 Debt securities, including UoP 21.83 — — — — 3.50 — — — — 25.33 — — — — 0.58 Equity instruments — — — — — — — — — — — — 1.16 Other financial corporations 9.01 — — — — 0.34 — — — — 9.34 — — — — 6.08 of which investment firms 23.95 — — — — — — — — — 23.95 — — — — 0.19 Loans and advances 25.8 — — — — — — — — — 25.8 — — — — 0.17 Debt securities, including UoP — — — — — — — — — — — — — — — 0.01 Equity instruments — — — — — — — — — — — — — of which management companies — — — — — — — — — — — — — — — 0.09 Loans and advances — — — — — — — — — — — — — — — 0.07 Debt securities, including UoP — — — — — — — — — — — — — — — — Equity instruments — — — — — — — — — — — — 0.02 of which insurance undertakings 1.13 — — — — 1.59 — — — — 2.73 — — — — 0.38 Loans and advances 2.95 — — — — — — — — — 2.95 — — — — 0.15 Debt securities, including UoP Equity instruments — — — — 2.59 — — — 2.59 — — — 0.24 Non-financial corporations 27.04 6.09 — 0.53 3.07 2.21 0.54 — — 0.04 29.26 6.63 — 0.53 3.11 4.53 NFCs subject to NFRD disclosure obligations — — — — — — — — — — — — — — — — Loans and advances 31.7 6.94 — 0.62 3.44 2.54 0.64 — — 0.04 34.24 7.58 — 0.62 3.48 3.73 Debt securities, including UoP 10.33 5.28 — 0.44 3.02 0.24 0.20 — — 0.13 10.57 5.49 — 0.44 3.15 0.26 Equity instruments 2.81 0.58 — 0.54 0.86 — — — 3.67 0.58 — 0.54 0.54 Households 81.73 0.68 — — — — — — — — 81.73 0.68 — — — 19.56 of which loans collateralised by residential immovable property 100 0.93 — — — — — — — — 100 0.93 — — — 14.34 of which building renovation loans 100 — — — — — — — — — 100 — — — — 0.6 of which motor vehicle loans 100 — — — — — — — — — 100 — — — 1.05 78 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Local governments financing — — — — — — — — — — — — — — — 0.69 Collateral obtained by taking possession: residential and commercial immovable properties 100 0.10 — — — — — — — — 100 0.10 — — — 0.11 Other local government financing — — — — — — — — — — — — — — — 0.69 Total GAR assets 33 0.73 — 0.04 0.25 0.31 0.04 — — — 33 0.78 — 0.04 0.25 56 1. The present information has been prepared in accordance with Commission Delegated Regulation (EU) 2021/2178, of July 6, 2021, which supplements Regulation (EU) 2020/852 of the European Parliament and of the Council by specifying the content and the presentation of information on environmentally sustainable economic activities 2. Customers' economic activities are classified as eligible or aligned in accordance with the Delegated Acts supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council. Specifically, the economic activities covered by Delegated Regulations (EU) 2021/2139 on mitigation and adaptation to climate change have been taken into consideration. 3. Clients' economic activities are classified as eligible or aligned taking into account the modifications implemented by Commission Delegated Regulation (EU) 2022/1214 of March 9, 2022, which includes economic activities in certain energy sectors, and Commission Delegated Regulation (EU) 2023/2485 of 27 June 2023 establishing additional technical criteria. 4. The financial assets analyzed correspond to the categories of financial instruments valued “At amortized cost”, “Fair Value with Changes in Other Comprehensive Income (FVOCI)”, “Fair Value with Changes in P&L” and “Non-negotiable at Fair Value with changes in result 5. NFRD counterparties are those subject to Directive 2014/95/EU (the Non-Financial Reporting Directive or NFRD), such as large listed companies, banks and insurance companies, with more than 500 employees. BBVA identifies NFRD counterparties mainly in two ways: i) review of the registered office in a country of the European Union and ii) more than 500 employees. In the event that the previous criterion is not met and if the client belongs to a business group, the same review is carried out at the parent company level. 6. Eligibility information for NFRD counterparties is obtained through an external reference provider in the sector, which obtains EU taxonomy KPI information directly from their corporate reports, EINF or equivalent. In the case of NFRD clients for whom the information has not been provided through the previous means, the information from their corporate reports is captured by BBVA or the client's main activity is analyzed to establish their eligibility. 7. Exposure to individuals includes self-employed workers, in which case the activity code (NACE) is reviewed to determine eligibility. The rest of the exposure corresponding to the individual segment is reviewed for the use of funds to be considered eligible, for example, in the case of housing loans. EU Taxonomy activity 7.7 Acquisition and ownership of buildings, EU Taxonomy activity 7.2 Renovation of independently existing buildings, or Cars: EUT 6.5 Transport by motorcycles, passenger cars and light commercial vehicles) 8. While exposures to governments and central banks are excluded from the GAR calculation symmetrically, from the numerator and denominator, financing to small and medium-sized enterprises that do not fall within the scope of the NFRD or financing outside EU (even if they meet the taxonomy criteria requirements) cannot qualify as aligned with the taxonomy. Furthermore, activities not covered by the EU taxonomy will be excluded from the numerator, but not from the denominator of GAR. GAR KPI STOCK - CAPEX % (compared to total covered assets in the denominator) Disclosure reference date T Climate Change Mitigation (CCM) Climate Change Adaptation (CCA) TOTAL (CCM + CCA) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proporti on of total assets covered Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Of which specialised lending Of which transitional Of which enabling Of which specialised lending Of which transitional Of which enabling Of which specialised lending Of which transitional Of which enabling GAR - Covered assets in both numerator and denominator Loans and advances, debt securities and equity instruments not HfT eligible for GAR calculation 52.28 1.81 — 0.07 0.70 0.50 0.07 — — 0.01 52.78 1.87 — 0.07 0.71 35.38 Financial corporations 9.56 — — — — 0.69 — — — — 10.25 — — — — 10.49 Credit institutions 10.1 — — — — 1.16 — — — — 11.27 — — — — 4.41 Loans and advances 12.14 — — — — 1.16 — — — — 13.3 — — — — 2.66 Debt securities, including UoP 20.8 — — — — 3.50 — — — — 24.31 — — — — 0.58 Equity instruments — — — — — — — — — — — — 1.16 Other financial corporations 9.17 — — — — 0.34 — — — — 9.51 — — — — 6.08 of which investment firms 23.79 — — — — — — — — — 23.79 — — — — 0.19 Loans and advances 25.62 — — — — — — — — — 25.62 — — — — 0.17 79 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Debt securities, including UoP — — — — — — — — — — — — — — — 0.01 Equity instruments — — — — — — — — — — — — — of which management companies — — — — — — — — — — — — — — — 0.09 Loans and advances — — — — — — — — — — — — — — — 0.07 Debt securities, including UoP — — — — — — — — — — — — — — — — Equity instruments — — — — — — — — — — — — 0.02 of which insurance undertakings 0.53 — — — — 1.59 — — — — 2.13 — — — — 0.38 Loans and advances 1.39 — — — — — — — — — 1.39 — — — — 0.15 Debt securities, including UoP — — — — — — — — — — — — — — — — Equity instruments — — — — 2.59 — — — 2.59 — — — 0.24 Non-financial corporations 30.75 11.15 — 0.54 5.45 2.28 0.53 — — 0.08 33.04 11.68 — 0.54 5.53 4.53 NFCs subject to NFRD disclosure obligations — — — — — — — — — — — — — — — — Loans and advances 35.42 12.16 — 0.60 6.23 2.67 0.62 — — 0.08 38.09 12.78 — 0.60 6.30 3.73 Debt securities, including UoP 24.53 18.20 — 0.83 4.62 0.31 0.26 — — 0.26 24.84 18.46 — 0.83 4.88 0.26 Equity instruments 1.41 0.80 — 0.50 0.56 — — — 1.98 0.80 — 0.50 0.54 Households 81.73 0.68 — — — — — — — — 81.73 0.68 — — — 19.56 of which loans collateralised by residential immovable property 100.00 0.93 — — — — — — — — 100.00 0.93 — — — 14.34 of which building renovation loans 100.00 — — — — — — — — — 100.00 — — — — 0.60 of which motor vehicle loans 100.00 — — — — — — — — — 100.00 — — — 1.05 Local governments financing — — — — — — — — — — — — — — — 0.69 Collateral obtained by taking possession: residential and commercial immovable properties 100.00 0.10 — — — — — — — — 100.00 0.10 — — — 0.11 Other local government financing — — — — — — — — — — — — — — — 0.69 Total GAR assets 33.09 1.14 — 0.04 0.44 0.31 0.04 — — 0.01 33.40 1.19 — 0.04 0.45 55.89 1. The present information has been prepared in accordance with Commission Delegated Regulation (EU) 2021/2178, of July 6, 2021, which supplements Regulation (EU) 2020/852 of the European Parliament and of the Council by specifying the content and the presentation of information on environmentally sustainable economic activities 2. Customers' economic activities are classified as eligible or aligned in accordance with the Delegated Acts supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council. Specifically, the economic activities covered by Delegated Regulations (EU) 2021/2139 on mitigation and adaptation to climate change have been taken into consideration. 3. Clients' economic activities are classified as eligible or aligned taking into account the modifications implemented by Commission Delegated Regulation (EU) 2022/1214 of March 9, 2022, which includes economic activities in certain energy sectors, and Commission Delegated Regulation (EU) 2023/2485 of 27 June 2023 establishing additional technical criteria. 4. The financial assets analyzed correspond to the categories of financial instruments valued “At amortized cost”, “Fair Value with Changes in Other Comprehensive Income (FVOCI)”, “Fair Value with Changes in P&L” and “Non-negotiable at Fair Value with changes in result 5. NFRD counterparties are those subject to Directive 2014/95/EU (the Non-Financial Reporting Directive or NFRD), such as large listed companies, banks and insurance companies, with more than 500 employees. BBVA identifies NFRD counterparties mainly in two ways: i) review of the registered office in a country of the European Union and ii) more than 500 employees. In the event that the previous criterion is not met and if the client belongs to a business group, the same review is carried out at the parent company level. 6. Eligibility information for NFRD counterparties is obtained through an external reference provider in the sector, which obtains EU taxonomy KPI information directly from their corporate reports, EINF or equivalent. In the case of NFRD clients for whom the information has not been provided through the previous means, the information from their corporate reports is captured by BBVA or the client's main activity is analyzed to establish their eligibility. 7. Exposure to individuals includes self-employed workers, in which case the activity code (NACE) is reviewed to determine eligibility. The rest of the exposure corresponding to the individual segment is reviewed for the use of funds to be considered eligible, for example, in the case of housing loans. EU Taxonomy activity 7.7 Acquisition and ownership of buildings, EU Taxonomy activity 7.2 Renovation of independently existing buildings, or Cars: EUT 6.5 Transport by motorcycles, passenger cars and light commercial vehicles) 8. While exposures to governments and central banks are excluded from the GAR calculation symmetrically, from the numerator and denominator, financing to small and medium-sized enterprises that do not fall within the scope of the NFRD or financing outside EU (even if they meet the taxonomy criteria requirements) cannot qualify as aligned with the taxonomy. Furthermore, activities not covered by the EU taxonomy will be excluded from the numerator, but not from the denominator of GAR. 80 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. KPI OFF-BALANCE SHEET EXPOSURES - TURNOVER % (compared to total eligible off- balance sheet assets) Disclosure reference date T Climate Change Mitigation (CCM) Climate Change Adaptation (CCA) TOTAL (CCM + CCA) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Of which specialised lending Of which transitional Of which enabling Of which specialised lending Of which enabling Of which specialised lending Of which transitional Of which enabling Financial guarantees (FinGuar KPI) 4.99% 1.94% —% 0.09% 0.95% 0.57% 0.01% —% —% 5.56% 1.95% —% 0.09% 0.95% Assets under management (AuM KPI) 0.18% 0.08% —% —% 0.06% 0.01% 0.01% —% —% 0.19% 0.09% —% —% 0.06% 1. Off-balance sheet exposures (financial guarantees and AuM) calculated based on the data disclosed in template 1, on covered assets, and by applying the formulas proposed in this template KPI OFF-BALANCE SHEET EXPOSURES - CAPEX % (compared to total eligible off- balance sheet assets) Disclosure reference date T Climate Change Mitigation (CCM) Climate Change Adaptation (CCA) TOTAL (CCM + CCA) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-eligible) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Proportion of total covered assets funding taxonomy relevant sectors (Taxonomy-aligned) Of which specialised lending Of which transitional Of which enabling Of which specialised lending Of which enabling Of which specialised lending Of which transitional Of which enabling Financial guarantees (FinGuar KPI) 8.20% 5.47% —% 0.17% 1.45% 0.61% 0.01% —% —% 8.81% 5.48% —% 0.17% 1.45% Assets under management (AuM KPI) 0.25% 0.17% —% —% 0.13% 0.01% 0.01% —% —% 0.26% 0.17% —% —% 0.13% 1. Off-balance sheet exposures (financial guarantees and AuM) calculated based on the data disclosed in template 1, on covered assets, and by applying the formulas proposed in this template 81 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. NUCLEAR AND FOSSIL GAS RELATED ACTIVITIES Nuclear energy related activities The undertaking carries out, funds or has exposures to research, development, demonstration and deployment of innovative electricity generation facilities that produce energy from nuclear processes with minimal waste from the fuel cycle. NO The undertaking carries out, funds or has exposures to construction and safe operation of new nuclear installations to produce electricity or process heat, including for the purposes of district heating or industrial processes such as hydrogen production, as well as their safety upgrades, using best available technologies. YES The undertaking carries out, funds or has exposures to safe operation of existing nuclear installations that produce electricity or process heat, including for the purposes of district heating or industrial processes such as hydrogen production from nuclear energy, as well as their safety upgrades. YES Fossil gas related activities The undertaking carries out, funds or has exposures to construction or operation of electricity generation facilities that produce electricity using fossil gaseous fuels. YES The undertaking carries out, funds or has exposures to construction, refurbishment, and operation of combined heat/cool and power generation facilities using fossil gaseous fuels. YES The undertaking carries out, funds or has exposures to construction, refurbishment and operation of heat generation facilities that produce heat/cool using fossil gaseous fuels. YES 82 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. TAXONOMY-ALIGNED ECONOMIC ACTIVITIES (DENOMINATOR) - TURNOVER Amount and proportion (the information is to be presented in monetary amounts and as percentages) Economic Activities CCM+CCA Climate Change mitigation (CCM) Climate change Adaption (CCA) Amount % Amount % Amount % Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.26 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.27 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.28 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 6 — 6 — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.29 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.30 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 2 — — — 2 — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.31 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of other taxonomy-aligned economic activities not referred to in rows 1 to 6 above in the denominator of the applicable KPI 2,123 0.77 2,006 0.73 118 0.04 Total applicable KPI 274,384 0.78 274,384 0.73 274,384 0.04 83 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. TAXONOMY-ALIGNED ECONOMIC ACTIVITIES (DENOMINATOR) - CAPEX Amount and proportion (the information is to be presented in monetary amounts and as percentages) Economic Activities CCM+CCA Climate Change mitigation (CCM) Climate change Adaption (CCA) Amount % Amount % Amount % Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.26 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 0 — 0 — 0 — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.27 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 1 — 1 — 0 — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.28 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 9 — 9 — 0 — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.29 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 0 — 0 — 0 — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.30 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 0 — 0 — 0 — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.31 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 0 — 0 — 0 — Amount and proportion of other taxonomy-aligned economic activities not referred to in rows 1 to 6 above in the denominator of the applicable KPI 3,243 1.18 3,126 1.14 117 0.04 Total applicable KPI 274,384 1.19 274,384 1.14 274,384 0.04 84 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. TAXONOMY-ALIGNED ECONOMIC ACTIVITIES (NUMERATOR) - TURNOVER Amount and proportion (the information is to be presented in monetary amounts and as percentages) Economic Activities CCM+CCA Climate Change mitigation (CCM) Climate change Adaption (CCA) Amount % Amount % Amount % Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.26 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.27 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.28 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 6 0.29 6 0.29 — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.29 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.30 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 2 0.08 — — 2 0.08 Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.31 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of other taxonomy-aligned economic activities not referred to in rows 1 to 6 above in the numerator of the applicable KPI 2,123 99.63 2,006 94.11 118 5.52 Total amount and proportion of taxonomy-aligned economic activities in the numerator of the applicable KPI 2,131 100.00 2,012 94.40 119 5.60 85 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. TAXONOMY-ALIGNED ECONOMIC ACTIVITIES (NUMERATOR) - CAPEX Amount and proportion (the information is to be presented in monetary amounts and as percentages) Economic Activities CCM+CCA Climate Change mitigation (CCM) Climate change Adaption (CCA) Amount % Amount % Amount % Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.26 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.27 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 1 0.03 1 0.03 — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.28 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 9 0.26 9 0.26 — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.29 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.30 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.31 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of other taxonomy-aligned economic activities not referred to in rows 1 to 6 above in the numerator of the applicable KPI 3,243 99.7 3,126 96.10 117 3.59 Total amount and proportion of taxonomy-aligned economic activities in the numerator of the applicable KPI 3,253 100.00 3,136 96.41 117 3.59 86 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. TAXONOMY-ELIGIBLE BUT NOT TAXONOMY-ALIGNED ECONOMIC ACTIVITIES - TURNOVER Amount and proportion (the information is to be presented in monetary amounts and as percentages) Economic Activities CCM+CCA Climate Change mitigation (CCM) Climate change Adaption (CCA) Amount % Amount % Amount % Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.26 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.27 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.28 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.29 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 161 0.06 161 0.06 — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.30 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 15 0.01 15 0.01 — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.31 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of other taxonomy-eligible but not taxonomy-aligned economic activities not referred to in rows 1 to 6 above in the denominator of the applicable KPI 88,519 32.26 87,795 32.00 725 0.26 Total amount and proportion of taxonomy eligible but not taxonomy- aligned economic activities in the denominator of the applicable KPI 88,695 32.33 87,971 32.06 725 0.26 87 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. TAXONOMY-ELIGIBLE BUT NOT TAXONOMY-ALIGNED ECONOMIC ACTIVITIES - CAPEX Amount and proportion (the information is to be presented in monetary amounts and as percentages) Economic Activities CCM+CCA Climate Change mitigation (CCM) Climate change Adaption (CCA) Amount % Amount % Amount % Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.26 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.27 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.28 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.29 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 31 0.01 31 0.01 — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.30 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI 5 — 5 — — — Amount and proportion of taxonomy- aligned economic activity referred to in Section 4.31 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — — — — — Amount and proportion of other taxonomy-eligible but not taxonomy-aligned economic activities not referred to in rows 1 to 6 above in the denominator of the applicable KPI 88,362 32.20 87,617 31.93 744 0.27 Total amount and proportion of taxonomy eligible but not taxonomy- aligned economic activities in the denominator of the applicable KPI 88,398 32.22 87,654 31.95 744 0.27 88 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. TAXONOMY NON-ELIGIBLE ECONOMIC ACTIVITIES - TURNOVER Economic Activities Amount % Amount and proportion of economic activity referred to in row 1 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.26 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 2 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.27 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 3 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.28 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 4 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.29 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 5 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.30 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 6 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.31 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of other taxonomy-non-eligible economic activities not referred to in rows 1 to 6 above in the denominator of the applicable KPI 183,558 66.90 Total amount and proportion of taxonomy-non-eligible economic activities in the denominator of the applicable KPI 183,558 66.90 89 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. TAXONOMY NON-ELIGIBLE ECONOMIC ACTIVITIES - CAPEX Economic Activities Amount % Amount and proportion of economic activity referred to in row 1 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.26 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 2 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.27 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 3 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.28 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 4 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.29 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 5 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.30 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of economic activity referred to in row 6 of Template 1 that is taxonomy-non-eligible in accordance with Section 4.31 of Annexes I and II to Delegated Regulation 2021/2139 in the denominator of the applicable KPI — — Amount and proportion of other taxonomy-non-eligible economic activities not referred to in rows 1 to 6 above in the denominator of the applicable KPI 182,733 66.60 Total amount and proportion of taxonomy-non-eligible economic activities in the denominator of the applicable KPI 182,733 66.60 90 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 3. Financial information 3.1 Balance sheet, business activity and earnings The financial information included in this Management report has been prepared from the individual accounting and management records of Banco Bilbao Vizcaya Argentaria, S.A. and with the criteria established by the Bank of Spain Circular 4/2017, on Public and Confidential Financial Reporting Rules and Formats for Financial Statements, and its subsequent amendments. The key figures in the Bank’s balance sheet and income statement related to its main activity are as follows: On the one hand, as of December 31, 2023, the Bank’s total assets increased compared to December 2022 to €490,883m from €458,888m, mainly due to an increase “Financial assets held for trading” (€116,828m as of December 31, 2023 vs. €91,391m as of the same date of the prior year) and “Financial assets at amortized cost” which showed an increase from €246,950m as of December 31, 2022 to €261,765m as of December 31, 2023. The increases in these headings were partially offset by the lower balances of “Financial assets at fair value through other comprehensive income” (€19,426m at the end of 2023 compared to €24,854m as of the same date of the prior year) and “Cash, cash balances at central banks and other demand deposits” (€49,213m at the end of 2023 compared to €52,973m at December 31, 2022). On the other hand, as of December 31, 2023, Total Liabilities recorded increases, especially in the headings "Financial liabilities held for trading" (€108,349m as of December 31, 2022 against €80,853m as of December 31, 2022) and "Financial liabilities at amortized cost", amounting to €339,476m at the end of 2023 against € 335,941m at the same date last year. In 2023, the Bank obtained a profit for the year of €4,807 m, compared to €4,816 m of the previous year and the result of the following factors: – Net interest income rose during the year, from €3,821m at December 31, 2022 to €5,564m at December 31, 2023, mainly due to the increase in interest income partially offset by interest expense. – Gross margin in 2023 stood at €11,020m, compared to €9,503m obtained in 2022, thanks mainly to net interest income, dividend income and fee and commission income. – Compared to the previous year, the environment was marked by inflationary pressure, where administrative expenses increased (€-4,157m in fiscal year 2023 against €-3,755m in fiscal year 2022), mainly due to personal expense. – The impairment of financial assets remained in line with the previous year while the heading "Impairment or reversal of impairment of investments in subsidiaries, joint ventures or associates" compares very negatively with the year 2022, due to a lower reversal in the impairment of Garanti BBVA. 3.2 Capital and solvency 3.2.1 Capital and treasury stock Information about common stock and transactions with treasury stock is detailed in Notes 23 and 26 of the accompanying Financial Statements. Information about the share buyback program and the shareholder remuneration system is detailed in Note 3 of the accompanying Financial Statements. 3.2.2 Capital ratios BBVA's solvency and capital ratios required by the regulation in force in 2022 are outlined in Note 28 of the accompanying Financial Statements. 91 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 4. Risk management The Bank's general risk management and control model is integrated into the BBVA Group's general model. 4.1 General risk management and control model The BBVA Group has a general risk management and control model (hereinafter, the “Model”) that is appropriate for its business model, its organization, the countries where it operates and its corporate governance system. This model allows the Group to carry out its activity within the management and risk control strategy and policy defined by the corporate bodies of BBVA where sustainability is specifically considered, and the alignment to a changing economic and regulatory environment, facing this management at a global level and aligned to the circumstances at all times. The Model, for which the Group’s Chief Risk Officer (CRO) is responsible and that must be updated or reviewed at least annually, is fully applied in the Group and it comprises the following basic elements: – Governance and organization – Risk Appetite Framework – Assessment, monitoring and reporting – Infrastructure. The Group promotes the development of a risk culture that ensures a consistent application of the Model in the Group, and that guarantees that the risks function is understood and internalized at all levels of the organization. Governance & Organization The risk governance model in the BBVA Group is characterized by a special involvement of its corporate bodies, both in setting the risk strategy and in monitoring and supervising its implementation on an ongoing basis. Thus, and as explained below, the corporate bodies are responsible for approving the risk strategy and the general policies for the different types of risks. Global Risk Management (hereinafter, GRM) and Regulation & Internal Control (including, among other areas, Non-Financial Risks) are the functions responsible for its implementation and development, with the appropriate reporting to corporate bodies. Responsibility for day-to-day management of risks falls on business and corporate areas, the activities of which adhere to the general policies, regulation, infrastructures and controls that, based on the framework set by corporate bodies, are defined by GRM and Regulation & Internal Control in their corresponding areas of responsibility. To carry out this work adequately, the financial risks function in the BBVA Group has been set up as a single, global function and independent from business areas. The head of the financial risks function at an executive level, is the Group's Chief Risk Officer, who is appointed by the Board of Directors as a member of its senior management, and reports directly on the development of the corresponding functions to the corporate bodies. The Chief Risk Officer, for the best fulfilment of the functions, is supported by a structure consisting of cross- cutting risk units in the corporate area and specific risk units in the Group's geographical and/or business areas. In addition, and with regard to non-financial risks and internal control, the Group has a Regulation & Internal Control area independent from the rest of units and whose head (Head of Regulation & Internal Control) is also appointed by the Board of Directors of BBVA and reports directly to corporate bodies on the performance of its functions. This area is responsible for proposing and implementing non- financial risks policies and the Internal Control Model of the Group, and it is composed by, among other, the Non-Financial Risks, Regulatory Compliance and Risk Internal Control units. The Risk Internal Control unit, within the Regulation & Internal Control area and, therefore, independent from the financial risks function (GRM), acts as a control unit for the activities carried out by GRM. In this regard, and without prejudice to the functions performed in this regard by the Internal Audit area, Risk Internal Control checks that the regulatory framework, the models and processes and established measures are sufficient and appropriate for each type of financial risk. It also monitors its implementation and operation, and confirms that those decisions taken by GRM are taken independently from the business lines and, in particular, that there's an adequate segregation of functions between units. Governance and organizational structure are basic pillars for ensuring an effective risk management and control. This section summarizes the roles and responsibilities of the corporate bodies in the risks area, of the Group's Chief Risk Officer and, in general, of the risks function, its interrelation and the parent-subsidiary relationship model in this area and the group of committees, in addition to the Risk Internal Control unit. Corporate Bodies of BBVA According to the corporate governance system of BBVA, the Board of Directors of the Bank has certain reserved competencies, concerning management, through the implementation of the corresponding most relevant decisions, and concerning supervision and control, through the monitoring and supervision of implemented decisions and management of the Bank. 92 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. In addition, and to ensure adequate performance of the management and supervisory functions of the Board of Directors, the corporate governance system comprises different committees supporting the Board of Directors with regard to matters falling within their competence, and according to the specific charters of each committees. For this purpose, a coordinated work scheme between these corporate bodies has been established. With regard to risks, the Board of Directors' competencies are those relating to establishing the policy for controlling and managing risk and the oversight and control of its implementation. In addition, and for an adequate performance of its duties, the Board of Directors is assisted by the Risk and Compliance Committee (CRC), on the issues detailed below, and by the Executive Committee (CDP), which is focused on the strategy, finance and business functions of the Group, for the purposes of which it monitors the risks of the Group. Additionally, and in a coordinated manner with the general supervision of financial and non-financial risks carried out by the Risk and Compliance Committee, the Audit Committee and the Technology and Cybersecurity Committee also assist the Board in the management and control of non-financial risks of an accounting, tax and reporting nature, and those of a technological nature, respectively. The involvement of the corporate bodies of BBVA in the control and management of the risks of the Group is detailed below: Board of Directors The Board of Directors is responsible for establishing the risk strategy of the Group and, in this role, it determines the control and risk management policy, through the following documents: – The Risk Appetite Framework of the Group, which includes in the one hand the risk appetite statement of the Group, that is, the general principles governing the risk strategy of the Group and its target profile; and, on the other hand, and based on the above mentioned risk appetite statement, a set of quantitative metrics (core metrics, and their corresponding statements, and by type of risk metrics), reflecting the risk profile of the Group; – the framework of management policies of the different types of risk to which the Bank is or could be exposed. They contain the basic lines for a consistent management and control of risks throughoutt the Group, and consistent with the Model and Risk Appetite Framework; – and the General risk management and control model described above. All of the above in coordination with the rest of prospective-strategic decisions of the Bank, which includes the Strategic Plan, the Annual Budget, the Capital Plan and the Liquidity & Funding Plan, in addition to the rest of management objectives, whose approval is a responsibility of the Board of Directors. In addition to defining the risk strategy, the Board of Directors, in the performance of its risks monitoring, management and control tasks, also monitors the evolution of the risks of the Group and of each main geographical and/or business area, ensuring compliance with the Risk Appetite Framework of the Group; and also supervising the internal information and control systems. For the development of all these functions, the Board of Directors is supported by the CRC and the CDP, which are responsible for the functions detailed below. Risk and Compliance Committee The CRC is, according to its own charter, composed of non-executive directors and its main purpose is to assist the Board of Directors on the establishment and monitoring of the risk control and management policy of the Group. For this purpose, it assists the Board of Directors in a variety of risk control and monitoring areas, in addition to its analysis functions, based on the strategic pillars established at all times by both the Board of Directors and the CDP, the proposals on the strategy, control and risk management of the Group, which are particularly specified in the Risk Appetite Framework and in the “Model”. After the analysis, the Risk Appetite Framework and Model proposal is submitted to the Board of Directors for consideration and, where appropriate, approval purposes. In addition, the CRC proposes, in a manner consistent with the Risk Appetite Framework of the Group approved by the Board of Directors, the control and management policies of the different risks of the Group, and supervises the information and internal control systems. With regard to the monitoring of the evolution of the risks of the Group and their degree of compliance with the Risk Appetite Framework and defined general policies, and without prejudice to the monitoring task carried out by the Board of Directors and the CDP, the CRC carries out monitoring and control tasks with greater frequency and receives information with a sufficient granularity to achieve an adequate performance of its duties. The CRC also analyzes all measures planned to mitigate the impact of all identified risks, should they materialize, which must be implemented by the CDP or the Board of Directors, as the case may be. The CRC also monitors the procedures, tools and measurement indicators of those risks established at a Group level in order to have a comprehensive view of the risks of BBVA and its Group, and monitors compliance with the regulation and supervisory requirements in terms of risks. The CRC is also responsible for analyzing those project-related risks that are considered strategic for the Group or corporate transactions that are going to be submitted to the Board of Directors of the CDP, within its scope of competence. 93 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. In addition, it contributes to the setting of the remuneration policy, checking that it is compatible with an appropriate and effective management of risks and that it does not provide incentives to take risks breaching the level tolerated by the Bank. Lastly, the CRC ensures the promotion of the risk culture in the Group. In 2023, the CRC has held 22 meetings. Executive Committee In order to have a comprehensive and complete vision of the progress of the Group's business and its business units, the CDP monitors the evolution of the risk profile and the core metrics defined by the Board of Directors, being aware of any potential deviation or breach of the metrics of the Risk Appetite Framework and implementing, when applicable, the appropriate measures, as explained in the Model. In addition, the CDP is responsible for proposing the basis for developing the Risk Appetite Framework, which will be established in coordination with the rest of prospective/strategic decisions of the Bank and the rest of management objectives. Lastly, the CDP is the committee supporting the Board of Directors in decisions related to business risk and reputational risk, according to the dispositions set out in its own charter. IBBVA has an internal control model that is structured into three differentiated levels (“lines of defense”), which constitute the organizational structure of the Group's internal control model, whose objective is the integral management of the risk life cycle; all this, in accordance with the best practices developed both in the "Enterprise Risk Management - Integrated Framework" of COSO (Committee of Sponsoring Organizations of the Treadway Commission) and in the "Framework for Internal Control Systems in Banking Organizations" prepared by the Bank Basel International Settlements (BIS): – First line of defense, made up of the Business and Support Areas in charge of managing operational risks in their products, activities, processes and systems, including those present in activities that could have been outsourced. The Areas must integrate operational risk management into their day-to-day activities, identifying and evaluating operational risks, carrying out controls, assessing the sufficiency of their control environment and executing mitigation plans for those risks in which control weaknesses are identified. – Second line of defense, made up of: (i) the Non-Financial Risk Units, which are responsible for designing and maintaining the Group's Operational Risk management model, and assessing the degree of application within the different Areas; and (ii) the Specialist Control Units in different risk areas, which define the General Framework of Mitigation, Control and Monitoring in the risks of their respective areas, and carry out an independent comparison on the sufficiency of the control environment implemented by the first defense line. The Non-Financial Risk Units and the Specialist Units are located in the Regulation and Internal Control area in order to ensure coordinated action by the second line of defense and to preserve their independence from the first line of defense. – Third line of defense, performed by the Internal Audit Area, which: (i) carries out an independent review of the control model, verifying compliance and the effectiveness of the established general policies; and (ii) provides independent information on the control environment to the Corporate Assurance Committees. The Board, with the support of its Committees, supervises the effectiveness of the internal control model through periodic reports from those responsible for the different lines of defence. In particular, the heads of the Internal Regulation and Control and Internal Audit areas report at least quarterly to the Board of Directors on the most relevant issues of their control activity; and, in addition, they report monthly to the Risk and Compliance Committee and the Audit Committee, respectively, and with a greater level of detail, on the operation of the internal control model and on the independent reviews carried out of the different Bank processes. All of this is based on the annual plans for each of these functions, which are approved by the respective Board Committees and where the review of processes related to climate change risk and other sustainability issues is expressly incorporated. Parent-subsidiary risk relationship model In accordance with the provisions of the BBVA Group's General Corporate Governance Policy, for integrated management and supervision in the Group, the Group has a common management and control framework, consisting of basic guidelines (including strategic-prospective decisions) and General Policies, established by BBVA's corporate bodies for the Group. For the purpose of transferring the risk strategy and its management and control model to the different subsidiaries of the BBVA Group and their corresponding specific risk units, a parent-subsidiary relationship model has been designed within the scope of risk management and control in the BBVA Group. This relationship model implies a minimum catalog of decisions that must be adopted by the corporate bodies of the subsidiaries in terms of risks in order to provide them with an adequate governance model coordinated with the parent company. It will be the responsibility of the head of the Risk function (GRM) of each subsidiary to formulate the proposals that proceed to the corresponding corporate body for its consideration and, where appropriate, approval, according to the scope of functions that apply. The approval of these decisions by the corporate bodies of the subsidiaries obliges the risk units of the geographical areas to carry out a risk monitoring and control plan before their corporate bodies. Notwithstanding the foregoing, it is considered necessary that certain decisions regarding risks reserved for the consideration of the corresponding corporate bodies of the subsidiary for their approval, are also subject to the approval of the corporate bodies of BBVA, in accordance with what is established regulations at all times. 94 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. In the specific case of BBVA, S.A., what is described in this document regarding the coordination of the local risk management function with the risk function of the parent company BBVA, S.A. is applicable (as in any subsidiary of the Group). And with regard to the decisions that the corporate bodies of the subsidiaries must adopt, in this case it is the responsibility of the head of the Risk function of BBVA, S.A. (GRM) formulate the proposals that proceed to the corresponding corporate body for its consideration and, where appropriate, approval, according to the scope of functions that apply. Chief Risk Officer of the Group The Group's Chief Risk Officer (CRO) is responsible for the management of all the financial risks of the Group with the necessary independence, authority, rank, experience, knowledge and resources. The CRO is appointed by the Board of Directors of BBVA and has direct access to its corporate bodies (Board of Directors, CDP and CRC), with the corresponding regular reporting on the risk situation in the Group. The GRM area has a responsibility as the unit transversal to all the businesses of the BBVA Group. This responsibility is part of the structure of the BBVA Group, which is formed by subsidiaries based in different jurisdictions, which have autonomy and must comply with their local regulations, but always according to the risk management and control scheme designed by BBVA as the parent company of the BBVA Group. The Chief Risk Officer of the BBVA Group is responsible for ensuring that the risks of BBVA Group, within the scope of its functions, are managed according to the established model, assuming, among other, the following responsibilities: – Prepare, in coordination with the rest of areas responsible for risks monitoring and control, and propose to corporate bodies the risk strategy of the BBVA Group, which includes the Risk Appetite statement of the BBVA Group, core (and their respective statements) and by type of risk metrics, and the Model. – Ensure the necessary coordination to define and prepare the proposals for the Appetite Framework of the Group companies, and make sure they are applied correctly. – Define, in coordination with the rest of areas responsible for risks monitoring and control, and propose to corporate bodies the general policies for each type of risk within its scope of responsibility and, as part these, to establish the required specific regulation. – Prepare, in coordination with the rest of areas responsible for risks monitoring and control, and propose for approval, or approving if within its competence, the risk limits for the geographical areas, business areas and/or legal entities, which shall be consistent with the defined Risk Appetite Framework; it is also responsible for the monitoring, supervision and control of risk limits within its scope of responsibility. – Submit to the Risk and Compliance Committee the information required to carry out its supervisory and control functions. – Regular reporting to the corresponding corporate bodies on the situation of those risks of the BBVA Group within its scope of responsibility. – Identify and assess the material risks faced by the BBVA Group within its scope of responsibility, with an effective management of those risks and, where necessary, with the implementation of the required mitigation measures. – Early warning to the relevant corporate bodies and the Chief Executive Officer of any material risk within its scope of responsibility that could compromise the solvency of the BBVA Group. – Ensure, within its scope of responsibility, the integrity of measurement techniques and management information systems and, in general, the provision of models, tools, systems, structures and resources to implement the risk strategy defined by the corporate bodies. – Promote the risk culture of the BBVA Group to ensure the consistency of the Model in the different countries where it operates, strengthening the cross-cutting model of the risks function. For decision-making, the Group’s Chief Risk Officer has a governance structure for the role that culminates in a support forum, the Global Risk Management Committee (GRMC), which is established as the main executive-level committee on the risks within its remit. Its purpose is to develop the strategies, policies, regulations and infrastructures needed to identify, assess, measure and manage the material risks within its remit that the Group faces in its business activity. This committee is composed by the Chief Risk Officer, who chairs the meetings, and the heads of Core Services and Cross Services in the Corporate Area ofGRM, of the Front for “South America and Turkey”, and “Risk Internal Control”; and by the heads of GRM in the three most important geographical units and in CIB. The purpose of the GRMC is to propose and challenge, among other issues, the internal regulatory framework of GRM and the infrastructures required to identify, assess, measure and manage the risks faced by the Group in carrying out its businesses and to approve risk limits. The GRMC carries out its functions assisted by various support committees which include: – Global Credit Risk Management Committee: It is responsible for analyzing and decision-making related to wholesale credit risk admission. – Wholesale Credit Risk Management Committee: It is responsible for analyzing and making decisions related to wholesale credit risk admission in specific customer segments of BBVA Group, as well as being informed of the relevant decisions adopted by members of the committee within their scope of decision-making at corporate level. – Work Out Committee: Its purpose is to analyze and make decisions regarding the admission of wholesale credit risks of customers classified in Watch List, doubtful risk or write-offs in accordance with the criteria established in the Group, as well as to be informed of the decisions adopted by the person in charge of the Work Out process in its area of responsibility; it will also include the approval of proposals on entries, exits and modifications in Watch List, entries and exits in doubtful, unlikely to pay and pass to write-offs; as well as the approval of other proposals that must be seen in this Committee according to the established thresholds and criteria. 95 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. – Global Portfolio Management Committee : The executive authority responsible for managing the limits by asset class for credit risk, equities and real estate not for own use, structural risks, insurance and pension risk and asset management; and by business area and at group level established in the risk limits planning exercise, which aims to achieve an optimal combination and composition of portfolios under the restrictions imposed by the Risk Appetite Framework, which allows maximizing the risk- adjusted return on regulatory and economic capital when appropriate. Additionally, it takes into account the concentration and asset quality objectives of the portfolio, as well as the prospects and strategic needs of the the BBVA Group. – Risk Models Management Committee: It ensures an appropriate decision-making process regarding the planning, development, implementation, use, validation and monitoring of the models required to achieve an appropriate management of the Model Risk in the BBVA Group. – Global Market and Counterparty Risk Committee: its purpose is to formalize, supervise and communicate the trading risk monitoring in all Global Markets business units, as well as coordinating and approving the key decisions of the Market and Counterparty Risk activity. It is also responsible for the analysis and decision making (opinion on the risk profile of the proposal, the mitigants and the risk-return ratio) with respect to the most relevant transactions in the different geographies in which Global Markets is present. – Retail Credit Risk Committee: it ensures for the analysis, discussion and decision support on all issues regarding the retail credit risk management that impact or potentially do in the practices, processes and corporate metrics established in the General Policies, Rules and Operating Frameworks. Also: – GRM Continuity Committee: this committee operates under the provisions of the Corporate Continuity Committee for the different Areas. Its purpose is to analyze and make decisions about exceptional crisis situations, with the aim of managing continuity and the restoration of critical GRM processes, minimizing the impact of its operations through the Continuity Plan, which covers crisis management and Recovery Plans. – The Corporate Committee for Admission of Operational Risk and Product Governance (CCAROyGP) aims to ensure the adequate evaluation of initiatives with significant risk (new business, product, outsourcing, process transformation, new systems, etc.) from the perspective of operational risk and approval of the proposed control environment. Risk units of the corporate area and the business/geographical areas The risks function is comprised of risk units from the corporate area, which carry out cross-cutting functions, and of risk units of the geographical/business areas. – The risk units of the corporate area develop and submit to the Group's Chief Risk Officer the different elements required to define the proposal for the Group's Risk Appetite Framework, the general policies, the regulation and global infrastructures within the operating framework approved by corporate bodies; they ensure their application and report directly or through the Group's Chief Risk Officer to the corporate bodies of BBVA. With regard to non-financial risks and reputational risk, which are entrusted to the Regulation & Internal Control and Communications areas respectively, the corporate units of GRM will coordinate, with the corresponding corporate units of those areas, the development of the elements that should be integrated into the Appetite Framework of the Group. – The risk units of the business and/or geographical areas develop and submit to the Chief Risk Officer of the geographical and/or business areas the Risk Appetite Framework proposal applicable in each geographical and/or business area, independently and always according to the Group's Risk Appetite Framework. In addition, they ensure the application of general policies and the rest of the internal regulations, with the necessary adaptations, when applicable, to local requirements, providing the appropriate infrastructures for risk management and control purposes, within the global risk infrastructure framework defined by the corporate areas, and reporting to the corresponding corporate bodies and senior management, as applicable. With regard to Non-financial risks, which are integrated in the Regulation & Internal Control area, the local risk units will coordinate, with the unit responsible for those risks, the development of the elements that should be integrated into the local Risk Appetite Framework. Thus, the local risk units work with the risk units of the corporate area with the aim of adapting themselves to the risk strategy at Group level and pooling all the information required to monitor the evolution of their risks. As previously mentioned, the risks function has a decision-making process supported by a structure of committees, and also a top- level committee, the GRMC, whose composition and functions are described in the section "Chief Risk Officer of the Group." Each geographical and/or business area has its own risk management committee(s), with objectives and contents similar to those of the corporate area. These committees perform their duties consistently and in line with general risk policies and corporate rules, and its decisions are reflected in the corresponding minutes. Under this organizational scheme, the risks function ensures the integration and application throughout the Group of the risk strategy, the regulatory framework, the infrastructures and standardized risk controls. It also benefits from the knowledge and proximity to customers in each geographical and/or business area, and conveys the corporate risk culture to the Group's different levels. Moreover, this organization enables the risks function to conduct and report to the corporate bodies an integrated monitoring and control of the risks of the entire Group. 96 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Chief Risk Officers of geographical and/or business areas The risks function is cross-cutting, i.e. it is present in all of the Group's geographical and/or business areas through specific risk units. Each of these units is headed by a Chief Risk Officer for the geographical and/or business area who, within the relevant scope of responsibility, carries out risk management and control functions and is responsible for applying the Model, the general policies and corporate rules approved at Group level in a consistent manner, adapting them if necessary to local requirements and with the subsequent reporting to local corporate bodies. The Chief Risk Officers of the geographical and/or business areas have functional reporting to the Group's Chief Risk Officer and hierarchical reporting to the head of their geographical and/or business area. This dual reporting system aims to ensure the independence of the local risks function from the operational functions and enable its alignment with the Group's general policies and goals related to risks. Risk Internal Control The Group has a specific Risk Internal Control unit, within the Regulation & Internal Control area, that, among other tasks, independently challenges and control the regulation and governance structure in terms of financial risks and its implementation and deployment in GRM, in addition to the challenge of the development and implementation of financial risks control and management processes. It is also responsible for the validation of risk models. For this purpose, it has 3 subunits: RIC-Processes, Risks Technical Secretariat and Risk Internal Validation. – RIC-Processes. It is responsible for challenging an appropriate development of the functions of GRM units, and for reviewing that the functioning of financial risk management and control processes is appropriate and in line with the corresponding regulation, identifying potential opportunities for improvement and contributing to the design of the action plans to be implemented by the responsible units. In addition, it is the Risk Control Specialist (RCS) in the Group's Internal Control Model and, therefore, establishes the general mitigation and control frameworks for its risk area and contrasts them with those actually implemented. – Risks Technical Secretariat. It is responsible for the definition, design and management of the principles, policies, criteria and processes through which the regulatory risk framework is developed, processed, reported and disclosed to the countries; and for the coordination, monitoring and assessment of its consistency and completeness. In addition, it coordinates the definition and structure of the most relevant GRM Committees, and monitors their proper functioning, in order to ensure that all risk decisions are taken through an adequate governance and structure, ensuring their traceability. It also provides to the CRC the technical support required in terms of financial risks for a better performance of its functions. – Risk Internal Validation. It is responsible for validating the risks models. In this regard, it effectively challenges the relevant models used to manage and control the risks faced by the Group, as an independent third party from those developing or using the models in order to ensure its accuracy, robustness and stability. This review process is not restricted to the approval process, or to the introduction of changes in the models; it is a plan to make a regular assessment of those models, with the subsequent issue of recommendations and actions to mitigate identified weaknesses. The Head of Risk Internal Control of the Group is responsible for the function and reports about his activities and work plans to the Head of Regulation & Internal Control and to the CRC, with the corresponding support in the issues required, and, in particular, challenging that GRM's reports submitted to the Committee are aligned with the criteria established at the time. In addition, the risk internal control function is global and transversal, it includes all types of financial risks and has specific units in all geographical and/or business areas, with functional reporting to the Head of Risk Internal Control of the Group. The Risk Internal Control function must ensure compliance with the general risks strategy defined by the Board of Directors, with adequate proportionality and continuity. In order to comply with the control activity within its scope. Risk Internal Control is member of GRM's top-level committees (sometimes even assuming the Secretariat role), independently verifying the decisions that may be taken and, specifically, the decisions related to the definition and application of internal GRM regulation. Furthermore, the control activity is developed within a homogeneous methodological framework at a Group level, covering the entire life cycle of financial risk management and carried out under a critical and analytical approach. The Risk Internal Control team reports the results of its control function to the corresponding heads and teams, promoting the implementation of corrective measures and submitting these assessments and the resolution commitments in a transparent manner to the established levels. Lastly, and notwithstanding the control responsibility that GRM teams have in the first instance, Risk Internal Control teams promote a control culture in GRM, conveying the importance of having robust processes. 97 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Risk appetite framework Elements and development The Group's Risk Appetite Framework approved by the corporate bodies determines the risks and the risk level that the Group is willing to assume to achieve its business objectives considering the organic evolution of business. These are expressed in terms of solvency, liquidity and funding, and profitability, as well as recurrence of revenue, which are reviewed not only periodically but also if there are any substantial changes in the business strategy or relevant corporate transactions. The Risk Appetite Framework is expressed through the following elements: – Risk appetite statement: sets out the general principles of the Group's risk strategy and the target risk profile: "The BBVA Group seeks to obtain a sound risk-adjusted profitability throughout the cycle through the development of a responsible universal banking business model, based on values, centered on our customers' needs, focused on sustainability as an opportunity, operational excellence and the preservation of adequate security and business continuity. BBVA intends to achieve these goals while maintaining a moderate risk profile, so the risk model established aims at sustaining a robust financial position, and facilitating its commitment with sustainable development, as the best way to face adverse environments without jeopardizing its strategy. Risk managementat BBVA Group is based on prudent management, an integral and anticipatory view of all risks, that allows us to adapt to the disruptive risk inherent in the banking business and includes the climate driver, portfolio diversification by geography, asset classes and client segment, anti-money laundering and financing of terrorism prevention, and accompanying our clients in achieving their goals and in the transition towards a sustainable future, to promote profitable growth and recurrent value creation." – Statements and core metrics: Statements are established, based on the risk appetite statement, specifying the general principles of risk management in terms of solvency, liquidity and funding, profitability and income recurrence. Moreover, the core metrics reflect, in quantitative terms, the principles and the target risk profile set out in the Risk Appetite statement. Each core metric has three thresholds ranging from usual management of the businesses to higher levels of impairment: ◦ Management benchmark: a benchmark that determines a comfortable management level for the Group. ◦ Maximum appetite: the maximum level of risk that the Group is willing to accept in its ordinary activity. ◦ Maximum capacity: the maximum risk level that the Group could assume, which for some metrics is associated with regulatory requirements. – Metrics by type of risk: based on the core metrics and their thresholds, a number of metrics are determined for each type of risk, whose observance enables compliance with the core metrics and the Group's Risk Appetite statement. These metrics have a maximum risk appetite threshold. In addition to this Framework, statements are established that include the general principles for each risk type, as well as a level of management limits that is defined and managed by the areas responsible for the management of each type of risk in order to ensure that the early management of risks complies with the established Risk Appetite Framework. Each significant geographical area (that is, those representing more than 1% of the assets or operating income of the BBVA Group) has its own Risk Appetite framework, consisting of its local Risk Appetite statement, core statements and metrics, and metrics by type of risk, which must be consistent with those set at the Group level, but adapted to their own reality. These are approved by the corresponding corporate bodies of each entity. This Appetite Framework is supplemented by statements for each risk type and has a limit structure in line and consistent with the above. The corporate risks area works with the various geographical and/or business areas to define their Risk Appetite Framework, so that it is coordinated with, and integrated into, the Group's Risk Appetite Framework, making sure that its profile is in line with the one defined. Moreover, and for the purposes of monitoring at local level, the Chief Risks Officer of the geographical and/or business area regularly reports on the evolution of the metrics of the Local Risk Appetite Framework to the corporate bodies, as well as to the relevant top-level local committees, following a scheme similar to that of the Group, in accordance with its own corporate governance systems. Within the issuing process of the Risk Appetite Framework, Risk Internal Control carries out, within the scope of the GRM area the effective challenge of the Framework proposal prior to its escalation to corporate bodies, which is also documented, and it is extended to the approval of the management limits under which it is developed, also supervising its adequate approval and extension to the different entities of the Group. Likewise, in each significant geographical area, the local Risk Internal Control unit, working in the Risk Management Committee (hereinafter, RMC), carries out an effective challenge of the local Risk Appetite Framework prior to its escalation to local corporate bodies, which is also documented, and extended to the local approval process of the management limits. Monitoring of the Risk Appetite Framework and management of breaches So that corporate bodies can develop the risk functions of the Group, the heads of risks at an executive level will regularly report (more frequently in the case of the CRC, within its scope of responsibility) on the evolution of the metrics of the Risk Appetite Framework of the Group, with the sufficient granularity and detail, in order to check the degree of compliance of the risks strategy set out in the Risk Appetite Framework of the Group approved by the Board of Directors. 98 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. If, through the monitoring of the metrics and supervision of the Risk Appetite Framework by the executive areas, a relevant deviation or breach of the maximum appetite levels of the metrics is identified, that situation must be reported and, where applicable, the corresponding corrective measures must be submitted to the CRC. After the relevant review by the CRC, the deviation must be reported to the CDP (as part of its role in the monitoring of the evolution of the risk profile of the Group) and to the Board of Directors, which will be responsible, when applicable, for implementing the corresponding executive measures, including the modification of any metric of the Risk Appetite Framework. For this purpose, the CRC will submit to the corresponding corporate bodies all the information received and the proposals prepared by the executive areas, together with its own analysis. Notwithstanding the foregoing, once the information has been analyzed and the proposal of corrective measures has been reviewed by the CRC, the CDP may adopt, on grounds of urgency and under the terms established by law, measures corresponding the Board of Directors, but always reporting those measures to the Board of Directors in the first meeting held after the implementation for ratification purposes. In any case, an appropriate monitoring process will be established (with a greater information frequency and granularity, if required) regarding the evolution of the breached or deviated metric, and the implementation of the corrective measures, until it has been completely redressed, with the corresponding reporting to corporate bodies, in accordance with its risks monitoring, supervision and control functions. Integration of the Risk Appetite Framework into the management The transfer of the Risk Appetite Framework to ordinary management is underpinned by three basic elements: 1. The existence of a standardized set of regulations: the corporate risks area defines and proposes the general policies within its scope of action, and develops the additional internal regulation required for the development of those policies and the operating frameworks on the basis of which risk decisions must be adopted within the Group. The approval of the general policies for all types of risks is a responsibility of the corporate bodies of BBVA, while the rest of regulation is defined at an executive level according to the framework of competences applicable at any given time. The Risks units of the geographical and/or business areas comply with this regulation and performing, where necessary, the relevant adaptation to local requirements, in order to have a decision-making process that is appropriate at local level and aligned with the Group's policies. 2. Risk planning, which ensures the integration into the management of the Risk Appetite Framework through a cascade process established to set limits adjusted to the target risk profile. The Risks units of the corporate area and of the geographical and/or business areas are responsible for ensuring the alignment of this process with the Group's Risk Appetite Framework in terms of solvency, liquidity and funding, profitability, and income recurrence. 3. A comprehensive management of risks during their life cycle, based on differentiated treatment according to their type. Assessment, monitoring and reporting Assessment, monitoring and reporting is a cross-cutting function at Group level. This function ensures that the model has a dynamic and proactive vision to enable compliance with the Risk Appetite Framework approved by the Board of Directors, even in adverse scenarios. This process is integrated in the activity of the Risk units, both of the corporate area and in the geographical and/or business units, together with the units specialized in non-financial risks and reputational risk within the Regulation & Internal Control and Communications areas respectively, in order to generate a comprehensive and single view of the risk profile of the Group. This process is developed through the following phases: 1. Identification of the material risks to which BBVA is exposed (risk assessment), which includes the identification of the main risk events as well as the identification of the main vulnerabilities, both in absolute terms and in relative terms in relation to the income generation capacity of the Group and its geographical and/or business areas. 2. Monitoring the Group's risk profile and the identified risk factors, through internal, competitor and market indicators, among others, to anticipate their future development. 3. Assessment of the impact of the materialization of the risk factors on the metrics that define the Risk Appetite Framework based on different scenarios, including stress testing scenarios. 4. Response to unwanted situations and proposals for redressing measures to the corresponding levels, in order to enable a dynamic management of the situation, even before it takes place. 5. Reporting: complete and reliable information on the evolution of risks to corporate bodies and senior management, in accordance with the principles of accuracy, exhaustiveness, clarity and utility, frequency, and adequate distribution and confidentiality. The principle of transparency governs all the risk information reporting process. 99 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Infrastructure For the implementation of the Model, the Group has the resources required for an effective management and supervision of risks and for achieving its goals. In this regard, the Group's risks function: 1. Has the appropriate human resources in terms of number, ability, knowledge and experience. The profile of resources will evolve over time based on the specific needs of the GRM and Regulation & Internal Control areas, always with a high analytical and quantitative capacity as the main feature in the profile of those resources. Likewise, the corresponding units of the geographical and/or business areas have sufficient means from the resources, structures and tools perspective in order to achieve a risk management process aligned with the corporate model. 2. Develops the appropriate methodologies and models for the measurement and management of the different risk profiles, and the assessment of the capital required to take those risks. 3. Has the technological systems required to: support the Risk Appetite Framework in its broadest definition; calculate and measure the variables and specific data of the risk function; support risk management according to this Model; and provide an environment for storing and using the data required for risk management purposes and reporting to supervisory bodies. 4. Promotes adequate data governance, in accordance with the principles of governance, infrastructure, precision and integrity, completeness, promptness and adaptability, following the quality standards of the internal regulations referring to this matter. Within the risk functions, both the profiles and the infrastructure and data shall have a global and consistent approach. The human resources among the countries must be equivalent, within proportionality, ensuring a consistent operation of the risk function within the Group. However, they will be distinguished from those of the corporate area, as the latter will be more focused on the conceptualization of appetite frameworks, operating frameworks, the definition of the regulatory framework and the development of models, among other tasks. As in the case of the human resources, technological platforms must be global, thus enabling the implementation of the Risk Appetite Framework and the standardized management of the risk life cycle in all countries. The corporate area is responsible for deciding on the platforms and for defining the knowledge and roles of the human resources. It is also responsible for defining risk data governance. The foregoing is reported to the corporate bodies of BBVA so they can ensure that the Group has the appropriate means, systems, structures and resources. 4.2 Risks associated with climate change The information on the management of risks associated with climate change required by Law 7/2021, of May 20, on climate change and energy transition, is described in the chapter "Report on climate change and other environmental and social issues” of this report. 4.3 Operational risk BBVA defines operational risk (“OR”) as any risk that could result in losses caused by human error; inadequate or flawed internal processes; undue conduct with respect to customers, markets or the institution; antimoney laundering and financing of terrorist activities; failures, interruptions or flaws in systems or communications; theft, loss or wrong use of information, as well as deterioration of its quality, internal or external fraud, including in any case those derived from cyberattacks; theft or harm to assets or persons; legal risks; risks derived from staff management and labor health; and defective service provided by suppliers; as well as damages from extreme climate events, pandemics and other natural disasters. Operational risk management is oriented towards the identification of the root causes to avoid their occurrence and mitigate possible consequences. This is carried out through the establishment of control framework and monitoring and the development of mitigation plans aimed at minimizing resulting economic and reputational losses and their impact on the recurrent generation of results, and contributing the increase the quality, safety and availability of the provided service. Operational risk management is integrated into the global risk management structure of BBVA. This section addresses general aspects of operational risk management as the main component of non-financial risks. However, sections devoted to conduct and compliance risk and to cybersecurity risk management are also included in the non-financial information report. Operational risk management principles BBVA is committed to preferably applying advanced operational risk management models, regardless of the capital calculation regulatory model applicable at the time. Operational risk management at BBVA shall: – Be aligned with the Risk Appetite Framework ratified by the BBVA Board of Directors. – Address BBVA's management needs in terms of compliance with legislation, regulations and industry standards, as well as the decisions or positioning of BBVA's corporate bodies. 100 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. – Anticipate the potential operational risk to which BBVA may be exposed as a result of the creation or modification of products, activities, processes or systems, as well as decisions regarding the outsourcing or hiring of services, and establish mechanisms to assess and mitigate risk to a reasonable extent prior to implementation, as well as review the same on a regular basis. – Establish methodologies and procedures to enable regular reassessment of the significant operational risk to which BBVA is exposed, in order to adopt appropriate mitigation measures in each case, once the identified risk and the cost of mitigation (cost/benefit analysis) have been considered, while safeguarding BBVA solvency at all times. – Promote the implementation of mechanisms that support careful monitoring of all sources of operational risk and the effectiveness of mitigation and control environments, fostering proactive risk management. – Examine the causes of any operational events suffered by BBVA and establish means to prevent the same, provided that the cost/benefit analysis so recommends. To this end, there are procedures in place to evaluate operational events and mechanisms that allow recording the operational losses that may be caused by the same. – Evaluate key public events that have generated operational risk losses at other institutions in the financial sector and support, where appropriate, the implementation of measures as required to prevent them from occurring at BBVA. – Identify, analyze and attempt to quantify events with a low probability of occurrence and a high impact, which by their exceptional nature may not be included in the loss database; or if they are, feature with impacts that are not very representative for the purpose of valuing possible mitigation measures. – Have an effective system of governance in place, where the functions and responsibilities of the corporate areas and bodies involved in operational risk management are clearly defined. – Operational risk management must be performed in coordination with management of other risk, taking into consideration credit or market events that may have an operational origin. Operational risk control and management model The operational risk management cycle at BBVA is similar to the one implemented for the rest of risks. Its elements are:: Operational risk management parameters Operational risk forms part of the risk appetite framework of BBVA and includes three types of metrics and limits: – Economic capital calculated with the operational losses database of BBVA, considering the corresponding intra- geographical diversification effects and the additional estimation of potential and emerging risks through stress scenarios. The economic capital is regularly calculated and simulation capabilities are available to anticipate the impact of changes on the risk profile or new potential events. – ORI metrics (Operational Risk Indicator: operational risk losses vs. gross income) broken down by geography. – Indicators by risk type: a more granular scheme of metrics (indicators and limits) covering the main types of operational risk is being implemented. These metrics make it possible to intensify the anticipatory management of risk and objectify the appetite to different sources. These indicators are regularly reviewed and adjusted to fix the main risks in force at any time. Operational risk admission The main purposes of the operational risk admission phase are the following: – To anticipate potential operational risk to which BBVA may be exposed due to the release of new, or modification of businesses, products, activities, processes or systems or in relations with third parties (e.g. outsourcing). – To ensure that implementation and the roll out of initiatives is only performed once appropriate mitigation measures have been taken in each case, including external assurance of risks where deemed appropriate. The Corporate Non-Financial Risk Management Policy sets out the specific operational risk admission framework through different Operational Risk Admission and Product Governance Committees, both at a corporate and Business Area level, that follow a delegation structure based on the risk level of proposed initiatives. 101 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Operational risk monitoring The purpose of this phase is to check that the target operational risk profile of BBVA is within the authorized limits. Operational risk monitoring considers 2 scopes: – Monitoring the operational risk admission process, oriented towards checking that accepted risks levels are within the limits and that defined controls are effective. – Monitoring the operational risk "stock" mainly associated with processes. This is done by carrying out a periodic re- evaluation in order to generate and maintain an updated map of the relevant operational risks in each Area, and evaluate the adequacy of the monitoring and mitigation environment for said risks. This promotes the implementation of action plans to redirect the weaknesses detected. This process is supported by a corporate Governance, Risk & Compliance tool that monitors the operational risk at a local level and its aggregation at a corporate level. In addition, and in line with the best practices and recommendations provided by the Bank for International Settlements (hereinafter, BIS), BBVA has procedures to collect the operational losses occurred both in BBVA as individual entity, in the other entities of the Group and in other financial groups, with the appropriate level of detail to carry out an effective analysis that provides useful information for management purposes and to contrast the consistency of the operational risks map. To that end, a corporate tool of the Group is used in BBVA S.A. BBVA ensures continuous monitoring by each Area of the due functioning and effectiveness of the control environment, taking into consideration management indicators established for the Area, any events and losses that have occurred, as well as the results of actions taken by the second line of defense, the internal audit unit, supervisors or external auditors. Operational risk mitigation BBVA promotes the proactive mitigation of the non-financial risks to which it is exposed and which are identified in the monitoring activities. In order to rollout monitoring and anticipated mitigation practices, several cross-sectional plans are being promoted related to focuses from events, lived by BBVA or by the industry, self-assessments and recommendations from auditors and supervisors in different geographies, thereby analyzing the best practices at these levels and fostering comprehensive action plans to strengthen and standardize the control environment. Assurance of Operational Risk Assurance is one of the possible options for managing the operational risk to which BBVA is exposed, and mainly has two potential purposes: – Coverage of extreme situations linked to recurrent events that are difficult to mitigate or can only be partially mitigated by other means. – Coverage of non-recurrent events that could have significant financial impact, if they occurred. 102 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. BBVA has a general framework that regulates this area, and allows systematizing risk assurance decisions, aligning insurance coverage with the risks to which the Group is exposed and reinforcing governance in the decision-making process of arranging insurance policies. Operational Risk Control Model BBVA’s operational risk governance model is based on two components: – Three-line defense control model, in line with industry best practices, and which guarantees compliance with the most advanced operational risk internal control standards. – Scheme of Corporate Assurance Committees and Internal Control and Operational Risk Committees at the level of the different business and support areas. Corporate Assurance establishes a structure of committees, both at local and corporate level, to provide senior management with a comprehensive and homogeneous vision of the main non-financial risks and significant situations of the control environment. BBVA in Spain, as in other geographical area has a Corporate Assurance Committee chaired by the Country Manager and whose main functions are: – Facilitate agile and anticipatory decision-making for the mitigation or assumption of the main risks. – Monitoring the changes in the non-financial risks and their alignment with the defined strategies and policies and the risk appetite. – Analyzing and assessing controls and measures established to mitigate the impact of the risks identified, should they materialize. – Making decisions about the proposals for risk taking that are conveyed by the working groups or that arise in the Committee itself – Promoting transparency by promoting the proactive participation of the three lines of defense in discharging their responsibilities and the rest of the organization in this area At the holding level there is a Global Corporate Assurance Committee, chaired by the Group's Chief Executive Officer. Its main functions are similar to those already described but applicable to the most important issues that are escalated from the geographies and the holding company areas. The business and support areas have an Internal Control and Operational Risk Committee, whose purpose is to ensure the due implementation of the operational risk management model within its scope of action and drive active management of such risk, taking mitigation decisions when control weaknesses are identified and monitoring the same. Additionally, the Non-Financial Risk unit periodically reports the status of the management of non-financial risks to the Board's Risk and Compliance Committee. 103 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. 4.4 Reputational risk Reputational risk assessment of the activity in progress Since 2016, BBVA disposes of a reputational risk assessment methodology. Through this methodology, the Bank defines and reviews regularly a map in which it prioritizes the reputational risks which have to be faced and the set of action plans to mitigate them. The prioritization is done based on two variables: the impact on the perception of the stakeholders and the strength of BBVA facing the risk. This exercise is performed annually in all countries where the Group has bank entities. As a result of the assessment carried out in 2021, in 2022, 29 mitigation action plans were identified. The 17 plans identified in 2021 as a result of the evaluation of the 2021 financial year have already been concluded. Reputational risk in new initiatives The Reputation teams collaborate, together with the rest of the members of BBVA’s second defense line, in the different Committees of Admission of the Operational Risk, both at Group and the different geographical areas level. Those Committees perform the initial identification of potential reputational risks and mitigation controls are proposed., Reporting of the Reputational risk The results of the annual assessment of the Reputational Risk are reported in each geographical area at the appropriate governance level. At Group level, these results are reported to the Global Corporate Assurance Committee and, since 2020, to the Board’s Executive Committee. 4.5 Risk factors The BBVA Group has processes in place for identifying risks and analyzing scenarios in order to enable the Group to manage risks in a dynamic and proactive way. The risk identification processes are forward looking to seek the identification of emerging risks and take into account the concerns of both the business areas, which are close to the reality of the different geographical areas, and the corporate areas and senior management. Risks are identified and measured consistently using the methodologies deemed appropriate in each case. Their measurement includes the design and application of scenario analyses and stress testing and considers the controls to which the risks are subjected. As part of this process, a forward projection of the Risk Appetite Framework (hereinafter "RAF") variables in stress scenarios is conducted in order to identify possible deviations from the established thresholds. If any such deviations are detected, measures are taken to seek to keep the variables within the target risk profile. In this context, there are a number of emerging risks that could affect the evolution of the Group’s business, including the below: Macroeconomic and geopolitical risks The Group is sensitive to the deterioration of economic conditions, the alteration of the institutional environment of the countries in which it operates, and the Group is exposed to sovereign debt especially in Spain, Mexico and Turkey. The global economy is currently facing a number of extraordinary challenges. The war in Ukraine and the sanctions imposed against and by Russia have led to significant disruption, instability and volatility in global markets, as well as higher inflation and lower economic growth, mostly due to higher energy prices, which have stabilized more recently. Although oil and gas prices have reduced and financial volatility has eased, there is still a risk that geopolitical tensions lead to additional increases in input prices and financial instability, particularly following the tensions triggered by the armed conflict in the Middle East, including the recent disruptions to maritime trade routes in the Red Sea. Another global macroeconomic risk is the possibility of a sharp growth slowdown in China, which could lead to lower GDP expansion than currently expected in many geographies. Although it may be possible to offset part of the expected growth slowdown through the adoption of certain fiscal, monetary and regulatory measures by the authorities, there are risks related to tensions in the real estate markets and the possible effects of the United States economic sanctions, among others. 104 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Geopolitical and economic risks have also increased in recent years as a result of trade tensions between the United States and China, Brexit, and the rise of populism, among other factors. Growing tensions may lead, among other things, to a deglobalization of the world economy, an increase in protectionism, a general reduction of international trade in goods and services and a reduction in the integration of financial markets, any of which could materially and adversely affect the Group’s business, financial condition and results. Moreover, the world economy could be vulnerable to other factors, such as a restrictive monetary policy, in a context of relatively high inflationary pressures, which could cause a significant growth slowdown - and, even, a sharp economic recession - as well as new episodes of financial stress. The Group’s results of operations have been particularly affected by the increases in interest rates adopted by central banks in an attempt to tame inflation, contributing to the rise in both interest revenue and interest expenses. In addition, the persistence of high interest rates could adversely affect the Group by reducing the demand for credit and leading to an increase in the default rate of its borrowers and other counterparties. On the other hand, the process of reducing interest rates has already begun in many geographies and could begin by mid-2024 in the United States and the Eurozone as well. Moreover, the Group’s results of operations have been affected by the high inflation in all countries in which BBVA operates, especially Turkey and Argentina. The Group is exposed, among others, to the following general risks with respect to the economic and institutional environment in the countries in which it operates: a deterioration in economic activity in the countries in which it operates, including recession scenarios; more persistent inflationary pressures, which could trigger a more severe tightening of monetary conditions; stagflation due to more intense or prolonged supply crises; changes in exchange rates; an unfavorable evolution of the real estate market; a significant increase in oil and gas prices, which would have a negative impact on disposable income levels in areas that are net energy importers, such as Spain or Turkey, to which the Group is particularly exposed; changes in the institutional environment of the countries in which the Group operates, which could give rise to sudden and sharp drops in GDP and/or changes in regulatory or government policy, including in terms of exchange controls and restrictions on the distribution of dividends or the imposition of new taxes or charges; growth in the public debt or in the external deficit could lead to a downward revision of the credit ratings of the sovereign debt and even a possible default or restructuring of such debt; and episodes of volatility in the financial markets, which could cause significant losses for the Group. In particular, in Argentina, the risk of economic and financial turbulence persists in a context of regulatory, economic and political uncertainty, and in which the adjustments announced by the new government to correct the high economic distortions, including a strong fiscal adjustment and a significant exchange rate depreciation, have further reinforced short-term inflationary pressures. In Spain, political, regulatory and economic uncertainty has also increased since the July general elections; there is a risk that policies could have an adverse impact on the economy. In Mexico, uncertainty is related mainly to the June 2024 elections and the possible policies of the new government. Finally, in Colombia and Peru, climatic factors and greater social conflict could eventually have a negative impact on the economy.. Any of these factors may have a significant adverse impact on the Group’s business, financial condition and results of operations. Risks relating to the political, economic and social conditions in Turkey In May 2022, the Group increased its shareholding stake in Garanti BBVA (Turkey) from 49.85% to 85.97% following the completion of a voluntary takeover bid (see Note 3). There are increasing signs of normalization in economic policy in general, and monetary policy in particular, since the general elections held in May 2023, which may lead to a gradual correction of the current distortions. Despite the gradual improvement of macroeconomic conditions, the situation remains relatively unstable, characterized by a gradual depreciation of the Turkish lira, high inflation, a significant trade deficit, low central bank’s foreign reserves and high external financing costs. The earthquakes of February 2023 deepened Turkey's economic struggles. In addition to the vast human losses caused by it, the earthquakes added pressure on inflation as well as the external and fiscal balances. Continuing unfavorable economic conditions in Turkey may result in a potential deterioration in the purchasing power and creditworthiness of the clients of the Group (both individuals and corporations). In addition, the relatively low official interest rates (despite the recent upward adjustments) in a context of still high inflation, the regulatory and macroprudential policies affecting the banking sector and currency depreciation have affected and may continue to affect the Group’s results. Additionally, certain geopolitical factors, such as the war in Ukraine and the armed conflict in the Middle East, and internal political developments, generate uncertainty about the evolution of the economy and could trigger scenarios of greater instability. There can be no assurance that these and other factors will not have an impact on Turkey and will not cause further deterioration of the Turkish economy, which may have a material adverse effect on the Turkish banking sector and the Group’s business, financial condition and results of operations in Turkey. 105 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Regulatory and reputational risks Financial institutions are exposed to a complex and ever-changing regulatory environment defined by governments and regulators. Regulatory activity in recent years has affected multiple areas, including changes in accounting standards; strict regulation of capital, liquidity and remuneration; bank charges (such as the new tax for banks recently implemented in Spain, see Note 38) and taxes on financial transactions; regulations affecting mortgages, banking products and consumers and users; recovery and resolution measures; stress tests; prevention of money laundering and terrorist financing; market abuse; conduct in the financial markets; anti- corruption; and requirements as to the periodic publication of information. Governments, regulatory authorities and other institutions continually make proposals to strengthen the resistance of financial institutions to future crises. Further, there is an increasing focus on the climate-related financial risk management capabilities of banks. Any change in the Group’s business that is necessary to comply with any particular regulations at any given time, especially in Spain, Mexico or Turkey, could lead to a considerable loss of income, limit the Group’s ability to identify business opportunities, affect the valuation of its assets, force the Group to increase its prices and, therefore, reduce the demand for its products, impose additional costs on the Group or otherwise adversely affect its business, financial condition and results of operations. The financial sector is under ever closer scrutiny by regulators, governments and society itself. In the course of activities, situations which might cause relevant reputational damage to the Group could arise and might affect the regular course of business. New business and operational and legal risks New technologies and forms of customer relationships: Developments in the digital world and in information technologies pose significant challenges for financial institutions, entailing threats (new competitors, disintermediation, etc.) but also opportunities (new framework of relations with customers, greater ability to adapt to their needs, new products and distribution channels, etc.). Digital transformation is a priority for the Group as it aims to lead digital banking of the future as one of its objectives. Technological risks and security breaches: The Group is exposed to new threats such as cyber-attacks, theft of internal and customer databases, fraud in payment systems, etc. that require major investments in security from both the technological and human point of view. The Group gives great importance to the active operational and technological risk management and control. Any attack, failure or deficiency in the Group’s systems could, among other things, lead to the misappropriation of funds of the Group’s clients or the Group itself and the unauthorized disclosure, destruction or use of confidential information, as well as prevent the normal operation of the Group and impair its ability to provide services and carry out its internal management. In addition, any attack, failure or deficiency could result in the loss of customers and business opportunities, damage to computers and systems, violation of regulations regarding data protection and/or other regulations, exposure to litigation, fines, sanctions or interventions, loss of confidence in the Group’ s security measures, damage to its reputation, reimbursements and compensation, and additional regulatory compliance expenses and could have a significant adverse impact on the Group’ s business, financial condition and results of operations. Legal risks: The financial sector faces an environment of increasing regulatory and litigious pressure, and thus, the various Group entities are frequently party to individual or collective judicial proceedings (including class actions) resulting from their activity and operations, as well as arbitration proceedings. The Group is also party to government procedures and investigations, such as those carried out by the antitrust authorities in certain countries which, among other things, have in the past and could in the future result in sanctions, as well as lead to claims by customers and others. In addition, the regulatory framework in the jurisdictions in which the Group operates is evolving towards a supervisory approach more focused on the opening of sanctioning proceedings while some regulators are focusing their attention on consumer protection and behavioral risk. In Spain and in other jurisdictions where the Group operates, legal and regulatory actions and proceedings against financial institutions, prompted in part by certain judgments in favor of consumers handed down by national and supranational courts (with regards to matters such as credit cards and mortgage loans), have increased significantly in recent years and this trend could continue in the future. Legal and regulatory actions and proceedings faced by other financial institutions in relation to these and other matters, especially if such actions or proceedings result in favorable resolutions for the consumer, could also adversely affect the Group. All of the above may result in a significant increase in operating and compliance costs or even a reduction of revenues, and it is possible that an adverse outcome in any proceedings (depending on the amount thereof, the penalties imposed or the procedural or management costs for the Group) could damage the Group's reputation, generate a knock-on effect or otherwise adversely affect the Group. It is difficult to predict the outcome of legal and regulatory actions and proceedings, both those to which the Group is currently exposed and those that may arise in the future, including actions and proceedings relating to former Group subsidiaries or in respect of which the Group may have indemnification obligations. Any of such outcomes could be significantly adverse to the Group. In addition, a decision in any matter, whether against the Group or against another credit entity facing similar claims as those faced by the Group, could give rise to other claims against the Group. In addition, these actions and proceedings attract resources from the Group and may occupy a great deal of attention on part of the Group's management and employees. As of December 31, 2023 , the Group had €696 million in provisions for the proceedings it is facing (included in the line "Provisions for taxes and other legal contingencies" in the consolidated balance sheet), of which €539 million correspond to legal contingencies and €158 million to tax related matters. However, the uncertainty arising from these proceedings (including those for which no provisions have been made, either because it is not possible to estimate them or for other reasons) makes it impossible to guarantee that the possible losses arising from these proceedings will not exceed, where applicable, the amounts that the Group currently has provisioned and, therefore, could affect the Group's consolidated results in a given period. 106 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. As a result of the above, legal and regulatory actions and proceedings currently faced by the Group or to which it may become subject in the future or otherwise affected by, individually or in the aggregate, if resolved in whole or in part adversely to the Group's interests, could have a material adverse effect on the Group’s business, financial condition and results of operations. Spanish judicial authorities are investigating the activities of Centro Exclusivo de Negocios y Transacciones, S.L. (“Cenyt”). Such investigation includes the provision of services by Cenyt to BBVA. On July 29, 2019, BBVA was named as an investigated party (investigado) in a criminal judicial investigation (Preliminary Proceeding No. 96/2017 – Piece No. 9, Central Investigating Court No. 6 of the National High Court) for alleged facts which could constitute bribery, revelation of secrets and corruption. Certain current and former officers and employees of the Group, as well as former directors, have also been named as investigated parties in connection with this investigation. Since the beginning of the investigation, BBVA has been proactively collaborating with the Spanish judicial authorities, including sharing with the courts information obtained in the internal investigation hired by the entity in 2019 to contribute to the clarification of the facts. As at the date of this Annual Report, no formal accusation against BBVA has been made. By order of the Criminal Chamber of the National High Court, the pre-trial phase ended on January 29, 2024. It is not possible at this time to predict the possible outcomes or implications for the Group of this matter, including any fines, damages or harm to the Group’s reputation caused thereby. Risks in connection with climate change Climate change, which is resulting in an increase in the intensity and frequency of extreme weather events and environmental degradation, presents both short, medium and long-term risks to the Group and its customers and counterparties, with the risks expected to increase over time. Risks posed by climate change may be classified into transition and physical risks. Transition risks refer to changes in, among others, regulations, technologies and market preferences linked to the transition toward a less carbon-dependent economy, including the following: – Legal and regulatory risks: Legal and regulatory changes related to how banks are required to manage climate risk or otherwise affecting banking practices or disclosure of climate-related information may result in higher compliance, operational and credit risks and costs. Further, legal and regulatory changes may result in legal uncertainty and the existence of overlapping or conflicting regulatory or other requirements. The Group or its customers or counterparties may be unable to meet any new requirements on a timely basis or at all. Further, changes in law, including new product and service specifications, may result in the sudden devaluation of certain assets. Any of these risks may affect the Group and its customers and counterparties. In addition, in the case of banks, new regulation could include requirements related to lending, investing, capital and liquidity adequacy and operational resilience. The incorporation of climate risks in the existing prudential framework is still developing and may result in increased risk weighting of high-carbon-related assets. Moreover, there are significant risks and uncertainties inherent in the development of adequate climate change-related risk assessment and modelling capabilities and the collection of customer, third party and other data, which may result in the Group’s systems or frameworks (or those of its customers and counterparties, where applicable) being inadequate, inaccurate or susceptible to incorrect customer, third party or other data, any of which could adversely affect the Group’s disclosure and financial reporting. Further, increased regulation arising from climate change could result in increased litigation and regulatory investigations and actions. – Technological risks: Certain of the Group’s customers and counterparties may be adversely affected by the progressive transition to a low-carbon economy and/or risks and costs associated with new low-carbon technologies. If our customers and counterparties fail to adapt to the transition to a low-carbon economy, or if the costs of doing so adversely affect their creditworthiness, this could adversely affect the Group’s relevant loan portfolios. – Market risks: The Group and certain of the Group’s customers and counterparties may be adversely affected by changes in market preferences due to, among others, increasing climate change awareness. Further, the funding costs of businesses that are perceived to be more exposed to climate change could increase. Any of this could result in the reduced creditworthiness of such customers and counterparties, adversely affecting the Group’s relevant loan portfolios. The Group and its customers and counterparties could also be adversely affected by changes in prices resulting from shifts in demand or supply brought by climate change, including prices of energy and raw materials, or by their inability to foresee or hedge any such changes. 107 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. – Reputational risks: The perception of climate change as a risk by society, shareholders, customers, governments and other stakeholders continues to increase, including in relation to the financial sector’s activities. This may result in increased scrutiny of the Group’s activities, as well as its climate change-related policies, goals and disclosure. The Group’s reputation and ability to attract or retain customers may be harmed if its efforts to reduce environmental and social risks are deemed to be insufficient or if a perception is generated among the different stakeholders that the Group's statements, actions or disclosure do not fairly reflect the underlying sustainability profile of the Group, its products, services, goals and/or policies. The Group may elect not to undertake lending or investing activities that would otherwise have been profitable in order to avoid reputational harm. Further, divergent views on ESG policies may also have a negative impact on the Group’s reputation. Increased scrutiny of the Group’s activities, as well as its climate change-related policies, goals and disclosure may result in litigation and regulatory investigations and actions. The Group has disclosed certain aspirational climate-related goals and such goals, which are being pursued over the long-term, may prove to be considerably more costly or difficult than currently expected, or even impossible, to achieve, including as a result of changes in environmental and energy regulation and policy, the pace of technological change and innovation and the actions of governments, Group’s customers and competitors. The physical risk arising from climate change could result from increased frequency and/or severity of adverse weather events or the impact of climate change over the long term. The activities of the Group or those of its customers or counterparties could be adversely affected by the physical risks arising from climate change. For example, extreme weather events may damage or destroy the properties and other assets of the Group or those of its customers or counterparties, result in increased costs, or otherwise disrupt their respective operations (for example, if supply chains are disrupted as a result), diminishing –in the case of the Group’s customers or counterparties - their repayment capacity and, if applicable, the value of assets pledged as collateral to the Group. The Group is also exposed to potential long-term risks arising from climate change, such as increases in credit-related costs due to deteriorating macroeconomic conditions, which may be caused in part by an increase in infectious diseases or other ailments resulting from climate change. The Group could also be adversely affected by declines in asset values as a result of climate change or climate change-related risks, reduced availability of insurance and significant interruptions to business operations, and may be required to change its business models in response to the foregoing. Any of these factors may have a material adverse effect on the Group’s business, financial condition and results of operations. 108 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Subsequent events On January 18, 2024, a press release from the Constitutional Court of Spain was published announcing the unanimous decision of the Plenary Session of this jurisdictional body declaring unconstitutional certain measures related to Corporate Income Tax introduced by the Royal Decree-Law 3/2016. On January 29, 2024, this ruling was published on the website of the Constitutional Court, although the publication in the Official State Gazette (BOE), as of the date of preparation of these Consolidated Annual Financial Statements remains pending. The effects of this ruling will depend on the resolution of each of the claims filed in relation to the affected financial years, so the calculation of its impact, both with regard to the quantification of the magnitudes affected, as well as regarding their timing, will depend on said execution process. It is expected that the impacts of the different execution processes could have a positive aggregate impact on the Group's total equity, allowing an acceleration in the use of tax credits and a possible recovery of cash from taxes paid in previous years, all subject to the decisions that, with respect to each financial year and as part of the execution process, the Group may adopt in this regard and without, in any case, said impact expected to exceed approximately 0.4% of the Bank’s total equity. On January 30, 2024, it was announced that a cash distribution in the amount of €0.39 gross per share to be paid in April as a final dividend for the year 2023 and the execution of a share buyback program of BBVA for an amount of €781 million were planned to be proposed to the corresponding corporate bodies for consideration as ordinary remuneration to shareholders for 2023, subject to obtaining the corresponding regulatory authorizations and the communication of the specific terms and conditions of the program before its execution. From January 1, 2024 to the date of preparation of these financial statements, no other subsequent events not mentioned above in these financial statements have taken place that could significantly affect the Bank’s earnings or its equity position. 109 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Annual Corporate Governance Report In accordance with the provisions established by Article 540 of the Spanish Corporate Act, the Board of Directors of BBVA, on the occasion of the preparation of the financial statements for 2022, approved the Annual Corporate Governance Report for that year (which is an integral part of the Management Report) in accordance with the contents set down in Order ECC/461/2013, dated March 20, and in Circular 5/2013, dated June 12, of Comisión Nacional del Mercado de Valores (CNMV), in the wording provided by Circular 3/2021, dated September 28, of CNMV. The Annual Corporate Governance Report is incorporated by reference in the Management Report and is published in CNMV´s website (www.cnmv.es) and in the Company´s corporate website (www.bbva.com). 110 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Annual Report on Directors' Remuneration In accordance with the provisions established by Article 541 of the Spanish Corporate Act, the Board of Directors of BBVA, on the proposal of the Remuneration Committee, and on the occasion of the preparation of the financial statements for 2022, approved the Annual Report on the Remuneration of BBVA Directors for that year (which is an integral part of the Management Report) in accordance with the contents set down in Order ECC/461/2013, dated March 20, and in Circular 4/2013, dated June 12, of Comisión Nacional del Mercado de Valores (CNMV), in the wording provided by Circular 3/2021, dated September 28, of CNMV. The Annual Report on the Remuneration of BBVA Directors is incorporated by reference in the Management Report and is published in CNMV´s website (www.cnmv.com) and in the Company's corporate website (www.bbva.com). 111 This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail. Disclaimer This document is for informative purposes only and is not intended to provide financial advice and, therefore, does not constitute, nor should it be interpreted as, an offer to sell, exchange or acquire, or an invitation for offers to acquire securities issued by any of the aforementioned companies, or to contract any financial product. Any decision to purchase or invest in securities or contract any financial product must be made solely and exclusively on the basis of the information made available to such effects by the company in relation to each specific matter. The information contained in this document is subject to and should be read in conjunction with all other publicly available information of the issuer. This document contains forward-looking statements that constitute or may constitute “forward-looking statements” (within the meaning of the “safe harbor” provisions of the United States Private Securities Litigation Reform Act of 1995) with respect to intentions, objectives, expectations or estimates as of the date hereof, including those relating to future targets of both a financial and non-financial nature (such as environmental, social or governance (“ESG”) performance targets). Forward-looking statements may be identified by the fact that they do not refer to historical or current facts and include words such as “believe”, “expect”, “estimate”, “project”, “anticipate”, “duty”, “intend”, “likelihood”, “risk”, “VaR”, “purpose”, “commitment”, “goal”, “target” and similar expressions or variations of those expressions. They include, for example, statements regarding future growth rates or the achievement of future targets, including those relating to ESG performance. The information contained in this document reflects our current expectations and targets, which are based on various assumptions and projections, including non-financial considerations such as those related to sustainability. Forward-looking statements are not guarantees of future results, and actual results may differ materially from those anticipated in the forward-looking statements as a result of certain risks, uncertainties and other factors. These factors include, but are not limited to, (1) market conditions, macroeconomic factors, domestic and international stock market movements, exchange rates, inflation and interest rates; (2) regulatory and oversight factors, political and governmental guidelines, social and demographic factors; (3) changes in the financial condition, creditworthiness or solvency of our clients, debtors or counterparties, such as changes in default rates, as well as changes in consumer spending, savings and investment behavior, and changes in our credit ratings; (4) competitive pressures and actions we take in response thereto; (5) performance of our IT, operations and control systems and our ability to adapt to technological changes; (6) climate change and the occurrence of natural or man-made disasters, such as an outbreak or escalation of hostilities; and (7) our ability to appropriately address any ESG expectations or obligations (related to our business, management, corporate governance, disclosure or otherwise), and the cost thereof. In the particular case of certain targets related to our ESG performance, such as, decarbonization targets or alignment of our portfolios, the achievement and progress towards such targets will depend to a large extent on the actions of third parties, such as clients, governments and other stakeholders, and may therefore be materially affected by such actions, or lack thereof, as well as by other exogenous factors that do not depend on BBVA (including, but not limited to, new technological developments, regulatory developments, military conflicts, the evolution of climate and energy crises, etc.). Therefore, these targets may be subject to future revisions. The factors mentioned in the preceding paragraphs could cause actual future results to differ substantially from those set forth in the forecasts, intentions, objectives, targets or other forward-looking statements included in this document or in other past or future documents. Accordingly, results, including those related to ESG performance targets, among others, may differ materially from the statements contained in the forward-looking statements. Recipients of this document are cautioned not to place undue reliance on such forward-looking statements. Past performance or growth rates are not indicative of future performance, results or share price (including earnings per share). Nothing in this document should be construed as a forecast of results or future earnings. This document contains in addition to financial information, non-financial information ("NFI") at the individual and consolidated level of BBVA Group in order to comply with the requirements of Law 11/2018 of 28 December ("Law 11/2018"). The INF has been verified with a limited scope by a third party and therefore has not been audited by the external auditors of the entity. In its preparation, a number of estimates and assumptions have been made in various areas and have used measurement, data collection and verification practices and methodologies, both external and internal, which are substantially different from those applied to financial reporting and which, in many cases, are under development. BBVA does not intend, and undertakes no obligation, to update or revise the contents of this or any other document if there are any changes in the information contained therein, or including the forward-looking statements contained in any such document, as a result of events or circumstances after the date of such document or otherwise except as required by applicable law. This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
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