Correspondence

Regulatory Compliance

The following table shows the correspondence of the articles of the Eighth Part of the CRR on disclosure of information with the different epigraphs of the document (or other public documents) where the required information is found:

CRR Article	Description	Pillar III section
General principles of disclosure
Art. 431 - Scope of disclosure requirements	Scope of application of the disclosure requirements and publication of data that transmit a comprehensive image of the institution's risk profile.	Prudential Relevance Report 2018 Basel Pillar III.
Art. 432 - Non-material, proprietary or confidential information	Omission of disclosures considered not material or confidential and the reasons for classifying them as such.	BBVA Group has not made use of the exemption for disclosures considered proprietary or confidential.
Art. 433 - Frequency of disclosure	Information must be published at least on an annual basis in conjunction with the date of publication of the financial statements.	BBVA Group publishes information more frequently than once a year, as defined in Title V of the Guidelines on Disclosure Requirements, in accordance with Part Eight of the CRR, in the section on Shareholders and Investors / Financial Information on the BBVA Group website.
Art. 434 - Means of disclosures	Requirement to disclose information in one medium, or if published in two or more media, a reference to the information in the other media must be included within each medium. Compliance by publication of equivalent data in accordance with other requirements (accounting, public price, etc.).	BBVA Group publishes the Prudential Relevance Report 2018 - Basel Pillar III in a single report, supplemented with the Annexes in the same section on the Group's website. In addition, the Report may be supplemented with financial information in the Group's Consolidated Annual Financial Statements (see "Correspondence of the Pillar III sections to the Group's Annual Consolidated Annual Financial Statements").
Technical criteria on transparency and disclosure of information.
Art. 435.1 - Risk management objectives and policies for each separate category of risk	a) ) Strategies and processes to manage those risks.	Section 3.1 Section 3.3.4.3 Section 3.8.2
	b) Structure and organisation of the risk management function.	Section 3.1.1
	c) Scope and nature of risk reporting and measurement systems.	Section 3.2.1
	d) Policies, strategies and processes for hedging and mitigating risk.	Section 3.2.10
	e) Declaration approved by the management body on the adequacy of risk management arrangements.	Section 3.1.2
	f) Statement approved by the management body describing the institution's risk profile.	Section 3.1.2
Art. 435.2 - Disclosure, including regular, at least annual updates, regarding governance arrangements:	a) Members of the management body.	Section 6
	b) Recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise.	Section 6
	c) Policy on diversity with regard to selection of members of the management body.	Section 6
	d) Setting up a risk committee.	Section 3.1.1.1
	e) Description of the information flow.	Section 3.1.1.2
Art. 436 - Scope of application	a) Name of institution.	Section 1.1.1
	b) Differences in the basis of consolidation for accounting and prudential purposes: i) fully consolidated. ii) proportionally consolidated. iii) deducted from own funds. iv) neither consolidated nor deducted.	Section 1.1.2
	c) Any impediment to the prompt transfer of own funds or repayment of liabilities among the parent undertaking and its subsidiaries.	Section 1.2
	d) The aggregate amount by which the actual own funds are less than required in all the subsidiaries not included in the consolidation, and the name or names of such subsidiaries.	Section 1.2
	e) If applicable, the use of provisions in prudential or individual liquidity requirements.	Section 1.3
Art.437 - Own funds	a) A full reconciliation of Common Equity Tier 1 items, Additional Tier 1 items, Tier 2 items and filters and deductions applied pursuant to Articles 32 to 35, 36, 56, 66 and 79 to own funds of the institution and the balance sheet in the audited financial statements of the institution./td>	Section 2.2
	b) A description of the main features of the Common Equity Tier 1 and Additional Tier 1 instruments, and Tier 2 instruments issued by the institution.	Section 2.1
	c) The full terms and conditions of all Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments.	Annex II (see document "Pillar III 2018 Annexes")
	d) separate disclosure of the nature and amounts of the following: i) each prudential filter applied pursuant to Articles 32 to 35; ii) each deduction made pursuant to Articles 36, 56 and 66; iii) items not deducted in accordance with Articles 47, 51, 56, 66 and 79;	Section 2.2
	e) A description of all restrictions applied to the calculation of own funds in accordance with this Regulation and the instruments, prudential filters and deductions to which those restrictions apply..	Section 2.2
	f) where applicable, a comprehensive explanation of the basis on which capital ratios are calculated, when determined on a basis other than that laid down in the CRR.	N/A
Art. 438 - Capital requirements Institutions shall disclose the following information regarding the compliance by the institution with the requirements laid down in Article 92 of this Regulation and in Article 73 of Directive 2013/36/EU:	a) The institution's approach to assessing the adequacy of its internal capital to support current and future activities.	Section 2.6
	b) Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process (ICAAP).	Regulatory environment in 2018 Section 2.6
	c) Capital requirements by the standardised approach broken down by exposure classes.	Section 2.5
	d) Capital requirements by the IRB approach broken down by risk classes.	Section 2.5
	e) Own funds requirements calculated by position and market risk.	Section 2.5
	f) Own funds requirements by operational risk.	Section 2.5
	Disclosure requirement for exposure in specialised finance and equity in the investment portfolio by the simplified approach.	Section 2.5
Art. 439 - Exposure to counterparty credit risk	a) Methodology used to assign internal credit and capital limits for counterparty credit exposures.	Section 3.2.6.1.1
	b) Discussion of policies for securing collateral and establishing credit reserves.	Section 3.2.6.1.2
	c) Analysis of policies with respect to wrong-way risk exposures.	Section 3.2.6.1.3
	d) Analysis of the impact of the amount of collateral the institution would have to provide given a downgrade in its credit rating.	Section 3.2.6.1.4
	e) Gross positive fair value of contracts, netting benefits, netted current credit exposure, collateral held and net derivatives credit exposure.	Section 3.2.6.2
	f) Value of exposure under the mark-to-market method, original exposure, standardised method and internal models.	Section 3.2.6.2
	g) Notional value of credit derivative hedges, and the distribution of current credit exposure by types of credit exposure.	Section 3.2.6.2.4
	h) The notional amounts of credit derivative transactions.	Section 3.2.6.2.4
	i) Estimate of α if applicable.	N/A
Art. 440 - Capital buffers	a) The geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer.	Regulatory environment in 2018 Section 2.6
Art. 440 - Capital buffers	b) Amount of its institution specific countercyclical capital buffer.	Regulatory environment in 2018 Section 2.6
Art. 441 - Indicators of global systemic importance	Disclosure of systemically important indicators.	Regulatory environment in 2018
Art. 442 - Credit risk adjustments	a) Definitions for accounting purposes of past-due and impaired.	Section 3.2.2.1
	b) Description of the approaches and methods adopted for determining specific and general credit risk adjustments.	Section 3.2.2.2
	c) The total amount of exposures after accounting offsets and without taking into account the effects of credit risk mitigation, and the average amount of the exposures over the period broken down by different types of exposure classes.	Section 3.2.3.2
	d) The geographic distribution of the exposures, broken down in significant areas by material exposure classes.	Section 3.2.3.3
	e) Distribution of exposures by industry or counterparty type, broken down by exposure classes.	Section 3.2.3.5
	f) Residual maturity breakdown of all the exposures, broken down by exposure classes.	Section 3.2.3.6
	g) By significant industry, the amount of: impaired exposures and past due exposures, credit risk adjustments and charges for credit risk adjustments during the reporting period.	Section 3.2.3.5
	h) The amount of the impaired exposures and past due exposures, credit risk adjustments, and charges for credit risk adjustments during the period by geographic area.	Section 3.2.3.3
	i) Reconciliation of changes in the credit risk adjustments.	Section 3.2.3.8
	Specific credit risk adjustments and recoveries recorded directly to the income statement shall be disclosed separately.	Section 3.2.3.8
Art. 443 - Unencumbered assets	Disclosure of unencumbered assets.	Section 3.7.6
Art. 444 - Use of ECAIs	a) The names of the nominated ECAIs and export credit agencies and the reasons for any changes.	Section 3.2.4
	b) Exposure classes for which each ECAI is used	Section 3.2.4
	c) Description of the process used to transfer the issuer and issue credit assessments onto items not included in the trading book.	Section 3.2.4
	d) Association of the external rating of each nominated ECAI or export credit agency with the credit quality steps prescribed in the CRR.	Section 3.2.4
	e) Exposure values and the exposure values after credit risk mitigation associated with each credit quality step prescribed in the CRR.	Section 3.2.4.3 Section 3.2.6.2.1
Art. 445 - Exposure to market risk	Disclosure of position, foreign-exchange, settlement and commodity risk and large exposures.	Section 3.3.1
Art. 446 - Operational risk	Scope of the approaches for the assessment of own fund requirements for operational risk.	Section 3.8.6
Art. 447 - Exposures in equities not included in the trading book	a) The differentiation between exposures based on their objectives, and an overview of the accounting techniques and valuation methodologies used.	Section 3.4.2 Section 3.4.3
	b) The balance-sheet value, the fair value and, for those exchange-traded, a comparison to the market price where it is materially different from the fair value.	Section 3.4.3
	c) The types, nature and amounts of exchange-traded exposures private equity exposures in sufficiently diversified portfolios, and other exposures.	Section 3.4.3
	d) Cumulative realised gains or losses arising from sales and liquidations in the period.	Section 3.4.5
	e) Total unrealised gains or losses, the total latent revaluation gains or losses, and any of these amounts included in the original or additional own funds.	Section 3.4.5
Art. 448 - Exposure to interest-rate risk on positions not included in the trading book	a) The nature of the interest-rate risk and the key assumptions, and frequency of measurement of interest-rate risk.	Section 3.6.1 Section 3.6.2
	b) Variation in earnings, economic value or other relevant measure used by the management for upward and downward rate shocks according to management's method for measuring the interest-rate risk, broken down by currency.	Section 3.6.3
Art. 449 - Exposure to securitisation positions	a) Description of the institution's objectives in relation to securitisation activity.	Section 3.2.7.1.1
	b) The nature of other risks, including liquidity risk inherent in securitised assets.	Section 3.2.7.1.1
	c) The type of risks in terms of seniority of underlying securitisation positions and in terms of assets underlying those latter securitisation positions assumed and retained with re-securitisation activity.	BBVA group does not have re-securitised assets.
	d) The different roles played by the institution in the securitisation process.	Section 3.2.7.1.2
	e) The extent of the institution's involvement in each of the roles referred to in point (d).	Section 3.2.7.1.2
	f) A description of the processes in place to monitor changes in the credit risk and market risk of securitisation exposures, including how the behavior of the underlying assets impacts securitisation exposures and a description of now these processes differ for re-securitisation exposures.	Section 3.2.7.1.1
	g) A description of the institution's policy governing the use of hedging and unfunded protection to mitigate the risks of retained securitisation and re-securitisation exposures, including identification of material hedge counterparties by relevant type of risk exposure.	Section 3.2.7.1.1
	h) The approaches to calculating risk weighted exposure amounts that the institution follows for its securitisation activities, including the types of securitisation exposures to which each approach applies.	Section 3.2.7.1.3
	i) the types of SSPE that the institution, as sponsor, uses to securitise third-party exposures.	BBVA Group does not act as sponsor in any securitisation transaction.
	j) A summary of the institution's accounting policies for securitisation activities.	Section 3.2.7.2
	k) The names of the ECAIs used for securitisations and the types of exposure for which each agency is used.	Section 3.2.7.7.1
	l) Description of the Internal Assessment Approach (IAA).	BBVA Group does not use the IAA.
	m) Explanation of significant changes to any of the quantitative disclosures since the last period of reference.	Section 3.2.7
	n) separately for the trading and the non-trading book, the following information broken down by exposure type: i) the total amount of outstanding exposures securitised by the institution. ii) the aggregate amount of on-balance-sheet securitisation positions retained or purchased and off-balance-sheet exposures. iii) the aggregate amount of assets awaiting securitisation. iv) for securitised facilities subject to the early amortisation treatment, the aggregate exposures and aggregate capital requirements. v) the amount of securitisation positions that are deducted from own funds or risk-weighted at 1 250%. vi) a summary of the securitisation activity of the current period.	Section 3.2.7.4
	o) separately for the trading and the non-trading book, the following information: i) the aggregate amount of securitisation positions retained or purchased and the associated capital requirements, broken down into risk-weight. ii) the aggregate amount of re-securitisation exposures retained or purchased broken down according to the exposure before and after hedging/insurance and the exposure to financial guarantors.	Section 3.2.7.5
	p) The amount of impaired/past-due assets and losses recognised by the institution during the current period, both broken down by exposure type.	Section 3.2.7.7.2
	q) The total outstanding exposures securitised by the institution and subject to a capital requirement for market risk, broken down into traditional and synthetic securitisations and by exposure type.	This type of transactions are not in place in BBVA Group
	r) Where applicable, whether the institution has provided support within the terms of Article 248(1) of the CRR, and the impact on own funds.	This type of transactions are not in place in BBVA Group
Art. 450 - Remuneration policy	a) Information concerning the decision-making process used for determining the remuneration policy.	Section 5.1
	b) Information on the link between pay and performance.	Section 5.4
	c) The most important design characteristics of the remuneration system.	Section 5.3
	d) The ratios between the fixed and variable remuneration.	Section 5.7
	e) Information on the performance criteria on which the entitlement to shares, options or variable components of remuneration is based.	Section 5.5
	f) The main parameters and rationale for any variable component scheme and any other non-cash benefits.	Section 5.6
	g) Aggregate quantitative information on remuneration, broken down by business area.	Section 5.8
	h) Aggregate quantitative information on remuneration, broken down by senior management and members of staff whose actions have a material impact on the risk profile of the institution.. i) The amounts of remuneration for the financial year, split into fixed and variable remuneration, and the number of beneficiaries. ii) The amounts and forms of variable remuneration, split into cash, shares, share-linked instruments and other types. iii) The amounts of outstanding deferred remuneration, split into vested and unvested positions. iv) Amounts of deferred remuneration awarded during the financial year, paid out and reduced through performance adjustments. v) New sign-on and severance payments made during the financial year, and the number of beneficiaries of such payments. vi) The amounts of severance payments awarded ruing the financial year, number of beneficiaries and highest such award to a single person.	Section 5.8
	i) The number of individuals being remunerated EUR 1 million or more per financial year, for remuneration between EUR 1 million and EUR 5 million broken down into pay bands of EUR 500 000, and for remueration of EUR 5 million and above broken down into pay bands of EUR 1 million.	Section 5.8
	j) Upon demand from the Member State or competent authority, the total remuneration for each member of the management body or senior management.	Section 5.8
	For institutions of systemic importance, the information referred to in this Article shall also be made available to the public at the level of members of the management body of the institution.	Section 5.8
Art. 451 - Leverage	a) The leverage ratio.	Section 4.1
	b) A breakdown of the total exposure measure as well as its reconciliation with the relevant information disclosed in published financial statements.	Section 4.1
	c) Where applicable, the amount of derecognised fiduciary items.	BBVA Group does not use derecognised fiduciary items in its calculation of the leverage ratio.
	d) A description of the processes used to manage the risk of excessive leverage.	Section 4.3
	e) A description of the factors that had an impact on the leverage ratio during the period.	Section 4.2
Art. 452 - Use of the IRB Approach to credit risk	a) The competent authority's permission of the approach or approved transition.	Section 3.2.5.1.1
	b) An explanation and review of:	See details by Section
	i) The structure of internal rating systems and relation between internal and external ratings.	Section 3.2.5.1.2
	ii) The use of internal estimates other than for calculating risk-weighted exposure amounts.	Section 3.2.5.1.3
	iii) The process for managing and recognizing credit risk mitigation.	Section 3.2.5.1.4
	iv) The control mechanisms for rating systems.	Section 3.2.5.1.5
	c) A description of the internal ratings process, provided separately for the different exposure classes.	Section 3.2.5.1
	d) The exposure values for each of the exposure classes, separately for the AIRB and FIRB approaches.	Section 3.2.5.2
	e) For each of the exposure classes and across a sufficient number of obligor grades (including default) to allow a meaningful differentiation of credit risk, institutions shall disclose the sum of sum of outstanding loans and exposure values for undrawn commitments, where applicable; and the exposure-weighted average risk weight.	Section 3.2.5.2
	f) For the retail exposure class, the disclosures outlined in the above point, to allow for a meaningful differentiation of credit risk (if applicable, on a pooled basis).	Section 3.2.5.2
	g) The actual specific credit risk adjustments in the preceding period, and an explanation of them.	Section 3.2.5
	h) A description of the factors that impacted on the loss experience in the preceding period.	Section 3.2.5
	i) The institution's estimates against actual outcomes over a period sufficient to allow for a meaningful assessment of the performance of the internal rating processes for each exposure class.	Section 3.2.5.3
	j) For all exposure classes calculated according to the internal rating approaches, disclose risk-weighted average PD and LGDin percentage for each relevant geographic location,where applicable.	Section 3.2.5.2
Art. 453 - Use of credit risk mitigation techniques	a) The policies and processes for on- and off-balance-sheet netting.	Section 3.2.6.1.2
	b) The policies and processes for collateral valuation and management.	Section 3.2.6.1.2
	c) A description of the main types of collateral taken by the institution.	Section 3.2.8.2.2
	d) The main types of guarantor and credit derivative counterparty and their creditworthiness.	Section 3.2.8.2.2
	e) Information about market or credit risk concentrations within the credit mitigation taken.	Section 3.2.8.4
	f) For institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, the total exposure value that is covered by collateral calculating the risk-weighted exposures.	Section 3.2.8.2.2
	g) The total exposure that is covered by guarantees or credit derivatives.	Section 3.2.5.5 Section 3.2.8.3
Art. 454 - Use of the Advanced Measurement Approaches to operational risk	Description of the use of insurances and other risk transfer mechanisms for the purpose of mitigation of this risk.	Section 3.8.7.1
Art. 455 - Use of Internal Market Risk Models	a) For each sub-portfolio covered: i) The characteristics of the models used. ii) A description of the processes followed to measure incremental default and migration risk. iii) A description of stress testing applied to the sub-portfolio. iv) The approaches used for backtesting and validating internal models and modeling processes.	Section 3.3.4.2.3 Section 3.3.4.2.4
	b) The scope of permission by the competent authority.	Section 3.3.4.1
	c) A description of the extent and methodologies to determine the classification of the trading portfolio, in compliance with the requirements of the CRR.	Section 3.3
	d) The highest, the lowest and the mean of the value-at-risk (VaR), the stressed value-at-risk (SVaR) and risk numbers for incremental default risk.	Section 3.3.4.2.2
	e) The elements for the own funds requirement.	Section 3.3.4.2.2
	f) The weighted average liquidity horizon for each sub-portfolio covered by the internal models.	Section 3.3.4.2
	g) A comparison of the daily end-of-day value-at-risk to the one-day changes of the portfolio's value by the end of the subsequent business day.	Section 3.3.4.2.4

Correspondence between the sections of Pillar III and the Group's Annual Consolidated Financial Statements

The information included in this Report may be supplemented with the financial information contained in the Group's Consolidated Annual Financial Statements. For this purpose, the following table presents the correspondence between the sections of the Pillar III Report and the Group's Consolidated Annual Financial Statements.

Section	Subsection	Group's Consolidated Financial Statements	IRP (Pilar III)
Introduction	Regulatory Environment	N/A	Introduction
	Contents of the 2018 Prudential Relevance Report	N/A	Introduction
	Composition of Capital	Note 32	Introduction
General Information Requirements	Corporate name and differences between the consolidated group for the purposes of the solvency regulations and accounting criteria
	Corporate name and scope of application	Note 1.1	1.1.1
	Differences in the consolidated group for the purposes of the solvency regulations and accounting criteria	N/A	1.1.2
	Reconciliation of the Public Balance Sheet from the accounting perimeter to the regulatory perimeter	Note 32	1.1.3
	Main changes to the Group's scope of consolidation in 2018	Note 3	1.1.4
	Identification of dependent institutions with capital resources below the minimum requirement. Possible impediments to capital transfer	N/A	1.2
	Exemptions from capital requirements at the individual or sub-consolidated level	N/A	1.3
Capital Resources	Characteristics of the eligible capital resources	N/A	2.1
	Amount of capital	Note 32	2.2
	IFRS9 transitional arrangements	Note 7	2.3
	Bank risk profile	Note 32	2.4
	Breakdown of minimum capital requirements by risk type	N/A	2.5
	Procedure employed in the internal capital adequacy assessment process	N/A	2.6
Risks	General risk control and management model
	Governance and organisation	Note 7.1.1	3.1.1
	Risk Appetite Framework	Note 7.1.2	3.1.2
	Decisions and processes	Note 7.1.3	3.1.3
	Assessment, monitoring and reporting	Note 7.1.4	3.1.4
	Infraestructure	Note 7.1.5	3.1.5
	Risk culture	Note 7.1.6	3.1.6
	Credit and counterparty credit risk
	Scope and nature of the credit risk measurement and reporting systems	Note 7.3	3.2.1
	Definitions and accounting methodologies	Notes 2.2.1	3.2.2
	Information on credit risk	N/A	3.2.3
	Information on the standardised approach	N/A	3.2.4
	Information on the IRB approach	N/A	3.2.5
	Information on counterparty risk	Note 7.4.3	3.2.6
	Information on securitisations	N/A	3.2.7
	Risk protection and reduction policies. Supervision strategies and processes	Note 7.3.3	3.2.8
	RWA density by geographical area	N/A	3.2.10
	Information on credit risk mitigation techniques	N/A	3.2.9
	Market risk
	Scope and nature of the market risk measurement and reporting systems	Note 7.4.	3.3.1
	Differences in the trading book for the purposes of applying the solvency regulations and accounting criteria	N/A	3.3.2
	Standardised approach	N/A	3.3.3
	Internal models	Note 7.4.1	3.3.4
	Structural risk in the equity portfolio
	Scope and nature of the structural risk in the equity portfolio measurement and reporting systems	Note 7.4.2	3.4.1
	Differenciation between portfolios held for sale and those held for strategic purposes	N/A	3.4.2
	Book value and exposure of equity investments and capital instruments contained in above portfolios	N/A	3.4.3
	Risk-weighted assets of equity investments and capital instruments	N/A	3.4.4
	Profit and loss and adjustments for valuation of equity investments and capital instruments	Notes 41 and 49	3.4.5
	Structural exchange-rate risk
	Scope and nature of the exchange-rate risk measurement and reporting systems	Note 7.4.2	3.5.1
	Interest-rate risk
	Evolution, monitoring and reporting	Note 7.4.2	3.6.1
	Nature of interest-rate risk and key hypothesis	Note 7.4.2	3.6.2
	Variations in interest risks	Note 7.4.2	3.6.3
	Liquidity risk
	Liquidity and funding strategy and planning	Note 7.5.1	3.7.1
	Governance and monitoring	Note 7.5.1	3.7.2
	Liquidity and funding performance in 2018	Note 7.5.1	3.7.3
	Liquidity and funding prospects	N/A	3.7.4
	LCR disclosure	Note 7.5.1	3.7.5
	Assets committed in finance transactions	Note 7.5.2	3.7.6
	Operational risk
	Operational risk definition	Note 7.6	3.8.1
	Operational risk management model	Note 7.6	3.8.2
	Operational risk governance	N/A	3.8.3
	Methods used for calculating capital requirements	N/A	3.8.4
	Group's operational risk profile	N/A	3.8.5
Remuneration	Information on remuneration	Note 54	5
Information on the Corporate Governance system	Information on the Corporate Governance system	Annual Corporate Governance Report	6
Subsequent events	Subsequent events	Note 56	7