BBVA Global Markets Memoria 2022

Directors’ report

The Board of Directors of BBVA Global Markets B.V. (hereinafter, the “Company”) herewith presents the

directors’ report and the audited financial statements for the year ended December 31st, 2022.

Incorporation

BBVA Global Markets B.V. was incorporated under the laws of the Netherlands on October 29th, 2009, with

limited liability and having its statutory seat in Amsterdam, the Netherlands.

The Company is a wholly-owned subsidiary of Banco Bilbao Vizcaya Argentaria, S.A. (hereinafter, the

“Bank”, “BBVA” or the “Parent Company”), a Spanish banking institution headquartered in Bilbao, Spain,

and is therefore integrated in Banco Bilbao Vizcaya Argentaria Group (hereinafter, the “Group” or “BBVA

Group”).

Principal activities, business overview and future developments

The objectives for which the Company is established are to raise finance through the issuance of bonds,

notes, warrants, certificates and other debt instruments, and invest the funds raised in financial assets with

BBVA. For these purposes, the Company may enter into (i) derivative transactions or other economic

hedging agreements, and (ii) other agreements with third parties in connection with the above objective.

During the year 2022, the Company has issued 2,296 debt instruments.

All the debt instruments issued by the Company have been issued under the following programmes

approved by the Company’s Board of Directors:

-Structured Medium Term Securities Programme to issue notes and certificates up to an

aggregated amount of EUR 8,000,000,000 (or its equivalent in other currencies). The last update

of the Programme was on June 24th, 2022. Notes and certificates issued under this Programme

are linked to a range of underlyings embedded derivatives including indices, shares, ETF’s,

funds, credit and FX, or any combination thereof, and could provide for cash settlement or

physical delivery.

-Structured Medium Term Note Programme to issue Notes up to an aggregated amount of EUR

1,000,000,000 (or its equivalent in other currencies). The last update of the Programme was on

July 14th, 2022. Notes issued under this Programme are linked to a range of underlyings

embedded derivatives including indices, shares, ETFs, funds, credit, FX, or any combination

thereof, and could provide for cash settlement or physical delivery of the underlying.

-Programme for the Issue of Warrants to issue Warrants up to an aggregated amount of EUR

1,000,000,000 (or its equivalent in other currencies). All the warrants issued by the Company are

cash-settled. The last update of the Warrants Programme was on July 6th, 2022. Warrants issued

under this Programme are linked to a range of underlyings including indices, shares, ETFs, funds,

FX, or any combination thereof, and could provide for cash settlement or physical delivery of the

underlying.

The obligations of the Company in respect of the debt instruments issued under the aforementioned

programmes, are unconditionally and irrevocably guaranteed by BBVA, as guarantor.

All outstanding notes and certificates (hereinafter “securities”) as of December 31st, 2022 and 2021 are

listed. The Company does not anticipate any significant change in the kind of activities for the next

financial year.

The Company has not developed or incurred any R&D expenses.

Economic environment

The global economy has slowed down throughout 2022, in an environment marked by strong inflationary

pressures, an aggressive tightening of monetary conditions, the negative impact of the war in Ukraine and

lower growth in China.

Despite the moderation trend, the uncertainty about the future evolution of the monetary policy and the

recent turmoil in the banking sector in March, 2023, economic growth has exhibited a certain resilience

and has generally been higher than expected by most analysts due to previously accumulated savings, the

normalization of activity following the restrictions and disruptions generated by the COVID-19 pandemic,

as well as the dynamism of the labor markets, which have contributed, in particular, to the performance of

private consumption and the services sector.

Inflation has remained at high levels in 2022. However, after surging upwards for most of the year, it has

begun to moderate in recent months, in line with the slowdown in aggregate demand, the recent

moderation of energy prices and the process of normalization of global supply chains. In annual terms,

inflation reached 6.5% in the United States and 9.2% in the Eurozone at the end of the year 2022.

In this context of still high inflationary pressures, central banks have continued to tighten monetary

conditions. In the United States, the Federal Reserve (the “Fed”) has increased reference interest rates to

4.5% in December 2022 (425 basis points higher than the level at the beginning of 2022) and has

maintained in place the program to sell assets and reduce the size of its balance sheet. It has also

indicated that interest rates will continue to be adjusted upwards in the coming months. In the Eurozone,

the ECB has raised interest rates for its refinancing operations to 2.5% in December (250 basis points

higher than the level at the beginning of 2022), it has tightened the conditions of its TLTROs (targeted

longer-term refinancing operations), which provide financing to credit institutions, and has indicated that it

could soon launch an asset selling program. Further adjustments were announced in the coming months,

such as the rise in the Fed's target range for federal funds rate to 4.75% to 5.00% and the ECB's to 3.5%,

announced during March, 2023.

In a highly uncertain environment, the baseline scenario of BBVA Research considers that the global

economy will continue to slow down in the near future, with possible episodes of recession in the Eurozone

and the United States. This slowdown in growth is mainly attributable to the significant tightening of

monetary conditions (official interest rates are expected to reach around 5.0% in the United States and

3.75% in the Eurozone in the coming months, and to remain unchanged until, at least, the end of the year

2023) and still high inflation, which, however, will likely slowdown progressively.

This slowdown in growth is mainly attributable to the significant tightening of monetary conditions (official

interest rates are expected to reach around 5.0% in the United States and 3.75% in the Eurozone in the

coming months, and to remain unchanged until, at least, the end of the year 2023) and still high inflation,

which, however, will likely slowdown progressively.

According to BBVA Research, after increasing by 6.3% in 2021 and around 3.3% in 2022, global GDP will

grow by just 2.3% in 2023. In the United States, growth would drop to 1.9% in 2022 and around 0.5% in

2023, when the strong monetary adjustment could generate a mild recession. In the Eurozone, slight drops

in GDP are likely in the coming quarters, mainly due to the disruptions created by the war in Ukraine,

including the still high gas prices. Annual growth in the region is expected to be around 3.2% in 2022 and

-0.1% in 2023. In China, after having grown 3.0% in 2022, GDP growth is expected to reach 5.0% in 2023,

but the increase in infections following the recent easing of COVID-19 policies and the financial tensions

caused by the imbalances in real estate markets could trigger lower-than-expected economic growth.

Principal risks and uncertainties

The use of financial instruments may involve the transfer of one or more types of risk. The risks associated

with these financial instruments are:

•Credit risk: Credit risk is defined as the risk that one party entitled to a financial instrument will

cause a financial loss to another party by failing to discharge an obligation. In accordance with

IFRS 7 “Financial Instruments: Disclosures”, the maximum credit risk exposure in the balance

sheet as of December 31st, 2022, and 2021, amounted to EUR 4,815,092 thousand and EUR

4,567,285 thousand, respectively.

As of December 31st, 2022 and 2021, credit risk is concentrated geographically in Spain, with the

Parent Company (see Note 16). As of December 31st, 2022 and 2021 there are no impaired

assets. The financial performance and positions of Banco Bilbao Vizcaya Argentaria, S.A. are

important for the recoverability of the exposures in place.

In the case of the Company, since there is a perfect relationship between changes in the value of

deposits due from parent and debt securities issued, as they are fully matched, the liability will be

accounted for at Fair value through profit or loss under the Fair value option for liabilities to

eliminate "accounting asymmetries". See Notes 8 and 9, for the amount associated with Credit

Valuation Adjustments and Own Credit Risk Adjustments respectively.

•Market risks: These are defined as the risks arising from the maintenance of financial instruments

whose value may be affected by changes in market conditions. It includes four types of risk:

-Interest rate risk: This risk arises as a result of changes in market interest rates.

Changes in interest rates affect the interest received from deposits and the interest paid

on issues equally. Therefore, the changes in interest rates offset each other.

-Foreign exchange risk: This is the risk resulting from variations in foreign exchange

rates. Since the funds obtained by the Company from the issues are invested in deposits

in the same currency, the exposure to currency risk is not relevant. Changes in foreign

exchange rates affect face value and interests from deposits and face value and

interests paid on issues equally. Therefore, the changes in foreign exchange rates offset

each other.

-Price risk: This is the risk resulting from variations in market prices, either due to factors

specific to the instrument itself, or alternatively to factors which affect all the instruments

traded on the market. The fair value of the issues launched does not differ significantly

from the fair value of the deposits since their features (amount, term and interest rate)

are the same.

-Equity risk: This arises as a result of movements in share prices. This risk is generated

in spot positions in derivative products whose underlying asset is a share or an equity

index. Changes in share prices affect face value and payments of derivatives on

deposits and face value and interests paid on issues equally. Therefore, the changes in

share prices offset each other.

•Liquidity risk: This is the possibility that a company cannot meet its payment commitments duly,

or, to do so, must resort to borrowing funds under onerous conditions, or risking its image and the

reputation of the entity. The Company obtains the liquidity required to meet interest payments,

redemptions of issues from deposits on the issues arranged with BBVA. The Note 6 details the

maturities of the debt securities issued and gives the breakdown of deposits in BBVA to cover the

liquidity necessary for such maturities. The liquidity to meet the interest payments on the

securities is derived from interest earned on BBVA deposits, which have the same maturities.

All the expenses of the Company are covered through an expense assumption agreement

between the Company and BBVA.

•Concentration risk: The Company is a wholly-owned subsidiary of BBVA, and is therefore

integrated in the BBVA Group.

Risk concentration limits are established at a Group level and not at the company level. In order

to prevent the build-up of excessive risk concentrations at the individual, sector, portfolio and

geography levels, BBVA Group maintains updated maximum permitted risk concentration indices

which are tied to the various observable variables related to concentration risk.

Together with the limits for individual concentration, the Group uses the Herfindahl index to

measure the concentration of the Group's portfolio and the banking group's subsidiaries. At the

BBVA Group level, the index reached implies a "very low" degree of concentration.

The Company’s debt instruments are guaranteed by BBVA. No additional collateral is

established. The Company’s deposits are totally due from BBVA.

All debt securities registered by the Company are back-to-back and therefore, there is no effect in

the income statement. Taking into account this consideration and assuming that the credit spread

of BBVA and the Company is the same (same interest rate, maturity and other features), the

estimation of the counterparty credit risk associated to derivatives would be the same in assets

and liabilities.

Any adverse changes affecting the Spanish economy are likely to have an adverse impact on the

BBVA’s financial situation and consecutively, on the Company’s financial condition, results of

operations and cash flows. Negative economic conditions are mitigated by BBVA and its

subsidiaries, showing a great and demonstrated capacity for generating earnings based on the

diversification of its geographical business areas. As of the date of these financial statements the

qualifications of BBVA Group Long Term Senior preferred debt by Fitch Ratings, one of the main

rating agencies, shows a grade A-.

Additionally, there has not been any default position to the date. All Company’s deposits due from

BBVA related to securities with maturity in the year ended December 31st, 2022, and previous

years until the date of this report, have been reimbursed.

•Other risks: The Company as a wholly-owned subsidiary of BBVA, is subject to risks and

uncertainties ensuing from changes in legislation and regulation in Banking and Capital Markets

in Europe. In addition, considering the operations of the Company, risks arisen from internal and

external reporting is limited.

The Company and the Group to which it belongs, have developed an integrated risk management system

that is structured around three main components: (i) a corporate risk governance regime, with adequate

segregation of duties and responsibilities, (ii) a set of tools, circuits and procedures that constitute the

various different risk management regimes, and (iii) an internal control system.

(i)CORPORATE GOVERNANCE RISK SYSTEM

The Group has a corporate governance system which is in line with international recommendations and

trends, adapted to requirements set by regulators in each country and to the most advanced practices in

the markets in which it pursues its business.

In the field of risks, the Board of Directors of BBVA, is responsible for establishing the general principles

that define the Institution’s risk objectives, approving the risk control and management policy and the

regular monitoring of the internal systems of information and control.

The risk management function is distributed into the Risk Units of the business areas and the Corporate

Area, which defines the policy, strategies, methodologies and global infrastructure. The risk units in the

business areas propose and maintain the risk profile of each client independently, but within the corporate

framework for action.

The Corporate Risk Area combines the view by risk type with a global view. It is made up of the Corporate

Risk Management unit, which covers the different types of risk, the Technical Secretary responsible for

technical comparison, which works alongside the transversal units: such as Structural Management &

Asset Allocation, Risk Assessment Methodologies and Technology, and Validation and Control, which

include internal control and operational risks.

(ii)TOOLS, CIRCUITS AND PROCEDURES

The Group has implemented an integral risk management system designed to cater for the needs arising

in relation to the various types of risk. This has prompted it to equip the management processes for each

risk with measurement tools for risk acceptance, assessment and monitoring and to define the appropriate

circuits and procedures, which are reflected in manuals that also include management criteria.

(iii) INTERNAL CONTROL MODEL

The Group’s Internal Control Model is based on the best practices described in the following documents:

“Enterprise Risk Management – Integrated Framework” by the COSO (Committee of Sponsoring

Organizations of the Treadway Commission) and “Framework for Internal Control Systems in Banking

Organizations” by the Bank for International Settlements (BIS).

The Internal Control Model therefore comes within the Integral Risk Management Framework. This

framework is understood as the process within an organization involving its Board of Directors, its

management and all its staff, which is designed to identify potential risks facing the institution and which

enables them to be managed within the limits defined, in such a way as to reasonably assure that the

organization meets its business targets. This Integral Risk Management Framework is made up of

Specialized Units (Risks, Compliance, Accounting and Consolidation, Legal Services), the Internal Control

Function and Operational Risk and Internal Audit.

Results for the year

The Company recorded a net profit of EUR 1 thousand and EUR 29 thousand for the years ended on

December 31st, 2022 and 2021, respectively. The result for the year is set out on statements of profit or

loss and other comprehensive income for the years ended December 31st, 2022 and 2021. Results of the

Company are at the disposal of the Annual General Meeting.

Directors and their interest

The Directors and Secretary of the Board who held office on December 31st, 2022 did not hold any shares

in the Company at year-end or during the year. There were no contracts of any significance in relation to

the business of the Company in which the Directors had any interest at anytime during the year.

Personnel

During the years ended on December 31st, 2022, and 2021, the Company had no employees. The

Managing Directors are employees at BBVA. All administrative and accounting tasks are performed by

employees of the Parent Company.

Board composition

During the years ended on December 31st 2022 and 2021, the allocation of seats in the Board of Directors

between men and women is in equilibrium. The current Managing Board has the necessary experience

and expertise to ensure that its duties are properly executed.

Audit Committee

The Audit Committee of the BBVA Group is also formally responsible for the Company as per the relevant

requirements included in the Dutch Laws that are applicable to the Company.

Board of Directors and Shareholders’ meetings

The Board of Directors and the Sole-Shareholder have held meetings since January 1st, 2022 which were

as follows:


March 17th, 2022	Board of Directors
March 17th, 2022	Shareholder resolution
April 27th, 2022	Shareholder resolution
June 8th, 2022	Board of Directors
June 8th, 2022	Shareholder resolution
July 18th, 2022	Board of Directors
July 18th, 2022	Shareholder resolution
October 21th, 2022	Board of Directors
November 30th, 2022	Board of Directors
December 20th, 2022	Board of Directors

All the above resolutions of the Board of Managing Directors and the Sole-Shareholder were adopted

outside of meetings and recorded in writing, pursuant to articles 12.7 and 18 of the Articles of Association

of the Company.

Accounting records

The Directors believe that they have complied with the legal requirements for the financial statements as

included in Part 9 of Book 2 of the Dutch Civil Code and in accordance with International Financial

Reporting Standards as adopted by the European Union (“EU-IFRS”). The books of account of the

Company are maintained by Vistra Capital Market N.V., at Herikerbergweg 88, 1101 CM Amsterdam, The

Netherlands.

Post balance sheet events

From January 1st, 2023 to the date of preparation of these Financial Statements, no other subsequent

events have taken place that could significantly affect the Company´s earnings or its equity position.

Internal and external factors

BBVA Global Markets B.V., is a wholly-owned subsidiary of Banco Bilbao Vizcaya Argentaria, S.A., a

Spanish banking institution headquartered in Bilbao, Spain, and is therefore integrated in the Banco Bilbao

Vizcaya Argentaria Group.

The company’s securities are totally guaranteed by the Parent Company. No additional collateral is

established. BBVA Global Markets B.V.’s deposits are totally due from the Parent Company. Any adverse

changes affecting the Spanish economy are likely to have an adverse impact on the Parent Company’s

financial situation and consecutively, on the Company’s financial condition, results of operations and cash

flows. As of the date of these financial statements the qualifications of BBVA Group Long Term Senior

preferred debt by Fitch Ratings, one of the main rating agencies, shows a grade A-.

Presented with the current situation (see Economic environment) and given the Company's activity, the

risks must be analyzed within the Group in which it operates. For this matter, BBVA Group has focused its

attention on ensuring continuity in the operational security of the business as a priority and monitoring the

impacts on the business and the Group's risks (such as impacts on results, capital or liquidity). Additionally,

BBVA Group adopted a series of measures to support its main stakeholders from the beginning. This way,

the Group's long-term strategic purpose and priorities remain the same and are even reinforced with its

commitment to technology and data-based decision making. Due to the current situation, the estimates

made by the Company as of December 31st, 2022 have been made based on the best information

available on the events analyzed. Likewise, the Company's Directors have concluded that the going

concern principle continues to be applied in the formulation of the following annual accounts.

The Company has no direct exposure to Ukraine and Russia.

Outlook for the financial year 2023

The Company will continue to develop its activities within the objectives for which it was established which

is to raise finance through the issuance of bonds, notes, warrants, certificates and other debt instruments,

and invest the funds raised in financial assets with BBVA during year 2023.

Madrid, April 26th, 2023

Board of Directors:

Marian Coscarón Tomé

Christian Hojbjerre Mortensen

Statement of Directors’ responsibilities in

respect of directors’ report and the financial

statements

The Directors are responsible for preparing the directors’ report and financial statements in accordance

with applicable law and regulations.

The Directors consider that, in preparing the financial statements, the Company, has used the most

appropriate accounting policies, consistently applied and supported by reasonable and prudent judgement

and estimates, and that all International Financial Reporting Standards as adopted by the European Union

and requirements of Part 9 of Book 2 of the Dutch Civil Code which they consider to be applicable, have

been followed.

The Company’s financial statements are required by law to give a true and fair view of the financial

position of the Company and of its financial performance.

In preparing the financial statements, the Directors are required to:

-select suitable accounting policies and then apply them consistently;

-make judgements and estimates that are reasonable and prudent; and

-prepare the financial statements on the going concern basis unless it is inappropriate to presume

that the Company will continue in business.

The Directors are responsible for keeping proper books of account that disclose with reasonable accuracy

at any time the financial position of the Company and enable them to ensure that its financial statements

comply with International Financial Reporting Standards as adopted by the European Union (“EU-IFRS”)

and with Part 9 of Book 2 of the Dutch Civil Code. They are also responsible for taking such steps as are

reasonably open to them to safeguard the assets of the Company and to prevent and detect fraud and

other irregularities.

The Directors are also responsible for preparing a directors’ report that complies with the requirements of

Part 9 of Book 2 of the Dutch Civil Code.

Date: April 26th, 2023

Board of Directors:

Marian Coscarón Tomé

Christian Hojbjerre Mortensen

STATEMENT OF FINANCIAL POSITION AS OF

DECEMBER 31st, 2022

(before appropriation of result)


Thousands of Euros	Note	12/31/2022	12/31/2021
ASSETS:
Non-current assets
- Long-Term deposits due from Parent	8	3,612,231	4,085,446
- Other Long-Term assets	15	322	322
Total Non-current assets		3,612,553	4,085,768
Current assets
- Short-Term deposits due from Parent	8	1,202,861	481,839
- Other assets	15	271	122
- Cash and cash equivalents	7	457	311
Total Current assets		1,203,589	482,272
Total assets		4,816,142	4,568,040
LIABILITIES:
Non-current liabilities
- Long-Term debt securities issued	9	3,612,231	4,085,446
Total Non-current liabilities		3,612,231	4,085,446
Current liabilities
- Short-Term debt securities issued	9	1,202,861	481,839
- Other liabilities		62	45
- Credit account		733	403
- Current tax liabilities	15	8	61
Total Current liabilities		1,203,664	482,348
Total liabilities		4,815,895	4,567,794
SHAREHOLDER'S EQUITY:
- Issued share capital	10	90	90
- Share premium	10	250	250
- Other reserves	10	(94)	(123)
- Result of the year		1	29
Total shareholder’s equity		247	246
Total liabilities and shareholder’s equity		4,816,142	4,568,040

The accompanying Notes 1 to 20 are an integral part of these financial statements.

STATEMENT OF PROFIT OR LOSS AND OTHER

COMPREHENSIVE INCOME FOR THE YEAR

ENDED DECEMBER 31st, 2022


Thousands of Euros	Note	12/31/2022	12/31/2021

Exchange rate differences		2	(16)
Other operating income	6 and 16	383	405
Other operating expenses	14	(383)	(347)
Gains / (Losses) on financial assets designated at fair value through profit or loss	8 and 16	(1,069,995)	92,181
Gains / (Losses) on financial liabilities designated at fair value through profit or loss	9	1,069,995	(92,181)
Result of the year before tax		2	42
Income tax	15	(1)	(13)
Result of the year from continued operations		1	29
Comprehensive result of the year		-	-
Total comprehensive result of the year		1	29

The accompanying Notes 1 to 20 are an integral part of these financial statements.

STATEMENT OF CHANGES IN EQUITY FOR THE

YEAR ENDED DECEMBER 31st, 2022


Thousands of Euros	Note	Issued Share Capital	Other reserves	Share Premium	Result of the year	Total
Balance at beginning of the year (January 1st, 2021)		90	(113)	250	(10)	217
- Result of the year		-	-	-	29	29
- Result of previous years		-	(10)	-	10	-
- Share premium		-	-	-	-	-
Balance at end of the year (December 31st , 2021)		90	(123)	250	29	246
Balance at beginning of the year (January 1st, 2022)		90	(123)	250	29	246
- Result of the year		-	-	-	1	1
- Result of previous years		-	29	-	(29)	-
- Share premium		-	-	-	-	-
Balance at end of the year (December 31st , 2022)		90	(94)	250	1	247

The accompanying Notes 1 to 20 are an integral part of these financial statements.

STATEMENT OF CASH FLOWS FOR THE YEAR

ENDED DECEMBER 31st, 2022


Thousands of Euros	Note	12/31/2022	12/31/2021
Result of the year before tax		2	42
ADJUSTMENTS TO RECONCILE NET (LOSS) INCOME TO NET CASH PROVIDED BY OPERATING ACTIVITIES:

Adjustments for:		(2)	13
Gains / (Losses) on financial assets designated at fair value through profit or loss		1,290,258	253,787
Gains / (Losses) on financial liabilities designated at fair value through profit or loss		(1,290,258)	(253,787)
Exchange differences		(2)	16
Other income and expenses		-	(3)
Changes in working capital:		(184)	(138)
Trade and other payables		(35)	(20)
Trade and other receivables		(149)	(118)
Other cash flows from operating activities:		-	-
Interest paid		(220,263)	(345,968)
Interest received		220,263	345,968
Income tax recovered (paid)		-	-
Net cash provided by/(used in) operating activities		(184)	(83)
CASH FLOW FROM INVESTING ACTIVITIES:
Investments:		(3,032,771)	(4,063,124)
Deposits at the parent		(3,032,771)	(4,063,124)
Disinvestments:		1,733,021	3,208,977
Deposits at the parent		1,733,021	3,208,977
Net cash provided by/(used in) investing activities		(1,299,750)	(854,147)
CASH FLOW FROM FINANCING ACTIVITIES:
Proceeds from issue of share premium		-	-
Proceeds from issue of debt instruments and other marketable securities		3,032,771	4,063,124
Proceeds from issue of borrowings from Group companies and associates		330	(232)
Redemption of debt instruments and other marketable securities		(1,733,021)	(3,208,977)
Net cash provided by/(used in) financing activities		1,300,080	853,915
Net increase/(decrease) in cash and cash equivalents		146	(315)
Effect of currency translations		-	-
Cash and cash equivalents at the beginning of the year		311	626
Cash and cash equivalents at the end of the year	7	457	311

The accompanying Notes 1 to 20 are an integral part of these financial statements.

NOTES TO THE FINANCIAL STATEMENTS

Notes to the financial statements for the year

ended December 31st, 2022 (Currency – Thousands of Euros).

1.Group affiliation, principal activity and tax regulation

BBVA Global Markets B.V. (hereinafter, the “Company”), is a corporation with limited liability, incorporated

under Dutch law, whose trade register code number is 34363108. The Company has its seat and statutory

domicile in Amsterdam, the Netherlands, and its principal place of business and tax residence at Calle

Sauceda, 28, 28050, Madrid, Spain. It was incorporated under the laws of the Netherlands on October

29th, 2009, and is a wholly-owned subsidiary of Banco Bilbao Vizcaya Argentaria, S.A. (hereinafter, the

“Bank”, “BBVA”), a Spanish banking institution headquartered in Bilbao, Spain. The Company is integrated

in the Banco Bilbao Vizcaya Argentaria Group (hereinafter, the “Group” or “BBVA Group”).

The objectives for which the Company is established are to raise finance through the issuance of bonds,

notes, warrants, certificates and other debt instruments, and invest the funds raised in of financial assets

with BBVA. For these purposes, the Company may enter into (i) derivative transactions or other economic

hedging agreements, and (ii) other agreements with third parties in connection with the above objectives.

The Company has no direct employees, and no remuneration is paid by the Company to the Managing

Directors, which consists of a man and a woman.

2.Significant accounting policies

The financial statements of the Company are prepared in accordance with International Financial

Reporting Standards as adopted by the European Union (“EU-IFRS”) and with Part 9 of Book 2 of the

Dutch Civil code, with significant policies applied below.

The amounts reflected in the accompanying Financial Statements are presented in thousands 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 units are expressed. Also, in presenting amounts in thousands of

euros, the accounting balances have been rounded up or down. It is therefore possible that the amounts

appearing in some tables are not the exact arithmetical sum of their component figures.

a)Cash and cash equivalents

The balance recorded under the heading “Cash and cash equivalents” are carried at amortized cost in the

statement of financial position, and it represents the amount the Company holds as of December 31st,

2022 and 2021 on the current account held at BBVA.

b)Debt securities and deposits due from Parent

Debt securities (including warrants) issued and deposits due from Parent are initially accounted for at fair

value. The best evidence of the fair value of a financial instrument at initial recognition shall be the

transaction price.

As debt securities issued and deposits due from Parent are measured at fair value through profit and loss,

the entity presents the entire fair value change on a net basis as a single amount including foreign

exchange gains and losses and/or interest income and expense.

For subsequent measurement, the deposits due from parent are managed on a fair value basis and are

classified within the “residual” other business model valued at fair value through profit and loss (IFRS 9.

4.1.4) since they represent assets that the entity manages and in which it measures its "performance"

based on its fair value (IFRS 9 B4.1.6).

For subsequent measurement, debt securities issues are accounted for at fair value through profit and loss

using the “fair value option of liability” to eliminate "accounting asymmetries", (IFRS 9. 4.2.2) including the

changes in the credit risk in profit and loss since if they were registered against other comprehensive

income an accounting asymmetry with the related assets would be generated.

Issuing debt securities, sometimes, involves incurring costs and commissions in relation to the offering.

These fees and costs are covered through an expense assumption agreement between the Company and

BBVA.

c)Recognition of revenues and expenses

For accounting purposes, revenues and expenses are recorded on an accrual basis as they are earned or

incurred.

d)Statement of Profit or Loss and Other Comprehensive Income

IAS 1 requires that all items of income and expense be presented either: in a single statement (a

“statement of comprehensive income”), or in two statements (a separate “income statement” and

“statement of comprehensive income”). The Company has elected to present a single statement of

comprehensive income. The Company does not have separate components of other comprehensive

income; therefore, comprehensive income is equal to the profit/(loss) reported for all periods presented.

e)Cash flow statement

The cash flow statement, based on the indirect method of calculation, gives details of the source of cash

and cash equivalents which became available during the year and the application of these cash and cash

equivalents over the course of the year.

The Company has used the exchanges rates as of the end of the year to calculate the amounts shown in

the Cash flow statement and in the table below.

The table below details changes in the liabilities arising from financing activities, including both cash and

non-cash changes. Liabilities arising from financing activities are those for which cash flows were, or future

cash flows will be, classified in the cash flow statement as cash flows from financing activities:


Total Liabilities from financing activities	2022	2021
Balance at the beginning of the year	4,567,688	3,734,136
Cash movements
Cash-flows from financing activities	1,300,080	853,915
Interest paid	(220,263)	(345,968)
Non-cash movements
Fair value changes	(1,290,258)	(253,787)
Interest accrual	220,263	345,968
Foreign exchange differences (*)	238,315	233,424
Balance at the end of the year	4,815,825	4,567,688
(*) Exchange rate differences are presented on a net basis in the income statement under the caption "Exchange rate differences" as they arise from financial instruments that offset each other (both deposits due from Parent and debt securities issued).

f)Recognition and derecognition

The Company recognises a financial asset or a financial liability in its statement of financial position when,

and only when, the entity becomes party to the contractual provisions of the instrument.

Financial assets are derecognised when the contractual rights to receive cash flows from the financial

assets have expired or transferred.

The Company derecognises a financial liability (or a part of a financial liability) from its statement of

financial position when, and only when the obligation specified in the contract is discharged or cancelled,

or expires.

g)Income taxes

The charge for current tax is based on the result for the year adjusted for items that are non-assessable or

disallowed.

Deferred taxes are recognized to the extent that it is probable that taxable profits will be available.

The Company files consolidated tax returns as part of the 2/821 Group, whose Parent Company is Banco

Bilbao Vizcaya Argentaria, S.A.

The Parent Company is part of a fiscal unity for corporate income tax and for that reason it is jointly and

severally liable for the tax liabilities of the whole fiscal unity.

During the 2022 financial year, the tax Group to which the Company belongs has reached an agreement to

reclassify for accounting purposes the tax credits generated under the tax consolidation regime and

pending application, assigning them to each of the entities of said Group in the proportion in which they

have contributed to its creation. This new agreement has led to a change in the balances of negative tax

bases of the Company, which are now recognized as a credit to the parent company to the extent that their

compensation by the Group is foreseen and are subject to effective collection when used by the Tax

Group.

For amounts not compensated by the Tax Group, are only recognized deferred tax assets originating from

negative tax bases, deductions pending application and other deferred assets, to the extent that it is

considered probable that the Tax Group to which the Company belongs will have future taxable profits

against which to make them effective.

The Company has its place of effective management and registered office in Spain, and is a resident of

Spain for tax purposes.

h)Financial instruments offset

Financial assets and liabilities may be netted, i.e., they are presented for a net amount on the balance

sheet only when the Company complies with the provisions of IAS 32-Paragraph 42, 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. As of December 31st, 2022, and 2021, there are no asset and

liabilities presented netted in the balance sheet.

i)Fair value hierarchy

The fair value of financial instruments is defined as 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. It is

therefore a market-based measurement and not specific to each entity.

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.

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 Company, 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 the 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.

1 Pursuant to current Spanish legislation, number code 2/82 refers to the BBVA Consolidated Tax Group,

including the Parent Company and those subsidiaries that meet the requirements provided for under

Spanish legislation.

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 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 (see notes 9 and 11).

•Level 3: Valuation of financial instruments with valuation techniques that use significant

unobservable inputs in the market (see notes 9 and 11). Model selection and validation is

undertaken by control areas outside the business areas.

j)True and fair view

The Company’s financial statements for the year ended December 31st, 2022 which have been obtained

from the Company’s accounting records, are presented in accordance with the regulatory financial

reporting framework applicable to the Company and, in particular, with the accounting principles and rules

contained therein, and they give a true and fair view of the Company's net worth and financial position as

of December 31st, 2022 and the results of operations as well as the cash flows generated during the year

then ended.

The Company’s financial statements for 2021 were approved by its sole shareholder on April 26th, 2022.

k)Related party transactions

The Company is a wholly-owned subsidiary of BBVA and enters into transactions with related parties on an

arm’s length basis. All the outstanding amounts have been disclosed in the notes to each separate account

balance when applicable (see Note 16).

l)Use of estimates

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, expenses and

commitments.

These estimates were made on the basis of the best available information on the matters analyzed, as of

December 31st, 2022. However, it is possible that events may take place in the future 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 corresponding income statement.

The preparation of financial statements in conformity with IFRS-IASB requires management to make

estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of

contingent assets and liabilities at the date of the financial statements and the reported amounts of

revenues and expenses during the reporting period. Actual results could differ from those estimates.

There have not been any changes in the estimates made by the management during 2022 and 2021.

m)Comparative information

In order to improve the comparability, certain reclassifications have been made in the Statement of profit or

loss for the year 2021.

Regarding the captions “Gains / (Losses) on financial assets designated at fair value through profit or loss”

and “Gains / (Losses) on financial liabilities designated at fair value through profit or loss” of the

accompanying Statement of profit or loss for the year 2021, only the effect of the interest settled in the year

was disclosed, netting out the remaining effects of the fair value measurement of both, deposits and debt

securities issued. This is a non-material error of presentation, as the net amount of this reclassifications

amounts zero, and therefore there is no impact on the Company’s equity and result for the year.

In order to make this effect explicit, the following reclassifications have been made to both captions in the

Statement of profit or loss for the year 2021:


Thousand of Euros	Gains / (Losses) on financial assets designated at fair value through profit or loss (Note 8)	Gains / (Losses) on financial liabilities designated at fair value through profit or loss (Note 9)	Total
Amount disclosed under this caption in 2021 Financial Statements	345,968	(345,968)	-
Fair value adjustments netted in 2021 (Notes 8 and 9)	(253,787)	253,787	-
Amount disclosed under this caption in 2022 Financial Statements	92,181	(92,181)	-

n)Going concern

Given the Company's activity and its scope of operation, the Company's Directors are constantly

monitoring the possible impacts, both financial and non-financial, that may occur on the Company's

Financial Statements, due to the consequences caused by the volatile inflation dynamics, the recent

turbulence in the banking sector, and the persistent military conflict between Russia and Ukraine, having

concluded in the short term that there are no possible significant impacts from these facts and the going

concern principle continues to be applied in the preparation of these financial statements as of December

31st, 2022.

3.Statement of compliance

The financial statements for the year ended December 31st, 2022, have been prepared in accordance with

International Financial Reporting Standards as adopted by the European Union (“EU-IFRS”) and with Part

9 of Book 2 of the Dutch Civil code.

4.Recent IFRS pronouncements

Standards and Interpretations that became effective in 2022:

The following amendments to the IFRS standards or their interpretations (hereinafter “IFRIC” or

"interpretation") became effective in 2022:

•Minor changes to IFRS Standards (IAS 37 Provisions - Onerous contracts, IAS 16 Property, Plant

and Equipment and IFRS 3 Business Combinations) and Annual Improvements to IFRS 2018 -

2020 (IFRS 1 - First application of IFRS, IFRS 9 Financial Instruments, IAS 41 Agriculture and

modifications to the illustrative examples of IFRS 16 - Leases)

The amendments have had no impact on the Company´s financial statements.

Standards and interpretations issued but not yet effective as of December 31st, 2022:

The following new International Financial Reporting Standards and Interpretations or amendments had

been published at the date of preparation of the financial statements, but are not mandatory as of

December 31st, 2022. Although in some cases the IASB allows early adoption before their effective date,

the Company has not proceeded with this option for any such new standards. No impact is expected on

the Company’s financial statements:

•IFRS 17 – Insurance contracts (applicable to annual reporting periods beginning on or after 1st

January, 2023. Endorsed for use in the EU, albeit with an optional exemption from applying the

annual cohort requirement).

•Amendments to IAS 1 - “Presentation of financial statements” (effective for annual reporting

periods beginning on or after 1st January, 2023) and not yet endorsed for use in the EU, and IAS

8 - “Accounting policies, changes in accounting estimates and errors” (effective for annual

reporting periods beginning on or after 1st January, 2023) and not yet endorsed for use in the EU.

•Amendment IAS 12 – “Income taxes”, endorsed for use in EU.

•Amendment to IFRS 16 - "Leases", not yet endorsed for use in the EU.

5.Foreign currency translation

The financial performance of the Company is reported using the currency (“functional currency”) that best

reflects the economic substance of the underlying events and circumstances relevant to the entity, which is

the Euro. Transactions in a currency that differs from the functional currency are translated into functional

currency at the foreign currency exchange rate at transaction date.

Monetary assets and liabilities denominated in foreign currencies are retranslated at the foreign exchange

rates prevailing at the balance sheet date. Currency translation differences on all monetary financial assets

and liabilities are included in foreign exchange gains and losses income.

As of December 31st, 2022, the Company had 3,217 outstanding issuances in US dollars (including 3

warrants issued in US dollars), constituting, at the same time, 3,214 deposits with the full amounts of the

funds obtained and in the same currency. Also, the Company had 460 outstanding issuances in GB

pounds, constituting, at the same time, 460 deposits with the full amount of the funds obtained and in the

same currency. In addition, the Company had 49 outstanding issuances in CHF, constituting, at the same

time, 49 deposits with the full amount of the funds obtained and in the same currency. Furthermore, the

Company had 6 outstanding issuances in PEN, constituting, at the same time, 6 deposits with the full

amount of the funds obtained and in the same currency. Moreover, the Company had 5 outstanding

issuance in MXN and 1 outstanding issuance in MXV, constituting, at the same time, 6 deposits with the

full amount of the funds obtained and in the same currency. The Company had also 8 outstanding

issuances in COP, constituting, at the same time, 8 deposits with the full amount of the funds obtained and

in the same currency. Besides, the company had 2 outstanding issuances in SEK, constituting, at the

same time, 2 deposits with the full amount of the funds obtained and in the same currency. Also, the

Company had 3 outstanding issuances in HKD, constituting, at the same time, 3 deposits with the full

amount of the funds obtained and in the same currency. In addition, the company had 1 outstanding

issuances in PLN, constituting, at the same time, 1 deposits with the full amount of the funds obtained and

in the same currency. Finally, the Company had 2 outstanding issuances in JPY, constituting, at the same

time, 2 deposits with the full amount of the funds obtained and in the same currency. The interest rates

related to the deposits are identical to those related to the issues. As a result, the exchange differences

in this connection were no significant.

6.Risk exposure