BBVA Global Markets Memoria 2023

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, 2023.

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” or “BBVA”), 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 2023, the Company has issued 4,456 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 10,000,000,000 (or its equivalent in other currencies). The last

update of the Programme was on June 23th, 2023. 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

2,000,000,000 (or its equivalent in other currencies). The last update of the programme was on

July 15th, 2023, increasing the maximum amount of notes to be issued by EUR 1,000,000,000 (or

its equivalent in other currencies) with respect to the previous update that took place on July 14th,

2022. Notes 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 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, 2023. 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, 2023 and 2022 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 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.

Geopolitical and economic risks also arise as a result of trade tensions between the United States and

China, Brexit and the rise of populism, among others. Growing trade tensions may lead, among others, to

a deglobalization of the world economy, an increase in protectionism or barriers to immigration, 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 Company’s business, financial condition

and results of operations.

In Spain, political, regulatory and economic uncertainty has also increased since the July general

elections; there is a risk that politics could have an adverse impact on the economy.

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. 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 financial stress.

In this context, the process of raising interest rates that began approximately two years ago appears to

have come to an end. According to BBVA Research, inflation is expected to continue to evolve favorably in

the coming months, paving the way for the beginning of a process of gradual relaxation of monetary

conditions by around mid-2024, which would bring monetary policy interest rates to around 4.75% in the

United States and 3.25% (in the case of refinancing operations interest rates) in the Eurozone at the end of

2024. However, policy interest rates could be reduced more quickly than expected, mainly if inflation

moderates faster than expected. In any case, it is expected that both the FED and the ECB will continue to

adopt liquidity reduction measures throughout 2024.

In any case, uncertainty remains high, and a series of factors could trigger more negative scenarios. The

persistence of inflation and high interest rates could generate a deep and widespread recession, as well as

new episodes of financial volatility. Furthermore, China’s slowdown could end up being more severe than

anticipated. Finally, current geopolitical tensions could drive energy prices up and cause new disruptions in

global supply chains.

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 statement

of financial position as of December 31st, 2023, and 2022, amounted to EUR 6,683,327 thousand

and EUR 4,815,092 thousand, respectively.

As of December 31st, 2023 and 2022, credit risk is concentrated geographically in Spain, with the

Parent Company (see Note 16). As of December 31st, 2023 and 2022 there are no impaired

assets. The financial performance and positions of the Parent Company 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 year ended December 31st, 2023, 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.

Regarding the Risk Appetite Framework, the Company's risk strategy is aligned the one of the Group,

which seeks to obtain a sound risk-adjusted profitability throughout the cycle through the development of a

responsible universal banking business model, while maintain a moderate risk profile as established by its

Risk Appetite Framework, so the risk model established aims at sustaining a robust financial position and

facilitating its commitment with sustainable development in order to promote profitable growth and

recurrent value creation.

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.

On the other hand, the Company is governed by the BBVA Group's Code of Conduct updated by the

Group's Board of Directors on February 9th, 2022. This Code sets out the standards of behavior that

should be adhered to so that the Group’s conduct towards its customers, colleagues and the society be

consistent with BBVA’s values.

(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 for the years ended on December 31st, 2023 and

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

comprehensive income for the years ended December 31st, 2023 and 2022. Results of the Company are

at the disposal of the Annual General Meeting.

Directors and their interest

The Directors who held office on December 31st, 2023 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, 2023, and 2022, 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 2023 and 2022, 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, 2023 which were

as follows:


April 27th, 2023	Shareholder resolution
June 20th, 2023	Board of Directors
June 20th, 2023	Shareholder resolution

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, 2024 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, 2023 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, neither to Israel and Palestine.

Outlook for the financial year 2024

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 2024.

Madrid, April 25th, 2024

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 25th, 2024

Board of Directors:

Marian Coscarón Tomé

Christian Hojbjerre Mortensen

STATEMENT OF FINANCIAL POSITION AS OF

DECEMBER 31st, 2023

(before appropriation of result)


Thousands of Euros	Note	12/31/2023	12/31/2022
ASSETS:
Non-current assets
- Long-Term deposits due from Parent	8	4,919,068	3,612,231
- Other Long-Term assets	15	322	322
Total Non-current assets		4,919,390	3,612,553
Current assets
- Short-Term deposits due from Parent	8	1,764,259	1,202,861
- Other assets	16	413	271
- Cash and cash equivalents	7	304	457
Total Current assets		1,764,976	1,203,589
Total assets		6,684,366	4,816,142
LIABILITIES:
Non-current liabilities
- Long-Term debt securities issued	9	4,919,068	3,612,231
Total Non-current liabilities		4,919,068	3,612,231
Current liabilities
- Short-Term debt securities issued	9	1,764,259	1,202,861
- Other liabilities		46	62
- Credit account		667	733
- Current tax liabilities	15	78	8
Total Current liabilities		1,765,050	1,203,664
Total liabilities		6,684,118	4,815,895
SHAREHOLDER'S EQUITY:
- Issued share capital	10	90	90
- Share premium	10	250	250
- Other reserves	10	(93)	(94)
- Result of the year		1	1
Total shareholder’s equity		248	247
Total liabilities and shareholder’s equity		6,684,366	4,816,142

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, 2023


Thousands of Euros	Note	12/31/2023	12/31/2022

Exchange rate differences		1	2
Other operating income	6 and 16	683	383
Other operating expenses	14	(683)	(383)
Gains / (Losses) on financial assets designated at fair value through profit or loss	8 and 16	970,730	(1,069,995)
Gains / (Losses) on financial liabilities designated at fair value through profit or loss	9	(970,730)	1,069,995
Result of the year before tax		1	2
Income tax	15	–	(1)
Result of the year from continued operations		1	1
Comprehensive result of the year		–	–
Total comprehensive result of the year		1	1

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, 2023


Thousands of Euros	Note	Issued Share Capital	Other reserves	Share Premium	Result of the year	Total
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
Balance at beginning of the year (January 1st, 2023)		90	(94)	250	1	247
- Result of the year		–	–	–	1	1
- Result of previous years		–	1	–	(1)	–
- Share premium		–	–	–	–	–
Balance at end of the year (December 31st , 2023)		90	(93)	250	1	248

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

STATEMENT OF CASH FLOWS FOR THE YEAR

ENDED DECEMBER 31st, 2023


Thousands of Euros	Note	12/31/2023	12/31/2022
Result of the year before tax		1	2
ADJUSTMENTS TO RECONCILE NET (LOSS) INCOME TO NET CASH PROVIDED BY OPERATING ACTIVITIES:

Adjustments for:		(1)	(2)
Gains / (Losses) on financial assets designated at fair value through profit or loss		598,233	1,290,258
Gains / (Losses) on financial liabilities designated at fair value through profit or loss		(598,233)	(1,290,258)
Exchange differences		(1)	(2)
Other income and expenses		–	–
Changes in working capital:		(87)	(184)
Trade and other payables		55	(35)
Trade and other receivables		(142)	(149)
Other cash flows from operating activities:		–	–
Interest paid		(372,497)	(220,263)
Interest received		372,497	220,263
Income tax recovered (paid)		–	–
Net cash provided by/(used in) operating activities		(87)	(184)
CASH FLOW FROM INVESTING ACTIVITIES:
Investments:		(4,999,375)	(3,032,771)
Deposits at the parent		(4,999,375)	(3,032,771)
Disinvestments:		3,707,911	1,733,021
Deposits at the parent		3,707,911	1,733,021
Net cash provided by/(used in) investing activities		(1,291,464)	(1,299,750)
CASH FLOW FROM FINANCING ACTIVITIES:
Proceeds from issue of share premium		–	–
Proceeds from issue of debt instruments and other marketable securities		4,999,375	3,032,771
Proceeds from issue of borrowings from Group companies and associates		(66)	330
Redemption of debt instruments and other marketable securities		(3,707,911)	(1,733,021)
Net cash provided by/(used in) financing activities		1,291,398	1,300,080
Net increase/(decrease) in cash and cash equivalents		(153)	146
Effect of currency translations		–	–
Cash and cash equivalents at the beginning of the year		457	311
Cash and cash equivalents at the end of the year	7	304	457

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, 2023 (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,

2023 and 2022 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	2023	2022
Balance at the beginning of the year	4,815,825	4,567,688
Cash movements
Cash-flows from financing activities	1,291,398	1,300,080
Interest paid	(372,497)	(220,263)
Non-cash movements
Fair value changes	598,233	(1,290,258)
Interest accrual	372,497	220,263
Foreign exchange differences (*)	(21,462)	238,315
Balance at the end of the year	6,683,994	4,815,825
(*) 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 2/82 1 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.

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 statement of

financial position 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, 2023, and 2022, there are

no asset and liabilities presented netted on the statement of financial position.

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.

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).

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.

• 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, 2023 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, 2023 and the results of operations as well as the cash flows generated during the year

then ended.

The Company’s financial statements for 2022 were approved by its sole shareholder on April 27th, 2023.

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, 2023. 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 2023 and 2022.

m) Comparative information

The information presented for the year 2022 is provided solely for informational purposes to facilitate

comparative analysis. These figures serve as a reference point for understanding the financial

performance and position relative to the previous period.

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, derived from the possible consequences caused by the current armed conflicts

between Russia and Ukraine, as well as between Israel and Palestine, 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, 2023.

3. Statement of compliance

The financial statements for the year ended December 31st, 2023, 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 2023:

In 2023, various amendments to the IFRS standards or their interpretations or modifications (hereinafter

“IFRIC” or "interpretation") became effective, among which the following should be highlighted.

IFRS 17 – Insurance contracts

The new standard IFRS 17 has entered into force on January 1st, 2023, with no significant impact on the

financial statements of the Company. As IFRS 17 requires at least one year of comparative information,

the financial information has to be restated from January 1, 2022 to December 31, 2022.

IFRS 17 establishes the accounting principles for insurance contracts. This new standard supersedes

IFRS 4, by introducing substantial changes in the accounting of insurance contracts with the aim of

achieving greater homogeneity and increasing comparability among entities.

Amendments to IAS 1 “Presentation of financial statements” and IAS 8 “Accounting policies,

changes in accounting estimates and errors"

In February 2021 the IASB issued amendments to this IAS with the aim of improving the quality of the

disclosures in relation to the accounting policies applied by the entities with the ultimate aim of providing

useful and material information in the financial statements.

The amendments to IAS 1 require companies to disclose their material accounting policy information rather

than their significant accounting policies and include guidance on how to apply the concept of materiality to

accounting policy disclosures. The amendments to IAS 8 also clarify how companies should distinguish

changes in accounting policies from changes in accounting estimates.

The amendments have entered into force on January 1st, 2023, with no significant impact on the financial

statements of the Company.

Amendment IAS 12 – Income taxes

The IASB issued an amendment to IAS 12 to clarify that entities should recognize deferred tax arising on

transactions such as leases or decommissioning obligations. The amendment requires entities to

recognize a deferred tax asset and liability separately when the temporary differences arising in the

recognition of an asset and a liability are the same, not being possible to apply the initial recognition

exception provided for in the standard. The purpose of the amendments has been to reduce the diversity in

the presentation of information on deferred taxes in said transactions.

The modification has entered into force on January 1st, 2023, although its early application was allowed, it

has not had a significant impact on the financial statements of the Company.

Amendment to IAS 12 - International Tax Reform Pillar Two Model Rules

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 of certain multinational

groups in certain jurisdictions reach the minimum rate of 15%.

In May 2023, the IASB published an amendment to IAS 12 to clarify the application of this initiative on the

results derived from the tax legislation enacted or substantially enacted in each country to apply the model

rules of Pillar Two, which:

• sets a temporary exception to the accounting of deferred taxes in relation to the implementation of

the rules of the Pillar 2 model.

• requires qualitative and quantitative disclosures that allow users to understand the entities'

exposure to taxes that may arise from this initiative and/or an entity's progress in its

implementation.

The amendment came into force on January 1st, 2023, with no significant impact on the financial

statements of the Company.

Standards and Interpretations issued but not yet effective as of December 31, 2023:

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

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

as of December 31, 2023. 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.

Amendment to IFRS 16 "Leases"

The IASB has issued an amendment to IFRS 16 to clarify certain aspects related with the requirements for

sale and leaseback transactions. The new requirements established that the seller-lessee shall determine

‘lease payments’ or ‘revised lease payments’ in a way that the seller-lessee would not recognize any

amount of the gain or loss that relates to the right of use retained by the seller-lessee. The amendments

will be effective for annual reporting periods beginning on or after 1 January 2024, with early application

permitted.

No significant impact is expected on the Company’s financial statements.

Amendment to IAS 21 - "Effects of Changes in Foreign Exchange Rates"

On August 15, 2023, the IASB issued a series of amendments to IAS 21 - The effect of changes in

exchange rates. The standard has a double objective, on the one hand to provide guidance on when one

currency is convertible into another and, second, how to determine the exchange rate to be used in

accounting when it is concluded that such convertibility does not exist.

In relation to the first objective, one currency is convertible into another when an entity can obtain the other

currency within a time frame that allows for a normal administrative delay; and through markets or

exchange mechanisms in which an exchange transaction creates enforceable rights and obligations. If the

entity determines that there is no convertibility between currencies, it must estimate an exchange rate. The

standard does not establish a specific estimation technique for them, but rather establishes guidelines for

their determination, allowing the use of an observable type without adjusting or using an estimation

technique.

The modification to the standard will come into force on January 1, 2025 and no significant impact is

expected on the Company’s financial statements.

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, 2023, the Company had 3,898 outstanding issuances in US dollars (including 3

warrants issued in US dollars), constituting, at the same time, 3,892 deposits with the full amounts of the

funds obtained and in the same currency. Also, the Company had 646 outstanding issuances in GB

pounds, constituting, at the same time, 646 deposits with the full amount of the funds obtained and in the

same currency. In addition, the Company had 127 outstanding issuances in CHF (including 2 warrants

issued in CHF), constituting, at the same time, 123 deposits with the full amount of the funds obtained and

in the same currency. Furthermore, the Company had 63 outstanding issuances in HKD, constituting, at

the same time, 63 deposits with the full amount of the funds obtained and in the same currency. Moreover,

the Company had 27 outstanding issuances in JPY, constituting, at the same time, 27 deposits with the full

amount of the funds obtained and in the same currency. The Company had also 13 outstanding issuances

in PEN, constituting, at the same time, 13 deposits with the full amount of the funds obtained and in the

same currency. Besides, the Company had 12 outstanding issuance in MXN and 2 outstanding issuance in

MXV, constituting, at the same time, 14 deposits with the full amount of the funds obtained and in the same

currency. Also, 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. In addition, the company had

8 outstanding issuances in AUD, constituting, at the same time, 8 deposits with the full amount of the funds

obtained and in the same currency. Furthermore, the company had 7 outstanding issuances in SEK,

constituting, at the same time, 7 deposits with the full amount of the funds obtained and in the same

currency. Moreover, the Company had 5 outstanding issuances in SGD, constituting, at the same time, 5

deposits with the full amount of the funds obtained and in the same currency. The company had also 2

outstanding issuances in PLN, constituting, at the same time, 2 deposits with the full amount of the funds

obtained and in the same currency. Finally, the Company had 1 outstanding issuances in NOK,

constituting, at the same time, 1 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

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 statement

of financial position as of December 31st, 2023, and 2022, amounted to EUR 6,683,327 thousand

and EUR 4,815,092 thousand, respectively.

As of December 31st, 2023 and 2022, credit risk is concentrated geographically in Spain, with the

Parent Company (see Note 16). As of December 31st, 2023 and 2022 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.