Introduction to the Comprehensive Assessment disclosure templates

-

- Numbers in this section are provided primarily for transparency purposes and should not be used for comparisons to other sections/sheets.

As an example, the NPE ratio exhibited in this section applies across all segments and all bank portfolios, and as such does not provide a like for like comparison with the NPE ratio data displayed in section E (which relates only to portfolios selected in Phase 1 of the AQR)

- Banks have 6 months to recapitalise any shortfall resulting from the AQR and Stress Test baseline scenario, and 9 months to recapitalise any shortfall resulting from the Stress Test adverse scenario

- Section C should be read as informational only. Figures here do not feed into the final CET1% results as detailed in section B, nor do they mitigate the bank’s disclosed capital shortfall (B11)

- For banks with a capital shortfall, this information will be taken into account during the capital planning phase that follows disclosure of Comprehensive Assessment results

D.A - D.F provides AQR results broken down by asset segment, and by AQR workblock

D.G - D.I provides the results of the Level 3 non-derivative exposures review

D20 is the gross impact of the AQR before offsetting

D21 provides impact of insurance protection

D22 provides the tax impact

D23 shows the net total impact of the AQR

- The selection of asset classes for portfolio review was based on an approach aimed at identifying those portfolios with the highest risk of misclassification and misvaluation. Therefore, extrapolation of results to the non-selected portfolios would be incorrect from a statistical stand-point

- In the AQR exercise the resulting increase in provisions (from a supervisory perspective) are translated into a change in CET1

- Items D1 to D21 are before offsetting impacts such as asset protection and taxes

- E1 shows the evolution of NPE levels for portfolios selected in Phase 1

- E10 shows the evolution of coverage ratios for portfolios selected in Phase 1

- Information reported only for portfolios subject to detailed review in AQR, i.e. those selected in Phase 1 of the AQR

- Figures presented should not be interpreted as accounting figures

- The asset quality indicators are based on EBA’s simplified definition of NPE

- While the application of this definition constitutes an important step forward in terms of harmonisation across the euro area banking sector, the degree of harmonisation reached is not complete due to factors such as different materiality thresholds across Member States. However, a solid basis of consistency has been implemented for the Comprehensive Assessment, implying a very significant improvement in comparability across banks and jurisdictions

- Leverage ratios are currently not binding, are displayed for information purposes only and have no impact on the capital shortfall

- Due to the ‘static balance sheet’ assumption used as part of the Stress Test, the leverage ratio might be misleading for the Stress Tests and is therefore displayed for AQR only

MAIN RESULTS OF THE COMPREHENSIVE ASSESSMENT (CA)

CET1 Ratio

at year end 2013 including retained earnings / losses of 2013

B1 = A6

B1 - the CET1 ratio as at 31 December 2013 is provided by the bank, and acts as the starting point against which Comprehensive Assessment impact is measured

Note that CET1 is defined in accordance with CRDIV/CRR applicable as of 1 January 2014

B2 - sourced from D23, the net AQR impact after tax and risk protection netting effects

AQR adjusted CET1 Ratio

B3 = B1 + B2

B4 = the delta between the AQR adjusted CET1% and the baseline scenario CET1%, in the year where capital level vs threshold (8%) is the lowest

Note - this information comes from the EBA transparency templates. The key fields in these templates are the baseline figures in the “Capital” sheet, section C.1

Adjusted CET1 Ratio after Baseline Scenario

B5 = B3 + B4

B6 = the delta between the AQR adjusted CET1% and the adverse scenario CET1%, in the year where capital level vs threshold (5.5%) is the lowest

Adjusted CET1 Ratio after Adverse Scenario

B7 = B3 + B6

Note - this information comes from the EBA transparency templates. The key fields in these templates are the adverse figures in the “Capital” sheet, section C.1

B7 = B3 + B6 (note the starting point for this adjustment is the AQR adjusted CET1%)

1

Main Results and Overview

A

MAIN INFORMATION ON THE BANK BEFORE THE COMPREHENSIVE ASSESSMENT (end 2013)

END 2013

A1

Total Assets (based on prudential scope of consolidation)

Mill. EUR

587,084.99

Net (+) Profit/ (-) Loss of 2013 (based on prudential scope of consolidation)

Mill. EUR

2,197.00

Common Equity Tier 1 Capital

according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014

Total risk exposure *

according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014

Total exposure measure according to Article 429 CRR

“Leverage exposure”

Mill. EUR

621,977.66

CET1 ratio

according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014 A6=A3/A4

Tier 1 Ratio (where available)

according to CRD3 definition, as of 31.12.2013 as reported by the bank

%

11.06%

Core Tier 1 Ratio (where available)

according to EBA definition

%

11.06%

Leverage ratio

%

6.13%

Non-performing exposures ratio

%

4.05%

Coverage ratio for non-performing exposure

%

65.57%

A12

Level 3 instruments on total assets

%

0.14%

B

MAIN RESULTS OF THE COMPREHENSIVE ASSESSMENT (CA)

CET1 Ratio

at year end 2013 including retained earnings / losses of 2013

B1 = A6

Aggregated adjustments due to the outcome of the AQR

Basis Points

Change

AQR adjusted CET1 Ratio

B3 = B1 + B2

Basis Points

Change

Adjusted CET1 Ratio after Baseline Scenario

B5 = B3 + B4

Basis Points

Change

Adjusted CET1 Ratio after Adverse Scenario

B7 = B3 + B6

Capital Shortfall

Basis Points ¹

B8

to threshold of 8% for AQR adjusted CET1 Ratio

0

0.00

B9

to threshold of 8% in Baseline Scenario

0

0.00

B10

to threshold of 5.5% in Adverse Scenario

0

0.00

Aggregated Capital Shortfall of the Comprehensive Assessment

B11 = max( B8, B9, B10 )

 C

MAJOR CAPITAL MEASURES IMPACTING TIER 1 ELIGIBLE CAPITAL

FROM 1 JANUARY 2014 TO 30 SEPTEMBER 2014

 Issuance of CET1 Instruments

Impact on Common Equity Tier 1

Million EUR

0.00

0.00

Conversion to CET1 of hybrid instruments

becoming effective between January and September 2014

0.00

 Net issuance of Additional Tier 1 Instruments

Impact on Additional Tier 1

Million EUR

0.00

0.00

0.00

Million EUR

0.00

Adjustments
to
provisions

on sampled
files

Units of Measurement

% of RWA
selected

in Phase 1

D1

D2

Sovereigns and Supranational non-governmental organisations

D3

D4

D5

D6

  thereof Residential Real Estate (RRE)

D7

D8

D9

Portfolio size
  Carrying Amount  

Portfolio
selection

 Impact on CET1 before any offsetting 
impact

D11

D12

D13

Non derivative exposures review

D14

Bonds

D15

Securitisations

D16

Loans

D17

Equity (Investment in PE and Participations)

D18

Investment Properties / Real Estate / Other

D19

Derivatives Model Review

D20

Gross impact on capital

D21

Offsetting impact due to risk protection

D22

Offsetting tax impact

D23

Net total impact of AQR results on CET1 ratio

Asset quality indicators

Non-Performing Exposure Ratio

E1

Total credit exposure

E2

Sovereigns and Supranational non-governmental organisations

E3

Institutions

E4

Retail

E5

  thereof SME

E6

  thereof Residential Real Estate (RRE)

E7

  thereof Other Retail

E8

Corporates

E9

Other Assets

Coverage Ratio

Coverage ratios displayed in E.E - E.I
cover only the exposure that was
marked as non-performing pre-AQR.
Therefore exposures that were newly
reclassified to NPE during the AQR
are NOT included in the calculation
for E.E - E.I

E10

Total credit exposure

E11

Sovereigns and Supranational non-governmental organisation

E12

Institutions

E13

Retail

E14

  thereof SME

E15

  thereof Residential Real Estate (RRE)

E16

  thereof Other Retail

E17

Corporates

E18

Other Assets

Reference

Name

Definition or further explanation

A. MAIN INFORMATION ON THE BANK BEFORE THE COMPREHENSIVE ASSESSMENT (end 2013)

Net profits (positive number) or net losses (negative number) in the year 2013. After taxes. Exclusive Other Comprehensive Income. The scope of consolidation follows Article 18 CRR (therefore direct comparison with financial accounts based on accounting scope of consolidation will result in differences).

At year-end 2013, according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014, Article 50 CRR. The only exception to national transitional arrangements is sovereign AFS losses (Article 467 CRR) where a harmonised approach is taken with a 20% deduction irrespective of national discretion concerning phase-in. This exception is necessary to be consistent with EBA’s CET1 definition applied in the stress test exercise.

This includes losses of 2013 or retained earnings of 2013 subject to Article 26.2 CRR.

A6=A3/A4, Article 92.1a CRR, figures as of year-end 2013.

With national transitional arrangements as per 1 January 2014.

The only exception to national transitional arrangements is sovereign AFS losses (Article 467 CRR) where a harmonised approach is taken with a 20% deduction irrespective of national discretion concerning phase-in. This exception is necessary to be consistent with EBA’s CET1 definition applied in the stress test exercise.

Unadjusted Basel II figure as of 31.12.2013 as reported by the bank

Unadjusted Basel II figure as of 31.12.2013 as reported by the bank

See EBA Implementing Technical Standards for Supervisory Reporting (Legal basis: Article 99 of Regulation (EU) No 575/2013 and ITS on Supervisory Reporting of institutions published in the Official Journal of the European Commission on 28/06/2014) module for leverage ratio:

- Annex X - Leverage ratio templates

- Annex XI - Instructions on Leverage (Part II 2.12)

Numerator: Exposure (book value plus CCF-weighted off-balance exposure) that is non-performing according to the simplified NPE definition (see Section 2.4.4. of the AQR Phase 2 manual) at year end 2013 (total of consolidated bank):

An NPE is defined as:

Ÿ Every material exposure that is 90 days past-due even if it is not recognised as defaulted or impaired

• Every exposure that is impaired (respecting specifics of definition for nGAAP vs. IFRS banks)

• Every exposure that is in default according to CRR

Definition of exposure:

• Any facility that is NPE must be classed as such

• For retail: NPE is defined at the facility level

• For non-retail: NPE is defined at the debtor level – if one material exposure is classified as NPE, all exposures to this debtor level shall be treated as NPE

• Materiality is defined as per the EBA ITS guidelines (i.e. as per Article 178 CRR) and hence in line with national discretion

• Off balance sheet exposures are included. Derivative and trading book exposures are not included as per the EBA ITS.

Denominator: total exposure (performing and non-performing). Same definition of exposure as above.

Numerator:

Specific allowances for individually assessed financial assets (As per IAS 39 AG.84-92. FINREP table 4.4, column 080. EBA/ITS/2013/03 Annex V. Part 2. 35-38)

+ Specific allowances for collectively assessed financial assets (As per IAS 39 AG.84-92. FINREP table 4.4, column 090. EBA/ITS/2013/03 Annex V. Part 2. 35-38)

+ Collective allowances for incurred but not reported losses (As per IAS 39 AG.84-92. FINREP table 4.4, column 100. EBA/ITS/2013/03 Annex V. Part 2. 35-38)

Denominator:

the non-performing exposure (numerator of A10)

As of year-end 2013 and total of consolidated bank.

Level 3 assets are those according to IFRS 13, para. 86-90 (covering Available for Sale, Fair Value through P&L and Held for Trading)

Not defined for banks using nGAAP.

Total assets = A1

B. MAIN RESULTS OF THE COMPREHENSIVE ASSESSMENT (CA)

B1

CET1 Ratio

B1=A6

B3 = B1 + B2

based on year-end 2013 figures and CRR/CRDIV phase-in as of 1 January 2014

Additional adjustments due to baseline scenario to lowest capital level over the 3-year period. Note that this also includes phasing-in effects of CRR and CRD 4 as of arrangements of respective national jurisdiction. In line with EBA disclosure.

B5= B4 + B3

Note that this is an estimate of the outcome of a hypothetical scenario and refers to a future point in time. It should not be confused with the bank’s forecast or multi year plan.

Aggregate adjustments due to the outcome of the adverse scenario of the joint EBA ECB Stress Test

Additional adjustments due to adverse scenario to lowest capital level over the 3-year period. Note that this also includes phasing-in effects of CRR and CRDIV as of arrangements of respective national jurisdiction. In line with EBA disclosure.

B7 = B5 + B6

Note that this is an estimate of the outcome of an adverse hypothetical scenario and refers to a future point in time. It should not be confused with the bank’s forecast or multi-year plan.

Shortfall to threshold of 8% for AQR adjusted CET1 Ratio

Shortfall to threshold of 8% in Baseline Scenario

Shortfall to threshold of 5.5% in Adverse Scenario

B11= max( B8, B9, B10 )

B11 will be capital shortfall coming out of the comprehensive assessment. For details on which measures are considered eligible to mitigate the shortfall see the accompanying Aggregated Report.

C. Memorandum Items

Please refer to the bank specific notes on the first sheet for details on any capital raising that is already reflected in the dynamic balance sheet of the Stress Test

Net issuance of AT1 Instruments (Article 52 CRR) with a trigger at or above 5.5% and below 6% between 1 January 2014 and 30 September 2014, expressed in terms of RWA. AT1 instruments which have been converted into CET1 are not to be accounted for in this cell to avoid double counting with C3.

Net issuance of AT1 Instruments (Article 52 CRR) with a trigger at or above 6% and below 7% between 1 January 2014 and 30 September 2014, expressed in terms of RWA. AT1 instruments which have been converted into CET1 are not to be accounted for in this cell to avoid double counting with C3.

Net issuance of AT1 Instruments (Article 52 CRR) with a trigger at or above 7% CET1 between 1 January 2014 and 30 September 2014, expressed in terms of RWA. AT1 instruments which have been converted into CET1 are not to be accounted for in this cell to avoid double counting with C3.

Incurred fines/litigation costs from January to September 2014 (net of provisions)

Incurred fines/litigation costs from 1 January to September 2014 (net of provisions).

Only litigation costs with a realized loss > 1 Basis Point of CET1 (as of 1.1.2014) are in scope.

D. Matrix Breakdown of AQR Result

Asset class is an aggregated of the AQR sub-asset classes Project finance, Shipping, Aviation, Commercial real estate (CRE), Other real estate, Large corporates (non real estate) and Large SME (non real estate)

Credit Risk RWA year end 2013

Total credit risk weighted assets including off balance sheet items.

Indication of the fraction of the overall RWA per asset class that was selected in Phase 1 of the AQR. This follows a “bucketing approach” rather than disclosing the precise figures. Buckets are defined as follows:

“Not relevant” ; 0%; < 20% ; 20-40% ; 40-60% ; 60-80% ; 80-100% ; 100%

Amount of adjustments to specific provisions on the credit file samples. This includes all files from the single credit file review (on a technical note: also the prioritized files).

Amount of adjustments to specific provisions based on the projection of findings of the credit file review to the wider portfolio (negative numbers).

Amount of adjustments to collective provisions as determined based on the challenger model in cases where the bank’s collective provisioning model is found to be out of line with the standards expressed in the AQR Manual.

Gross amount of the aggregated adjustments disclosed in D.C - D.E before the offsetting impact of risk protection and tax (negative numbers).

Portfolio size

Carrying Amount

Portfolio size - Level 3 Carrying Amount

Indication of the carrying amount (gross mark-to-market as of year-end 2013, before AQR adjustment) of Level 3 position that has been reviewed by NCA Bank Team divided by total level 3 carrying amount (gross mark-to-market as of year-end 2013, before AQR adjustment and before PP&A) for this asset class.

Amount of adjustments resulting from:

- CVA Challenger model (D11).

- the different components of the fair value exposures review (D13-D19), as well as the fair value review as a whole (D12) .

This breakdown is omitted where the overall AQR impact (B2) is less than 10 basis points CET1 and single rows are omitted where they have an impact of less than 1 basis point CET1. Note this adjustment is already reflected in the asset class break down of D1 to D9 and displayed here only on a more granular level.

Adjustments resulting from CVA challenger model.

CVA see Article 383 CRR

CVA, calculated as the market loss-given-default multiplied by the sum of expected losses at each point in time. The expected loss at each point in time i is calculated as the product of the PD factor at that point in time and the Exposure factor at that point in time

Split of the aggregated adjustment from the fair value review, excluding the adjustment to CVA (D11)

Gross amount of the aggregated CET1 adjustment based on the AQR before offsetting impact of asset protection, insurance and tax (negative number).

Aggregated estimated impact of asset protection schemes (e.g. portfolio guarantees) and insurance effects that may apply toapplicable portfolios (positive number).

The offsetting tax impact includes the assumed creation of DTAs, which accounts for limitations imposed by accounting rules. Appropriate CRRIV DTA deductions are made for any tax offsets.

D23

Net total impact of AQR results on CET1

Net amount of the aggregated CET1 adjustment based on the AQR after offsetting impact of risk protection and tax (negative number). Sums the impact from D20, D21, D22, and incorporates the effect of changing RWA.

E. Matrix Breakdown of Asset Quality Indicators

Ÿ The asset quality indicators are based on EBA’s simplified definition of NPE.

Ÿ All parties involved made significant efforts to increase the degree of harmonisation of the NPE definition and its application.

Ÿ While the application of this definition constitutes a very important leap forward in terms of harmonisation across the euro area banking sector, the degree of harmonisation reached is not completely perfect due to factors such as different materiality thresholds across Member States. However, a solid basis of consistency has been implemented for the comprehensive assessment, implying a very significant improvement in comparability across banks from different jurisdictions.

ŸThe figures presented should not be understood as accounting figures.

unadjusted NPE Level

year end 2013

Exposure re-classified from performing to non-performing according to the CFR classification review.

Exposure re-classified from performing to non-performing according to the projection of findings.

Numerator:

Exposure (book value plus CCF-weighted off-balance exposure) reported by the bank as non- performing according to the simplified NPE definition (see AQR Phase 2 Manual Section 2.4.4. and explanation for A10 above) at year end 2013 +

Exposure re-classified from performing to non-performing according to the CFR classification review and projection of findings.

Denominator: total exposure (performing and non-performing). Same exposure definition as above.

unadjusted coverage

ratio of non-performing exposure, year end 2013

Amount of adjustments to provisions based on the projection of findings of the credit file review to the wider portfolio.

Amount of adjustments to collective provisions as determined based on the challenger model in cases where the bank’s collective provisioning model is found to be out of line with the standards expressed in the AQR Manual.

AQR - adjusted

ratio of provisions on NPE to NPE

Coverage ratio adjusted for AQR findings.

F. LEVERAGE RATIO IMPACT OF THE COMPREHENSIVE ASSESSMENT

See A9 above

Adjustments to the leverage ratio based on all quantitative AQR adjustments affecting its components

Leverage ratio as at December 2013, incorporating all quantitative AQR adjustments to capital. Leverage ratio definition based on CRR Article 429 as of September 2014

Bank Name

ES - Banco Bilbao Vizcaya Argentaria, S.A.

LEI Code

K8MS7FD7N5Z2WQ51AZ71

2014 EU-wide Stress Test

              Credit Risk

LTV % (as of

31/12/2013)

(mln EUR, %)

ES - Banco Bilbao Vizcaya    

Argentaria, S.A.    

Central banks and central governments

Institutions

Corporates

Corporates - Of Which: Specialised Lending

Corporates - Of Which: SME

Retail

Retail - Secured on real estate property

Retail - Secured on real estate property - Of

Retail - Secured on real estate property - Of

Retail - Qualifying Revolving

Retail - Other Retail

Retail - Other Retail - Of Which: SME

Retail - Other Retail - Of Which: non-SME

Equity

Securitisation

Other non-credit obligation assets

TOTAL

Securitisation and re-securitisations positions deducted from capital *

LTV % (as of
31/12/2013)

(mln EUR, %)

ES - Banco Bilbao Vizcaya    

Argentaria, S.A.    

Central banks and central governments

Institutions

Corporates

Corporates - Of Which: Specialised Lending

Corporates - Of Which: SME

Retail

Retail - Secured on real estate property

Retail - Secured on real estate property - Of

Retail - Secured on real estate property - Of

Retail - Qualifying Revolving

Retail - Other Retail

Retail - Other Retail - Of Which: SME

Retail - Other Retail - Of Which: non-SME

Equity

Securitisation

Other non-credit obligation assets

TOTAL

Securitisation and re-securitisations positions deducted from capital *

LTV % (as of
31/12/2013)

(mln EUR, %)

ES - Banco Bilbao Vizcaya    

Argentaria, S.A.    

Central banks and central governments

Institutions

Corporates

Corporates - Of Which: Specialised Lending

Corporates - Of Which: SME

Retail

Retail - Secured on real estate property

Retail - Secured on real estate property - Of

Retail - Secured on real estate property - Of

Retail - Qualifying Revolving

Retail - Other Retail

Retail - Other Retail - Of Which: SME

Retail - Other Retail - Of Which: non-SME

Equity

Securitisation

Other non-credit obligation assets

TOTAL

Securitisation and re-securitisations positions deducted from capital *

Stock of  

Provisions  

Coverage

Ratio - Default  
Stock  

Stock of  

Provisions  

Coverage  

Ratio - Default  
Stock  

Stock of  

Provisions  

Coverage

Ratio - Default
Stock

Stock of  

Provisions  

Stock of  

Provisions  

Coverage  

Ratio - Default  
Stock  

Stock of  

Provisions  

Coverage

Ratio - Default
Stock