EBA欧洲银行-ES_K8MS7FD7N5Z2WQ51AZ71_16页_3mb

2014 EU-wide Stress Test Summary for Banco Bilbao Vizcaya Argentaria, S.A.

Core Information

• Bank Name: Banco Bilbao Vizcaya Argentaria, S.A. (BBVA)
• LEI Code: K8MS7FD7N5Z2WQ51AZ71
• Country: Spain

Summary of Adverse Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 9,266 min EUR
• Impairment losses on financial and non-financial assets in the banking book: 7,748 min EUR
• Common Equity Tier 1 (CET1) capital: 36,383 min EUR
• Total Risk Exposure: 345,041 min EUR
• CET1 ratio: 10.5%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 17,981 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 15,880 min EUR
• 3-year cumulative losses from the stress in the trading book: 2,079 min EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 736 min EUR
• CET1 capital: 34,196 min EUR
• Total Risk Exposure: 381,341 min EUR
• CET1 ratio: 9.0%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 20,974 min EUR
• Total amount of instruments with mandatory conversion into ordinary shares: 0 min EUR
• Additional Tier 1 and Tier 2 instruments eligible for regulatory capital conversion: 0 min EUR

Summary of Baseline Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 9,266 min EUR
• Impairment losses on financial and non-financial assets in the banking book: 7,748 min EUR
• CET1 capital: 36,383 min EUR
• Total Risk Exposure: 345,041 min EUR
• CET1 ratio: 10.5%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 20,065 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 11,004 min EUR
• 3-year cumulative losses from the stress in the trading book: 1,630 min EUR
• CET1 capital: 38,028 min EUR
• Total Risk Exposure: 358,592 min EUR
• CET1 ratio: 10.6%

Memorandum Items

• Common EU-wide CET1 Threshold (8.0%): 28,687 min EUR

Risk Exposure and Impairment Analysis

Exposure Values (as of 31/12/2013)

• F-IRB:
  • Non-defaulted: 8,443 min EUR
  • Defaulted: 0 min EUR
• A-IRB:
  • Non-defaulted: 375 min EUR
  • Defaulted: 0 min EUR
• STA:
  • Non-defaulted: 0 min EUR
  • Defaulted: 0 min EUR

Risk Exposure Amounts (as of 31/12/2013)

• F-IRB:
  • Non-defaulted: 12,147 min EUR
  • Defaulted: 0 min EUR
• A-IRB:
  • Non-defaulted: 1,338 min EUR
  • Defaulted: 0 min EUR
• STA:
  • Non-defaulted: 0 min EUR
  • Defaulted: 0 min EUR

Value Adjustments and Provisions (as of 31/12/2013)

• F-IRB:
  • Non-defaulted: 0 min EUR
  • Defaulted: 0 min EUR
• A-IRB:
  • Non-defaulted: 0 min EUR
  • Defaulted: 0 min EUR
• STA:
  • Non-defaulted: 0 min EUR
  • Defaulted: 0 min EUR

Baseline Scenario Details

Impairment Rate and Provisions

• as of 31/12/2014:
  • Impairment rate: 0.20%
  • Stock of Provisions: 70 min EUR
  • Coverage Ratio - Default Stock: 40.00%
• as of 31/12/2015:
  • Impairment rate: 0.20%
  • Stock of Provisions: 113 min EUR
  • Coverage Ratio - Default Stock: 40.00%
• as of 31/12/2016:
  • Impairment rate: 0.20%
  • Stock of Provisions: 157 min EUR
  • Coverage Ratio - Default Stock: 40.00%

Adverse Scenario Details

Impairment Rate and Provisions

• as of 31/12/2014:
  • Impairment rate: 1.06%
  • Stock of Provisions: 261 min EUR
  • Coverage Ratio - Default Stock: 40.00%
• as of 31/12/2015:
  • Impairment rate: 1.06%
  • Stock of Provisions: 489 min EUR
  • Coverage Ratio - Default Stock: 40.00%
• as of 31/12/2016:
  • Impairment rate: 1.06%
  • Stock of Provisions: 711 min EUR
  • Coverage Ratio - Default Stock: 40.00%

Key Observations

• The CET1 ratio decreased from 10.5% to 9.0% in the adverse scenario, indicating a significant impact on capital adequacy.
• In the baseline scenario, the CET1 ratio remained stable at 10.6% as of 31 December 2016.
• The adverse scenario resulted in higher impairment losses and lower operating profits compared to the baseline scenario.
• The baseline scenario showed more favorable trends in provisions and coverage ratios.
• The CET1 threshold for the EU was set at 5.5% and 8.0% for the adverse and baseline scenarios, respectively, which are used to assess capital adequacy under stress conditions.