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Bbva Report On TCFD Eng Dec2022

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Bbva Report On TCFD Eng Dec2022

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BBVA Report on TCFD 2022 P.

Decarbonization is inalienable. It is a challenge of great

magnitude that requires mobilizing the resources that
channel the investments that allow the world to function
without emissions. And for that we need mechanisms and
regulation that encourage this investment.

At BBVA, we are aware of this reality for some time now

and we have been taking steps in this direction. BBVA is
neutral in its own emissions1 in the main geographies in
which it operates and has assumed the ‘Net Zero 2050’
commitment, that is, the commitment to be neutral in
carbon emissions by 2050, not only in its own but also
including emissions financed of our customers.

This means that many of our customers are going to develop

and implement transition plans, which require a lot of
investment, and our role is to support them with advice and
financing, facilitating a transition that is as fair and inclusive as
possible, creating opportunities and leaving no one behind.

With this framework and objective, we have set intermediate

emission targets in 2030 for our financing portfolios in
6 highly emitting sectors (oil & gas, power generation, autos,
steel, cement, and coal).

This is the first TCFD report in which we have incorporated

several of the GFANZ recommendations for the preparation
of a Transition Plan, a core element to facilitate a greater
understanding of how we approach the transition from BBVA
for our investors, shareholders, supervisors, regulators,
customers, civil society organizations and other stakeholders.

Carlos Torres Vila

Chair
1. Includes scope 1, 2 and part of scope 3: waste, emissions from business trips and displacement
of employees of central services.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 P. 3

Index

Executive Summary 4

Introduction 14
Sustainability and the financial sector 15
Sustainability: a strategic priority for BBVA 16
Metrics and goals 72
Alignment metrics 73

Governance model 19 Channeling sustainable business 82

Corporate bodies 20 Management of direct environmental impacts 95
Transversal integration of sustainability into the executive sphere 21 Management of indirect environmental social impacts 101
Alignment governance 23
Remuneration systems 24
Appendix 103
APPENDIX 1
Alignment of BBVA Group’s non-financial information to WEF-IBC
Strategy 25 and SASB standards 104
Definition of risks and opportunities associated with climate change 27
APPENDIX 2
Main advances in the execution of the strategy 33 Additional information on the BBVA Group’s sustainability
Resilience of the strategy against climate change risks 43 standards and frameworks 105
Engagement strategy with customers, the industry and APPENDIX 3
the public sector 44 TCFD Recommendations fulfillment table 110
APPENDIX 4
Management of risks Transition plan - TCFD Table of equivalence 111
associated with climate change 51 APPENDIX 5
Integrating climate change into risk planning 52 Training 112
Identification, measurement and integration of climate change
into risk management 59 Glossary 113

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 EXECUTIVE SUMMARY P. 4

Report
EXECUTIVE SUMMARY
TCFD 2022

In 2017, The structure of the 2022 TCFD report is as follows:

BBVA adopted the recommendations of the
Task Force on Climate-related Financial
Disclosures (TCFD), created by the Financial EXECUTIVE SUMMARY
Stability Board (FSB), and has been publishing
successive TCFD reports in line with its
Our Road to Net Zero 2050
maximum commitment to transparency. Main advances in the 4 key TCFD areas (Sections 01-04)

INTRODUCTION

In this fourth report, SECTION 01 | GOVERNANCE MODEL

BBVA has incorporated elements of a

Transition Plan SECTION 02 | STRATEGY

following the guidelines and recommendations
for Financial Institutions published by the SECTION 03 | MANAGEMENT OF RISKS ASSOCIATED WITH CLIMATE CHANGE
Glasgow Financial Alliance for Net Zero
(GFANZ) in November 2022.
SECTION 04 | METRICS AND GOALS
This report aims to summarize BBVA's strategy
with respect to the fight against climate change APPENDIX
and what measures are being taken, following
the framework of the TCFD. Transition Plan-TCFD

Our road TO NET ZERO

2050
2020 2021 2022

Neutral in its / Update of the sustainable business mobilization / Update of the sustainable business
own CO2 target from 100 to 200 billion euros mobilization target from 200 to 300
emissions1 / Publication of intermediate alignment targets for billion euros
2030 in banking activity: Power generation, / Publication of intermediate alignment
Autos, Steel and Cement sectors targets for 2030 in banking activity with
/ Publication of phase out targets for Coal the Oil & Gas sector
(2030-2040) / Publication of intermediate alignment
/ Founding member of the Net Zero Banking targets for 22% of portfolios under
Alliance. management in Spain and Mexico

/ BBVA Asset Management joins the Net Zero / 92% use of renewable energy
Asset Managers Initiative

2023 2025 2030 2040 2050

Publication of Mobilization of 300 / Phase out of Coal in developed Phase out of Net zero emissions
intermediate alignment billion euros in countries Coal globally in banking operations
targets for 2030 in sustainable business and asset
banking operations for / Alignment of Oil & Gas, Power management
mobilization between generation, Autos, Steel and Cement
additional sectors and 2018 and 2025
expansion of the sectors in banking activity
perimeter of portfolios / Alignment of 22% of portfolios under
under management management in Spain and Mexico
/ 100% use of renewable energy

(1) Scope 1 & 2 and part of scope 3: waste, emissions from business travel and trips of central service employees in the main geographies where it operates.

01. Governance Model

A strategic priority with a cross-sectional approach

BOARD OF DIRECTORS
The Board is supported by its specialized Committees in the implementation of the Sustainability strategy throughout the Group

Appointments & Risk & Technology &

Executive Audit Remuneration
COMMITTEE COMMITTEE Corporate Governance COMMITTEE Compliance Cybersecurity
COMMITTEE COMMITTEE COMMITTEE

Supports the Board in Non-Financial Reinforcement Executive Risks-related Cybersecurity risks

decision-making and information of the Board’s remuneration matters (indicators, and Technology
monitoring BBVA’s and reporting ESG skills linked to ESG RAF, etc.) strategy
Sustainability goals indicators

The BOARD has strengthened its knowledge and experience in the field of Sustainability, through:

The appointment of members with extensive It has extended its training programs
knowledge and experience on the matter. to include Sustainability issues

01. Governance Model

CEO CHAIR
At management level, there (related to strategy and transformation)

is a Global Sustainability
Business Area that reports
directly to the Chair (in this
Head of Global Sustainability Area
case, in areas related to
strategy and transformation)
Buiness
and the CEO. Development
Strategy,
alignment & control
Sustainability
Transition
T&C, Community
Investments & Data
Responsible
Business

All business development

CIB Investment
teams have a Banking & Finance
co-dependence with the
CIB Geographies &
Global Sustainability Area. Global Cross Border

A governance model at the Client Solutions Spain

highest executive level with Client Solutions Mexico

report to the Board of Client Solutions Turkey
Directors and its support
Client Solutions
Committees. Latin America

VARIABLE REMUNERATION

Of all EMPLOYEES Of EXECUTIVE DIRECTORS

Linked to the mobilization of sustainable and SENIOR MANAGEMENT
business (€300bn between 2018 and 2025) Linked to decarbonization targets (subject to the
FROM 2021 approvals of the corresponding corporate bodies)

FROM 2023
This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 EXECUTIVE SUMMARY P. 8

02.
Strategy
Our ambition is to seize business opportunities and manage our risks and impacts
With 3 main goals and indicators
Make a
01. Foster new business through sustainability 02. Achieve Net Zero 2050 03. positive impact
Working on 5 growth levers: Developing best in class risk 1. General training
management capabilities in sustainability programs on Sustainability
1. Sector strategy for corporate clients for all employees. Specific
Through: training programs on
1. Governance Model focused on alignment:
I. Sector teams and network of experts in Sustainability, and decarbonization for
Sustainability Alignment Steering Group (SASG)
II. Sector plans to proactively address portfolio alignment and climate transition bankers and risk analysts

2. Driving the business of companies 2. Sectoral Plans

2. Transparency in ESG
With dedicated teams in different geographies (auto, real estate, reporting: GRI, SASB,
agriculture, supply chain, energy, inclusive growth) WEF_IBC Stakeholder
3. Tools to manage risks Capitalism Metrics in
3. Launching innovative business big bets to expand the Annual Report, TCFD,
sustainable business Transition Plan
To expand the retail business by leveraging the digital advantage 4. Engagement strategy with Clients
with dedicated teams in geographies (auto, energy efficiency,
voluntary carbon markets...) 3. Promotion of gender
5. Engagement strategy with industry diversity in management
and the public sector positions
4. Financing new sustainable technologies
Currently unbankable with traditional structures: (hydrogen,
batteries, carbon capture, storage and use technologies, etc.) 6. Management of direct impact 4. Support Community
of our operations Investment
5. Developing the best capacity to manage risks
Promoting the creation of expert knowledge, advanced analytics, 7. Taking into account Just Transition
risk management tools and processes related to sustainability and Natural Capital

02.
The strategy and the goal to reach net zero emissions 2050 translates into
Strategy progress in our performance towards the decarbonization targets set

OIL & GAS POWER GENERATION AUTO

S INTE
ON
SI
411 426 414 205 202

N
o.w. 11% of drawn amount with
14

SIT
S INTE o.w. 100% of total commitment

4,8%

EMI
advanced transition clients ON 195
SI with advanced transition clients

Y
N
4%

SIT
EMI

Y
02
0 - 202

2
2
190
02 180 180

Emissions intensity in kg CO2e/km

0 - 202

2
2
Emissions intensity in kg CO2e/MWh
9.8
Absolute Emissions in mn t CO2e

110

221 o.w. 83% of total commitment

199 212 with advanced transition clients

107

2020 2022 2024 2026 2028 2030 2020 2022 2024 2026 2028 2030
2020 2022 2024 2026 2028 2030
BBVA Portfolio Market pathway real
BBVA Portfolio BBVA Portfolio Market pathway real The market path for autos shows a calculation rounded to tens pending the availability of more granularity

The clients at an advanced stage of The clients at an advanced stage of 100% of the total commitment amount with
transition1 account for 11% of BBVA's drawn transition1 account for 83% of the total clients at an advanced stage of transition1.
amount in this industry. commitment amount in this industry.
Intensity: closing the gap with the market
BBVA will collaborate clients who have plans Intensity: outperforming the market. pathway.
yet to be developed, to help them create solid
Portfolio volume +26% (vs 2020). Portfolio volume is stable.
plans and set clear emission reduction
targets. Support for client who invest in renewables, Support for client who invest in new
and aim to reduce new financing to energy technologies and are at an advanced stage
BBVA will assist its clients in their
generation from Coal. of transition to decarbonization (electric
diversification and decarbonization.
and hybrid vehicles).
2022 affected by the world energy crisis
BBVA will not directly finance new projects
and the weather conditions (Coal plants fill Vehicle manufacturing has remained stable
related to exploration, drilling and extraction.
the gap of gas). with an increase in market share for electric
and hybrid vehicles.

It is important to note that progress toward these goals is not expected to be linear in the short term.
1. Clients at an advanced stage of transition show strong positioning according to internal tools such as Transition Risk indicator (TRi), including the definition of medium-term emission reduction targets, the
identification of reduction levers for emissions management and the commitment of capital investments to execute their transition plan and/or other internal assessments based on the client's emission intensity
compared to its peers

02.
Strategy
STEEL CEMENT PHASE OUT OF
COAL2
1,750 1,750 700 700 700
700 690 690 o.w. 82% of total commitment 61% of the total commitment
1,750 with advanced transition clients
579 amount with clients who are
expected to transition in time to
Emissions intensity in kg CO2/t steel

Emissions intensity in kg CO2/t cement

meet the phase-out target for
1,270
1,250 984 thermal Coal.
o.w. 68% of total commitment
1,140 with advanced transition clients
Reduction target for new finance.
S INTE S INTE
ON ON
SI SI Support to finance sustainable
N

N
S

S
SIT

SIT
1,4 %
EMI

EMI
projects to help them transition.
10,2% Y

Y
02 02
0 - 202 0 - 202
2

2
2

2
2020 2022 2024 2026 2028 2030 2020 2022 2024 2026 2028 2030

BBVA Portfolio Market pathway real BBVA Portfolio Market pathway real

The clients at an advanced stage of transition1 The clients at an advanced stage of transition1
account for 68% of the total commitment account for 82% of the total commitment
amount in this industry amount in this industry
Intensity: outperforming the market. Intensity: outperforming the market.
Portfolio volume + 27% (vs 2020). Portfolio volume -1,5% (vs 2020).
Support for clients at advanced stage of transition. Support for clients at advanced stage of
transition.
Decarbonizing the Steel industry will require
major investments in new EAF (Electric Arc Decarbonization will require technologies that
Furnaces) production methods and H2-DRI are not available, improved energy and material
(Direct Reduction of Iron with Hydrogen) and efficiency (% clinker), low-carbon fuels and
greater % of recycled materials. innovation in low-carbon technologies.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 P. 11

03. Risk management

Integrating Climate Change into RAF, business strategy and daily risk management

RISK INTERNAL CREDIT CREDIT

PLANNING TAXONOMY POLICIES POLICIES

Risk Appetite Framework Transition risks Wholesale lending Onboarding

sector frameworks Client review
Risk assessment Physical risks
Operating frameworks Loan approval
Scenario analysis for the retail business
Stress test
Integration of physical risk into
ICAAP
New metric in management
limits for 2023
Capital natural Dependencies /
Portfolio Heat Map

03. Risk management And aligning our activity to net zero 2050

01. 02. 03.

With an alignment
governance model focused With Sector plans to With Tools as the Transition Risk Indicator (TRI) as a key input for each Sector
on monitoring the manage alignment targets Plan that allows tierization of clients and tailor made advice
achievement of objectives

SUSTAINABILITY ALIGNMENT SECTOR PLANS for the 6 TRANSITION RISK 20% awareness (CCA) 80% assessment of transition (CTA)
STEERING GROUP sectors with alignment INDICATOR (TRi)
As the body to: targets published 2 metrics... 25% 25% 25% 40%
Metrics Governance Medium term
OIL & GAS Exposure to response
/ Approve of the proposal of & Targets model medium-term activities
technology /
sectoral alignment objectives, POWER GENERATION
policy /
/ Promote initiatives to facilitate AUTO 25% 25% market risk 35%
Current low
their management and Risk Strategy carbon transition
STEEL Management business profile
/ Promote and integrate of
sustainable criteria in CEMENT
… that combined Credit rating AAA AA+ A AA- A+ A BBB+ BBB BBB- BB+ BB BB- B+ B B- CCC+ CCC
day-to-day business

Transition Risk Indicator

COAL
with CREDIT
POLICIES ALLOW ADVANCED
Potential increase in share of business with top rated clients
... that allow to set annual to determine the STRONG
CIB targets for each sector progress of MODERATE Qualitative assessment for the decision-making process
clients toward
POOR Engagement plan | Risk mitigation initiatives
Global Risk Management transition

Global Sustainability Area AND MANAGEMENT TOOLS 92%

to promote the integration 79%

in day-to-day business: 04.

Strategy And managing the direct 33% 39% 66% 67% 70%
DASHBOARD PACTA
impact of our own operations
—%
CLIENT TOOLKIT (13)%
Other business teams % of Renewable Electricity
(if neccesary) TRANSITION RISK INDICATOR (41)%
Objective Renewable (48)%
(TRi) Electricity Goal (15-25) (68)%
Objective Goal Rediction
(67)%
of CO2 emissions Scope 1+2 (15-25) (81)%
% Reduction of CO2 emissions 2015 2019 2021 2022 2025
Scope 1+2 compared to 2015

04. Metrics and targets

01. Mobilization of sustainable business 02. Sustainable business

breakdown 2018-2022 03. Alignment targets and emissions allocated
(banking activity)

Emissions allocated
20201 - 2030 % progress associated with the
New target Climate
BY Sector and metric 20205 2022 target 2022 value chain3 (M t CO2e)7
(2022) Inclusive Change
growth CATEGORY1
€300bn 22%
78%
Oil & Gas
Mn t CO2e5
- - -30% n/a n/a

€136bn BBVA Microfinance

Foundation
Power generation
kg CO2e/Mwh 221 212 -52% -4.0% 3.5
Target revised
Channeled from 2018 5%
(€55bn in 2022) (2021)
BY CIB
€200bn Retail
CUSTOMER 65%
Auto
205 195 -46% -4.8% 0.77
11% g CO2/v-km

Enterprises
19% Steel
kg CO2/t Steel
1270 1140 -23% -10.2% 0.82
Initial target
(2018) Investment products art. 8 or 9 under SFDR2 or similar
criteria outside the EU, managed, Transport Aviation and maritime
€100bn intermediated or g CO2/v-km transport in 2023
marketed by BBVA3
Non-Project
4%
Finance and Cement
BY
Project finance transactional kg CO2 /t Cement
700 690 -17% -1.4% 0.31
PRODUCT banking activity
5%
74%
2018 2019 2020 2021 2022 2023 2024 2025 Coal6
Bonds in which BBVA 1,701 0.31
acts as bookrunner €Mn
DEC 2022 17%

04. Emissions 05. Renewable energy 06. Exposure to transition risk, "High Transition risk sectors" 07. Exposure to physical risk in 2022
NEUTRAL4 in own In our own operations in Sector EAD Dec. 22
Sectors with greater vulnerability:
direct emissions Oil & Gas 4.8% Power generation, basic materials,

92%
since
2020 2022 Power generation 3.2% construction, consumer, real estate
Auto 2.2%
SCOPE 1+2 Steel 1.4% 12.95%
13,6% (exposed) 12,0% (exposed)
Wholesale EAD Loans to non-financial Residential mortgages
CO2 emissions Transport 0.7%
100%
TARGET
corporations
reduction 2030 Cement 0.6%
(2015-2022): -81% Coal6 0.1%
6.69%
EAD of * Includes the portfolios of Spain, Mexico, Turkey, Peru, Colombia
BBVA Group and Argentina

(1) In those cases where it is not feasible or there is not enough information available to allow an exact distribution between the categories of climate change and inclusive growth, internal estimates are made based on the information available. | (2) Sustainable Finance Disclosure
Regulation (SFDR) | (3) Includes, in CIB and Enterprise: structured deposits, mainly; and in Retail: structured deposits, insurance policies for electric vehicles and self-renting of electric vehicles, mainly | (4) Scope 1, 2 and part of scope 3: waste, emissions from business trips and
the displacement of employees of central services in the main geographies where BBVA operates. | (5) Oil & Gas, baseline year 2021 | (6) Phase-out 2030 in developed countries and 2040 globally | (7) Perimeter: BBVA SA except Portugal branches

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
Introduction
BBVA Report on TCFD 2022 INTRODUCTION P. 15

Sustainability and the

financial sector
Climate change is one of the great Any of these factors could negatively affect Customers, markets and society as a
challenges that humanity is facing and the financial situation of the Group. Aware of whole not only expect large companies to
requires large volumes of investment. It is this risk, BBVA is developing methodologies create value, but also expect them to make
estimated that decarbonization in the world to understand and integrate said climate a positive contribution to society and that
requires investments of USD275 trillion until risk into its business models. At the same the economic development to which they
2050, more than 8% of annual world GDP, in time, there are a series of opportunities contribute through their financial activity is
clean energy, new materials, infrastructure, associated with climate change that BBVA inclusive and contributes to a just transition.
agricultural technologies, CO2 capture and is very aware of in order to take advantage
storage, etc1. That said, the investment needed to
of and position itself correctly in light of the
make the world go zero emissions has
significant disruption it entails.
Climate change presents short, medium to be attractive, economically viable and
and long-term risks for the Group and its Climate change and the transition to a profitable. In this sense, investment in
customers, and these risks are expected low-carbon economy have significant renewables, energy efficiency or electric
to increase over time. Thus, the Group’s implications for the value chains of most cars already has a profitable alternative
activities or those of its customers could be productive sectors, since they require for families and companies, compared to
negatively affected by transition risks (those significant investments in many industries. fossil fuels. However, most activities do
linked to the transition to a low-carbon As a financial institution, BBVA has an not have an emission-free version that is
economy in response to climate change) indirect impact on the environment and economically viable.
and physical risks (due to greater frequency society through its lending activity and the
and severity of meteorological phenomena BBVA aims to gradually align its business to
projects it finances.
extremes or long-term weather changes). a zero net emissions scenario by 2050 and
to use its role as a bank to help its customers
with finance, advice and innovative solutions
in the transition towards a more sustainable
future inspired by the Sustainable
Development Goals.

1. Source: “The net-zero transition: What it would cost, what it could

bring”, McKinsey & Company, 2022.

Sustainability: a
strategic priority for
BBVA
A few years ago, BBVA carried out a process associated with climate change and has a risk A purpose that seeks to have a positive
of strategic reflection to continue deepening management model associated with climate impact on the lives of individuals, businesses
its transformation and adapt to the major change as described in this report. and society as a whole. Helping our clients
trends that are changing the world and the transition towards a more sustainable future
financial industry. is one of the way to materialize this purpose.
BBVA is guided by a purpose:
BBVA has a governance model at the highest
level that has defined sustainability as one of “To bring the age
its six strategic priorities, integrating it on a
cross-cutting basis in the executive area and
of opportunity to
focusing on the fight against climate change everyone”.
and inclusive growth. BBVA has conducted
an analysis of risks and opportunities

Our strategic
priorities Helping our clients transition
towards a sustainable future
Reaching more
clients
The best and most
engaged team

Improving our clients’ Driving operational Data and

ﬁnancial health excellence Technology

As a financial institution, BBVA has an impact To do this, BBVA set the goal to stop BBVA is committed to transparency and
on the environment and society directly financing coal in 2030 in developed publishes its fourth TCFD Report, following
through the consumption of natural resources countries and in 2040 in the rest of the the recommendations of the Task Force
and its relationship with stakeholders; and geographies where it operates, in the on climate-related financial disclosure
indirectly, the most relevant, through its terms set by the Environmental and Social sponsored by the Financial Stability
lending activity and the projects it finances. framework published in its website. In Board (FSB). Further, in this report BBVA
addition, BBVA has set intermediate targets incorporates for the first time elements of a
Sustainability is integrated at the highest
for 2030 to decarbonize its loan portfolio Transition Plan following the guidelines and
executive level of the organization, with the
in both some of the most carbon-intensive recommendations for financial institutions
aspiration of becoming a benchmark bank in
sectors (oil & gas, power generation, autos, published by the Glasgow Financial Alliance
sustainability solutions. Since 2018, BBVA has
steel and cement) and the 22% of the assets for Net Zero (GFANZ).
mobilized €136bn in sustainable business, of
under management.
which only €50bn in 2022, the year in which it As described in the Annexes, BBVA’s
has raised its target to €300bn (2018-2025). BBVA was a founder of the Net-Zero goal is to disclose in a consistent, reliable
Banking Alliance (NZBA) and BBVA Asset and standardized manner the essential
BBVA is a neutral company in terms of CO2
Management is a member of the Net Zero aspects of ESG (environmental, social
emissions in both scope 1 and 2, and partially
Asset Managers Initiative. and governance). In addition to the Global
in scope 3 (waste, emissions from business
Reporting Initiative (GRI) guide, BBVA
travel and travel of headquarters employees)
has voluntarily published additional
in the main geographies of the Group2 and
sustainability metrics since 2020 following
aspires to be neutral in indirect emissions
two of the most advanced standards in the
(customer which it finances) by 2050.
market, such as those issued by the World
Economic Forum-International Business
Council (hereinafter, WEF-IBC) or by the
Sustainability Accounting Standards Board
(hereinafter, SASB).

2. Certain geographical areas are not included in the perimeter (Venezuela,

Chile, Bolivia, Switzerland, the United States, Brazil and BBVA branches
outside of Spain) nor certain BBVA Group companies in Spain and Turkey,
which represent 8.2% of all BBVA Group employees.

Specific KPIs to monitor our

progress
The ambition is to support business growth
and manage its impacts, with 3 main
objectives and indicators.

Achieve
01. Foster new business through sustainability 02. Net Zero 2050 03. Make a positive
impact

To channel sustainable business. New BBVA 2025 1 goal 2030 Portfolio Alignment Targets Community investment
Climate change and inclusive growth for 6 carbon intensive sectors2 2021-2025
From Real
€300bn €136bn €550mn 100mn PEOPLE
O&G STEEL
2018 to 2025 2018 - 2022
POWER CEMENT
Working on 5 growth levers: Real 2021 - 2022
AUTO COAL3
1. Sector strategy for corporate clients
€237mn 62mn PEOPLE
Through:
I. Sector teams and network of experts in Sustainability, and Carbon Neutral in our own operations
II. Sector plans to proactively address portfolio alignment and climate transition

2. Driving the business of companies 100% Renewable energy use by 2030

in our own operations
Diversity
With dedicated teams in different geographies (auto, real estate, 2024
agriculture, supply chain, energy, inclusive growth)
Decarbonization targets for Asset
Management portfolio
35% WOMEN IN MANAGEMENT
POSITIONS
3. Launching innovative business big bets to expand the
sustainable business Real 2022

33.5%
To expand the retail business by leveraging the digital advantage with
dedicated teams in geographies (auto, energy efficiency, voluntary
carbon markets...) DJSI
In 2022, BBVA obtained the highest
4. Financing new sustainable technologies grade (86 points) among banks in
Currently unbankable with traditional structures: (hydrogen, batteries, Europe and the second globally in
carbon capture, storage and use technologies, etc.) the latest Dow Jones Sustainability
Index (DJSI), benchmark index in
5. Developing the best capacity to manage risks terms of sustainability
Promoting the creation of expert knowledge, advanced analytics, risk
management tools and processes related to sustainability

(1) Announced goal in October 2022 | (2) Working on the targets of more sectors | (3) 2040 globally

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
SECTION 01

Governance model
BBVA Report on TCFD 2022 SECTION 01 / GOVERNANCE MODEL P. 20

Corporate bodies
BBVA’s corporate bodies have defined and Also important is the role of the Risk and In addition to this, there is the role of the
promoted that the Group has a strategy Compliance Committee, which assists corporate supervisory and monitoring
that incorporates sustainability as one of its the Board of Directors in the integration bodies for the implementation of the
priorities. Sustainability was embedded in of sustainability in the analysis, planning Group’s sustainability strategy and activity,
the Group’s strategic plan in 2019. and management of the Group’s risks, and and compliance with the organization’s
in supervising their execution; that of the objectives, which is carried out based on the
For the Board of Directors, an essential
Audit Committee, in supervising the public reports received by the Sustainability Area
element of this strategic approach is the
information on sustainability reported to the and the different areas of the Bank which
integration of sustainability into the Group’s
market; and the Remuneration Committee, incorporate sustainability into their daily
businesses and activities, managing the risks
in driving the integration of indicators related businesses and activities. The reports are
associated with these areas, and considering
to sustainability in the Group’s variable submitted to the corporate bodies according
them a great business opportunity to
remuneration model. to their area of concern along the lines
support its growth strategy. Combined
described in the preceding paragraphs, on a
with this is the establishment of targets In the exercise of these functions, in
scheduled or ad hoc basis.
which facilitate their execution, supervision 2022 the Board approved the update of
and monitoring. This approach allows the the General Sustainability Policy, which To achieve the best performance of its
Group’s corporate bodies to define the integrates the previous Corporate Social functions in this area, the Board of Directors
basic lines of action for BBVA as regards Responsibility Policy and the General believes it necessary to have suitable
the management of opportunities and risks Sustainability Policy. The new policy sets knowledge and experience in sustainability
arising from sustainability and oversee out the general principles and the key matters. To this end, it continues to conduct
their execution by the executive areas in all management and control objectives and initiatives that involve the recruitment,
spheres of the Entity’s operations. guidelines to be followed by the Group in within the process of gradual replacement
terms of sustainable development with a its members, of directors with extensive
For this role, the Board is assisted by
focus on climate change, natural capital and knowledge and experience in these matters,
its committees on matters within their
inclusive growth. and in the extension of the continuous
respective areas of concern. The Executive
training program of its members to matters
Committee plays an active role in promoting
related to sustainability.
this strategy and monitoring the integration
of sustainability into the Group’s business
processes and activities.

Transversal
integration of
sustainability into the
executive sphere

BBVA incorporates sustainability as part In a context in which all the Group employees knowledge in the field of sustainability in
of its daily activities, encompassing not and areas integrate sustainability into the Group aimed at customer guidance,
only relations with customers but also their day-to-day activity, the new global as well as supporting the areas in the
internal processes. The definition and area designs the strategic sustainability development of new value propositions in
execution of the strategy, which includes agenda, defines and promotes the lines of the field of sustainability, the integration of
sustainability and climate change as one of work in this area of the different global and risks of climate change in risk management
its priorities, has a transversal nature, being transformation units (including Finance, and the definition of a public agenda and
the responsibility of all areas of the Group Talent and Culture, Data, Engineering, and sustainability standards.
to incorporate it progressively into their Organization among others) and develops
strategic agenda and their work dynamics. The Group’s sustainability governance model
new sustainable products.
integrates a suitable structure of corporate
In 2021, BBVA gave fresh impetus to its In addition, BBVA has established a network bodies with a robust executive structure
strategy by elevating sustainability to the of experts, comprising sustainability that reports to them. It combines the cross-
highest executive level of the organization by specialists from different areas of the Group cutting reach of the global sustainability area
creating the global Sustainability business (Client Solutions, Corporate & Investment with the execution of the strategic priority
area, with direct reporting to the CEO and Banking, Asset Management, Global Risk in the various business areas, which allows
the Chair (in this case, in areas linked to Management and Global Sustainability the Board and its Committees to have the
strategy and transformation). area itself), coordinated as a network by necessary information to make suitable
the global Sustainability business area. decisions and perform their supervisory and
These experts are responsible for building control function.

BUSINESS AREAS
Responsible for driving business
transformation and executing the strategic CHAIR
CEO
(related to strategy and transformation)
plan.

STRATEGY, ALIGNMENT & CONTROL

Responsible for leading, coordinating
and monitoring the Group’s sustainability
initiatives. Head of Global Sustainability Area
SUSTAINABILITY TRANSITION T&C,
Strategy,
Responsible for fostering sustainable business Business Sustainability Community Responsible
alignment
growth in all countries and in all business areas Transition Investments Business
& control
& Data
segments, supported by the development
and implementation of innovative financial
CIB Investment
solutions and deployment of new tools. Banking & Finance
T&C, C
OMMUNITY INVESTMENTS & DATA
Responsible for driving social or inclusive CIB Geographies &
Global Cross Border
growth business in all countries and business
segments, supported by the development of
innovative financial solutions, as well as for Client Solutions
community investment and the design and Spain
implementation of the sustainability data
strategy. Client Solutions
Mexico
RESPONSIBLE BUSINESS
Responsible for defining sustainability Client Solutions
standards and validating their application, Turkey
implementing processes and the
transformation plan, as well as managing
Client Solutions
non-financial risks related to sustainability. In South America
addition, it is responsible for the public agenda
on sustainability, responsible customer
experience and impact management.

Alignment governance Approval of the proposal of the sectoral

alignment objectives and intermediate
03.
Integration into business and risk
objectives, as well as the methodologies processes, as customer alignment and
BBVA has set financed emissions alignment used in their calculation. expectations of their evolution towards a
targets in line with NZBA guidelines for the low-carbon economy must be a further
Evaluation of the fulfillment of these
oil & gas, power generation, autos, steel, consideration in risk decisions.
objectives and the promotion of initiatives
cement and coal sectors, and is in the
to facilitate their management.
process of setting targets for new sectors.
Analysis and understanding of the best Another key aspect is the creation of
BBVA has specified a governance model
practices in the sector, promoting the multidisciplinary industry climate and
for the approval and monitoring of these
integration of alignment criteria in day-to- environment working groups comprising
alignment goals, the levers to implement
day business. business, risks, strategy and sustainability
them, as well as the decision-making for
their management. After having passed through the SASG, areas, which generate sectoral intelligence
the monitoring of compliance with the to support critical processes related to the
The governance framework for portfolio opportunities and risks arising from the
objectives, including the explanation of
alignment management rests on three decarbonization of clients.
possible deviations and measures to redirect
main pillars:
them (if applicable), will be submitted for
review to the highest executive level and
subsequently to the corporate bodies, at
01. least two-yearly. CIB
Global Risk
Management
The creation of a Sustainability Alignment
Steering Group (SASG) to approve
the proposal of the alignment goals and
levers, monitor compliance and promote
Sustainability
knowledge of the best industry practices 02. Alignment
in sustainability and their integration into The definition of a business area leader for Strategy Steering Group Global
Sustainability
business management. This group consists each sector (or cluster of sectors) to define Area
of the global heads of Global Sustainability and follow a Sector Strategic Plan and its
business area, Global Risk Management, related KPIs associated with the alignment Other business
teams
Corporate & Investment Banking and goals achievement. (if appropriate)

Strategy. They report to the CEO, the Chair

and the Board of Directors through the
Global Sustainability business area. More
specifically, the functions of this group are:

Remuneration
systems Since 2021, the SUSTAINABLE
This remuneration is based on an
BUSINESS mobilization target has been
incentive, which is granted on an ANNUAL
part of the indicators for calculating the
basis, and reflects its performance
variable remuneration of all BBVA Group
measured through the ACHIEVING OF
employees. This indicator is related
PREVIOUSLY ESTABLISHED TARGETS
directly to the activity carried out by
As established in the DIRECTORS’ to evaluate the results obtained in each
the Group in the fight against climate
REMUNERATION POLICY approved financial year, based on the strategic
change. In 2022, the same non-financial
by the General Shareholders’ Meeting, priorities defined by the Group and
indicators have been maintained as those
the remuneration system for executive considering the risk incurred.
applied in 2021 for the calculation of
directors includes a FIXED , remuneration, the Annual Variable Remuneration of all
which will take into account the level employees.
of responsibility and the functions
performed, and a VARIABLE remuneration.

As of 2023 and bound to the approval of

FINANCIAL performance indicators
the corresponding corporate bodies, the
are aligned with the Group’s most
BBVA Directors Remuneration Policy and
relevant management metrics.
the BBVA Group General Remuneration
Regarding NON-FINANCIAL indicators,
The remuneration model applicable to Policy are expected to include, as part of
they are related to the strategic the Annual Variable Remuneration of the
all BBVA Group employees also consists
objectives defined at Group level and, members of the identified group, including
of a FIXED , remuneration and a VARIABLE
in the case of executive directors, executive directors and members of the
remuneration.
in 2022 they include indicators that Senior Management of BBVA, a long-term
The corporate variable compensation incorporate ECONOMIC, SOCIAL AND incentive linked, among other things, to
ENVIRONMENTAL, aspects, as well as
model aligns VARIABLE compensation the degree of COMPLIANCE WITH THE
with the Group’s strategic objectives. other indicators referring to DIVERSITY
DECARBONISATION objectives of a series
AND INCLUSION.
of sectors for which the Bank publishes
specific objectives.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
SECTION 02

Strategy
BBVA Report on TCFD 2022 SECTION 02 / STRATEGY P. 26

The global Sustainability business area being emission-neutral by 2050, has set Lastly, it is worth to mention that the Bank
designs the strategic sustainability agenda, the goal to stop financing coal by 2030 in has a strong presence in international
directs the business, defines and promotes developed countries and by 2040 in the rest initiatives and indexes worldwide,
the lines of work in this area for the global of the geographies where it operates (in highlighting the highest score (86 points)
business and transformation units, and the terms of its Environmental and Social obtained in 2022 among the banks in
develops new sustainable products, in a Framework), and has set intermediate Europe and the second at global level in the
context in which the Group’s employees targets for 2030 to decarbonize its portfolio last Dow Jones Sustainability Index (DJSI)
and areas integrate sustainability into their in the electricity generation, oil & gas, autos, (see Main advances in the execution of the strategy
daily work. steel and cement sectors and in part of its section).
BBVA Asset Management portfolio. See
In this context, significant progress
MANAGEMENT OF RISKS ASSOCIATED WITH
has been made in the identification
CLIMATE CHANGE .
and prioritization of major business Pioneers in sustainability
opportunities (Big Bets) in the different Likewise, BBVA has also developed industry-
geographies where the BBVA Group is specific plans with the development of a
present, which are defined in more detail in transition risk management framework Sustainability has a long history at BBVA,
the section Climate change opportunities for BBVA . and the construction of tools such as a since it participated in the first green bond
This integration of sustainability into BBVA’s transition risk indicator at client level and issue in 2007. Sustainability is currently a
strategy is also reflected in leadership and for sectors classified as high transition major element of BBVA’s strategy, as one of
innovation opportunities with BBVA being risk, which allows the incorporation of a its six strategic priorities: helping our clients
a pioneer in the implementation of certain medium and long-term vision regarding the transition towards a sustainable future.
solutions tailored to customer needs (see level of preparedness of companies to face Our ambition is to support business growth
more detail in the METRICS AND GOALS the decarbonization process. Additionally, and manage its impacts, with 3 main goals
section), which has contributed channel a new metric was incorporated into the and indicators:
€136bn to sustainable activities between 2023 management limits, with a transition
2018 and 2022, with a target of mobilizing risk management approach, by focusing 1/ Foster new business through
€300bn by 2025. on customers with a level of misalignment sustainability,
with respect to the emissions intensity
With respect to risks, considerable progress
trajectories established by the International
2/ Achieve Net Zero 2050,
has been made in identifying risks derived
from sustainability, and in adapting
Energy Agency’s Net Zero Emissions 3/ Make a positive impact.
scenario, as indicated in the section
BBVA to regulatory requirements and
MANAGEMENT OF RISKS ASSOCIATED WITH
initiatives. BBVA has taken on the goal of
CLIMATE CHANGE .

Definition of risks
Our road TO NET ZERO
and opportunities
in 2050
associated with
climate change
2020 2021 2022
Climate change is a challenge that needs
Neutral in its / Update of the sustainable business / Update of the sustainable
own CO2 mobilization target from 100 to 200 business mobilization target to be addressed urgently, but it is also
emissions1 billion euros from 200 to 300 billion euros a major business opportunity for the
/ Publication of intermediate alignment / Publication of intermediate financial sector. The decarbonization of
targets for 2030 in banking activity: alignment targets for 2030 in
Power generation, Autos, Steel and banking activity with the Oil & Gas the economy will have an impact on all
Cement sectors sector industries and on the way people move,
/ Publication of phase out targets for / Publication of intermediate
Coal (2030-2040) alignment targets for 22% of
consume or fit out their homes, requiring
/ Founding member of the Net Zero
portfolios under management in significant investment that will last for
Spain and Mexico
Banking Alliance. decades to come.
/ 92% use of renewable energy
/ BBVA Asset Management joins the Net
Zero Asset Managers Initiative In addition, the Bank has an opportunity
to promote inclusive growth. The current
environment, with high digitalization
and use of data, makes it easier to
2023 2025 2030 2040 2050 provide an efficient service with a deeper
understanding of customer behavior.
Publication of Mobilization of / Phase out of Coal in developed Phase out Net zero emissions
intermediate alignment 300 billion euros countries of Coal in banking This environment allows to develop new
targets for 2030 in in sustainable globally operations and asset business opportunities that favor inclusive
/ Alignment of Oil & Gas, Power
banking operations for business management
generation, Autos, Steel and economic development, supporting
additional sectors and mobilization
Cement sectors in banking
expansion of the between 2018 disadvantaged sectors and inclusive
activity
perimeter of and 2025
portfolios under / Alignment of 22% of portfolios infrastructures, as well as mass banking
management under management in Spain
and Mexico
penetration leveraged by digital channels
/ 100% use of renewable energy
and new relationship models.

(1) Scope 1 & 2 and part of scope 3: waste, emissions from business travel and trips of central service employees in the main geographies where it operates.

Climate change TABLE 01. Climate change opportunities for BBVA

opportunities for Time Horizon

ST MT LT
BBVA Sector Opportunity <4 years 4-10 years >10 years

There are a range of Oil & Gas Possibility of reusing oil & gas transport assets for biofuels and hydrogen MT
opportunities relating to
climate change that BBVA Electrification of the oil & gas industry, and use of hydrogen MT
is highly aware of in order
Chemicals Carbon capture and storage through chemical separation of carbon dioxide ST
to position itself correctly for later reuse
in the face of the significant
Electricity Strong boost to renewable energy, electricity storage ST
disruption that climate change
represents. Energy efficiency services and hydrogen development MT

Development of nuclear fusion LT

Construction & Boostering the distribution of solar panels ST

infrastructures
Renovation of buildings (headquarters, housing, premises, etc.) as well as ST
industrial plants in need of energy-efficiency improvements because of the
increased regulatory impact and self-consumption

Infrastructures to improve climate change adaptation: changes in cities, ST

development of a smart grid, charging infrastructure for electric vehicles

Transportation Efficient low-emission and mobility services (electrical, Liquefied natural gas ST
-LNG- and hydrogen)

Mining & metals Production of metals to manufacture electric vehicles (copper, lithium, ST
cobalt and nickel among others)

Agriculture Efficient irrigation systems, use of waste as a source of biogas ST

Renewable energy use (solar) in agricultural plants MT

Development of new anti-drought products MT

Carbon markets Creation of carbon credit markets ST

Other sectors Circular economy, recycling, waste and water treatment, tree planting, ST
food industry, tourism industry conversion to carbon neutrality (fossil fuel
change, etc) and natural capital

Climate change risks for BBVA

There are two type of risks that impact the business of BBVA or its customers: :

Transition risksn
These are the risks pertaining to the transition to a low-carbon economy, and which arise from changes in legislation, the market, consumers, etc., to mitigate and address the
requirements derived from climate change..

TABLE 02. Transition risks

Time Horizon
ST MT LT
Risk subtype Risks associated with climate change Risk description <4 years 4-10 years >10 years

Legal and Increase in the cost of CO2 emissions Financial risk to BBVA customers whose liquidity or earnings could be harmed from ST
having to face higher costs or, alternatively, higher investments in emission neutralization,
regulatory resulting from regulatory changes
Increased cost of direct emissions from the Bank in its operations ST
Increase in monitoring and tracking Increased staffing and economic resources for the study and monitoring of the ST
requirements Group’s clients, and tracking of their compliance with environmental requirements
Changes in the regulation of existing Uncertainty for financial agents regarding changes and their implementation ST
products and services
Impairment of client asset positions due to the generation of stranded assets (assets MT
that prior to the end of their economic life are no longer able to earn an economic
return)
Sales drop due to adjustments to offerings, to align with new legal specifications for a MT
product
Increase in regulatory capital Possibly different prudential treatment of financial assets in terms of riskweighted MT
requirements due to risk associated assets based on their exposure to physical and transition risks
with climate change
Adverse regulatory changes that may cause certain exposures on BBVA’s climate MT
change balance sheet to have higher capital consumption
Risks of environmental lawsuits Possible lawsuits against BBVA for not complying with environmental regulations in its ST
business or supply chain
Risk of lawsuits against third parties Potential lawsuits for environmental crimes against BBVA clients. BBVA could be ST
impacted by its clients’ loss of solvency resulting from an increase in litigation costs

Time Horizon
ST MT LT
Risk subtype Risks associated with climate change Risk description <4 years 4-10 years >10 years

Technological Replacement of existing products BBVA clients with a position in sectors that are outperformed by alternative ST
and services with lower-emission technologies could suffer solvency problems and their ability to cope with their credit
alternatives commitments could be diminished

Failed investment in new Clients that invest in failed technology may go through solvency difficulties and be ST
technologies unable to meet their credit commitments

Cost of transitioning to low-emission The necessary investments to be made by BBVA clients to change their production ST
technology models and in R&D can have a negative impact on the balance sheet structure or
profitability of said clients if they are not made properly and reduce the ability to meet
their credit commitments
Costs of investing in remodeling and adapting BBVA-owned buildings ST

Market Changes in (market) trends, financial Changes in demand caused by changes in consumer preferences can lead to falls in ST
agent and consumer preferences sales for BBVA clients and result in loss of profits and solvency
Reduction in demand for certain products can cause price falls that affect the ST
valuation of companies’ assets (crude oil reserves, fossil fuel cars, etc.)
Increased demand for certain products or services may impact on the price of certain raw ST
materials. While this may be reflected in prices, it may lead to lower profits or the loss of
BBVA’s clients’ market share
Risk of change in the Bank’s client preferences for not considering the Bank well ST
positioned in the sustainable segment

Uncertainty in market signals Difficulty or impediments to proper price formation or allocation of financing or ST
investment sums
Forecasts made by research agencies or services to dictate the strategy of entities ST
may not be fulfilled due to abrupt changes in the market caused by changes in
regulations or demand
Increased cost of raw materials Sharp changes in the price of raw materials, resulting in changes in supply or energy ST
cost, can lead to deteriorating liquidity and declining profits for clients. It can be
mitigated with end-product price increases
BBVA’s energy supply cost could also be affected ST
Financial risks Risk of a significant increase in the cost of financing clients with higher exposure to ST
climate change risks, in a way that affects their solvency by making it more difficult for
them to cope with their credit commitments
Risk of worsening the credit rating of clients with exposure to climate change risks, with the ST
associated adverse effects for BBVA

Time Horizon
ST MT LT
Risk subtype Risks associated with climate change Risk description <4 years 4-10 years >10 years

Reputational Change in consumer preferences Direct risk of client loss for not meeting what various stakeholders expect from BBVA ST
as regards the climate change challenge and fostering a more inclusive world
Indirect risk of our clients losing business, which affects their solvency, because they ST
engage in an activity that is not considered sustainable
Demand from clients to limit our operations’ direct impacts ST
Stigmatization of a sector Risk of assets stranded by a sharp change in the perception of a sector, with significant ST
loss of sales
Investment exclusions in certain Withdrawal from profitable deals due to reputational risk or a sectoral ban ST
sectors due to market pressures
Policy implementation Risk derived from greater scrutiny of activities, policies, objectives and the way in ST
which aspects related to climate change are disclosed. The Group’s reputation may
be damaged if its efforts to reduce environmental and social risks are considered
insufficient.

Physical risks
Risks which arise from climate change and can originate from increased frequency and severity of extreme weather events or long-term weather changes, and which may
imply physical damage to companies’ assets, disruptions in supply chains or increase in the expenses needed to face such risks.

TABLE 03. Physical risks

Time Horizon

ST MT LT
Risk subtype Riesgos asociados Risk description <4 years 4-10 years >10 years

Acute risks Increased severity of extreme weather Reduced revenue from decreased production capacity (e.g. transport MT
events, such as cyclones and flooding difficulties and supply chain disruptions)
Direct losses from asset damage (BBVA and clients) MT
Increased cost of insurance MT
Business continuity problems Damage to BBVA facilities from environmental catastrophes that hinder MT
normal service provision

Chronic risks Changes in precipitation patterns and Loss of value of clients’ assets (guarantees) because they are located in MT
extreme variability weather patterns areas with water supply problems (desertification)

Increases in clients’ operating costs (investments in agriculture) MT

Lower renewables production (hydro and wind) MT
Rising average temperatures Population movements that can lead to depression in certain areas, LT
accompanied by loss of business

Sea level rise Threats to client assets that can lead to loss of profits and their solvency LT

Main advances in Sector strategy for corporate clients:

focused on low-carbon technologies
Building sustainability risk management
capacity: Achieving superior risk
the execution of the and high-emission sectors to help them management capacity is a key element
decarbonise. Sector plans are being in fostering growth. The focus is on
strategy drawn up to proactively address the embedding sustainability throughout the
reduction of the carbon footprint of the risk value chain, from the risk appetite
loans that BBVA grants to its clients framework to the loan approval process.
The global Sustainability business area
(alignment of portfolios) and the teams The development of specific tools is
has continued to actively promote the
specialized in sustainability are being a priority as a key element in decision
sustainability strategy in the 3 goals and
strengthened. making. Sectoral plans have also been
indicators mentioned above:
developed for the 6 sectors in which
Promoting the company: developing
alignment objectives have been set
products focused on six themes (auto,
(oil & gas, power generation, autos, steel
real estate, agriculture, supply chain,
and cement) or phase-out goals, as is the
1. Foster new business energy and inclusive growth), taking
case of the sector of coal.
through sustainability advantage of the Bank’s knowledge
with corporate customers and creating
dedicated teams in all geographies.
The role of the financial sector in general,
Launch of bets to rapidly expand the
and of BBVA in particular, is essential,
retail business by using the Bank’s digital
accompanying customers in their transition
advantage: this line is making it possible
towards a sustainable future, developing
to create an innovative and disruptive
Goal 2025
specific products for customers and
value proposition in specific sectors,
financing this profitable investment.
for which teams have been created
Between 2018 and 2022, BBVA channelled
Sustainability is a lever for growth for BBVA dedicated to developing new solutions
a total of €135.871bn into sustainable
and it has a holistic approach, with a focus in cars, energy efficiency and carbon
activities. This represents 45% of the
on climate action and inclusive growth, markets.
channelling target: €300bn by 2025.
covering all segments. To capture this
Financing of new sustainable
opportunity, we are working on five lines
technologies, which are currently
of growth:
unbankable with traditional financing
structures (hydrogen, batteries, carbon
capture, storage and use technologies,
etc.), allowing BBVA to be a reference in
the ecosystem.

Integration of sustainability in Single Development Agenda

financial planning

The “Single Development Agenda” (SDA) is In addition, as a result of the strategic plan
BBVA incorporates sustainability in its the process by which scarce resources, both approved by the Bank’s Board of Directors
day-to-day business, both in customer financial and human, are allocated to those in 2019, the six strategic priorities were
relations and internal processes, including projects that are best aligned with BBVA’s reformulated, including “Helping our clients
its management control and reporting strategy and that will have the greatest transition towards a sustainable future”.
processes. impact. The exercise is implemented The execution of this priority is cross-
dynamically in quarterly cycles. cutting within the Group, and all areas are
BBVA in Spain is already integrating
responsible for progressively incorporating
sustainability into its financial reporting to The scope of the SDA covers all manner of
it into their strategic agendas and work
senior management and business areas. projects or initiatives of all the companies
dynamics.
These reports on sustainable transactions within the consolidated scope of the BBVA
include financial plans and budgets. Several Group and its business areas in all countries. In order to coordinate the Bank’s efforts
internal resource allocation decisions are These are actions that require resources in the different countries and units, part
derived from them. during a limited period of time to produce of the resources needed to achieve
previously defined deliverables that seek to the sustainability objectives have been
On a recurring basis, financial reports
achieve an impact or objective. channelled through the SDA. Over the past
are used for decision-making based on
year, investments in sustainable projects
the sustainability vector, including data Strategic analyses of the project portfolio,
have increased by 138%, this being the
on sustainable business channelling, both globally and locally, are conducted
strategic priority that has grown the most.
profitability, sustainable activity penetration on an ongoing basis during the quarter.
In 2022 the investments made in the risk
percentage, as well as balance sheets and These analyses are carried out to provide
area stand out, such as the PACTA (Paris
income statements that allow to monitor an overall view of the project inventory and
Agreement Capital Transition Assessment)
sustainable transactions for each business its performance, as well as to provide an in-
and PCAF (Partnership for Carbon
segments. depth analysis of specific issues as required.
Accounting Financials) integration projects,
Sustainability is expected to be gradually key pieces for the alignment of the Bank’s
integrated into other business areas as well. portfolio towards decarbonization goals.

Transfer pricing system Investment in new technologies 2.1. Risk management and
portfolio alignment

The Fund Transfer Pricing system (FTP) is an Investing in “venture capital” funds is a key
essential part of BBVA’s liquidity and funding part of the Group’s strategy to learn about In recent years, significant progress has
management. The FTP is a vitally important new technologies in order to generate been made:
tool for pricing the products offered by business and financial returns. Thus, in
Setting intermediate decarbonization
the bank to reflect the cost of liquidity and 2022, the Group increased its investments
targets for 2030 in emissions financed in
funding for each transaction and serve as a related to technologies that address
six sectors: oil & gas, power generation,
major component for measuring profitability. the major challenge of decarbonization.
autos, steel, cement and coal (the
During 2022, BBVA entered funds such as
In this sense, it is critical that the FTP target for oil & gas was set in 2022).
Hy24, which seeks to invest in industrial
system is aligned with the Group’s strategic Decarbonization targets were also set for
projects that bring green hydrogen-based
priorities. Thus, it is a lever which aims to the BBVA Asset Management portfolio
solutions to commercial scale; Lowercarbon,
support customers towards a sustainable in 2022. The goals for each sector can
which invests in companies that develop
and inclusive future. be found in Alignment of metrics and goals
technologies to absorb carbon directly
section.
BBVA has a corporate FTP methodology that from the atmosphere; or Fifth Wall Climate,
is reviewed within the scope of the Corporate a leader in “proptech,” with a fund that Developing specific tools to measure
Asset Liability Committee, which represents seeks to decarbonize the value chain of the clients’ transition to a low-carbon
the basis for the rest of the Group’s construction and real estate sector. economy that are integrated into credit
geographical areas. policies. For example, a Transition Risk
Indicator, which is a combination of two
In the first quarter of 2021, the corporate
metrics (climate change awareness and
methodology was revised in order to 2. Achieve Net Zero 2050 client assessment of the transition path)
recognize the lower funding cost of green
that, together with credit policies, provide
and social bond issues placed in the market
a comprehensive assessment of each
compared to conventional bond issues, and BBVA is one of the founding banks of the client’s transition.
to translate this improvement into eligible Net Zero Banking Alliance and, as such, has
transactions for green and social bond acquired the commitment to be neutral in Implementing a governance model that
collateral. carbon emissions (“Net Zero”) by 2050. To ensures the execution and monitoring
this end, the Bank is applying the strategy of of objectives.
alignment of portfolio and management of
indirect emissions.

Developing industry- NET ZERO BANKING ALLIANCE REQUIREMENTS

specific plans for these (UNEP FI Guidelines for Climate Change Target Setting) PROGRESS MADE BY BBVA

6 sectors. Alignment targets Setting alignment targets in the most CO2 BBVA has set the goal of becoming net zero by 2050. It has
intensive sectors set intermediate targets for 2030 in 6 sectors: oil & gas, power
generation, autos, steel, cement and coal.
OIL & GAS Ambition of the Targets in line with the Paris Agreement BBVA has set targets based on the IEA's Net Zero 2050 scenario
alignment targets goals. Scenarios from trustworthy and
recognized sources
POWER Scope of the business Lending and investment operations BBVA has set targets for its lending operations
GENERATION operations included
Scope of the CO2 Prioritizing the most CO2 intensive sectors. BBVA has set targets for the portion of the value chain in each
emissions Cover significant scope 3 emissions sector where most of the emissions are generated.
AUTOS Baseline year Less than two years in relation to the date BBVA set 2020 as the baseline year for 5 sectors, and 2021 for 1
when the target is set sector (in both cases less than two years in relation to the date
when the target was set)
STEEL Intermediate targets 2030 or earlier BBVA has set intermediate targets for 2030 in 6 sectors (phasing
out of coal by 2030 in developed countries and 2040 globally)
Unit of measure for the Absolute CO2 emissions BBVA has set targets based on:
CEMENT targets
Sector specific emissions intensity Absolute CO2 emissions for the oil&gas sector.
Emission intensity by production unit in the power generation,
COAL autos, steel and cement sectors.
Total Commitment in millions of euros for the coal sector (phase out)3
Establishing a baseline Calculating and reporting every year on the BBVA has published data on its progress in 2021 and
for emissions and profile of financed emissions from the bank’s 2022 as compared with the baseline year. Please see the
performing annual portfolio, including absolute emissions and Metrics and Targets-Alignment Metrics section of this report.
As a member of the Net measurements and emission intensity
Likewise, BBVA has published the CO2 emissions data for each sector
reporting
Zero Banking Alliance and in in absolute value in the same section.
accordance with the Guidelines High-level transition plan Publishing a top-level transition plan 12 months BBVA includes an action plan/transition plan for
to meet the targets after setting the target; the plan must include the 6 sectors with alignment targets. Please see the
for climate target setting for
a summary of the actions devised to meet the Metrics and Targets-Alignment Metrics section of this report.
banks published by UNEP-FI, targets and an approximate timeline
BBVA has made the following Independent verification Independent review or accreditation based The information in the table included in the Metrics and Targets-
progress in the fulfillment of its or assurance on its first results report Alignment Metrics table of this report. (excluding the breakdown for
the coal sector) was extracted from the consolidated non-financial
commitments:
information report, which is part of BBVA Group’s consolidated
management report for 2022. The information included in the
consolidated non-financial information report was verified by Ernst
& Young, S.L. as independent provider of verification services,
within the scope specified in its report.

3. Phase-out 2030 in developed countries and 2040 globally.

Sectoral plans 2.2. Direct impact management:

Use of carbon credits
The Group is working on sectoral strategic
plans for all sectors for which a portfolio
Since 2020, BBVA has been neutral in
alignment target or phase-out commitment The goal to net zero emissions continues
direct emissions (Scope 1, 2 and part of
has been set. The content of these plans to be to achieve the greatest possible
Scope 3: waste, emissions from business
includes an analysis of the sector’s risks reduction in carbon footprint, first and
travel and travel of headquarters
and opportunities, the long-term vision of foremost. To achieve this target in 2050,
employees which represent a 35.8% of
the sector’s role in the decarbonization of the offset should be limited to cases where
the total employees object of the report)4.
the economy and the strategic responses there are no technologically or financially
of stakeholders across the sector, as BBVA continues with its strategy to feasible emission elimination alternatives.
well as the current state of the portfolio reduce its own emissions. It has therefore
and positioning with respect to the set a target to achieve 100% renewable However, carbon credits can play
Group’s target. See more information in energy use in its operations by 2030, to a complementary role in BBVA’s
Identification, measurement and integration reduce Scope 1 and 2 CO2 emissions by decarbonization pathway beyond carbon
of climate change into risk management 68% compared to 2015 by 2025, and footprint reduction efforts. BBVA is
section of this report. to extend the scope of CO2 emissions offsetting its Scope 1 and 2 emissions, and
measurement to more Scope 3 activities. part of Scope 3: waste, emissions from
business travel and travel of headquarters
BBVA’s progress in terms of its direct employees.
impact can be found in Management of direct
environmental impacts section of this report.
BBVA takes part in the NZBA Offset
Risk planning working group to contribute to the
BBVA has also incorporated a transition risk specification of the appropriate use
metric in its Risk Appetite Framework. See of offsets for setting and achieving
section Integrating climate change into risk planning . decarbonization targets of financial
institutions, including the appropriate use
of offsets from their customers’ emissions.
4. Within the scope 3 emissions reported, the following categories
defined in the GHG Protocol are not included: Category 1 purchase
of goods and services; Category 2 capital goods; Category 3 fuel and
energy related activities (not included in scopes 1 or 2); Category 4
upstream transportation and distribution; Category 7 transportation
of network workers (which account for 64.2% of the total reported);
Category 8 upstream leased assets; Category 9 transportation and
distribution; Category 10 processing of the products sold; Category
11 use of the products sold; Category 12 end-of-life treatment of
products sold; Category 13 downstream leased assets; Category 14
franchises; Category 15 investments. In relation to the information
on Category 15 Investments, see section MANAGEMENT OF RISKS
ASSOCIATED WITH CLIMATE CHANGE . The scopes excluded to date
could be material.

3. Make a positive impact Additionally, the Bank has a commitment to WITH CUSTOMERS:
generate a positive impact in the exercise of
BBVA promotes an integral relationship
its own activity. To this end, action plans are
with customers based on transparency and
Through the BBVA Community Commitment being drawn up:
responsibility. With regard to transparency,
2025, in the 2021-2025 period, BBVA and BBVA is committed to continue improving
via foundations will allocate €550m to sustainability-related reporting, as
social initiatives to support inclusive growth demonstrated by this report and the
in the countries where it is present. The consolidated Non-Financial Information
programs will reach 100 million people WITH EMPLOYEES:
Report published to date.
during this period. In particular, between BBVA is committed to employees, being an
2021 and 2025 it is expected to support 5 organization based on values that enriches
million entrepreneurs, train 2 million people talent, with a diverse and inclusive team.
in financial education and provide quality Currently, the focus is:
education to 3 million people. This is the
most ambitious social plan that BBVA has EQUALITY: BBVA has taken another step
launched to date. towards gender equality and established WITH SOCIETY:
in 2022 a target for the presence of
Between 2021 and 2022, BBVA contributed BBVA makes information and content
women in management positions of
with €237m to social initiatives to support on sustainability available to the general
35% by 2024. At the end of 2022, this
inclusive growth in those countries public on its website (www.bbva.com)
percentage stood at 33.5%.
where it is present, reaching 62 million and on social media. Since June 2022,
people. In particular, until 2022, BBVA has Employee awareness and Aprendemos Juntos 2030 project has been
supported 3.2 million entrepreneurs, it engagement actions on sustainability. promoting content related to a greener and
has trained 1.5 million people in financial SUSTAINABILITY PRODUCTS FOR more inclusive future and incorporating the
education, and 1.2 million people have EMPLOYEES. Desafíos program for young people. In 2022,
participated in educational programs. Aprendemos Juntos Kids program was
TRAINING ON SUSTAINABILITY. See launched for young people and their families.
BBVA provides with both climate change
more details in Appendix 5 of this report.
and sustainable finance contents in its
financial education initiatives and develops
tools to help its customers to learn about
both energy efficiency and sustainable
financing matters.

Just transition At the implementation level, the just In addition, a pilot project was launched in
transition perspective has been integrated Mexico and Colombia in 2022 to promote
BBVA takes into account that the transition
into different lines of work throughout the the financial inclusion of unbanked groups
to a low-carbon economy must be just and
organization that are developed in the and to improve the financial health and
fair and leaves no one behind, contributing
business areas through our Community resilience of underbanked or underserved
from 3 perspectives: business, risks and
Investment initiatives and our relationship customers.
stakeholder engagement.
with employees and suppliers.
BBVA also supports inclusive
With regard to the €135.871bn mobilized entrepreneurship, with special relevance
in sustainable business between 2018 and in Turkey, where there is a line of financing
2022, 22% are intended to contribute to the for women entrepreneurs (in small and
1. Inclusive growth, a core element of inclusive growth of the customers and the medium-sized companies) with loans under
the sustainability strategy societies where the Group operates. In this preferential conditions.
line of inclusive growth, resources have been
Also noteworthy in this area is BBVA’s
Within the framework of the General mobilized for investments necessary for a
promotion of microfinance through the
Sustainability Policy, BBVA focuses its just transition (e.g., social infrastructure),
BBVA Microfinance Foundation, whose main
strategy in this area around two vectors: financing has been allocated to strengthen
purpose is to provide financial services, to
and transform the business sector to
The fight against climate change and the train and to support the people in vulnerable
promote inclusive and sustainable economic
protection of natural capital situations so that they can progress through
growth, and credit products (cards, loans
the surpluses generated by their productive
Inclusive growth and mortgages) have been designed and
activities. Further, the BBVA Microfinance
marketed to individuals who meet the
Foundation has products and services for
low-income and/or vulnerability thresholds
the adaptation of small farmers to climate
established for each country.
In this second subject it is very relevant to change, such as Eco Vivienda, Ecocrédito
contribute to a just transition, leaving no one or the agreement with the NGO water.
behind and bringing the age of opportunity org to facilitate access to clean water and
to everyone. sanitation systems.

2. Gradual integration in risk 3. Engagement with initiatives to

management promote a just transition

BBVA has been conducting human rights Likewise, as a signatory of the Equator Finally, BBVA participates in international
due diligence processes in line with the UN Principles, BBVA has due diligence industry-specific initiatives in support of a
Guiding Principles on Business and Human procedures relating to the financing of new just transition, such as the UNEP-FI “Social
Rights, incorporating the vision of a just projects whose implementation affects and Human Rights Thematic Advisory Group
transition in critical sectors in the green indigenous communities. When this (TAG)”. Further, BBVA is part of the CSR
transition (specifically mining, agribusiness, circumstance occurs, the free, prior and Europe’s multi-sectoral working group (The
energy and infrastructure). Specifically, informed consent is required from these European Business Network for Corporate
BBVA’s Environmental and Social Framework communities, irrespective of the geographic Sustainability and Responsibility) for an
(hereinafter, the Framework) establishes due location of the project, including for projects Inclusive Green Deal.
diligence for new customers and operations in countries where a robust legislative
system is presupposed, which ensures the Likewise, BBVA also understands the
covered by the Framework, in order to
protection of the environment and the social just transition in the framework of the
mitigate the environmental and social risks
rights of its inhabitants. When identifying relationship between developed and
associated with these sectors.
potential risks, the operation must include developing countries. A just transition
an effective form of management of these cannot be undertaken without the
risks, as well as operational mechanisms to incorporation of those economies that are
support claims management. already suffering the most from the impact
of climate change and have the greatest
financial and institutional challenges to
address the transition. BBVA is therefore
vocal in promoting greater financial support
to developing countries and participates in
initiatives such as CFLI (Climate Finance
Leadership Initiative) in Colombia or the
European Commission’s HLEG (High-Level
Expert Group in sustainable finance) to
promote sustainable finance in low and
middle-income countries.

Engagement in
international initiatives
Principles for Responsible
UN Global Banking (Pension plan
UNEP Finance DJSI Compact Ecuator manager and Penson Plan for
For over 20 years, BBVA has Initiative member Principles employees in Spain)
participated actively in various
supranational initiatives in close
collaboration with all the stakeholders
(such as the industry itself, regulators
1998 2001 2002 2004 2008
and supervisors, investors and civil
society organizations). For yet another
year, BBVA reiterates its support for
the United Nations Global Compact. European Banks
representative
and Co-Chair Collective European Banking
Global Steering commitment Principles for Federation Chair
Committee climate Responsible Sustainable Katowice
UNEP FI action Banking Finance Group SBTi Commitment TCFD

2019 2018 2017

2020

Principles for Taskforce on

Responsible Commitment Principles for Net Zero Nature-related
PCAF
Banking (Partnership Net Zero Financial Responsible Asset Financial
(BBVA Insurance) for Carbon Banking health & Banking Managers Disclosures
Alliance (BBVA Asset Initiative UNEP FI
Accounting Inclusion
Financials) Management) (BBVA Asset Leadership
Management) Council

2021 2022

Specifically, over the course of 2022, the Bank engaged in the following initiatives:
A global benchmark
In 2022, and for the third consecutive year, BBVA
2022 obtained the highest score (86 points) among
banks in Europe and the second at global level
Since January in the latest Dow Jones Sustainability Index
BBVA has been a member of the (DJSI). Its Corporate Sustainability Assessment
Massachusetts Institute of Technology's (CSA) measures the performance of the largest
(MIT Climate and Sustainability
companies by market capitalization in economic,
Consortium or MCSC) to accelerate the
implementation of large-scale solutions to environmental and social matters. The Group
fight climate change.
Since April achieved the highest score (100 points) in the
BBVA has co-chaired the Climate Finance Leadership
sections on financial inclusion, environmental
Initiative in Colombia (CFLI). This is an initiative of the and social information, materiality, tax strategy,
Glasgow Financial Alliance for Net Zero to speed up the crime prevention, public influence or lobbying,
global transition to net zero greenhouse gas emissions.
In May and human rights.
BBVA joined the Edison Alliance, with the
commitment of the BBVA Microfinance Foundation Likewise, BBVA was included for the fifth
to support the digital inclusion of vulnerable consecutive year in the Bloomberg Gender-
populations in Latin America.
In July Equality Index 2022, which is recognition of
BBVA became a founding member of Carbonplace, the commitment to create trustworthy work
the global platform through which customers around environments, in which professional development
the world will be offered access to voluntary carbon
credits to offset their emissions. is guaranteed and equal opportunities for all
Since September
employees regardless of their gender. The entity’s
BBVA has been a member of the European High
Level Expert Group (HLEG) that provides
firm commitment to diversity and inclusion
recommendations to the European Commission allowed it to improve its rating by five percentage
to boost sustainable finance in emerging points compared to the previous edition. Garanti
countries. BBVA is the only private-sector bank in
this group. In mid-2023, the group will present its BBVA, the Group’s subsidiary in Turkey, is also
recommendations on transformative, innovative part of the index.
actions to mobilize private-sector finance. In November
BBVA is a member of the main sustainability
As part of the Alliance of CEO Climate Leaders promoted
by the World Economic Forum (WEF), the Chair of BBVA, indices (for more details, see the section
together with other CEOs and leaders of major global “Sustainability indices and ratings” in the
companies, signed a statement in November calling on chapter “Report on climate change and
world leaders and participants in the United Nations
Climate Change Conference at Sharm El Sheikh (COP other environmental and social issues” of the
27) to commit to a just transition. consolidated Non-financial Information Report of
BBVA Group.

Resilience of the
strategy against
climate change risks
The concept of climate resilience requires Therefore, BBVA is working on measuring Finally, the resilience of the strategy in
that organizations develop the adaptive the impact of different climate scenarios, the face of different climate scenarios is
capacity to respond to climate change, both transition and physical risks, on its reinforced by the fact that BBVA has set
leveraging opportunities and managing the strategy and business. sustainability as one of its six strategic
associated transitional and physical risks. priorities, with a special focus on the fight
The first results, obtained in the framework
against climate change, integrating its
TCFD recommends that organizations of the Climate Stress Testing regulatory
commitment to align its financing portfolio
describe the ability of their strategy to exercise promoted in 2022 by the ECB, show
with scenarios compatible with the Paris
leverage opportunities related to climate immaterial impacts on both transition risk
Agreement: BBVA subsequently set
change, consistent with a scenario of orderly and physical risk. However, it is important
intermediate 2030 goals for CO2 the oil & gas,
transition to a low-carbon economy, but to consider that methodological limitations,
power generation, autos, steel, cement
also their resilience to possible scenarios of especially in terms of data and scenario
sectors and the coal phase-out5 goal.
increased climate risks. design, could be underestimating the losses
estimated by the financial system. In this On the business side, the analysis is ongoing
As mentioned in the section
sense, BBVA is working to reinforce and and the available results point to a resilient
Definition of risks and opportunities associated with
strengthen bottom-up methodologies and situation, given the relatively low exposure
climate change BBVA’s strategy may be
analytical capabilities in order to obtain to clients and sectors with higher climate-
affected by climate-related risks and
projections of customer financial statements related risks. In fact, BBVA’s wholesale
opportunities.
and estimate impacts on collateral values exposures related to emission-intensive and
based on different climate scenarios and transition risk-sensitive activities represent
over different time horizons. approximately 12.95% of total wholesale
exposure, and 6.69% of the Group’s total
Additionally, the inclusion of impacts from
exposure. Additional information on risk
a physical risk event in the capital self-
assessment and scenario analysis is
assessment exercise (ICAAP) is being
included in the Integrating climate change into
developed. Preliminary analyses of these
risk planning section of this report.
events also show immaterial impacts.

5. Phase-out of coal in 2030 in developed countries and 2040 in the

rest of the geographical areas where BBVA is present in the terms of its
Environmental and Social Framework.

Engagement strategy 1.1. Due diligence process and

knowledge of the customer
with customers, the
industry and the For wholesale clients, industry-specific or their transactions are involved in the

public sector sustainability questionnaires have

been created with the aim of increasing
prohibited activities foreseen in the defense
sector. In the rest of the industries (mining,
managers’ and risk specialists’ knowledge energy, agribusiness and infrastructure),
of the environmental performance of large a specific analysis of the situation will be
corporate and institutional clients. This is carried out. This may involve non-initiation
linked to the timing of the preparation or of the relationship, or adoption of a plan of
1. Customer engagement renewal of the client’s financial program dialogue and accompaniment with the client
in order to make the best data-driven with measures aimed at understanding and
decisions. trying to correct the situation.
BBVA provides financial services to
Based on the information included in the Although the Environmental and Social
corporate and institutional customers
KYC and provided by an external ESG expert Framework is applicable to new clients and
through its Corporate & Investment Banking
advisor, BBVA ensures that new wholesale new projects from its publication date, a
(CIB) and Corporate and Business Banking
customers covered by the Environmental review process has been carried out, based
(CBB) units, and to its retail and individual
and Social Framework do not incur any on best efforts, of the stock of clients for the
customers through its Retail Banking unit.
of the general exclusions or specific progressive implementation of the measures
These clients include both large global
prohibitions for the mining, agribusiness, provided therein. Since 2021 more than 300
corporate and institutional clients, as well as
energy, infrastructure and defense sectors. business groups were analyzed under this
smaller clients with a more local presence
If a potential customer is involved in any framework. BBVA initiated a dialogue and
or less sophisticated financial needs. BBVA
controversy or breach, a specific analysis accompaniment plan with 17 groups.
continuously engages with its customers as
of the situation will be carried out. A
indicated below. BBVA identifies, accredits and documents
plan of dialogue and accompaniment of
the activity carried out by retail customers
the customer with measures aimed at
through KYC (Know Your Client) under a
understanding and trying to correct the
risk-based approach. The process allows
situation may then be undertaken.
for a better understanding of customers,
BBVA will not support the provision of their operations, customer segmentation,
financial services to wholesale customers products, channels, jurisdictions and
included in the scope of the Framework transaction monitoring.
when there is sufficient evidence that they

1.2. Analysis of customers’

environmental and social risks and
opportunities

BBVA has developed a “Guide for the carbon footprint calculator for companies BBVA was the first bank in Spain to offer
integration of ESG factors in wholesale provides information on the ESG profile of the calculation of the carbon footprint to
credit analysis” which identifies the key clients (footprint calculation, change over its individual customers thanks to its digital
environmental and social aspects by time, comparison with the sector average and data analytics capabilities. This service
industry and presents metrics to monitor the and similar companies, etc.), which allows us raises the awareness of the Bank’s individual
performance of our corporate clients. to categorize our clients and to implement customers on the impact its actions have on
targeted, personalized and tailored advisory the environment, and help them transition to
In addition, BBVA has specified an internal and commercial actions adapted to each a more sustainable world.
taxonomy of transition risk. The purpose client’s profile.
is to classify sectors according to their By adding the characteristics of the home
sensitivity to this type of risk. In the Recently functionalities have been added (surface area, energy certification, etc.),
development of its sectoral frameworks which allow the definition of energy saving BBVA can assess improvements in energy
used in credit approval, BBVA identifies targets, alerts which provide a warning when efficiency and offer information on simple
the metrics that make it possible to assess the target is not being met, and a comparison and sustainable changes in habits that help
the vulnerability of each client to transition of consumption with other companies in reduce the amounts in the household bills of
risks and to integrate this aspect into risk the same sector of activity (NACE), similar its individual customers.
and support decisions. Further information level of revenue and number of employees
Besides, the cost of an electric vehicle can
on this point is available in the chapter on the workforce, indicating the percentile of
be compared to a gasoline vehicle so that the
Integrating climate change into risk planning in this monthly expenses compared with peers.
individual customer can see the economic
report.
In addition, BBVA uses natural language advantages of opting for a more sustainable
Progress is also being made in developing processing techniques for ESG categorization transport solution. Customers will also be
internal capabilities to classify clients based of business customers on a large scale able to view and/or subscribe to any of the
on their climate reporting, low-carbon from public information such as corporate sustainable products offered by BBVA. The
business profile and decarbonization plans. customer websites, official records, news, Bank provides its customers with the Valora
etc. This leadership in digital transformation tool, which allows them to have an estimated
In the area of Corporate and Business enriches the business information provided automatic appraisal of their real estate and
Banking (CBB), BBVA was pioneering in the and helps customers improve their transportation assets.
use of data analytics to calculate companies’ environmental performance.
carbon footprint and use it to offer value- .
creating solutions to our customers. The

1.3. ESG engagement actions with Industrial specialization in industries (efficiency in the use and management
customers which are facing the biggest challenges of water, circular economy, waste
for a transition to a low-carbon economy: management, environmental impact and
oil & gas, power generation, autos protection of biodiversity, among others) in
In the daily dialogue with wholesale manufacturers and auto parts, as well as all types of sectors and economic activities.
customers, both at a strategic and other industries such as infrastructures,
Corporate and Business Banking (CBB)
commercial level, sustainability is part of the processed food, beverages, cement,
customers also have general information
conversation and value proposition and is fintechs and pharmaceuticals. Customers
and a catalogue of sustainable products
integrated into the intake, pricing and risk are informed on the main challenges and
on the transactional banking website. The
management processes. BBVA interacts and opportunities for the industry and the
Group makes available to its customers
shares ESG knowledge and best practice dialogue is focused on a roadmap for each
product information and sustainability
with its wholesale customers through a industry to align with the Paris Agreement
advice and explains their impact on
variety of mechanisms: commitment. BBVA provides its clients with
the environment (savings in electricity
information on regulation, technological
To complete the sustainable offer, the consumption with an energy efficiency loan,
improvements and best practices in each
ESG Advisory service was created in fuel savings when arranging a loan to renew
industry as well as a comparative analysis
2020 to assist global customers in their the vehicle fleet, etc.).
on how similar companies are evolving in
transition toward a sustainable future in terms of ESG, different options to improve The model for smaller companies and
all sectors of activity. This involves data- their sustainable profile and how to set individuals is complemented by external
driven assessments and guidance to assist specific short and medium term objectives. capabilities. In this regard, strategic alliances
customers in undertaking commitments to
with third parties are being formed, which
align with the Paris Agreement and make BBVA offers customers a list of
are key to contribute to support the
progress in terms of the United Nations sustainable products and finance (bonds,
sustainable transition of these companies
2030 Sustainable Agenda. Dialogue with loans, global transactional banking,
and individuals. Among them are:
customers on ESG aspects is based on: global markets, equities, mergers and
acquisitions). The development of sustainable business
of companies in Spain, focused on
BBVA directly supports its global and
General description of how sustainability promoting sustainable mobility, energy
non-global clients in the incorporation of
is evolving in the political and financial efficiency and renewables, has led to
ESG practices in their business strategies
context, explaining the principal agreements with Faconauto for the
and operations through one-on-one visits,
regulatory issues, reporting needs, distribution of electric cars and with
events, project consulting, etc., with a focus
developments in the financial markets, Anese to promote energy saving projects.
on energy efficiency projects, sustainable
ESG classifications, etc. On the other hand, an agreement has
construction, sustainable mobility, and
been reached with Minsait for the
the promotion of sustainable practices
management of subsidies.

The promotion of solar self-consumption Bank managers, mobile banking and the In September 2022, the second BBVA
in the main countries where BBVA is commercial website offer retail customers Sustainabilty Forum took place, bringing
present has made it possible to build a wide range of sustainable investment and together representatives of the Spanish
alliances and agreements with solar panel financing products, adapted to each of the government, presidents and CEOs of
installation companies in Mexico, Turkey geographical areas in which they operate leading global companies, and customers to
and Spain. These capacities are being and focused mainly on sustainable mobility, discuss the fight against climate change and
developed in Argentina and Colombia. energy-efficient home improvements and financing for sustainable growth.
energy-efficient mortgages. BBVA in Spain
Agreements with multilateral Besides the EduFin Summit 2022, the
already offers a sustainable alternative for
organizations and development banks annual financial education summit organized
most of the existing traditional products for
to promote sustainable business, by BBVA’s Center for Financial Education
SMEs and individuals, and work is underway
such as the agreement with the and Skills, was held in Madrid and Mexico
in the rest of the world to ensure that this is
International Finance Corporation to City. Participants shared their knowledge
the case.
mobilize sustainable business in Mexico, on how digitalization revolutionizes financial
Peru and Colombia; and the Garanti BBVA makes information on sustainability education and boosts the inclusion of the
BBVA’s agreement in Turkey with the available to retail customers using a range most vulnerable.
European Bank for Reconstruction and of digital media. On the corporate website,
Development (EBRD). customers can find news and articles. On
the website and the mobile banking app,
BBVA supports its individual customers to
they can find information on the sustainable
incorporate ESG practices through one-on-
products offered by the Bank and subscribe
one meetings and visits, mass participation
to them. In addition, the website provides
events or advice on projects with technology
numerous tips on how to reduce carbon
and consulting firms. BBVA informs its
emissions and also achieve economic
customers through digital channels and
savings by reducing energy consumption,
its commercial branch network. It is an
while offering savings simulators by using
integrated model of service that ranges from
different sustainable goods, an electric car,
raising awareness to project design and
efficient appliances, condensing boilers
management of public subsidies.
or small changes in daily habits such as
changing the room temperature or installing
LED lights.

Customer engagement metrics

Since 2020, CIB bankers have visited close The development of sustainable business users. In addition, more than 50 podcasts
to 500 large global clients and more than in CBB is focused on promoting sustainable were produced which, together with the
300 pitches have been made with the mobility, energy efficiency and renewable 2021 podcasts, were downloaded more than
goal of having a dialogue and discussion energy and has led to agreements with third 560,000 times. The newsletter has more than
focused on sustainability (representing parties for the distribution of electric cars, 7,700 subscribers. More than 70 YouTube
approximately around 15% of the corporate to enhance energy saving projects and the videos were also posted in 2022, which,
and institutional client base). In total, CIB installation of solar panels. Agreements together with the existing ones, add up to
bankers made visits to customers in 42 with energy companies and automotive more than 880 thousand views since 2020.
different countries and of these, nearly dealerships stand out.
20% have been visited in more than one Content shared on social media attracted
geographical area in which BBVA is present. Likewise, events with sustainability-related more than 30 million page views and more
In 2022, 30 global clients were contacted content have been organized: trends, than 55,000 clicks this year. Through
through the ESG Advisory service. sustainable finance, risks, opportunities, social media, BBVA reaches out to people
energy efficiency, renewable energy, clean and generates knowledge of ESG issues
Furthermore, in 2022, close to 350 transportation and agriculture. to generate a positive impact and raise
commercial and ESG advisory visits awareness about the importance of taking
were made to Corporate and Business Finally, BBVA, in partnership with a company
action. Special attention should be given to
Banking (CBB) customers who have been specializing in managing European funds
our entry into the world of TikTok where with
presented with a value proposition with ESG from the Next Generation EU program
more than 75 videos posted, it has had more
features adapted to their needs and profile approved by the European Commission,
than 39 million views.
(sector, activity, maturity, relationship with offers information to clients promoting
BBVA, risk profile, proposed use of funds, Spanish business projects related to the BBVA held two webinars in 2022: one on
product and price). BBVA has a network environmental transition and sustainable the City of the Future, which has more
of sustainable finance experts (spread mobility, among other topics. More than than 3,200 views, and another on Climate
throughout Spain and under development in 65,000 visits were generated on the aid Migrations, which has more than 3,400
other countries) to support the customers in portal created for this purpose, resulting in views. These webinars are supported by
their transition to a greener future. more than 2,500 informational opportunities our specials on sustainable topics. In total,
in this area. 8 special features, with topics as varied
as the circular revolution, sustainable
In 2022, BBVA created more than 700
gastronomy or sustainable tourism among
articles which added to the 878 in 2021,
others. They already have more than 6.5
have impacted more than 7.6 million unique
thousand downloads.

2. Engagement with the Asset Managers initiative. Both initiatives are committees in each of the banking
part of the Glasgow Finance Alliance for Net associations in the main geographical areas
industry and the public sector Zero (GFANZ). (Spain, Mexico, Turkey, Colombia, Peru and
Argentina), undertaking initiatives to help
Likewise, BBVA, together with four other
less advanced banks in climate change
For over 20 years, BBVA has participated banks that have signed the Katowice
management by sharing practices and
actively in various supranational initiatives. commitment, and with the support of the
methods.
BBVA seeks to play an active role in think tank 2 Degree Investing Initiative (2DII),
redefining the architecture of the financial has collaborated in the implementation BBVA is also a promoter in the implementation
system to place sustainability as a very of the PACTA (Paris Agreement Capital of the Equator Principles, the Green Bond
important element in financial decisions. As Transition Assessment) methodology for Principles, the Social Bonds Principles, the
well as repeating its support to the UN Global the decarbonization of the credit portfolios Green Loan Principles and similar standards
Compact once again this year, BBVA actively of financial institutions. BBVA is a member developed by the industry itself.
participates in numerous initiatives, always of the Partnership for Carbon Accounting
in close collaboration with all stakeholders, In 2022, BBVA continued to take an active
Financials (PCAF), which aims to establish
such as the industry itself, regulators and role in its dialogue with government
an international methodology for measuring
supervisors, investors and shareholders, and authorities regarding financial legislative
and disclosing greenhouse gas emissions
organizations from civil society. initiatives at the EU and global level, as well as
financed by banks and investors.
in the different jurisdictions where it operates.
In terms of sector initiatives, it should be The Bank is also a member of the Science
noted that BBVA has been a member of Within the framework of its participation in
Based Target Initiative and participates in the
UNEP-FI since 1998, and since 2019 co-chairs the Sustainable Finance Working Groups
World Economic Forum (WEF), CEO Climate
its Global Steering Committee on behalf of various forums, in particular the Spanish
Leaders Alliance, the world’s largest global
of European banking, in addition to being a Banking Association (AEB), the European
community of CEOs committed to climate
member of the UNEP-FI Leadership Council. Banking Federation (FBE), the Association
action.
It was also one of the 28 founding banks of Financial Markets in Europe (AFME), the
of the Principles for Responsible Banking, It is worth mentioning that BBVA is Chair European Financial Services Roundtable
thus defining the reference framework for of the European Banking Federation’s (EFR), the European Banking Group (EBG),
sustainability in the banking sector. Sustainable Finance Working Group, through the Monetary Authority of Singapore
which it has participated in the creation of (MAS) and the Institute of International
In terms of portfolio alignment with the several reports, including the one related to Finance (IIF), BBVA also contributes to
Paris Agreement, BBVA became one of the testing the application of the EU Taxonomy the development of sectoral positions on
founding members of the Net Zero Banking to banking products. At the global level, initiatives, both Spanish and European
Alliance, of which it is currently a member of BBVA also participates in the IIF’s working and at a global level. In this regard, BBVA
the Steering Group. Additionally, BBVA Asset groups on sustainable finance. At the local participated in various consultations with
Management is a member of the Net Zero level, the bank is active in the sustainability industry associations.

In this context, in 2022 we would highlight In 2022 BBVA Mexico actively participated Finally, a fourth area of involvement with
the role of monitoring, dialogue and in the development of the Sustainable governments has to do with the promotion
accompaniment with the European regulator Taxonomy of this country, through its of sustainable finance in emerging countries.
in relation to key proposals on sustainable participation in the different sectoral groups BBVA considers it a priority to close the
finance, such as the proposed directive on on construction, energy, agriculture, circular large gap in sustainable financing in these
corporate due diligence in environmental economy, gender and sustainable cities. countries, without which it will not be
and human rights matters, the proposed possible to achieve zero net emissions.
A second area of relations has been with
Regulation for a Green Bond Standard (EU
banking supervisory bodies. In 2022, the In April 2022, within the framework of
GBS), the implementation of sustainability
first climate stress test by the European GFANZ, BBVA promoted the creation of
disclosure standards (EFRAG, ISSB where
Central Bank and the first thematic review in the Climate Finance Leadership Initiative
BBVA participates in the IFRS Advisory
relation to the expectations of the European (CFLI) in Colombia, which it currently chairs
Council and SEC), the review of European
supervisor took place. In addition to its own together with Bancolombia. The initiative
regulations on capital requirements
supervisory activities, BBVA has actively aims to catalyze sustainable financing in
(both micro and macroprudential), the
participated in various working sessions, the country by bringing together leading
developments of the European taxonomy, or
sharing its experiences with the European companies in the private sector and with the
the review of the European Union Emissions
Central Bank, the Bank of Spain, the Bank’s active involvement of local government and
Trading Scheme (EU ETS).
Association of Turkey and the Bank of the support of multilateral entities.
BBVA also promotes sustainability and Mexico, among others.
In September 2022, BBVA was appointed
maintains a dialogue with European
Thirdly, and beyond the financial regulatory a member of the European High-Level
institutions through its active participation
sphere, BBVA has continued to promote Expert Group tasked with providing
in the European association CSR Europe.
initiatives to ask governments for more recommendations to the European
In 2022, BBVA took part in the CSR
ambitious action on climate change and Commission to boost sustainable financing
Europe Leaders’ Hub for an inclusive
public policies. In this regard, it is worth in emerging countries.
Green Deal, a platform supported by the
noting the calls to the G20 led by the WEF
European Commission, through which it
in Davos and at COP27, as well as the letter
has contributed to the development of
promoted by We Mean Business Coalition
a roadmap to help European companies
and the Grupo Español de Crecimiento Verde
integrate just transition into their strategies
on REPowerEU.
and operations.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
SECTION 03

Management of risks
associated with climate change
BBVA Report on TCFD 2022 SECTION 03 / MANAGEMENT OF RISKS ASSOCIATED WITH CLIMATE CHANGE P. 52

Integrating climate climate change risks to ensure their correct

control and management. In response to
Climate change risk management in BBVA
Group is based on the risk planning process
change into risk both regulatory and management needs, which is marked by the defined risk appetite
and so on, the data considered include data and makes use of management frameworks
planning related to customer climate scorings, real which establish how these risks are to be
estate energy efficiency certificates, ESG addressed in day-to-day business activities.
ratings, greenhouse gas emissions, asset
and collateral location and sector-specific
The risks associated with climate change metrics, etc.
(transitional and physical) are considered
as an additional factor affecting the risk
categories already identified and defined in
the BBVA Group and are therefore managed
through the Group’s risk management
frameworks (credit, market, liquidity,
operational and other non-financial risks).
As a result, the integration of climate-change
Risk
related risks into the BBVA Group’s risk Appetite
management framework is based on their
incorporation into the governance and Risk Scenario RISK MAPPING
processes currently in place, taking into Assessment Analysis
account regulatory and supervisory trends.

Correct planning requires reliable, complete

and up-to-date data. Accordingly, in 2022 FRAMEWORKS
work continued on the deployment of the
sustainability data strategy, based on the
Principles for effective risk data aggregation RISK
and risk BCBS 239, in which sustainability Customer Monitoring MANAGEMENT
Pricing
data needs have been identified, data gaps
Acceptance and management
have been assessed and a conceptual
model and implementation plan have been
developed. All this is geared to guaranteeing
a comprehensive vision of the Group’s

Risk planning
Risk appetite Framework (RAF)

BBVA’s Risk Appetite Framework, approved A quantitative transition risk metric has been capital base of exposure to customers
by the corporate governance bodies and incorporated into the framework since 2021. whose issuance intensity is above 30% of
applicable to all the Group’s material This High Transition Risk metric measures the market average. This metric takes a
geographic areas, determines the risk Exposure at Default (EAD) in relation to transition risk management approach by
levels that BBVA is willing to assume to capital of the activities most exposed focusing on customers with a clear level of
achieve its targets, considering the organic to transition risk in accordance with the misalignment with respect to the emissions
evolution of the business. It is organized Taxonomy defined internally (High Transition intensity trajectories established by the
under a pyramidal structure that starts Risk), focusing on activities classified as International Energy Agency, The Net Zero
from the thresholds of the core metrics High or Very High risk. With respect to this Emissions scenario for each of the sectors.
and the metrics by type of risk and declines metric, the Board of Directors of BBVA The calculation scope is the loan portfolio
in a framework of management limits. has approved thresholds at a Group and of the autos, power generation, steel and
The Framework has a general statement geographic area level, which determine the cement sectors.
that sets out the general principles of the maximum appetite for this risk.
risk strategy and the target risk profile. The definition of the levels of tolerance
The statement includes a commitment Furthermore, a new metric has been established in the Risk Appetite Framework
to sustainable development as one included in the 2023 management limits, are based on the Risk Assessment and
of the elements defined by the BBVA called High Market Misalignment. This Scenario analyses described below.
business model, focusing on supporting metric is defined as the percentage of the
the customer in the transition toward a
sustainable future, and incorporating the
climate factor in risk management. This
statement is complemented and detailed
by a quantification of the appetite through
metrics and thresholds that provide a
clear and concise guide to the maximum
acceptable risk profile.

Risk Assessment

This section firstly provides a self- Management and Control Model specifically The climate change risk assessment process
assessment of how the different climate- considers sustainability as an essential part runs parallel to the Group’s global risk
change related risk factors impact on the of the Group’s strategy. assessment, although there are two major
main types of risk currently existing (credit, differences. First, there are still no mature
market, liquidity, etc.); secondly, an analysis The Global Risk Assessment is a prospective
indicators to assess the different risks
of the sectors that are most sensitive to exercise which updates at least twice a
quantitatively and second, the time horizon
this risk (under the so-called “internal risk year, and allows a comparison between risk
of the analysis is much more extensive.
taxonomy”); and, finally, the methodology types, business activities and moments in
The analysis is carried out for a short-term
used to assess the climate vulnerability time, facilitating the understanding of the
horizon coinciding with the planning horizon
of the relevant geographic areas where Bank’s positioning and its development,
(4 years), medium term (4-10 years) and
the BBVA Group operates. These last two and identifying the material risks to cover
long term (over 10 years). The climate
aspects are integrated into the management with capital. Since 2020 the Group has
change risk assessment, like the other risks,
through processes such as admission carried out a climate assessment, mainly of
is carried out from two perspectives of the
frameworks or the establishment of risk a qualitative nature, which assesses BBVA’s
global assessment:
limits. vulnerability to transition and physical risk.
As in the case of the global assessment,
As part of its General Risk Management and the climate assessment process is of a
Control Model, the Group develops periodic participative and global nature in the GRM
risk identification and assessment processes area. The results of the assessment are
to identify material risks that could have submitted to the highest executive risk
a negative impact on its risk profile and to committee (GRMC), as well as the corporate
manage those risks actively and proactively. bodies, as this assessment is integrated in
These processes cover all types of risks key corporate processes such as the Risk
faced by the Group in its daily activity, Appetite Framework and the Internal Capital
including those risks that are more difficult Adequacy Assessment Process (ICAAP).
to quantify. Since 2022, the General Risk

1/ Identification of risk events: transition Climate change risk is included as a 2/Risk level assessment: The second
risk and physical risk are included in the material event in this inventory since 2019. approach followed in risk assessment is
identification of risk events that may have The assessment in the analysis of climate based on an assessment of the profile
a material impact on the Group. Below change risk events classifies physical and of each type of risk expressed in a heat
is the matrix of risk events identified in transition risks. In the short term (12-18 map. In 2022, the analysis was extended
2022 that are graphically represented months), it is considered that an accelerated to the six relevant geographical areas
according to their estimated impact transition to a low-carbon economy would of the BBVA Group (Spain, Mexico,
on the BBVA Group and their assigned entail a medium-impact risk event, although Turkey, Argentina, Peru and Colombia).
probability. the probability currently given to this type The financial year incorporates risk
of scenario is medium low. At a medium/ factors, such as the carbon footprint
long-term time horizon, the risk of physical of customers, the energy efficiency of
climate change is included in the inventory real estate collateral and the emissions
of emerging risks (those that may have an financed, to name a few. Work has also
impact on a longer horizon) and is assigned been done on the preliminary inclusion
a medium risk. of quantitative metrics for certain risk
factors, especially exposures to activities
that are sensitive to transition risk
GRAPH 01. Risk materializing in the short term: time horizon 12-18 months (include table of indicators).

IMPACT

The conclusions of the assessment for

High
2022 suggest that the main risks emerge
CATEGORIES in medium- and long-term loan portfolios,
Medium-high Global Local with an earlier impact on transition risk in
Macroeconomic Spain given the speed of this geographic
Medium-low CLIMATE RISK
Accelerated transition area in adopting decarbonization policies.
Geopolitical -
Political
In contrast, there has been a reduction in
risk due to regulatory pressure in emerging
Business -
Low Strategy geographies. The factor that has the
Operacional - greatest impact in the long term on credit
Technological
risk is that derived from the investments in
Low Medium-low Medium-high High
technological change that companies will
PROBABILITY have to carry out in order to decarbonise.
With respect to the impact of physical risk

on loan portfolios, the greater frequency/ TABLE 04. Risk assessment climate change 2022
severity of extreme meteorological events
Spain Rest of geographical areas
and structural changes in climate patterns
explains the deterioration shown in the ST MT LT ST MT LT
<4 years 4-10 years >10 years <4 years 4-10 years >10 years
assessment over longer-term horizons. Also
noteworthy is the increase in medium-term TRANSITION RISK
insurance risk associated with the increase Credit
in reinsurance premiums, which may have
Liquidity and funding
an impact in the medium term, although the
level of risk remains at a medium-low level. Structural equities risk
Credit spread risk
The impact of transition risk on liquidity risk
is low due to the stability of the retail deposit Markets (trading)
base and the high asset quality of the liquid Insurance
asset buffer. Market risk is equally low, due
Operational
to the diversification of the equity portfolio
and low exposure to sectors sensitive to Reputational
transition risk in the fixed-income portfolio.
TOTAL
As for operational risk, there is a difference
in the perceived risk in Spain (medium-
PHYSICAL RISK
low) and in the rest of the geographic areas
(medium-high), due to the greater exposure Credit
of the latter to physical risk in the medium Liquidity and funding
and long term.
Structural equities risk
Credit spread risk
Markets (trading)
Insurance
Operational

TOTAL

Low risk Moderate-low risk Moderate-high risk High risk

Within the scope of preparing and defining As a result of this exercise, with data as at
its industry frameworks governing the credit December 31, 2022, 12.95% of the exposure Oil & Gas 4,8%
admission process, BBVA has developed (measured by EAD) of the wholesale
an internal Taxonomy of transition risk in portfolio (equivalent to 6.69% of the Power
generation 3,2%
order to classify industries according to Group’s portfolio) has been identified as
their sensitivity to transition risk. In addition, corresponding to sectors defined as “high
Autos 2,2%
metrics are identified at the customer transition risk”, with a high or very high level
level to assess their vulnerability and to of exposure to this risk. This calculation
integrate this aspect into risk and customer was made on a portfolio of €209,759 Steel* 1,4%
support decisions. (of the Group’s total EAD of €406,097),
corresponding to the EAD of the wholesale Transport 0,7%
The estimation of the transition risk-
lending portfolio.
sensitivity level is based on the qualitative
Cement 0,6%
analysis of the amount of exposure to During 2022, this calculation was introduced
regulatory, technological and market for the small business sector (SMEs and
Coal 0,1%
changes caused by decarbonization the self-employed). The results obtained
that may have a financial impact on the 2022 indicate that the EAD associated
companies of the industry and on the with high or very high transition risk in
Prepared by BBVA.
estimation of the time horizon impact of this portfolio is limited, at around 3%, and
Includes the percentage of exposure at default of activities internally
these effects. focused in mainly in Spain and in the autos defined as “transition risk sensitive” over the EAD of the wholesale
(components) sector. portfolio as of December 31, 2022 (not including the subsidiaries of
Therefore, industries are categorized Garanti, Forum Chile, Uruguay, Venezuela and BPI). The “transition
risk sensitive” portfolio includes activities that generate energy or
according to their level of sensitivity to In addition, climate change and fossil fuels (energy, power generation -excluding renewable generation
and water and waste treatment-), coal mining; basic industries with
transition risk: very high, high, moderate environmental risk impact has been emission-intensive processes (steel and cement), final activities
users of the energy through their products or services (vehicles
or low. The industries identified as most incorporated into country risk analysis since manufacturers, air and sea transportation) with a high or very high
sensitive to transition risk are energy 2019, as an additional input for establishing level of sensitivity to this risk. The reduction in exposure (measured
by % EAD) of the wholesale portfolio compared to 2021 is due to the
or fossil fuel generation sectors (oil and risk policies affecting exposures to private or increase in the EAD of the wholesale portfolio in 2022 (from €368,819m
as of December 31, 2021 to €406,097m as of December 31, 2022) and
gas, power generation and coal mining); sovereign administrations of all the countries because the EAD included in the numerator of the calculation formula,
does not include power generation from renewable sources.
emission-intensive basic industries (steel, with which the Bank has some type of risk
* Also includes steel industry
cement); and activities that are final users (+100 countries).
of energy and generators of emissions
through their products or services (vehicles
manufacturers, air and sea transportation).

Analysis of scenarios and Regulatory and supervisory

stress testing scenarios and stress tests

In October 2021, the ECB published

Scenarios and internal stress tests the methodology for the stress tests on
climate change risk scheduled for 2022
in the months March to July. 104 entities
The climate scenarios have been integrated 2/ The climate driver has been integrated participated fully or partially in this exercise,
into the governance of the BBVA Group’s into the high-level risk scenarios (HLRS) and of these, 41 entities, including BBVA,
internal scenarios, with initiatives being which are monitored and assessed participated in the whole exercise. The
developed in several areas: continuously in the Group by the exercise was based on three different
Scenario Working Group. They serve as modules, with the following contents:
1/ The climate reflection is presented
a basis for choosing the scenario which
together with the preparation of the
is used in the Group’s internal capital
budget baseline scenario. It reviews the
climate policies in place in each relevant
adequacy assessment process (ICAAP). MODULE 1
geographic area, their effective relevance Qualitative questionnaire about the internal
within the overall economic policy framework of climate stress testing including
framework, their consistency with the In 2022 different physical risk events in 11 blocks with topics related to governance,
transition to a decarbonized economy Spain were assessed in order to consider RAF, integration with the strategy, ICAAP and
and whether there may be any bias them as input in the ICAAP. Among the future plans
on the economic growth of the budget events taken into account, drought is
baseline scenario due to its potential considered relevant for the design of
development. physical climate change risk scenarios MODULE 2
due to its presence in recent history, its Analysis of the current portfolio of entities
persistence over time and its impact on the with respect to revenue dependence on
economy. polluting sectors6 as well as emissions
financed in such sectors

6. The exercise focused on a list of 22 NACE sectors published by the ECB.

MODULE 3 Identification,
PHYSICAL RISK (credit risk): two one-
year projections each, considering a flood
Bottom-up stress testing and loss
projections with different types of risks and
scenario and a drought and heat wave measurement and
scenario.
horizons considered:
integration of climate
The exercise COVERED OPERATIONAL
change into risk
TRANSITION RISKS:
RISK AND REPUTATIONAL RISK management
Short-term by means of qualitative questionnaires
(3 year projection)
Including both credit risk and market
risk, based on the Network for Greening In order to comply with the methodology Once climate change risk is incorporated
the Financial System Disorderly scenario required by the ECB in this exercise, a into the Risk Appetite Framework and the
(NGFS). sectoral layer has been incorporated into business strategy, it must also be included
the loss projection models. These models, in the day-to-day risk management, which
Long term
together with the sectoral scenarios is a part of the risk decision making that
(2030-2040-2050)
published by the ECB, have made it supports the Group’s customers.
Including only credit risk and considering
possible to make projections reflecting the
dynamic balance sheet projections It is therefore necessary to identify this risk
idiosyncrasies of each sector. In this way, the
based on both the macro situation and type for subsequent integration into the
possible differences in sensitivities to climate
the Entity’s strategy covering three existing management processes, including
change risk in each of them are adequately
NGFS scenarios (Hot House, Orderly and the adaptation of policies, procedures,
reflected through differentiated impacts.
Disorderly) tools, parameterization, risk limits and risk
controls in a consistent manner. Currently,
BBVA is developing the methodologies and
tools it needs to identify and measure the
different components of climate change risk,
and the financial impact analysis of each of
them for their subsequent integration into
the management. These tools are based
on the metrics of financed emissions,
alignment with decarbonization pathways,
analysis of the vulnerability and exposure
to climate hazards of our customers and

their collaterals, and the analysis of climate Sector plans

scenarios that allow for a prospective view
of risks, opportunities and their financial
impacts. The Group is working on drawing up During 2022, a series of multidisciplinary
strategic sector plans for all sectors for working groups have been launched,
The adaptation of policies and procedures
which a portfolio alignment and/or exit made up of teams from GRM, CIB,
initially focused on the integration of
objective has been defined. The content Sustainability and Strategy, called Climate
transition risk in the Sectoral Frameworks
of these plans includes an analysis of the and Environmental Sectoral Panels. These
(a basic tool in the definition of risk appetite
risks and opportunities of the sector, the groups have developed Sector Strategic
in wholesale loan portfolios) where climate
long-term vision of the role of the sector in Plans in the oil & gas and electricity
criteria are specified in the admission
the decarbonization of the economy and (which includes electricity generation)
guidelines and in the mortgage and vehicle
the strategic responses of the actors of the sectors. This work has made it possible
action frameworks in retail credit. In 2022,
entire sector. to define strategies and business plans
sectoral analyses of the risks derived from
decarbonization were developed according aimed at meeting the alignment objectives
In addition, the plans include an analysis
to the baseline scenarios. This work made established in the medium term as
of the current state of the portfolio and
it possible to define strategies and business well as mitigating the risks related to
the positioning with respect to the Group’s
plans aimed at meeting the alignment decarbonization in the balance.
objective for the sector, as well as the
objectives established in the medium term, identification of drivers to manage the risk This work is a fundamental part of portfolio
as well as mitigating the risks related to of portfolio transition, including the portfolio alignment management and input for the
decarbonization on the balance sheet. alignment metric. All this is reflected in definition of the risk appetite included in
the formulation of a business plan, which the Sector Frameworks. In 2023, plans will
includes the identification of opportunities be implemented for the rest of the sectors
with existing and potential clients, and for which an alignment objective has been
a tiered approach to define the appetite defined.
towards clients in the sector. These business
plans allow the definition of projected
decarbonization curves for each sector to
monitor progress in the alignment exercise.

Loan portfolio alignment with CO2 emissions. The Net Zero scenario of the After having passed through the SASG,
International Energy Agency (IEA) has been the monitoring of compliance with the
Net Zero 2050 used as a benchmark. objectives, including the explanation
of possible deviations and measures
In 2022, BBVA published its alignment target
to redirect them (if applicable), will be
The Net Zero 2050 commitment (zero for the Oil & Gas sector. BBVA is participating
submitted for review to the highest
net emissions in 2050) also includes in the definition within the NZBA of a specific
executive level and subsequently to the
emissions from customers who receive guideline for this sector. However, given its
corporate bodies, at least twice a year.
financing from the Bank. For this reason, relevance in global emissions, it was decided to
in order to accompany its clients in the publish a metric that would include the largest To facilitate effective management and
transition towards a more sustainable future, amount of emissions given the information compliance with the alignment objectives,
with specific plans and objectives, BBVA available. The PCAF methodology has been BBVA has developed a series of internal
undertook to publish alignment objectives used for the calculation and a scope 1, 2 and 3 tools that allow it to integrate the
for the sectors defined in the Guide to set absolute emission reduction target has been management of these objectives into the
the Net Zero Banking Alliance objectives. established for oil exploration and production. day-to-day risk and business processes.
These tools include:
BBVA’s commitment to alignment involves In order to follow up on these objectives and
establishing a framework comprising supervise their compliance, a Sustainability Alignment dashboard with PACTA
objectives and commitments for the Alignment Steering Group (SASG) has methodology.
different sectors considered to be the been created made up of the heads of the
greatest emitters. These objectives, as TRi (Transition Risk Indicator), a tool
Business, Risk, Sustainability and Strategy
defined in the aforementioned Guide, must for assessing each customer’s current
areas, with the following functions:
be set at the sectoral level. In this sense, emissions profile and decarbonization
BBVA announced its objective of phase- Approval of the proposal of the sectoral strategies.
out of activities related to coal, ceasing alignment objectives and intermediate
Sustainability Client Toolkit, which
to finance companies involved in these objectives, as well as the methodologies
compiles ESG information from large
activities before 2030 in developed countries used in their calculation
corporations and/or entities with
and before 2040 in the rest of the countries Evaluation of the fulfillment of these public information that is required at
in which BBVA is present. (under the terms objectives and the promotion of initiatives management level in a single repository
of the Environmental and Social Framework). to facilitate their management. for use from the front end.
Under the PACTA methodology, BBVA Analysis and understanding of the best
published intermediate decarbonization practices in the sector, promoting the
targets for 2030 for the power generation, For additional information, see section
integration of sustainable criteria in day-
autos, steel and cement sectors, which, Measurement and integration of transition risk .
today business.
together with coal, account for 60% of global

Calculation of financed
emissions

BBVA is working on measuring the issues The sectors with the greatest weight in the
financed in retail and wholesale portfolios. CO2 financed emissions for the BBVA, S.A.8
To carry out this measurement, BBVA has perimeter are detailed below:
adopted the PCAF (Partnership for Carbon
Accounting Financials) methodology.
This calculation will gradually cover all the
TABLE 05. Financed emissions as of December 31, 20229
portfolios covered by the PCAF methodology
Emissions financed Intensity
and the different geographical areas,
Sector (MtCO2e) (tCO2e/M€) Score
allowing a global vision of the financed
emissions to be obtained and identifying Manufacturing 16.4 756 4.6
in which portfolios and sectors these Power generation, gas, steam and air conditioning 5.4 671 4.9
emissions are concentrated in order to
Mining and quarrying 4.4 2,264 4.9
subsequently define mitigation plans, as well
as a transversal vision of the quality of data Transport and storage 2.4 448 4.5
available to perform these calculations.
Agriculture, forestry and fishing 2.0 1,116 4.4

In the defined roadmap, the calculation

For the BBVA, S.A. perimeter10 the total Additionally, adding the financed emissions
at the end of December 2022 includes
emissions financed according to the EBA to other sectors outside the perimeter of
the measurement of financed emissions
definitions for the publication of the report Pillar 3, mortgages to individuals and other
for the perimeter of loans to companies,
with prudential relevance (also known as retail portfolios, the total financed emissions
project financing, commercial real estate,
Pillar 3), has been estimated at 34.5 million have been estimated at approximately 39.9
mortgages and autos within the scope of
tons of CO2e. million tons of CO2e.
BBVA, S.A.7 In parallel, the Group is working
on the inclusion of other portfolios and
geographical areas during 2023 and 2024.

8.
9.
7. 8. 9. 10. For the perimeter BBVA, S.A. except Portugal branches.
10.

TABLE 06. Financed emissions as of December 31, 202211 These estimates of financed emissions
are the result of calculating with the best
Emissions financed possible approximation and with the data
Sector (MtCO2e) currently available. For the year 2023, there
Manufacturing 16.4 is a line of work to evolve said estimate. In
the case of customers’ scope 3 emissions
Power generation, gas, steam and air conditioning 5.4 estimates, it must be taken into account
that this is a partial estimate, subject to
Mining and quarrying 4.4 the availability of emission factors made
available by the PCAF methodology.
Transport and storage 2.4

Agriculture, forestry and fishing 2.0 PCAF offers various levels of quality scores
when calculating financed emissions. The
Rest of sectors 3.9
criterion takes into account the availability
Total perimeter Pillar 3 34.5 and reliability of the data used in the
calculation by the entities and is measured
based on a scale from 1 to 5. This means,
Sectors out of scope of Pillar 3 3.0 that the score is situated at a higher level if
the quality of the data is lower (estimates by
Mortgages 1.9 sector or trends by industry, for example),
tending to 5. On the contrary, the best score
Other retail portfolios 0.5 is obtained when the calculation of financed
emissions is based on data on emissions
Total 39.9
reported and verified at the individual
counterparty level (score 1).

11. For the perimeter BBVA, S.A. except Portugal branches.

Measurement and integration

of transition risk

In 2022, sustainability factors continued This analysis is performed in an environment the company’s current low-carbon profile;
to be included as one of the analysis axis integrated in BBVA’s systems, called ESG the levels of regulatory pressure in the
in the Action Frameworks of all the sectors Client Toolkit, which presents a common geographic areas where it is present; its level
included in the taxonomy as High transition interface for the Risk and Business teams of disclosure on climate management in
risk. In these Action Frameworks, the risks where the customers’ sustainability line with TCFD recommendations; and the
and opportunities of the climate transition information is viewed. This interface ambition and maturity of its decarbonization
are incorporated as an additional factor in provides insight into climate transition objectives. The result of the scorecard is a
the definition of the risk portfolio view, which strategies, governance and climate change valuable tool to better identify the strengths
is carried out annually and where the risk risk and opportunity management practices, and weaknesses of customers and to define
appetite is defined at sector level. decarbonization metrics and targets, as well concrete products to help them in the
as progress in the management of other transition to low-carbon business models.
In sectors classified as High transition risk,
ESG aspects material to the customer’s
transition risk assessment criteria have In 2022, versions of the transition scorecard
sector of activity, its compliance with BBVA’s
begun to be defined at customer level based were developed for the steel and cement
Environmental and Social Framework,
on their alignment with the objectives of sectors to join those previously defined for
existence of social, environmental and
the Paris Agreement or the ambition and Automotive, Power Generation and Oil &
ethical controversies and its level of
credibility of their transition plans. In some Gas. The number of customers for whom
alignment with the objectives of the Paris
cases, this analysis leads to the definition of the transition scorecard is available has
Agreement and level of emissions financed.
specific risk policies with the customer or to been significantly expanded and work has
This environment integrates the calculation
the definition of credit risk mitigants. begun on integrating it into standard risk
of the transition risk scorecard, known as the
management processes. The following
In addition to the integration into the Transition Risk indicator.
image shows the results of the transition
sectoral frameworks, in 2022, sustainability
Moreover, for those sectors classified as scorecard of the main customers in BBVA’s
factors also continued to be systematically
high transition risk, an advanced transition oil & gas, power generation, autos, steel
integrated into the customer analysis
risk scorecard has been developed to and cement manufacturing portfolio (the
processes for credit origination, enabling
incorporate transition risk dimensions in the size of the circles represents the number of
their incorporation into decision making.
customer’s profile. The scorecard evaluates customers in each category):

In the case of mortgages, during 2022

we worked on the correct collection
Oil & Gas Power Autos Steel Cement of consumption and emissions data
generation associated with mortgage guarantees,
both from real and estimated Energy
Advanced Efficiency Certificates (EEC), and in
Business model inherently Spain we are promoting the standardized
benefits from the transition
and homogeneous collection of these
estimates and real EEC data at sector level.
Strong Based on the definition made in 2021 of
Clients with strategies
and plans that mitigate sustainability criteria to classify when a
carbon exposure
collateral asset is considered sustainable,
BBVA has applied differentiated pricing to
loans with sustainability content, such as
Moderate
Material exposure to in the Efficient Home Mortgage, for homes
carbon transition risk
with consumption letter A or B.

Poor
Fundamentally inconsistent In the case of vehicle loans, as well as
business models with
the transition the type of fuel, mechanisms are being
implemented to have information available
associated with average emissions of each
vehicle based on its make, model and
version. As with mortgages, financing with
sustainable products is encouraged when
In the retail area the transition risk analysis of financed emissions serves as a lever
the sustainability criteria are met, in this
was focused on the mortgage, auto loan to identify the portfolios that are most
case, for electric or plug-in hybrid cars.
and SME portfolios. In all of them, one sensitive to changes in regulation, fuel
of the main aspects that determines prices or depreciation of certain types of
the transition risk are carbon emissions “unsustainable” assets. In turn, to mitigate
associated with each of them. These risk, BBVA also acts as a financing facilitator
emissions are associated with the use of to address the investments required for
fossil fuels or electricity, or dependence on climate change mitigation and adaptation
them for the correct operation of the asset to climate change with more sustainable
or customer. Therefore, the calculation forms of life and products.

Lastly, as mentioned in previous sections, Non-financial risks related to Classification and

the BBVA Group is committed to sustainability measurement of physical risk
sustainable development, which is one of
the defining elements of BBVA’s business
model. In this regard, the General Retail In order to identify and mitigate non-financial
Physical risk is associated with the location
Credit Risk Policy establishes that one of risks related to sustainability, including
of assets and vulnerability based on their
the general principles governing retail credit possible risks arising from divergent
activity and can materialize in credit risk
risk management in the BBVA Group is opinions on ESG issues and policies, BBVA
through different transmission channels,
respect for equality and diversity, avoiding has established specific working groups,
having an impact in multiple ways such as,
unfair bias in access to financial products with the participation of all relevant business
for example, on the purchasing power of
for reasons such as gender, color, ethnic and control units. These working groups
customers, business productivity, market
origin, disability, religion, sexual orientation review the main activities that may generate
demand or the value of assets. In 2022,
or political opinion. this type of risk (communications, products,
BBVA learnt a great deal in this field and
goals and commitments, adherence to
Additionally, the General Risk Management its level of maturity and knowledge of the
initiatives, etc.), develop, in each case,
Model Policy establishes that in order to different methodologies for the assessment
the appropriate control frameworks
avoid unfair bias in access to financial of physical risk has advanced considerably.
and check their implementation in the
products based on gender, color, However, these advances represent a first
management processes.
ethnic origin, disability, religion, sexual approximation due to the complexity of
orientation or political opinion, none of carrying out an assessment of the exposure
these variables will be included in the and impacts of physical risks.
admission and pricing models.
BBVA has continued to make progress
in assessing the materiality of chronic
and acute risks in the different portfolios.
The analysis of physical risk is articulated
around three pillars: threat, exposure
and vulnerability.

Regarding the threat, the methodology of Taskforce on Climate-related Financial The advances achieved during 2022 have
the Think Hazard tool of the World Bank Disclosure (TCFD) and UNEP-FI. As a allowed a first approximation, based on
has been followed. This tool indicates the result, a qualitative classification of the international tools and methodologies, of
risk levels of the different natural hazards, (sub)sectors is generated according to the the exposure prone to chronic and acute
both acute (cyclone, heat waves, fire potential impact on their business model risks. The implementation of an action plan
and river flooding) and chronic (drought and activity of chronic or acute changes in has also begun, the objective of which is
and coastal flooding) at a global level the climate. to have the analytical capabilities and data
and in different detail depending on the necessary to integrate physical risks into risk
Threat and vulnerability scores are applied
geographical area of the planet. These policies and processes.
at the contract level based on the location
risk levels are calculated based on the
to identify prone exposure to physical risk. As of 2023, work will be done to have
frequency of occurrence and intensity
As a result, the sectors identified as most precise and standardized information on
of the different natural hazards. It is
vulnerable to physical risks have been power the locations of the guarantees and assets
important to note that the information
generation, basic materials, construction, of our clients from all portfolios, to analyze
used is provided by a number of private,
consumption, and real estate. the exposure of the wholesale and retail
academic and public organizations. In
portfolios to the different chronic and acute
addition, work has been done to increase
hazards based on climate scenarios. and in
the granularity of the risk levels offered
calculating the financial impacts of perils at
by Think Hazard, using scientific and
the customer and asset level.
technical criteria, for the most relevant
hazards in BBVA’s geographical areas,
specifically, tropical cyclones, coastal and GRAPH 02. Exposure to physical risk as of December 31, 2022 (percentage)*
river flooding, and forest fire.

For the vulnerability component, during Loans to 84,4% 13,6%

2022 the sectoral granularity of the non-financial
analysis for Wholesale Banking and SMEs corporations Non-exposed Exposed
has been increased. This analysis is carried
out based on 8 indicators that capture
direct and indirect physical impacts, 88,0% 12,0%
so that the sensitivity of each sector to
Residential
mortgages
climate hazards is indirectly assessed Non-exposed Exposed
by analyzing its sensitivity to these
vulnerability indicators. This methodology
follows the best practices identified by the *El desglose incluye las carteras de España, México, Turquía, Perú, Colombia y Argentina.

Integration of natural capital

The global effort to combat The General Sustainability Policy posits the Projects related to deforestation:: burning
protection of natural capital as one of its of natural ecosystems for the purpose
climate change cannot be main focuses of action. Specifically, BBVA of clearing land for the implementation
effective without addressing recognizes the need to protect ecosystem of agricultural or livestock projects,
the natural capital challenge services and natural assets, native species elimination of high conservation value
and natural ecological processes. It and high carbon forests, palm oil farms
simultaneously. To reflect considers biodiversity and natural capital in not certified or not in the process of
this, companies’ future its relationship with its clients. certification by the Roundtable for
transition plans will need to be Sustainable Palm Oil (RSPO), palm oil
The Environmental and Social Framework
farms in swamps and peat-rich areas,
improved to reflect companies’ includes a range of general bans and
and from 2022, projects in IUCN key
prohibited activities related to biodiversity
dependencies and impacts biodiversity areas of the Brazilian Amazon
loss and the fight against deforestation:
on nature and biodiversity and Cerrado.

including just transition. If BBVA concludes that any of the

Projects that threaten UNESCO World circumstances described in the prohibited
Heritage sites, Ramsar-listed wetlands, activities or general bans apply to a project,
Alliance for Zero Extinction sites and it will decline to participate in that project.
International Union for Conservation of
In 2022, BBVA has identified the levels of
Nature category I-IV sites.
environmental impact and dependencies
Projects involving resettlement or for sectors following the methodology of the
infringement of the rights of indigenous ENCORE tool, which enables us to know how
or vulnerable groups without their free, each of the financed sectors has an adverse
prior and informed consent. impact on natural resources. The tool was
developed by the Natural Capital Finance
Alliance in collaboration with UNEP-WCMC.
BBVA conducted an impact analysis using
UNEP-FI’s Impact Tool which assesses the
impacts related to natural capital in most of
the countries in which BBVA is present.

As a member of the TNFD Forum (Task Force water-related KPIs in some key sectors with
on Nature-Related Financial Disclosures), high dependence on this natural resource.
BBVA is following the publication of the In 2020, BBVA Mexico signed the first KPI-
different versions of the framework for the linked loan with a cement company in Latin
management and disclosure of nature- America and in 2021, with a data center,
related risks and opportunities and the apps and services company.
guidelines published for market participants
BBVA has developed internal standards
to begin pilot testing for reporting under the
to promote the financing of sustainable
TNFD framework which is scheduled to be
fishing activities with the MSC and ASC
published in 2023.
(sustainable blue finance) labels, and also
As solutions, BBVA developed a range of supports reforestation projects to offset its
financial products aimed at generating environmental footprint.
positive impacts on the assets that make up
BBVA Research maintains a line of work
natural capital. In 2022, BBVA formalized
on environmental sustainability, including
the first syndicated credit line linked to
biodiversity, with the aim of generating
indicators related to the reduction of the
and raising awareness internally and for
water footprint (Water Footprint Loan), for
society as a whole of its importance and, in
an amount of €2.5bn and with a total of 24
particular, its potential economic impacts.
financial institutions, where BBVA acted as
Outreach work has been done since 2017
the sustainable banking lead (key indicators:
on sustainability on the website www.
water consumption in power generation and
bbva.com in the Planet category titled
CDP Water Score). Also in 2022, BBVA and
‘Biodiversity Conservation.’ Specifically, 46
an Italian company signed a Water Footprint
publications were created, including articles
Loan for €50m (key indicators: water
and videos, which in 2022 attracted more
withdrawal and water leakage). In addition,
than 655 thousand unique users (14% more
BBVA has financed companies through
than in 2021).
sustainability-linked loans that include

Identification and TABLE 07. Natural capital dependency - Heat mapping of portfolios

measurement of other Natural capital

dependency EAD (billions of euros)
environmental risks
Agribusiness 2,2

Paper & forest products 1,3

Following international reference frameworks
such as the SASB Materiality Map and Integrated Oil & Gas 4
rating agencies, BBVA has identified the
sub-sectors of activity it finances and the Water utilities 3,2
most relevant environmental and social Other Food, beverage and tobacco 16
factors of each one, including aspects such
as pollution and waste, biodiversity and land Mining 3,2
use or water resource management. This
Marine transportation 0,4
exercise is included in the “Sector Guide
for the integration of sustainability factors Road and rail transportation 2,7
in credit analysis”, which defines the most
common metrics and reference thresholds Transportation infrastructure operators 3,1
in relation to environmental aspects and
Textiles, apparel and luxury goods 2,9
is used as a support tool in the admission
process. Power generation 16,2

In the case of natural capital, BBVA Air transportation 1,1

has identified the levels of impact and
dependencies by sector following the Steel & Processed Metals 4,7
methodology of the ENCORE (Exploring Other 91,3
Natural Capital Opportunities, Risks and
Exposure) tool developed by the Natural TOTAL 152,3
Capital Finance Alliance in collaboration with
Low or very low Medium High
UNEP-WCMC. This tool provides information
on how the activity of the sub-sectors that
BBVA finances depends on nature and
provides environmental information by
sector.

The activities with the most significant the ENCORE (Exploring Natural Capital
dependencies on natural capital are Opportunities, Risks and Exposure) tool
agoindustry, oil & gas, forestry and paper developed by the Natural Capital Finance
products, food, beverages and tobacco, Alliance, which details water impacts and
and mining. While water, flood and storm dependencies.
protection and climate regulation are the
The results of the assessment are a water
most important ecosystem services on
stress risk scorecard of the customer and
which our loan portfolio depends, confirming
of the assets. The results of this assessment
our current environmental priorities.
lead to the conclusion that water is a key
Given the importance to BBVA’s loan parameter when assessing the credit
portfolio and the dependence on water risk of customers, considering that their
resources in the Power Generation activity may be negatively affected by the
sector, the Group has built a framework physical effects of climate change in the
for conducting detailed water stress risk coming years.
assessments at the customer level. This
assessment was carried out using the
locations of its customer’s power generation
plants, the Aqueduct Water Risk Atlas tool of
the World Resources Institute (WRI), which
identifies water risk at asset locations, and

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
SECTION 04

Metrics and goals

BBVA Report on TCFD 2022 SECTION 04/ METRICS AND GOALS P. 73

Alignment metrics
BBVA is a founding member of the Net BBVA discloses in this TCFD its first annual
Zero Banking Alliance (NZBA) with the progress measurement report for the
goal of being CO2 neutral by 2050. It is also 5 sectors in which it set alignment targets in
a member of the PCAF initiative, which 2021: power generation, autos, steel, cement
establishes an international methodology and coal. The extent of progress is not
for measuring and reporting financed disclosed for the oil & gas sector as it has set
greenhouse gas emissions. targets in October 2022. The methodology
chosen, adapted for each sector, follows
BBVA has published intermediate alignment
the recommendations of the NZBA and the
goals for 2030 in the sectors of power
Guidelines for Climate Target Setting for
generation, oil & gas, autos, steel and
Banks published by UNEP-FI.
cement, and the goal coal phase-out in 2030
in developed countries and 2040 in the rest The following table presents, for the sectors
of the geographies where it operates under in which decarbonization objectives have
the terms indicated in its Environmental and been defined, the details of the metrics
Social Framework. Intermediate targets for chosen, the scope of emissions considered,
the alignment of the aviation and maritime the metric of the current situation, absolute
transport sectors are scheduled to be emissions, the methodology used and the
published in 2023. objective decarbonization by 2030:

TABLE 08. Details about decarbonization goals by sector (BBVA Group 2022)
Attributed emissions
Emission 2020 2030 Target Market Reduction 2022 associated with the
Sector Metric scope baseline1 target Reduction 2021 2022 scenario vs baseline Methodology value chain (M t CO2e)2

Absolute emissions
Oil & Gas upstream (million t)
1&2&3 14 9,8 (30) % 14 - n/a n/a PCAF n/a

Power Emission intensity

1&2 221 107 (52) % 199 212 414 (4.07) % PACTA 3.5
Generation (kg CO2e/MWh)

Emission intensity
Autos (g CO2/v-km)
3 205 110 (46) % 202 195 180 (4.88) % PACTA 0.77

Emission intensity
Steel (kg CO2/t steel)
1&2 1,270 984 (23) % 1,250 1,140 1,750 (10.24) % PACTA 0.82

Emission intensity
Cement (kg CO2/t cement)
1&2 700 579 (17) % 690 690 700 (1.43) % PACTA 0.31

Coal Portfolio trend (€mn)3 n/a * * * - 1,701 - - - 0.31

n/a: not applicable.

(1) Oil & Gas baseline year 2021.
(2) The calculation of the attributed emissions associated with the value chain has been carried out by adding all the emissions from the different NACE sectors of the sectors under analysis. These NACE sectors comprise more sectors than those included in the PACTA
calculation since PACTA is only calculated on the point in the value chain where most of the emissions are generated. This calculation is carried out in this way because, based on the PACTA methodology, it is assumed that by aligning the part of the value chain responsible for
emissions, the sector as a whole is aligned. The calculation has been carried out using the PCAF methodology and includes the emissions of BBVA.S.A. except Portugal branches.
*Phase-out 2030 in developed countries and 2040 in the rest of the geographies where it operates, under the terms provided in the Environmental and Social
Framework.(3) Total commitment (€mn)

The information included in the table above It is important to emphasize that the of ambition. These changes have been
(minus the breakdown on the coal sector) baseline of these metrics may change, due to improvements in the calculation
has been obtained from the consolidated since the sources of information used and methodology and in the databases used.
Non-financial information report, which is the methodology are constantly changing. The primary provider of emissions intensity
part of the BBVA Group’s 2022 Consolidated BBVA’s commitment is to maintain the level information is Asset Resolution, which
Management Report. The information of ambition for reduction despite the fact provides asset information for the portfolio
included in the aforementioned Non- that the baselines may change. included in the calculation perimeter.
financial information report has been The coverage percentage is between 95%
In this sense, the baseline of the power
verified by Ernst & Young, S.L., in its capacity and 100% depending on the sector under
generation, steel and cement sectors
as an independent provider of verification analysis.
has been modified and the objectives
services, with the scope indicated in its
have been adjusted maintaining the level
Verification Report.

1.1. Transition plan and alignment of the Oil & Gas

sector

BBVA is committed to clean energy and will support the energy industry (oil
& gas) in its transition. BBVA will align its exposure to the oil & gas sector
following an absolute emissions metric. Between December 2021 and
o.w. 11% of drawn amount with
14 advanced transition clients
December 2030, the goal has been set to reduce emissions from its credit
portfolio in exploration, drilling and extraction activities by 30% (from 14
mn t CO2e to 9.8 mn t CO2e) in accordance with the 2050 net zero
emissions scenario, the most stringent scenario at this time (not to exceed
a 1.5ºC temperature increase in 2050). In addition, BBVA will not provide
financing directly related to new exploration, drilling and extraction
9.8 projects in this industry.
Absolute Emissions in mn t CO2e

Customers with an advanced level on transition12 represent 11% of BBVA’s

drawn amount in this industry. Therefore, BBVA will focus on engaging with
customers with plans still pending to be elaborated to help them create
robust plans and set clear emission reduction targets. BBVA will also
support these customers in their transition to other forms of low-carbon
power generation through the necessary investments that will facilitate their
diversification and decarbonization.

It is important to note that progress towards our targets is expected to be

non-linear in the short term.

2020 2022 2024 2026 2028 2030

BBVA Portfolio
12. Customers are considered to be advanced in their transition when they show a solid position according to internal
tools such as the Transition Risk indicator (TRi), including the definition of medium-term emission reduction targets, the
identification of reduction levers for the emissions management and the commitment of capital investments to execute its
transition plan and/or other internal evaluations based on the intensity of the customer’s emissions compared to its peers.

1.2. Transition plan and alignment of the power

generation sector

The power generation portfolio (212kg CO2e/MWh) has outperformed

411 426 414

the NZ IEA scenario and the power market as a whole (414kg CO2e/MWh).
This is due to the focus in supporting customers investing in renewables
and the focus on reducing new financing of coal-fired power generation,
with the goal to phase-out coal by 2030-2040, as described in the following
section 1.6.

The size of the power generation portfolio has increased 26% compared
Emissions intensity in kg CO2e/MWh

to 2020 (+25% vs. 2021) driven by increased activity in the sector. Year
2022 has been affected by the global energy crisis, exacerbated by special
weather conditions with severe droughts, below average wind conditions,
nuclear plants under maintenance and some coal plants fulfilling gas fired
221 o.w. 83% of total commitment plants gap.
199 212 with advanced transition clients
BBVA’s performance has been actively driven by putting the focus mainly
107 on customers with an advanced level on transition13 which represent 83%
of the total commitment amount. The average portfolio emissions intensity
remains similar to the starting point in 2020 (221kg CO2e/MWh).

It is important to note that progress towards this target is expected to be

non-linear in the short term.

2020 2022 2024 2026 2028 2030

BBVA Portfolio Market pathway real

13. Customers are considered to be advanced in their transition when they show a solid position according to internal
tools such as the Transition Risk indicator (TRi), including the definition of medium-term emission reduction targets, the
identification of reduction levers for the emissions management and the commitment of capital investments to execute its
transition plan and/or other internal evaluations based on the intensity of the customer’s emissions compared to its peers.

1.3. Transition plan and alignment of the autos

sector

BBVA’s intermediate goal by 2030 is to reduce the carbon intensity of its

portfolio in the autos manufacturing sector by 46%, measured in g CO2/km
of scope 3 emissions. Ultimately, the Group’s commitment is to reach to net
205 202 o.w. 100% of total commitment zero emissions by 2050.
195 with advanced transition clients
The portfolio’s intensity (195g CO2/km) has shortened the gap with the
industry pathway (180g CO2/km), especially during the last year (-7g CO2/
190
180 180 km), even when the size of the portfolio has remained stable compared to
Emissions intensity in kg CO2e/km

2020. This is due to the focus placed in supporting customers investing in

new technologies and on reducing new financing to misaligned customers.
110 The sector continues to transition to decarbonization by investing in the
EVs (electric vehicles) and hybridization. As a matter of fact, in Europe
(BBVA’s core geographical area in this industry) the car production has
remained flattish, with EV and hybrids increasing their market shares, at
the expense of ICE (internal combustion engine) sales. BBVA’s strategy
will be actively driven by accompanying and financing customers with an
advanced level on transition14 which currently represent the totality of the
total commitment.

It is important to note that progress towards these targets is expected to

be non-linear in the short term.
2020 2022 2024 2026 2028 2030

BBVA Portfolio Market pathway real

The market path for autos shows a calculation rounded to tens pending the availability of more granularity
14. Customers are considered to be advanced in their transition when they show a solid position according to internal
tools such as the Transition Risk indicator (TRi), including the definition of medium-term emission reduction targets, the
identification of reduction levers for the emissions management and the commitment of capital investments to execute its
transition plan and/or other internal evaluations based on the intensity of the customer’s emissions compared to its peers.

1.4. Transition plan and alignment of the

steel sector

BBVA has established a reduction target regarding its carbon emissions

intensity by 23% in the steel sector by 2030, measured in kg CO2/tonne of
steel (scope 1+2).
1,750 1,750
The steel portfolio (1,140kg CO2/t steel) has outperformed the steel market
1,750 as a whole (1,750kg CO2e/t steel) consistently the last 2 years, even when
the size of the portfolio has increased considerably compared to 2020
(+27%). This has been possible thanks to the increasing accompaniment
Emissions intensity in kg CO2/t steel

with customers outperforming the market in terms of their carbon

intensity and, in the specific case of Turkey, it has been positively influenced
1,270
1,250 984 by an improvement in the emission factors provided by the data provider
o.w. 68% of total commitment for 2022.
1,140 with advanced transition clients
Decarbonizing the steel industry will require heavy investments in new
production modes EAF (Electric Arc Furnaces) and H2-DRI (Direct
Reduction of Iron with Hydrogen), and an increased proportion of recycled
materials. BBVA’s strategy will be actively driven by accompanying and
financing customers with an advanced level on transition15, which currently
represent 68% of the total commitment in this industry, although it is not
yet reflected in intensities per production unit.

It is important to note that progress towards these targets is expected to

be non-linear in the short term.
2020 2022 2024 2026 2028 2030

BBVA Portfolio Market pathway real

15. Customers are considered to be advanced in their transition when they show a solid position according to internal
tools such as the Transition Risk indicator (TRi), including the definition of medium-term emission reduction targets, the
identification of reduction levers for the emissions management and the commitment of capital investments to execute its
transition plan and/or other internal evaluations based on the intensity of the customer’s emissions compared to its peers.

1.5. Transition plan and alignment of the

cement sector

Cement portfolio’s emissions intensity (690 CO2/t cement) is performing

slightly better than the cement industry as a whole (700 CO2/t cement)
700 700 700 which has remained stable during the last few years, mainly due to the
reduction of BBVA’s portfolio’s size since 2020 (-1.5%).
700 690 690 o.w. 82% of total commitment
with advanced transition clients However, cement production is expected to recover, and by 2050
579
production levels are expected to be 6% higher than today. Thus, the
Emissions intensity in kg CO2/t cement

decarbonization of the cement industry will require the development

and deployment of technology that is not currently available. Appropriate
investment over the next decade will be critical to achieve the foreseen
decarbonization goals.

Key strategies to cut carbon emissions in cement production include

improving energy efficiency, switching to lower-carbon fuels, promoting
material efficiency (to reduce the clinker-to-cement ratio and total demand),
and low carbon innovation (e.g. CCS). BBVA’s strategy will be actively driven
by accompanying and financing customers with transition plans16 which
currently represent 82% of the total commitment in this industry.

It is important to note that progress towards these targets is expected to

be non-linear in the short term.

2020 2022 2024 2026 2028 2030

BBVA Portfolio Market pathway real

16. Customers are considered to be advanced in their transition when they show a solid position according to internal
tools such as the Transition Risk indicator (TRi), including the definition of medium-term emission reduction targets, the
identification of reduction levers for the emissions management and the commitment of capital investments to execute its
transition plan and/or other internal evaluations based on the intensity of the customer’s emissions compared to its peers.

1.6. Transition and alignment

plan for the coal sector

BBVA targets zero exposure17 to coal BBVA’s exposure to thermal coal in 2022 BBVA will however continue to finance
clients by 2030 in the developed countries amounted to €1.7bn defined as the total sustainable projects for these coal clients, in
and by 2040 globally, through engaging commitment weighted by the groups’ the terms of the Environmental and Social
a dialogue with these clients and actively revenues from thermal coal mining or by Framework, in support of their sustainability
monitoring their portfolio. the coal fired power generation installed transition.
capacity. Approximately €1bn of this
Coal clients are defined as those with amount18 is to customers which have an
greater than 5% of group revenue from expectation to transition in time to meet
thermal coal mining for power generation BBVA’s coal phase-out goal.
or clients with revenues derived from
power generation with more than 5% BBVA will work with the customers which do
of installed capacity for electric power not have a transition expectation in order to
generation derived from thermal coal. assess and proactively manage its exposure
For clarification purposes, other indirect to such clients. Furthermore, BBVA will not
activities associated with the foregoing, onboard any new clients nor provide any
such as trading activity or auxiliary financial services to new coal clients subject
services for mining, would be excluded. to the Environmental and Social Framework
with more than 25% of thermal coal group
revenue or more than 25% generation
capacity from thermal coal-fired power
generation.

17. In the terms of BBVA’s Environmental and Social Framework published 18. In estimated terms as of the date of this report according to the
in its corporate website. internal methodology and sources of information used.

Alignment metrics: The Paris Aligned Investor Initiative (PAII), Regarding equity and corporate fixed
Net Zero Investment Framework has been income assets and sovering fixed income
emissions from assets under selected as the target setting framework, (Eurozone) a target of 50% emissions
management (BBVA Asset recommended by the Net Zero Asset reduction by 2030 has been set, using a
Management) Managers initiative, among the most widely metric of emissions intensity per million
used by asset managers and with the of sales. This allows for portfolio growth in
greatest methodological coverage by asset energy efficient, Scope 1 and 2 companies
BBVA Asset Management has joined type. Under this framework, a portfolio as there is insufficient data available to
the Net Zero Asset Managers Initiative alignment target and emission reduction measure Scope 3 emissions in the portfolio.
to reach the year 2050 with portfolios targets by asset type should be established.
In the case of Eurozone sovereign fixed
with zero net emissions. Regarding the
In the portfolio alignment goal, assets that income, a qualitative indicator has been
latter commitment, in 2022 BBVA Asset
have reached Net Zero, are aligned with Net chosen, as recommended by PAII in the
Management announced initial targets for
Zero or are in the process of alignment with absence of methodologies for assigning
decarbonization of portfolios, including 22%
Net Zero are included. emissions to sovereign fixed income. It is
of total assets under management, with the
used the Climate Change Performance
following intermediate targets for 2030:
Index (CCPI), which evaluates a country’s
TABLE 09. BBVA Asset Management (assets under management): intermediate targets to decarbonize the portfolio progress in the fight against climate
change based on the evolution of per capita
Baseline Target % Assets under
Metric year (2021) 2030 Market Scenario Metodology Management emissions, energy efficiency indicators and
climate change policies.
Equity and corporate fixed income assets. Sovereign fixed income (euro zone)
Paris Aligned Investor As a reference scenario in the emissions
% assets aligning or aligned 22%
26% 60% Initiative (PAII), Net Zero reduction pathway, it is used the IEA Net
with Net Zero (12% + 10%)
Investment Framework
Zero 2050 scenario, which is one of the
Equity and corporate fixed income assets most widely used in the financial industry
Paris Aligned Investor and consistent with those used by the BBVA
Average Intensity (million t) 173tCO2 / 50% reduction
Scope 1,2 WACI1 €M sales in emissions
IEA Net Zero 2050 Initiative (PAII), Net Zero 12% Group to set its decarbonization targets.
Investment Framework

Sovereign fixed income (euro zone)

Paris Aligned Investor
Annual
CCPI2 56.5 CCPI Initiative (PAII), Net Zero 10%
improvement
Investment Framework
Initial commitment to decarbonize 22% of its portfolio of assets under management. These assets are part of the portfolios managed in Europe and Mexico and comprise
Eurozone sovereign bonds (10% of total assets under management) and equities and corporate bonds (12%). Asset classes for which there is no reliable data or methods are
outside the scope of the project for the time being. However, this is just an initial commitment. It will be reviewed in the coming years to widen its scope.
Assets not included: Third party Funds, cash and equivalents, real estate and private equity, sovereign fixed income issued by agencies.
(1) Weighted average carbon intensity
(2) Climate Change Performance Index

Channeling sustainable BY CATEGORY(1)

business
Inclusive Climate
growth Change
2018-2022 period 22% 78%
BBVA has again increased its Goal 2025 Pledge,
19

tripling its initial target up to €300,000 mn in the

period 2018-2025. Between 2018 and 2022,
BBVA mobilized a total of €135,871 mn in
sustainable business, distributed as follows: BY CUSTOMER
Microfinance Foundation
5%
C&IB
Accumulated channeling 2018 - 2022 Retail 65%
11%
New target Enterprise
(2022) 19%
€300bn

€136 bn
Channeled from 2018 Target revised BY PRODUCT
(2021)
€200bn Investment products art.8 or 9 under SFDR (2) or similar criteria
outside the EU managed, intermediated or marketed by BBVA (3)
4%
Non-Project Finance
and transactional
Project Finance banking activity
Initial target 5%
74%
(2018) Bonds in which BBVA
acts as bookrunner

€100bn 17%

2018 2019 2020 2021 2022 2023 2024 2025 (1) In those cases where it is not feasible or there is not enough information available to allow an exact distribution between the categories of
climate change and inclusive growth, internal estimates are made based on the information available.
DEC
2022 (2) Sustainable Finance Disclosure Regulation (SFDR).

(3) Includes, in CIB and Enterprise: structured deposits, mainly; and in Retail: structured deposits, insurance policies for electric vehicles and
self-renting of electric vehicles, mainly.
19. For the purposes of the Goal 2025, it is included the channeling of sustainable
business of the entities that are part of BBVA Group as of 12/31/2022 as well as the
BBVA Microfinance Foundation.

2022
CIB
In 2022 it channeled €50bn, distributed as 2022
Other
follows (data in billions of euros):
0.3%(2) Non-Project Finance and
Project Vinance transactional banking activity

CATEGORY BREAKDOWN (1)

6.1% €33.51 72.8%
Bonds in which BBVA acts as bookrunner
2022
20.8%

Inclusive
Growth
19%
ENTERPRISE
€50.00 2022

Non-Project Finance
Bonds in which BBVA acts as bookrunner
Climate and transactional
€10.52
banking activity 8.5%
Change 91.2%
81%
PRoject Finance
0.3%

CLIENT BREAKDOWN (1)

2022
RETAIL
Corporate &
Investment Banking + Investment products art.8 or 9 under SFDR(3)
or similar criteria outside EU managed,
67% FM BBVA Non-Project Finance
intermediated or marketed byBBVA

2022 and transactional banking 3.3%

activity
94.4% €5.97 Other

€50.00 2.3%(2)
Enterprise
21%

Retail
9%
Microfinance
(1) In those cases where it is not feasible or there is not enough information available to allow an exact distribution between the categories of climate change and inclusive growth, internal
Foundation
estimates are made based on the information available.
3%
(2) Includes, in CIB and Enterprise: structured deposits, mainly; and in Retail: structured deposits, insurance policies for electric vehicles and third party renting of electric vehicles, mainly.

(3) Sustainable Finance Disclosure Regulation (SFDR).

For the purposes of the Goal 2025, The aforementioned sustainable business
II
channeling is considered to be any pipeline is a metric that may differ from
mobilization of funds, cumulatively, other metrics of a regulatory nature. In While the concept of channeling is
towards activities or clients considered particular, this metric differs from the cumulative (reflects accumulated balances
to be sustainable in accordance, amount of exposure to sustainable business since 2018), the regulatory metric only
fundamentally, with existing regulations, disclosed under the technical standards includes exposure for the year in question;
internal standards inspired by existing of execution (ITS) on the information of
regulations, market standards such as Pillar 3 related to environmental, social and
the Green Bond Principles, the Social governance (ESG) risks21, whose objective is III
Bond Principles and the Sustainability the measurement of exposure to mitigation While the channeling reflects the total
Linked Bond Principles of the International and adaptation actions22 against climate mobilization of flows, the regulatory metric
Capital Markets Association, as well as change. The reasons for these differences only includes outstanding balances on the
the Green Loan Principles, Social Loan come from the different calculation criteria balance sheet in the fiscal year in question;
Principles and the Sustainability Linked used in both concepts, highlighting the
Loan Principles of the Loan Market following:
Association and best market practices. IV
The foregoing is understood without While the concept of channeling also includes
prejudice to the fact that said mobilization, I the mobilization of flows that contribute to a
both at an initial stage or at a later time, While channeling includes mobilization of purpose of a social nature such as inclusive
may not be registered on the balance financial flows that may not be recorded on growth and other environmental objectives,
sheet. To determine the funds channeled the balance sheet (e.g. transactional banking the regulatory metric only contemplates the
to sustainable business, internal criteria is activity, investment funds, investment or contribution to a climate purpose.
used based on both internal and external bonds in which BBVA acts as bookrunner,
information, either from public sources, etc), the regulatory metric only includes
provided by customers or by a third party exposures within the balance sheet assets;. Among the sustainable business
(mainly data providers and independent
mobilization solutions aimed at contributing
experts)20.
to the fight against climate change and
promoting inclusive growth, the following
stand out:

21. Included in the Implementing Regulation (EU) 2022/2453 of the

Commission of 30 November 2022, amending the implementing
technical standards laid down in the Implementing Regulation (EU)
2021/637.
20. BBVA does not assume any responsibility for the opinions expressed 22. According to the regulatory definition (FINREP) of exposure:
by third parties or for any errors or omissions in the information coming outstanding risk of loans and advances, as well as bonds in the
from external sources. investment portfolio.

Sustainable solutions for Sustainable project finance

wholesale Banking (corporate BBVA remained extremely active in the
and institutional) financing of sustainable projects throughout
2022, participating in the mobilization
of €2,098m (BBVA participation) of
In 2022, BBVA has continued its sustainable finance in the following main
development of sustainable solutions for areas:
wholesale customers. A model has also
been implemented that reaches large
and medium-sized companies, managing
to close transactions with practically all
sectors of the economy. Ranging from
sectors such as power generation, industry Renewable energy
and autos in Europe, to food and tourism in
BBVA has once again consolidated its position as one July Italy October S
Mexico, real estate, cement and livestock
of the most active entities in this type of projects. It has EUR 1,100,000,000 EUR 350,000,00
in Colombia, logistics and recycling in Peru,
closed deals both in Europe (financing for solar projects Project Telkes-206 MW 605MWp Solar PV Por
rail transport in Turkey and the agricultural Solar PV and Wind Portfolio
such as Elawan Energy, wind projects such as Tages
sector in Argentina. The amount mobilized
and the Sancho project for Iberdrola-Mapfre, and wind
comes to €44bn in the wholesale segment:
and hydroelectric portfolio projects such as the Generg MLA, Bookrunner, MLA, Bookrunne
€39bn in climate change and €5bn in Green Coordinator, Underwriter
project for Total-Eren), and in the United States and
inclusive growth. Hedge provider
Canada, highlighting the Goshen Project to finance a
photovoltaic project with BP and Leeward as sponsors in
an American market that has an infrastructure plan for
July Italy October Spain December USA
the implementation of renewable power generation, or June UK July S
EUR 1,100,000,000 EUR 350,000,000 USD 147,000,000
the financing operation in Canada for a solar portfolio with
Project Telkes-206 MW 605MWp Solar PV Portfolio GBPProject Goshen II -
3,900,000,000 EUR 185,000,00
Copenhagen Infrastructure
Solar PV and WindPartners
Portfolio and Latin America, 124,5
OpenMWAccess
Wind PV Portfolio
network 605MWp Solar PV Por
roll-out
which shows BBVA’s support to leading companies in the
implementation of new sustainable technologies.
MLA, Bookrunner, MLA, Bookrunner & Hotel Palace
Green Coordinator, Underwriter
Hedge provider MLA & Bookrunner
Underwriter, Term Loan, MLA & Gr
Bookrunner and Mandated Structuring Adviso
Lead Arranger

June UK July Spain

GBP 3,900,000,000
This English version is a translation of the original in Spanish for information purposes only. In case of aEUR 185,000,000
discrepancy, the Spanish original will prevail.
Open Access network 605MWp Solar PV Portfolio
roll-out
July Italy October Spain December USA
BBVA Report on TCFD 2022 SECTION 04/ METRICS AND GOALS
EUR 1,100,000,000 EUR 350,000,000 USD 147,000,000
P. 86
Project Telkes-206 MW 605MWp Solar PV Portfolio Project Goshen II -
Solar PV and Wind Portfolio 124,5 MW Wind PV Portfolio

MLA, Bookrunner, MLA, Bookrunner &

Other loans different from Project
Green Coordinator, Underwriter July
Finance plus Italy October
transactional bankingSpain
Hedge provider MLA & Bookrunner
activity
EUR 1,100,000,000 EUR 350,000,000
Project Telkes-206 MW 605MWp Solar PV Portfolio
Solar PV and Wind Portfolio
Sustainable infrastructure projects
In 2022, in the area of sustainability-linked
BBVA has been particularly active in financing June UK July Spain
corporate lending, the Bank globally mobilized
telecommunications projects, given the key role they MLA, Bookrunner, MLA, Bookrunner &
GBP 3,900,000,000 EUR 185,000,000 €14.06bn in financing transactions linked
Green Coordinator, to
Underwriter
play from a societal perspective as facilitators in Open Access network 605MWp Solar PV Portfolio Hedge provider
roll-out the achievement of certain environmental
accessing new technologies, digitalization and their
and social indicators (KPI-linked) and to the
contribution to economic development. Transactions in
Hotel Palace customer’s ESG rating (ESG-linked).
Europe (City Fibre, the largest fiber finance project in the
United Kingdom) and in the United States (“Stack-IPI,” Underwriter,
Bookrunner and Mandated
Term Loan, MLA & Green
Structuring Advisor
Lead Arranger Spain June UK July Spain
a project for the construction and operation ofJuly
a data Italy October December USA

center) stand out. EUR 1,100,000,000 EUR 350,000,000 USD 147,000,000

BBVA
GBPcontinues
3,900,000,000working to offer innovative
EUR 185,000,000
Project Telkes-206 MW 605MWp Solar PV Portfolio Project Goshen II - solutions to
Open Accessits customers
network
roll-out
and has launched
605MWp Solar PVaPortfolio
Solar PV and Wind Portfolio 124,5 MW Wind PV Portfolio
new financing linked to KPIs specifically related
to water that focuses on reducing the water
Hotel Palace
footprint of our customers (Water Footprint
MLA, Bookrunner, MLA, Bookrunner &
Green Coordinator, Underwriter
July 2022 MLA 2022
January & Bookrunner
Loan) which
October
Bookrunner
has2022
Underwriter,
and Mandated
Term Loan, MLA & Green
already been formalized
Structuring Advisor
Hedge provider
with two of them, in Spain and Italy. This loan
Lead Arranger
EUR 2,500,000,000 EUR 2,500,000,000 EUR 2,000,000,000
Syndicated Sustainable
is of special interest to companies that make
Syndicated Sustainable Syndicated Sustainable
Real Estate KPI-linked RCF KPI-linked Facilities intensive useKPI-linked
of waterRCFin their production
process, such as those operating in the energy
BBVA’s leadership in this sector also stands out,
Junehaving UK July Spain
sector, among others.
actively participated in more than 25 social housing
GBP 3,900,000,000 EUR 185,000,000
Sustainable Coordinator, Sustainable Coordinator, Sustainable Coordinator,
projects in Mexico, Peru and Colombia, as well as
Open Access network
Glogal Coordinator, Bookrun-
605MWp
ner & Solar PV Portfolio
MLA Arranger
Bookrunner & MLA Bookrunner & MLA
roll-out
leading transactions such as the “Palace Hotel” in July 2022 January 2022
Madrid, where BBVA acted as Green Structuring Advisor,
Hotel Palace EUR 2,500,000,000 EUR 2,500,000,000
signed in July in Spain. Syndicated Sustainable Syndicated Sustainable
Underwriter, Term Loan, MLA & Green KPI-linked RCF KPI-linked Facilities
Bookrunner and Mandated Structuring Advisor
Lead Arranger

Sustainable Coordinator, Sustainable Coordinator,

Glogal Coordinator, Bookrun- Bookrunner & MLA
ner & MLA Arranger

This English version is a translation

Julyof the original in Spanish for
2022 information
January 2022 purposes only. In October
case of 2022
a discrepancy, the Spanish original will prevail.
Project Telkes-206 MW 605MWp Solar PV Portfolio Project Goshen II -
Solar PV and Wind Portfolio 124,5 MW Wind PV Portfolio
BBVA Report on TCFD 2022 SECTION 04/ METRICS AND GOALS Hotel Palace P. 87

Underwriter, Term Loan, MLA & Green

Bookrunner and Mandated Structuring Advisor
MLA, Bookrunner, MLA, Lead
Bookrunner
Arranger &
Green Coordinator, Underwriter
Hedge provider MLA & Bookrunner

Company Description

Cellnex € 2.5
Junebn in financing UK linked toJuly
the client’s Spain
sustainability framework, making it one of the
In Spain, GBP 3,900,000,000
first Spanish
Open Accesscompanies
network to link
EUR2022
July 185,000,000
its syndicated
605MWp Solar PV Portfolio
January 2022 October 2022
roll-out
BBVA has taken on the role of sustainable bank financing to its global sustainability
EUR 2,500,000,000 EUR 2,500,000,000 EUR 2,000,00
Syndicated Sustainable Syndicated Sustainable Syndicated Sust
lead in several key deals. framework. KPI-linked RCF KPI-linked Facilities KPI-linked R
Hotel Palace

Underwriter, Term Loan, MLA & Green

Bookrunner and Mandated Structuring Advisor
Lead Arranger
Sustainable Coordinator, Sustainable Coordinator, Sustainable Coor
Glogal Coordinator, Bookrun- Bookrunner & MLA Bookrunner &
ner & MLA Arranger

Cepsa Pioneering Oil & Gas company in signing a

KPI-linked deal in Spain. This is a KPI-linked
July 2022 January 2022 October 2022
deal in the form of a revolving credit facility in
theEUR 2,500,000,000
amount EURperformance
of €2bn linked to the 2,500,000,000 EUR 2,000,000,000
Syndicated Sustainable Syndicated Sustainable Syndicated Sustainable
of environmental
KPI-linked RCF and social sustainability
KPI-linked Facilities KPI-linked RCF

indicators.

Sustainable Coordinator, Sustainable Coordinator, Sustainable Coordinator,

Glogal Coordinator, Bookrun- Bookrunner & MLA Bookrunner & MLA
ner & MLA Arranger

Bonds in which BBVA acts as

continues to innovate with solutions for its
bookrunner
customers that seek to drive improvement
in aspects related to sustainability, such During 2022, BBVA acted as bookrunner in
Outside Spain, as, for example, reverse factoring linked bond issuances:
BBVA has spearheaded several landmark to sustainability, based on a service of
operations, including a number of the main assessment and classification of its suppliers
Amount intermediated
syndicated finance deals in Germany, the based on sustainability criteria, which allows it
Bookrunner: (in Billion €)
UK, Italy, the US, Mexico, Peru and Colombia. to offer better discount prices to suppliers that
have a higher score in relation to these criteria, Green bonds 3.24
The Group continues to work on formats
in addition to being able to support customers
that seek to drive positive sustainability
in the reduction of their Scope 3 emissions.
behaviors from its customers, in line with the
Social bonds 0.419
goals of the Paris Agreement..

Sustainable bonds24 2.49

In this line, the signing of a circular reverse
factoring solution with the customer ENDESA
stands out, with the aim of improving the Bonds linked to 1.71
This has contributed to making BBVA
competitiveness of supplier companies, sustainable indicators
one of the leading entities, as sustainable
while rewarding good sustainable practices.
coordinator for the sixth consecutive year,
The areas in which circular economy actions
positioning itself as the leading Spanish bank
can be accredited are energy management,
both in number of sustainable coordination TOTAL 7.86
emission reduction, waste recovery, water
mandates and in volume, where operations
management and implementation of business
stand out significant in various sectors23.
strategies for environmental management and
In the transactional banking, area, BBVA has circular economy.
participated in transactions for an amount of
€8.85bn, issued under its “CIB Sustainable
Products Framework”, which is available on
the bank’s corporate website. In addition, it

23. Refinitiv: Corporate finance and project finance at global level in

euros.
24. Includes both climate action and an inclusive growth

#BBVA BONDS LINKED TO

has led the intermediation of BBVA also continues to support the SUSTAINABLE INDICATORS
green, social and sustainable development of the green bond market in
Mexico, Colombia, Argentina and Asia, as Francia
bond issues, as well as KPI-linked
lead arrangers of the inaugural issuance of Teleperformance y Pernod Ricard
bond issues in the United States,
bonds in these regions. México
Mexico, Latin America, Asia and
Grupo Herdez, GCC, FEMSA y Orbia
Europe, including Spain, where the
activity of European customers in Italia
A2A
2022 stands out:
SOCIAL BONDS
Mexico
KOF and Banco Compartamos
GREEN BONDS These actions have positioned BBVA as
France
the most active bookrunner in Spain for
France Caffil
sustainable bonds issued by corporates in
Prologis International and La Banque Postale Spain euros by volume, and 18th worldwide25.
Cajamar
Germany
Volkswagen

Italy
Hera y A2A
SUSTAINABLE BONDS
Ireland
Mexico
ESB
The state-owned company of the Ministry of
Finance and Public Credit, Edomexico, KOF
Spain
and América Móvil
Acciona Energía, Unicaja and Iberdrola
Spain
Portugal Community of Madrid, Government of
EDP Navarra and Telefónica

China 25. Source: Bloomberg. Corporates in euros.

State Grid

Sustainable solutions Sustainable solutions related In 2021, BBVA in Spain was already providing
its individual customers with sustainable
for retail customers to energy efficiency and formats for most of the products it sells. In
decarbonization 2022, products were incorporated globally
and, in the main geographical areas where
In 2022, BBVA continued to develop tools
BBVA is present, sustainable alternatives are
and solutions based on data that help retail BBVA is working on making available offered, at least for the financing of hybrid
customers to estimate their CO2 emissions, to retail customers various products, and electric vehicles and mortgages for
in addition to continuing to promote different both investment and financing products, homes with high energy ratings (except in
financing and investment products that help which seek to promote positive behavior Argentina).
them in this transition to a more sustainable in sustainability matters, adapting to the
economy, adapting to the situation in each situation of the geographical areas in
of the geographical areas in which the Group which the Group operates. Thus, the offer
operates. In relation to energy efficiency in homes,
of sustainable solutions in the different
BBVA has carried out two types of actions:
In 2022, BBVA mobilized €5.97bn in countries aims, among other things,
firstly, to facilitate financing at the point of
sustainable business in the retail segment: to support energy efficiency and the
sale through alliances with retail chains in
€1.469bn in climate change and €4.401bn in decarbonization of the economy, with
Mexico, Argentina and Colombia for the
inclusive growth. products such as:
purchase of energy efficient appliances
and, secondly, to facilitate financing for the
purchase and installation of solar panels (in
the case of Spain, during 2022, this has been
Loans for the purchase of hybrid and
During 2022,
BBVA mobilized a total of € 5.97bn electric vehicles promoted through an alliance with a large
company in the country’s energy sector).

€2.921bn €0.081bn
BBVA Green mortgages for homes with high
Microfinance
Fondations
energy ratings
€0.767bn €0.121bn
€1.466bn

€0.564bn €0.05bn Loans for the improvement of

energy efficiency in housing and self-
Figures in billions of euros
consumption

In relation to SMEs, plans have been

launched to promote mobility and energy
During 2022 BBVA Financing for 2022
efficiency, highlighting the performance of
channeled a total of: € 1.47bn has multiplied compared to 2021

these lines of financing in Colombia, where

vehicles, solar panels and sustainable
agriculture projects, among others, are
financed. In Mexico, a product was created Hybrid and electric vehicles €199m
for SME finance with different conditions x2 Mexico x4 Turkey
depending on the sustainable purpose of the
finance.

The green mortgage €870m

In this way, in 2022, BBVA has channeled x4 Colombia x5 Peru
a total of €1.47bn in sustainable solutions
in the retail area, mainly focused on the
following four main lines: €199m for the
purchase of hybrid and electric vehicles, Energy efficiency measures in homes €60m
€870m in green mortgages, €60m in x18 Argentina
energy efficiency measures in homes,
such as the purchase of energy-efficient
equipment or home refurbishment, and
€151m in financing for the purchase and Self-consumption €151m
installation of solar panels. x30 Spain

Sustainable investment
solutions

In 2022, BBVA Asset Management Commitment to sustainable investment EXCLUSION POLICIES. An exclusions
(BBVA AM), the Group’s investment best practices such as ADHERENCE TO rule was approved for the entire BBVA AM
management unit that brings together all THE PRINCIPLES FOR RESPONSIBLE business that includes:
asset management activities worldwide, INVESTMENT PROMOTED BY THE
continued with its sustainability integration · Exclusion of companies in breach of
UNITED NATIONS AND THE NET ZERO
plan. The plan took specific form, among international standards and treaties
ASSET MANAGERS COMMITMENT
others, in the following developments: related to good practices in labor rights,
to reach 2050 with net zero emission
human rights and anti-corruption
portfolios. In 2022, regarding the latter
policies,
commitment, BBVA AM announced
INCORPORATION OF THE ESG EXTRA- some initial targets for decarbonization of · Exclusions of certain activities, such as
FINANCIAL CRITERIA in the process of portfolios, including 22% of total assets controversial armament, coal, and oil &
investment and risk control decision- under management, with the following gas linked to tar sands and the Arctic,
making for vehicles and portfolios they intermediate targets for 2030: and
manage, both in the investment process
and voting policy. Once this model was · reduction of 50% of emissions in the · Additional sectoral exclusions for
developed for assets under management equity and corporate fixed-income sustainable products.
in Europe, during 2022 BBVA AM worked portfolio, and
towards its incorporation into assets · improved CCPI (Climate Change
under management in Mexico. Performance Index) for eurozone This policy already applies to all assets under
sovereign debt. The CCPI is an index management in Europe and Mexico.
that annually monitors climate
Environmental
protection performance by country.
Risk

Social
ESG
Risk

Governance
Risk

During 2022, BBVA AM continued to expand The assets managed under the criteria During 2022, a standout was the work
its offering of sustainable products, i.e. described above at year-end 2022 and 2021 carried out to expand and adapt the offer
products that follow sustainability targets or are shown below: of sustainable products in Spain to the
metrics in their investment policy. BBVA AM evolution of the regulation, so as to have
now markets 9 new investment funds (8 in an offer that covers a wide range of assets,
Spain, 1 in Mexico), bringing the total number TABLE 10. Assets Under Management risk profiles and vehicles available to our
of investment vehicles using sustainability (BBVA AM. Millions of euros) customers.
targets and metrics to 33. Assets under
2022 2021
management in sustainable solutions at
TOTAL 124,601 119,307
the end of 2022 amounted to €7,020m Also noteworthy is the launch in Mexico of
(€5,598m in 2021), and net acquisition of Europe 74,599 80,981 the industry’s first ETF to replicate an index
new funds was €976m (€1,559m in 2021). that incorporates ESG criteria along with
Mexico 35,614 30,179
smart beta criteria. To this end, a change was
In the retail banking segment, it is worth
South America 7,384 4,252 made to the index of the Mextrac Mexican
noting that €3,133m correspond to funds
equity ETF, working with the index provider
that promote ESG characteristics, that 108
Turkey 7,005 3,895 to incorporate sustainability criteria in its
million euros correspond to funds with a
construction and attracting new customers.
sustainable investment objective and that
2,593 million euros correspond to pension
SRI strategy applied
plans that promote ESG characteristics.
Exclusion1 110,213 119,307

Vote2 110,213 111,160

Integration3 110,213 80,981

(1) The exclusion strategy, with the exclusion policy approved in 2021,
applies to assets managed in Europe and Mexico.

(2) The voting strategy is applied to 100% of the assets under

management in Europe for those instruments, in BBVA AM portfolios,
that generate voting rights and their issuers are in the European and
US geographical areas and in the business of AM México for those
issuers that generate voting rights and their issuers are in the Mexican
geographic area.

(3) The integration strategy is applied in SRI pension plans and mutual
funds of the Europe business and, since 2022, AM Mexico.

Circular economy

BBVA is committed to using recycled In this line, BBVA in the main geographies in
material for its cards. The Aqua card has which it is present, also offers sustainable
been launched in Spain in its credit, debit cards with 85.5% recycled PVC plastic for
and prepaid modalities, manufactured customers who renew a Visa International
100% with recycled PVC (polyvinyl chloride) and Visa Gold credit card, with the idea of
plastic, thus reducing the amount of new gradually extending this concept to all BBVA
natural resources that have to be used for credit and debit cards.
its manufacture. In addition, the Aqua card
offers the possibility of not issuing a physical
card at all.

Management of Group eco-efficiency plan

2021-2025
direct environmental
impacts In its objective of reducing environmental
impacts, BBVA, within the framework of
BBVA has a clear commitment to both the 2025 Goal, will recommend, on the one
society and the environment. The global hand, a 68% reduction in Scope 1 and 2
strategy of the reduction of direct impacts is CO2 emissions compared to 2015 and, on
organized around four core elements: the other hand, a consumption of 70% of
electricity from renewable sources in 2025,
reaching 100% in 2030. In line with the latter
objective, BBVA has been a member since

1
2018 of the RE100 initiative, through which
Reduction in consumption through the energy efficiency initiatives the world’s most influential companies
commit to making their energy 100%

2
renewable by 2050. For its part, on the other
Use of renewable energy
hand, BBVA continues to make progress
towards reaching 100% by 2030.

3 Awareness and involvement of employees and other stakeholders in the

path toward a low-carbon economy; and
In 2021, BBVA established a new Global Eco-

4
efficiency Plan for the period 2021-2025,
Compensation of its environmental footprint in scope 1, 2 and part of scope 3 setting more ambitious targets, aligned with
(category 5 waste, category 6 emissions from business trips and category 7 its climate strategy, focused on reducing
displacements of employees of central services that represent 35.8% of the total direct impacts and achieving the 2025 Goal:
number of employees object of the report)I through the purchase of project
credits from the Voluntary Carbon Market to comply with the commitment
acquired in 2021 to be a carbon-neutral company by 2050.

I. Reported Scope 3 emissions do not include the following categories defined in the GHG Protocol: Category 1 purchase of goods and services;
Category 2 capital goods; Category 3 fuel and energy-related activities (not included in scope 1 or 2); Category 4 upstream transportation and
distribution; Category 7 transportation of network workers (accounting for 64.2% of the total reported); Category 8 upstream leased assets; Category
9 transportation and distribution; Category 10 processing of products sold; Category 11 use of products sold; Category 12 end-of-life treatment of
products sold; Category 13 downstream leased assets; Category 14 franchises; Category 15 investments. For information on Category 15 Investments,
see the section “Management of risks associated with climate change”. The scopes excluded to date could be material.

TABLE 11. Goal 2025 and global eco-efficiency plan 2021-2025 (BBVA Group) generation of renewable energy by the
installation of solar photovoltaic and
Goal GEP
Vector Indicators solar thermal panels in the Group’s
target* target**
Renewable electricity (%) 70 % 77 % facilities, as is already happening in
a number of subsidiaries in Turkey,
Electricity consumption per employee (MWh/Employee) (10) %
Uruguay and Spain.
Energy consumption per employee (MWh/Employee) (7) %
Consumptions
Water consumption per employee (m3/Employee) (11) %

Paper consumption per employee (kg/Employee) (11) % Implementation of ENERGY SAVING

Circular economy Net waste per employee (t/Employee) (4) % MEASURES (ESMs) for the operation
Carbon footprint Scope 1&2 carbon emissions (tCO2e) (68) % (67) % of buildings, to control and reduce
Sustainable building consumption.
Environmentally certified area (%) 45 %
* Base year 2015.
** (2) Base year 2019. For the 2021-2025 Eco-efficiency Plan, 2019 is taken as the base, since the consumption values for 2020 are distorted due to the effect of the
COVID-19 pandemic.
Initiatives for THE REDUCTION OF
WATER CONSUMPTION, such as gray
water recycling systems and rainwater
recirculation for irrigation in the
This plan is based on four lines of ELECTRICITY CONSUMPTION: BBVA’s headquarters of Spain and Mexico, and
action: strategy is focused on the use of the installation of waterless urinals in
renewable energy as a key lever to some of the buildings in Spain.
contribute to the decarbonization of
1. CONSUMPTION the energy markets where the Group
is present. The strategy consists of Finally, there are measures for the
With the aim of reducing BBVA’s reaching Power Purchase Agreements, digitalization and centralization
environmental footprint26, the following lines such as those already in place in of printing TO REDUCE THE
of actions will be implemented: Mexico, Spain and Argentina, and CONSUMPTION OF PAPER, which
acquiring renewable energy certificates, is also recycled or environmentally
such as Guarantees of Origin in Spain certified in most of the geographical
and Portugal, or international renewable areas (Argentina, Colombia, Spain,
energy certifications (iRECs) in Mexico, Mexico, Peru, Turkey and Portugal) by
Colombia, Peru and Turkey. There 79.2% in 2022.
26. Certain geographical areas (Venezuela, Chile, Bolivia, Switzerland,
the United States, Brazil and BBVA branches outside Spain) and certain will also be a commitment to self-
BBVA Group companies in Spain and Turkey, which represent 8.2% of the
BBVA Group’s total number of employees, are not included in the scope.

2. CIRCULAR ECONOMY 3. CARBON FOOTPRINT

Waste generation is becoming a serious The increase in hazardous waste generation The reduction of the carbon footprint is one
problem at global level, so part of BBVA’s in 2022 is due to the replacement of facility of the goals established within the Goal 2025.
contribution to sustainable development components at the end of their useful life. BBVA’s total emissions are composed of:
must consist in transitioning linear This equipment replacement is necessary
SCOPE 1 GREENHOUSE GAS
consumption practices to circular to ensure the continuity of the facilities.
EMISSIONS, comprising DIRECT
consumption. BBVA has been working for Throughout 2022, initiatives have been
EMISSIONS from own-use property
many years to reduce this impact through established to reduce disposable single-use
combustion facilities, vehicle fleet fuels
sustainable construction standards and plastics, so the value is not reported as it is
and refrigerant gases.
the implementation of ISO 14001-certified negligible.
Environmental Management Systems.
It has also implemented Aenor’s Zero
Waste certification in Ciudad BBVA, SCOPE 2 GREENHOUSE GAS
BBVA’s headquarters in Spain. The goal is EMISSIONS, including INDIRECT
to minimize the amount of waste sent to EMISSIONS related to the production of
landfills. The Bank’s facilities have clearly electricity purchased for and consumed
differentiated and marked areas that enable by buildings and branches.
to carry out a proper sorting and subsequent
recycling of waste.
SCOPE 3 GREENHOUSE GAS
EMISSIONS, which INCLUDE OTHER
INDIRECT EMISSIONS At BBVA, this
TABLE 12. Waste (circular economy)
scope includes emissions from business
2022 2021
travel (by plane and train), emissions
Hazardous waste (tons) 440 120 from waste management and emissions
Recycled hazardous waste (tons) 293 58 from the commuting of employees from
Disposed hazardous waste (tons) 147 62 central services to the work center.
Non-hazardous waste (tons) 4,129 4,251
Recycled non-hazardous waste (tons) 1,410 2,207
Disposed non-hazardous waste (tons) 2,719 2,044

Both Scope 1 and 2 emissions and Scope 3

emissions are calculated taking into account 4. SUSTAINABLE CONSTRUCTION
the GHG Protocol standard established by
the World Resources Institute (WRI) and
the World Business Council for Sustainable
Another of the objectives is to guarantee the With respect to management certifications,
Development (WBCSD).
implementation of the best environmental BBVA has implemented an Environmental
BBVA is a neutral company in terms of CO2 and energy standards in BBVA buildings Management System in many of its
emissions related to the aforementioned to achieve a large percentage of buildings, based on the ISO 14.001:2015
categories and offsets its carbon emissions environmentally certified surface area. standard, which is certified every year by
through the purchase of credits in the In fact, the BBVA facilities hold a number an independent entity. This certification is
Voluntary Carbon Market. Moreover, in line of construction and management used to control and evaluate environmental
with the recommendations of the Taskforce certifications. performance in the operations of some of
on Scaling Voluntary Carbon Markets, its buildings. This system is implemented
Among the construction certifications, there
BBVA has established requirements for in 86 buildings and 1,022 branches in the
are 16 buildings and 10 Group branches with
the selection of projects with which to main countries where the Group operates.
the prestigious LEED (Leadership in Energy
offset its residual emissions. Among these In 2022, BBVA Mexico expanded its area
and Environmental Design) certificate for
requirements are the obligation for projects certified under this management system
sustainable construction. These buildings
to be certified under the maximum quality to four new buildings (42,260 sq m).
include the Group’s headquarters in Spain,
standards such as the Verra Verified Carbon Finally, three of the buildings in Spain,
Mexico, Argentina and Turkey. Three of them
Standard (VCS) and the Gold Standard, the BBVA Argentina headquarters and
have also received the highest certification,
American Carbon Registry (ARC), Climate ten branches in that country also have an
LEED Platinum. We also hold 7 WWF Green
Action Reserve (CAR) and Plan Vivo; and Energy Management System certified by an
Office labels in Turkey and 20 Edge badges
that preferably are CO2 absorption or independent third party that meets the ISO
in Peru. These certifications promote the
capture projects. The projects selected in 50.001:2018 standard.
reduction of our environmental footprint and
2022 have been 4 reforestation/afforestation
carbon emissions.
projects (Carbioin, Scolette, Cumare,
Guarané) and 2 wind farms (Manantiales
Wind Farm and Rotor Elektrik).

TABLE 13. Evolution of the global eco-efficiency plan indicators (BBVA Group)1 Goal 2015-202527
Achievement Objective Objective
Values 2022
2022 (∆ 22-19)2 PGE 22-19 PGE 25-19
Renewable electricity (%) 92% 92 % 74 % 77 % Environmental performance 2022
Electricity consumption per employee (MWh/Employee) 3 5.74 (14) % (6) % (10,0) %
92%
Energy consumption per employee (MWh/Employee)4 6.30 (16) % (5) % (7) % 79%

39%
Water consumption per employee (m3/Employee) 16.58 (12) % (2) % (11) % 33% 66% 67% 70%

—%
Paper consumption per employee (kg/Employee) 34.05 (31) % (9) % (11) % (13)%

(41)%
(48)%
Net waste per employee (t/Employee)5 0.03 (8) % (2) % (4) % (68)%

Scope 1&2 carbon emissions (tCO2e)6 52,966.20 (79) % (62) % (67) % (67)%
(81)%

2015 2019 2021 2022 2025

Environmentally certified area (%)7 44 % 44 % 41 % 45 %
% of Renewable Electricity
(1) Data for the last months of 2022 have been estimated due to the non-receipt of media.
Objective Renewable Electricity Goal (15-25)
(2) Achievement in the year 2022 with respect to the base year 2019. The achievement of the renewable electricity and environmentally certified area indicators is the %
Objective Goal Rediction of CO2 emissions Scope 1+2 (15-25)
resulting in 2022.
% Reduction of CO2 emissions Scope 1+2 compared to 2015
(3) Includes the sum of renewable and non-renewable electricity (per employee).
(4) Includes the consumption of electricity and fossil fuels (natural gas, Liquified Petroleum Gas -LPG-, diesel, coal).
(5) Net waste is the total waste generated minus the waste that is recycled. To obtain the 2022 achievement, the reference data for 2019 of net waste has been restated,
including the estimate of recycled waste, since its measurement was not incorporated until 2020.
(6) Includes scope 1 (fuels in installations and vehicle fleet and refrigerant gases), scope 2 market-based. The reference data for 2015 and 2019 of Scope 1 emissions has been
restated, including the estimation of Refrigerant Gas emissions and Fleet fuels as its measurement was incorporated in 2021. BBVA’s environmental performance data
(7) Includes IS0 14001, ISO 50001, LEED, Edge and WWF Green Office certifications. obtained in 2022 and the progress achieved
with respect to 2021 are shown in the
The Group’s environmental footprint shows following table:
positive data with respect to the base year
2019, exceeding in all areas the objectives
defined for this moment, with reductions of
(79)% in Scope 1 and 2 emissions (according
to the market-based method), (14)% in
electricity consumption, (16)% in energy
consumption, (12)% in water consumption,
(31)% in paper and (8)% in net waste (all data
points are per employee). The percentage
of renewable electricity consumption has
27. In order to establish the objectives of achieving the Goal 2015-2025,
reached 92%, and the environmentally the consumption data for 2015 are taken as a reference. The reference
data for 2015 and 2019 of Scope 1 emissions has been restated, including
certified area was 44%. the estimation of Refrigerant Gas emissions and Fleet fuels as its
measurement was incorporated in 2021..

TABLE 14. Environmental footprint (BBVA Group)I Given the business activities in which the BBVA Group
engages, the Group has no environmental liabilities,
2022 2021VIII ∆ 22-21
expenses, assets, provisions or contingencies that are
Total water consumption (cubic meters) 1,809,571 1,934,769 (6.5) % significant in relation to its equity, financial position
Public water supply (cubic meters) 1,727,582 1,882,391 (8.2) % and earnings. As such, as of December 31, 2022, the
Recycled water (cubic meters) 81,989 52,377 57 %
accompanying consolidated Annual Accounts do
not include any item that warrants inclusion in the
Paper (tons) 3,718 3,640 2%
environmental information document provided for in
Total Energy (Megawatt hour)II 688,158 707,920 (2.8) % Order JUS/616/2022, of June 30, approving a new
CONSUMPTION
Energy from renewable sources (%) 83.9 % 71.3 % 18 % template for filing the Consolidated Annual Accounts at
Energy from non renewable sources (%) 16.1 % 28.7 % (44) % the Companies Register for those entities obligated to
disclose such information.

Scope 1 emissions (t CO2e)III 41,395 51,038 (19) % n.a.: not available

I. The data reflected here includes the countries Argentina, Colombia, Spain and Portugal,
Emissions from fuels in facilities (t CO2e) 11,783 14,799 (20.4) % Mexico, Peru, Turkey and Uruguay. Certain geographical areas are not included in the perimeter
(Venezuela, Chile, Bolivia, Switzerland, the United States, Brazil and BBVA branches outside
Emissions from vehicle fleet fuels (t CO2e) 10,163 8,546 19 % Spain) or certain BBVA Group companies in Spain and Turkey, which represent 8.2% of the total
employees of the BBVA Group. Some of the data for 2022 is estimated since at the end of the
Emissions from refrigerant gases (t CO2e) 19,450 27,693 (30) % report the complete information for the year was not yet available.
II. Includes the consumption of electricity and fossil fuels (diesel, natural gas and LP gas),
Scope 2 emissions (tons CO2e) market-based method IV
11,571 42,152 (73) % except fuels consumed in fleets.

Scope 2 emissions (tons CO2e) location-based methodV 199,183 204,977 (3) % III. Emissions derived from direct energy consumption (fossil fuels) and calculated based
on the emission factors of 2006 IPCC Guidelines for National Greenhouse Gas Inventories.
For its conversion to CO2e, the IPCC Fifth Assessment Report and the IEA have been used as
Scope 1&2 emissions (tons CO2e) market-based method 52,967 93,190 (43) % sources. As of 2021, the emissions derived from the use of the vehicle fleet and from refrigerant
gas leaks in our facilities were included in this scope, applying the DEFRA emission factors to
Scope 1&2 emissions (tons CO2e) location-based method 240,578 256,016 (6) % calculate CO2e emissions in all geographical areas, including Turkey.

Scope 3 emissions (t CO2e) VI

37,026 4,254 770 % IV. Emissions derived from electricity consumption and calculated based on the contractual
data and, failing that, the latest emission factors available from the IEA for each country.
Emissions from waste management (t CO2e) 1,367 1,116 22 % V. Emissions derived from electricity consumption and calculated based on the energy mix of each
geographical area. The emission factors are the latest available according to IEA for each country.
CARBON Recycled hazardous waste (%) 66.0 % 48.0 % 18.0 % VI. Indirect emissions derived from business trips (plane and train), waste management and
FOOTPRINT employee travel, using the emission factors published by DEFRA in 2022. Substantial increase
Recycled non-hazardous waste (%) 34.0 % 52.0 % (18.0) % in 2022 compared to 2021 due to the elimination of travel restrictions of business after the
pandemic and the return of employees to the workplace in a hybrid model. For the commuting
Donated IT equipment (units) 1,154 1,225 (6) % emissions of our employees, only Commuting commutes by Central Services employees have
been taken into account, incorporating in 2022 the data from Turkey (2,320 tons CO2e), which
Emissions from business travel (t CO2e) 14,568 3,138 364 % in 2021 were not included for this category.
VII. The impact of greenhouse gas emissions for 2022 is calculated using only Scope 1 and 2
Emissions from employees commuting (t CO2e) 21,091 5,325 296 % emissions and using the CO2 social cost factor based on a proportional estimate of the 2020
EPA social cost of carbon ($51/tCO2) and for 2025 ($56/tCO2), (3% discount rate, with an
Total CO2e emissions (t CO2e) market-based method 89,992 97.444 (8) % exchange rate of €1,153/$).
VIII. The data for 2021 differs from that published in the previous Non-Financial Information
Total CO2e emissions (t CO2e) location-based method 277,604 260,269 7% Report because the estimates included at the end of the 2021 financial year have been replaced
by the actual consumption available after the publication of said report and certain values have
Impact of emissions (Scope 1&2) (€)VII 2,434,718 4,096,258 n.a. been modified according to to the corrected data.

Management of To carry out its effective implementation,

BBVA receives advice from an independent
Equator Principles

indirect environmental external expert who performs due diligence

on the clients covered by the Framework in Energy, transport and social service
social impacts order to mitigate the risks associated with infrastructures, which drive economic
these sectors. development and create jobs, can have an
impact on the environment and society.
BBVA addresses environmental, natural For the annual Framework review, new
BBVA, evaluates the financing of projects to
capital and social risks from the perspective market trends, the expectations of
reduce and avoid negative impacts and, in
of impact prevention and mitigation. To do stakeholders and the strengthening of the
this way, enhance their economic, social and
this, it uses tools such as its Environmental implementation procedures are considered.
environmental value.
and Social Framework or the Equator
In the last review, dated October 202228, the
Principles, which have an environmental and All decisions to finance projects are
main new features were as follows:
social focus. based on the criterion of principle-aligned
Elimination of exceptions to coal bans for returns. This implies meeting stakeholder
countries with high energy dependence expectations, considering the social demand
and no viable alternatives. for the fight against climate change and
Environmental and social respect for human rights.
New restriction in the energy sector,
framework
with a prohibition to finance “new Since 2004 BBVA has adhered to the
projects or expansion of existing oil & Equator Principles (EP), which include
gas exploration, drilling and extraction a range of standards for managing
In 2020, the Environmental and Social
projects (conventional and non- environmental and social risk in project
Framework for the mining, agribusiness,
conventional).” finance, which were developed on the basis
energy, infrastructure and defense sectors
of the International Finance Corporation’s
(hereinafter the Framework) was approved. New restriction in the agribusiness sector,
(IFC) Policy and Performance Standards
with the prohibition to finance “projects in
The Framework, which is reviewed annually, on Social and Environmental Sustainability
key biodiversity areas of the International
provides a series of rules and exclusions in and the World Bank’s General Guidelines on
Union for Conservation of Nature (IUCN),
relation to transactions and clients operating Environment, Health and Safety.
the Brazilian Amazon and the Cerrado.”
in these five sectors, as they are considered
Inclusion of new biodiversity and anti- The EPs apply globally to all industrial
to have a greater social and environmental
deforestation best practices for clients, sectors and to five financial products under
impact. The Framework is public and
such as benchmark standards. the terms set forth in the principles:
available on the BBVA shareholders and
investors website.
28. Please note that simultaneously to the publication of this report, an
updated Environmental and Social Framework dated March 2023 has been
published, in order to give a greater specificity to the coal phase-out target.

Project finance advisory; Finance agreements include the client’s The data of the financed transactions that
environmental and social obligations. The were analyzed under the EP criteria during
Project finance;
application of the EPs at BBVA is integrated 2022 and 2021 are shown below:
Project-related corporate loans; into the internal processes for structuring,
Out of a total of 40 transactions considered,
acceptance and monitoring of transactions.
Project-related bridge loans; and in 2022, (100% of the operations under
BBVA has due diligence procedures the scope of the Equator Principles),
Project-related refinancing and project- associated with the financing of projects 25 transactions were signed, and 15
related acquisition. whose execution affects indigenous peoples. transactions were rejected for reasons
When this circumstance occurs, the prior related to business and risk (credit risk
free and informed consent is required from and environmental and social risk) of the
Project assessment consists of subjecting these communities, irrespective of the operations.
each transaction to an environmental and geographic location of the project, including
Of the transactions signed in 2022,
social due diligence process, including for projects in countries where a robust
40% corresponded to the infrastructure
potential human rights impacts. The first legislative system is presupposed, which
sector and 24% to the electric sector. By
step is the allocation of a category (A, B or ensures the protection of the environment
geographical area, 52% were located in
C), which reflects the project’s level of risk. and the social rights of its inhabitants.
Europe, Middle East and Africa (EMEA) and
When identifying potential risks, the
CATEGORY A: projects with 44% in the Americas.
operation must include an effective form
potentially significant adverse social of management of these risks, as well as
or environmental impacts that are operational mechanisms to support claims
irreversible or unprecedented. management.
CATEGORY B: projects with potentially
limited adverse social and environmental
impacts that are few in number, site-
specific, reversible and readily addressed TABLE 15. Data of financed transactions analyzed according to the Equator Principles criteria

through mitigation measures. CATEGORY A CATEGORY B CATEGORY C

CATEGORY C: projects with minimal or 2022 2021 2022 2021 2022 2021
no social or environmental impacts. Number of transactions 4 2 12 23 9 17

Reviewing the documentation provided Total amount (millions of euros) 15,776.0 2,227.6 14,280.8 10,954.5 15,937.7 5,466.1
by the customer and independent
Amount financed by BBVA (millions of euros) 604.1 109.4 1,219.0 1,714.1 993.7 756.3
advisers is a way to assess compliance
with the requirements established in the Note: In 2021, the number of financed operations analysed reached 42, including 20 analysed under the scope of the Equator Principles, and the remaining 22 were
voluntarily analysed by BBVA under the same criteria. In 2022, only operations under the scope of application of the Equator Principles are analysed.
EPs, according to the project category.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
Appendix
BBVA Report on TCFD 2022 ANEXOS P. 104

APPENDIX 1 BBVA’s objective is to disclose in a SUSTAINABILITY ACCOUNTING

consistent, reliable and standardized manner STANDARDS BOARD (SASB)
Alignment of BBVA the essential aspects of ESG (environmental, Commercial Banks standards, Consumer
Group’s non-financial social and governance matters) related to
its business. Among the different existing
Finance standards and Morgage Finance
standards
information to standards, BBVA includes its non-financial
The Sustainability Accounting Standards
information in the Non-Financial Information
WEF-IBC and SASB Report for the year 2022, in accordance with
Board establishes standards to guide
companies on the disclosure of relevant
standards the Global Reporting Initiative (GRI) guide.
and consistent financial information in
Additionally and voluntarily, in the last terms of sustainability. With the complete
two year, BBVA has reported the WEF-IBC report of these metrics, the Group’s
metrics as well as the SASB - Commercial management is more clearly reflected
Banks standards, SASB - Consumer Finance and identified for more accurate decision-
standards and SASB - Morgage Finance making by customers.
standards:

More and more companies are reporting

WEF-IBC CORE METRICS their performance according to these two
BBVA was one of the first entities metrics and BBVA will continue to work on
worldwide to support the Measuring its objective of satisfying the demands of
Stakeholder Capitalism initiative of the investors, regulators, customers and other
International Business Council (IBC) of interest groups; to maintain or improve its
the World Economic Forum (WEF). ESG performance.

WEF-IBC METRICS EXPANDED

Together with the core metrics, the
expanded metrics allow for a broader
and more detailed scope in the value
chain; and convey the impact in a more
tangible way.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 105

APPENDIX 2 • Internal standards inspired by said Sustainable activity standard

taxonomy (or by the reports available
Additional information on the objectives and categories not yet

on the BBVA Group’s developed - environmental objectives

other than adaptation or mitigation,
The term “transition,” which is widely used
when discussing the economy, specific
sustainability social objectives or certain transition sectors, financial portfolios or companies, is
activities-) that may, additionally,
standards and present a certain degree of flexibility
used to describe the changes in economies
needed to meet the European Union’s
frameworks when applied in non-European
geographic areas in order to reflect
environmental goals.

their different national circumstances BBVA’s standard of sustainable activities

and avoid excluding emerging markets. includes, among others, activities
Channeling sustainable If a local taxonomy is developed locally, considered transition activities by the
business and Taxonomy of the the latter will be applied; European Taxonomy, such as nuclear
energy, the manufacture of plastics in their
European Union (EU) • Other market standards such as the primary form, building renovation and gas-
SDGs or the LMA and ICMA principles related activities, where other transition
for green and social loans and bonds. activities contemplated in the Taxonomy
BBVA’s approach to the channeling
will be incorporated. Beyond the European
of sustainable business includes the
Taxonomy, other activities such as the
channeling of financial flows towards GENERALIST FINANCING extraction of strategic minerals and activities
activities or customers considered
related to energy efficiency are considered
sustainable under certain criteria, basically In general, linked to a series of indicators
under strict criteria, which can be reviewed
following the following formats: or KPIs related to ESG aspects, thus
over a certain time horizon.
trying to encourage positive behavior in
terms of sustainability, in accordance Declining greenhouse gas emissions
GENERAL PURPOSE LENDING with market standards such as the pathways of activities that do not yet
principles for loans and bonds linked to meet the technical selection criteria of
The use of the funds is allocated to sustainability of LMA and ICMA. the European Taxonomy, but adhere to
a sustainable activity or purpose in internationally recognized frameworks such
accordance with: as the Science Based Target Initiative, where
the success of the transition is assessed by
• The EU taxonomy developed so
the average emissions change over time.
far (climate change mitigation and
adaptation objectives);

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 106

The same philosophy is applied to In 2022, the new Framework for the
geographical areas where the maturity of the Green bonds issuance of sustainable debt instruments
market is not comparable to more developed Debt instruments whose funds will be was published (which replaces -except
countries, therefore the same metrics are used to finance new and/or existing green for current issuances- the 2018 Bond
used, but with a time pathway to reach the projects; Framework). The new Framework has been
same environmental goal. updated to align it with the eligibility criteria
for the environmental and of social growth
provided for in the internal standards of
Social bonds
the Bank inspired by the EU Taxonomy
Debt instruments whose funds will be
and extend it to other debt instruments
used to finance new and/or existing social
in addition to bonds. Like the previous
projects;
framework, it takes into account the best
Framework for sustainable practices of the bond market, being aligned
with the Green Bond Principles, Social Bond
bond issuance
Sustainable bonds Principles and the ICMA Sustainability Bond
Debt instruments whose funds will be used Guidelines, and the possibility of adapting it
to finance new and/or existing green and to the future EU Green Bond Standard when
BBVA has extensive experience in the green
social projects. it comes into force opens up. It also has the
bond issuance market, an activity that began
independent verification of the company
in 2007 when it took part in the issuance
DNV. The new Framework is public and it is
of the first green bond by the EIB. Since
also available on the BBVA shareholders and
then, the Group has led, structured, advised
investors website.
and placed green and social bonds for its
customers in Europe, Turkey, the United It is a framework aligned with the The issuance of green and social bonds
States, Mexico and South America. International Capital Market Association is part of BBVA’s climate change and
(ICMA) Green and Social Bond Principles and sustainable development strategy. In the
In April 2018, BBVA published its framework the 2018 Sustainable Bond Guide, backed by sustainable bonds market, the Group has
for issuing own sustainable bonds, linked to strong governance and strict management carried out, since its inaugural issue in
the United Nations Sustainable Development and monitoring. of net funds earned and has 2018, eight public issues divided between
Goals (SDGs). Under this framework, BBVA an independent verification assessment by green bonds for an amount of €4,680m and
can issue three types of bonds: an independent third party. The framework social bonds for an amount of €2,000m.
is public and is available on the BBVA BBVA publishes an annual monitoring
shareholders and investors website. report on its own green and social bonds
issued. In 2022, BBVA published its fourth
report, which includes the impacts of

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 107

the bonds issued from 2018 to 2021 and In relation to the social bonus issued in Likewise, more than 762,000 people have
is available on the BBVA shareholders 2021, within the health subcategory, the benefited from the funds that have been
and investors website. In relation to the bonus has enabled 1,044 beds in hospitals allocated to socioeconomic advances
environmental loans and projects financed and clinics and 184 places in nursing and empowerment, through financing for
with the green bonds issued by BBVA, homes, with up to 2,159,014 potential vulnerable or low-income groups. Finally,
from 2018 to December 31, 2021 a total beneficiaries. In the area of education, 31 families have benefited in the category
of 3,666,415 tons of CO2 emissions have 53,815 students have been helped. In the of affordable housing. In total, almost four
been avoided into the atmosphere, which affordable basic infrastructure section, the million people have potentially benefited
is equivalent to the annual emissions of social bond has contributed to extending from the social destination of the funds
1,451,471 cars. Additionally, the volume of broadband telecommunications services raised by the BBVA bond issued in 2021.
treated water has been equivalent to the to more than 200,206 facilities, 303,275
annual consumption of 412,965 citizens in homes and 4,975 companies. Altogether,
Spain. 906,864 tons of waste have been 814,580 people have potentially benefited.
treated, equivalent to the waste generated
by 2,051,729 people in one year.

Impacts of the green

and social bonds
issued by BBVA Avoided a total of Treated Treated

3,666,415 20,047,371 906,864

tons in CO2 m of water
3
tons of waste

G R E E N B O N D S I M PA C T
equivalent to what equivalent to the anual water equivalent to the waste
Since 2018, the projects financed with 1,451,471 cars emit in consumption of 412,965 2,051,729 people in a year(3)
the green bonds issued by BBVA have: one year(1) spanish citizens(2)

(1) Impact calculated based on a reference (2) Impacto calculated taking as a (3) Impact calculated taking into account per
travel distance of 15,000 km per year by a reference the per capita water consumtion capita waste generation in Spain in 2021.
typical diesel car. in Spain in 2018.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 108

Social impact of assets allocated Likewise, the cumulative impacts between 2020
and 2021 of the COVID-19 bond issued in 2020 are
to issued second social bond detailed below:

Use of C OV I D -1 9 S O C I A L B O N D
Social Bond proceeds
Principles Category Sub-category (Million Euros) Indicator Amount ODS
I S S U E D I N 2 0 2 : S O C I A L I M PA C T S

Number of beds in hospitals and clinics 1,044

The funds received have mainly been channelled to
SMEs and MSMEs:
Healthcare 358 Number of beds in elder residences 184

Potential beneﬁciaries covered by the

Access to 2,159,014
infrastructure or service
essential services

Education 16 Number of students served 53,815

1
€ bn

Financial
137

13,275 enterprises
services

Aﬀordable housing 6 Families with social housing 31

Socioeconomic Financing for

vulnerable or Potential beneﬁciarios covered by the
advancement and
empowerment
low income
populations
368
social beneﬁt
762,787
214,497 employees
Number of premises connected to
200,206
broadband

Potential beneﬁciarios covered by the

814,580
83%
Broadband infrastructure To enterprises that have suffered
Aﬀordable basic
communica- 115
infrastructure tions a strong or significant impact
Number of households connected to
broadband
303,275 due to COVID19

47%
Number of enterprises connected to
4,975
broadband

Total drawn amount 1,000 To companies located in areas with

a greater social impact

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 109

CIB framework for

sustainable products

BBVA considers that sustainable financing is The framework is divided into two types of
an important strategy to help its customers products:
on their path towards sustainability and to
increase corporate responsibility. In this way, SDG-LINKED
BBVA is committed to developing innovative SDG-linked products consist of customer
financial solutions. The Sustainable Products project finance solutions that directly
Framework, applicable to the products of contribute to one or more SDGs. These
BBVA’s Corporate & Investment Banking (CIB) projects can be considered as green,
activity, is aligned with this strategy, with the social or sustainable depending on the
SDGs and with the Paris Agreement. use of the funds.

LINKED TO SUSTAINABILITY
Products linked to sustainability consist
of financial solutions that are not based
on the use of funds and that will be
eligible based on sustainability criteria
defined in the Framework itself.

The framework is public and is available

on the BBVA shareholders and investors
website. It is certified by an independent
third party.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 110

APPENDIX 3

TCFD Recommendations fulfillment table

TCFD Recommendations BBVA’s TCFD Report

Governance 1. Board of Directors’ oversight Section 01:

2. Management’s role • Corporate bodies
• Transversal integration of sustainability into the executive sphere
• Alignment governance
• Remuneration systems

Strategy 3. Description of risk and opportunities Section 02:

Definition of risks and opportunities associated with climate change

4. Impact of risk and opportunities Section 02:

Main advances in the execution of the strategy

5. Resilience Section 02:

Resilience of the strategy against climate change risks

Risk 6. Organization for identifying and assessing risks Section 03:

7. Organization for managing risks • Integrating climate change into risk planning
management • Identification, Measurement and Integration of climate change into risk management
8. Integration into overall risk management
Section 04:
• Management of indirect environmental and social impacts

Metrics 9. Disclose metrics & targets used Section 04:

10. Disclose Scope 1, Scope 2 and, if appropriate, • Alignment of metrics and goals
and goals Scope 3 GHG • Channeling sustainable business
11. Disclose targets and performance against tar-gets • Management of direct environmental impacts
• Management of indirect environmental and social impacts

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 111

APPENDIX 4

Transition plan - TCFD Table of equivalence

BBVA has incorporated for the first time in this TCFD elements of a Transition
Plan following the guidelines and recommendations for financial
institutions published by the Glasgow Financial Alliance for Net Zero (GFANZ) in November 2022.
Below there is a table of equivalences between both:

TABLE 16. Transition Plan – TCFD table of equivalence

Transition Plan TCFD P.

Foundations Objectives and priorities STRATEGY | Main advances in the execution of the strategy 25

Products and services METRICS AND GOALS | Channeling sustainable business 72

GOVERNANCE MODEL | Transversal integration of sustainability into the executive sphere 19

GOVERNANCE MODEL | Alignment Governance 19

Activities and decision making
STRATEGY | Main advances in the execution of the strategy 25
Implementation MANAGEMENT OF RISKS ASSOCIATED WITH CLIMATE CHANGE | Identification, Measurement and Integration of climate
51
Strategy change risk into risk management
MANAGEMENT OF RISKS ASSOCIATED WITH CLIMATE CHANGE | Integrating climate change into risk planning 51
MANAGEMENT OF RISKS ASSOCIATED WITH CLIMATE CHANGE | Identification, Measurement and Integration of climate
51
Policies and conditions change risk into risk management
METRICS AND GOALS | Management of indirect environmental and social impacts 72

APPENDIX | Appendix 2: Additional information on the BBVA Group’s sustainability standards and frameworks 105
Engagement with clients and portfolio companies | Engagement strategy 25
Engagement STRATEGY
Engagement with to the industry
strategy Engagement with to the government and the public sector STRATEGY | Main advances in the execution of the strategy | Participation in international initiatives 25

MANAGEMENT OF RISKS ASSOCIATED WITH CLIMATE CHANGE | Integrating climate change into risk planning 51
MANAGEMENT OF RISKS ASSOCIATED WITH CLIMATE CHANGE | Identification, Measurement and Integration of climate
Metrics and 51
Metrics and Targets change risk into risk management
Targets METRICS AND GOALS | Alignment of metrics and goals 72
STRATEGY | Main advances in the execution of the strategy 25

GOVERNANCE MODEL | Corporate bodies 19

GOVERNANCE MODEL | Transversal integration of sustainability into the executive sphere 19

Roles, responsibilities and remuneration
Governance GOVERNANCE MODEL | Alignment Governance 19

GOVERNANCE MODEL | Remuneration systems 19

Skills and culture APPENDIX | Appendix 5: Training 112

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 112

APPENDIX 5

Training
BBVA has developed a complete training Likewise, in order to provide the necessary
program to ensure that its employees can skills so that the Group’s professionals can
acquire the basic knowledge to be able address sustainability from their different
to address the strategic challenge that areas of activity, specialized training
sustainability entails. Using the Campus programs have been developed for bank
BBVA training platform, and the gamification managers of companies, individuals and
experience “The Camp”, two training SMEs; certifications in finance and risks;
itineraries are provided, basic and advanced, specialized courses on issues of special
available to all employees, regardless of relevance (such as green hydrogen, water
their geography and/or role. Currently, more management, decarbonization and circular
than 102,000 employees have already been economy); as well as specialized training
trained with these courses. programs in collaboration with renowned
international institutions.
The basic training itinerary is designed to
acquire basic knowledge about the 2030 Specifically, in terms of decarbonization,
Agenda of the SDGs, the role of the financial several training programs have been
industry and the BBVA strategy, among developed for bankers and risk analysts on
other contents. The advanced level includes portfolio alignment and in relation to the
specific content on sustainable finance. use of the different internal tools developed
for the management of the Group’s
For its part, BBVA has developed and objectives (alignment dashboard with PACTA
delivered an ad-hoc training program methodology and Transition Risk Indicator).
aimed at senior management, with the aim
of obtaining a vision of the sustainability
ecosystem in the corporate world, new
trends and stakeholder expectations.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 113

Glossary
ESG Environmental, Social & Governance
2DII 2 Degree Investing Initiative
ESM Energy saving measure
AEB Spanish Banking Association
EU ETS The European Union’s Emissions Trading Scheme
AFME Association of Financial Markets in Europe
FBE European Banking Federation
ARC American Carbon Registry
FTP Fund Transfer Pricing
CBB Corporate and Business Banking
GFANZ Glasgow Finance Alliance for Net Zero
CCPI Climate Change Performance Index
GRI Global Reporting Initiative
CFLI Climate Finance Leadership Initiative
H2-DRI Direct Reduction of Iron with Hydrogen
CIB Corporate & Investment Banking
HLEG High-Level Expert Group
CSA Corporate Sustainability Assessment
ICAAP Internal Capital Adequacy Assessment Process
DJSI Dow Jones Sustainability Index
IEA International Energy Agency
EAD Exposure at Default
IFRS International Financial Reporting Standard
EAF Electric Arc Furnaces
IIF International Institute of Finance
EBG European Banking Group
IUNC International Union for Conservation of Nature
EBRD European Bank for Reconstruction and Development
IPCC Intergovernmental Panel on Climate Change
ECB European Central Bank
ISSB International Sustainability Standards Board
EEC Energy Efficiency Certificates
ITS Implementing Technical Standards
EFR European Financial Services Roundtable
KPI Key Performance Indicator
EFRAG European Financial Reporting Advisory Group
MAS Monetary Authority of Singapore
EMEA Europe, the Middle East and Africa
MCSC MIIT Climate and Sustainability Consortium
EP Equator Principles

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.
BBVA Report on TCFD 2022 ANEXOS P. 114

MIT Massachusetts Institute of Technology TAG Thematic Advisory Group

NACE Nomenclature of Economic TCFD Task force on Climate-related Financial Disclosures
Activities in the European Community
TNFD Taskforce on Nature-related Financial Disclosures
NGFS Network for Greening the Financial System
UNEP-FI United Nations Environment Program
NZBA Net Zero Banking Alliance for Finance Institutions
PACTA Paris Agreement Capital Transition Assessment UNEP-WCMC UN Environment Programme World
Conservation Monitoring Centre
PCAF Partnership for Carbon Accounting Financials
UNESCO United Nations Educational Scientific and
RSPO Roundtable on Sustainable Palm Oil
Cultural Organization
SASB Sustainability Accounting Standards Board
VCS Verified Carbon Standard
SASG Sustainability Alignment Steering Group
WBCSD World Business Council for Sustainable Development
SDG Sustainable Development Goals
WEF World Economic Forum
SEC Securities and Exchange Commission
WEF-IBC World Economic Forum - International Business Council
SRI Socially Responsible Investment
WRI World Resources Institute

Forward-Looking Statements
This report contains forward-looking statements that constitute forward-forward projections within the meaning of article 27A of the Securities Act 1933, as amended (the “Securities Act”), article 21E of the U.S.
Securities Exchange Act of 1934, as amended (the “Exchange Act”), and the safeguard provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements may include words such as “believe”,
“expect”, “estimate”, “project”, “anticipate”, “duty”, “intend”, “likelihood”, “risk”, “VaR”, “purpose”, “goal”, “target”, and similar expressions or variations of those expressions, and include statements regarding future growth
rates. Forward-looking statements are not guarantees of future results and involve risks and uncertainties, and actual results may differ materially from those of forward-looking statements due to various factors.

Readers are cautioned not to place undue reliance on such statements, which speak only as of the date of this document. No obligation is assumed to make public the outcome of any revision of these forward-looking
statements that may be made to reflect events or circumstances after the date of this document, including but not limited to changes in the business, procurement strategy, expected capital expenditures, or to reflect
the occurrence of unforeseen events.

This English version is a translation of the original in Spanish for information purposes only. In case of a discrepancy, the Spanish original will prevail.

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