2022 MREL Requirement
Banco Bilbao Vizcaya Argentaria, S.A. ("BBVA"), in compliance with the Securities Market legislation, hereby communicates the following:
INSIDE INFORMATION
BBVA has received a new communication from the Bank of Spain regarding the determination of its minimum requirement for own funds and eligible liabilities ("MREL"), as determined by the Single Resolution Board ("SRB"), that has been calculated taking into account the financial and supervisory information as of June 30, 2021 [1] , and which repeals and supersedes the previous communication published on May 31, 2021.
In accordance with this new communication, BBVA has to reach, by January 1, 2022, an amount of own funds and eligible liabilities equal to 21.46% of the total risk weighted assets ("RWAs") of its resolution group, on sub-consolidated level [2] (the "MREL in RWAs") of which 13.50% of the RWAs of its resolution group shall be met with subordinated instruments (the "subordination requirement in RWAs").
In addition, BBVA has to reach, by January 1, 2022, an amount of own funds and eligible liabilities in terms of the total exposure considered for calculating the leverage ratio equal to 7.50% (the "MREL in LR") of which 5.84% [3] in terms of the total exposure considered for calculating the leverage ratio shall be met with subordinated instruments (the "subordination requirement in LR").
The MREL in RWAs and the subordination requirement in RWAs do not include the combined capital buffer requirement which, according to applicable regulations and supervisory criteria, would currently be 3.26%.
The current own funds and eligible liabilities structure of the resolution group meets the MREL in RWAs, the MREL in LR, the subordination requirement in RWAs and the subordination requirement in LR.
MREL
|
|
MREL in RWAs |
MREL in LR |
|
Applicable requirement |
21.46% |
7.50% |
|
Requirement including combined buffer requirement |
24.72% |
7.50% |
|
Own funds and eligible liabilities as of December 31, 2021 |
28.24% |
11.31% |
Subordination requirement
|
|
Subordination requirement in RWAs |
Subordination requirement in LR |
|
Applicable requirement |
13.50% |
5.84%3 |
|
Requirement including combined buffer requirement |
16.76% |
5.84%3 |
|
Own funds and subordinated eligible liabilities as of December 31, 2021 |
24.65% |
9.88% |
Madrid, March 8, 2022
[1] The new communication effectively reflects the sale of BBVA Group's subsidiary, BBVA USA Bancshares, Inc, which was communicated on June 1, 2021.
[2] Pursuant to BBVA Group's MPE (Multiple Point of Entry) resolution strategy, as established by the SRB, the resolution group consists of Banco Bilbao Vizcaya Argentaria S.A. and the subsidiaries that belong to the same European resolution group. As of June 30, 2021, the RWAs of the resolution group amounted to 190,377 million euros and the total exposure considered for calculating the leverage ratio amounted to 452,275 million euros.
[3] From January 1, 2024, the subordination requirement in LR will be 5.91%.
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