Balance Sheet at 31 December 2010 of BBVA

Translation of financial statements originally issued in Spanish and prepared in accordance with generally accounting principles Spain
(See Note 1 and 54). In the event of a discrepancy, the Spanish-language version prevails.
Credit quality of financial assets that are neither past due nor impaired
BBVA has ratings tools that enable it to rank the credit quality of its operations and customers based on a
scoring system and to map these ratings to probability of default (“PD”) scales. To analyze the performance
of PD, the Bank has a series of tracking tools and historical databases that house the pertinent information
generated internally.
The scoring tools vary by customer segment (companies, corporate clients, SMEs, public authorities, etc).
Scoring is a decision model that contributes to both the arrangement and management of retail type loans:
Consumer loans, mortgages, credit cards for individuals, etc. Scoring is the tool used to decide to whom a
loan should be assigned, what amount should be assigned and what strategies can help establish the price,
because it is an algorithm that sorts transactions in accordance with their credit rating. The move towards
advanced risk management makes it possible to establish more proactive commercial relations with
customers. Proactive scoring establishes limits for customers that are then used when granting
transactions.
Rating tools, as opposed to scoring tools, do not assess transactions but focus on customers instead:
companies, corporate clients, SMEs, public authorities, etc. For wholesale portfolios where the number of
defaults is very low (sovereigns, corporates, financial entities) the internal ratings models are fleshed out by
benchmarking the statistics maintained by external rating agencies (Moody's, Standard & Poor’s and Fitch
Ibca). To this end, each year the Bank compares the PDs compiled by the agencies at each level of risk
rating and maps the measurements compiled by the various agencies to the BBVA master rating scale.
Once the probability of default for the transactions or customers has been determined, the so-called
business cycle adjustment starts. This involves generating a risk metric outside the context estimate, seeking
to gather information that represents behavior for an entire economic cycle. This probability is linked to
BBVA´s master rating scale.
BBVA maintains a master rating scale with a view to facilitating the uniform classification of the Bank’s
various asset risk portfolios. The table below shows the abridged scale which groups outstanding risk into
17 categories as of December 31, 2010:
Internal Rating
Probability of default
(basic points)
Reduced List (17 groups)
Average
Minimum
from >=
Maximum
AAA 1 - 2
AA+ 2 2 3
AA 3 3 4
AA- 4 4 5
A+ 5 5 6
A 8 6 9
A- 10 9 11
BBB+ 14 11 17
BBB 20 17 24
BBB- 31 24 39
BB+ 51 39 67
BB 88 67 116
BB- 150 116 194
B+ 255 194 335
B 441 335 581
B- 785 581 1,061
C 2,122 1,061 4,243
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