This excerpt taken from the BBV 20-F filed Apr 2, 2009.
Exposure to subprime credit risk
Given the lack of an agreed definition of subprime in use across the market, we consider subprime credit risk to be the risk incidental to all those financial instruments of which the direct or indirect end borrower merits a credit FICO® score (a credit score based on a statistical analysis of each persons credit profile, which is used to represent the creditworthiness of that person) of less than 640 points.
The application across the BBVA group of prudent risk policies has resulted in very limited exposure to subprime credit risks with respect to mortgage loans, mortgage backed securities and other securitized financial instruments originated the United States.
We do not market products specifically to the subprime segment. However, the financial crisis that began in the United States in 2007, and the consequent decline in economic conditions and in the ability to pay of certain borrowers, has implied a downgrade in the respective credit FICO® score of these borrowers. It is important to note,
however, that the classification of a financial instrument as a subprime credit risk does not necessarily signify that such financial instrument is either past due or impaired or that we have not assigned such financial instrument a high or very high estimate of recoverability.
As of December 31, 2008, mortgage loans originated in the United States to customers whose creditworthiness had dropped below the subprime level as defined above totalled 498 million (0.15% of our total customer credit risk). Of this amount, only 42 million was past due or impaired.
In addition, as of December 31, 2008, indirect exposure through credit instruments tied to an underlying subprime risk totalled 21 million (Note 8), of which 75% carried high ratings from the rating agencies widely recognized in the marketplace.