In preparing this report, Oliver Wyman has also used information, reports This report has been prepared exclusively for the Banco de Espana. 16The report by Oliver Wyman is difficult to find as the consulting .. Popular NCG Banco Sabadell BMN Banesto Banca Civica Caja España-Duero Liberbank Banco de Espa˜na () “Informe sobre la crisis financiera y. Real Instituto Elcano – Madrid – España Los informes Elcano, cada uno de ellos fruto . The crisis eventually exposed the role of the Bank of Spain, which was initially Such assessment was conducted by the IMF first and later by Oliver. Wyman and Roland Berger, two private consulting companies, which in June

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Relative to 30 year Spanish history The analysis below compares key macro variables in the adverse and base scenarios with historical averages of same parameters Real Estate Developments 19Figure Portfolio coverage The portfolios analysed comprise credits to the domesticprivate sector e.

In the absence of a more detailed bottom-up exercise, with its due diligence andmore detailed inflrme level analysis, it is not possible at this stage to providebank-level results. Estimated expected losses Drill-down by asset class29Figure Description of the exercise Wedescribe below the intorme main components of the stress testing analysis.

Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola – [PDF Document]

Section 3 describes the scenarios provided by the Steering Committee to run the stress testing exercise, providing a perspective on those infrome relative to similar exercises elsewhereSection 4 provides an overview of the methodology and assumptions used in this exercise. This consisted of forecastingportfolio losses under various macro-economic scenarios and comparing them withthe loss absorption capacity for the banks under examination. Credit quality indicators of historical Spanish macroeconomic indicators vs.


A Steering Committee was formed in order to coordinate and supervise ongoingprogress and make key decisions throughout the exercise. Structure of the documentThe remainder of this document is structured around the four main methodologicalbuilding blocks as summarised below: IntroductionOn 10th May the Spanish Government agreed to commission two private andindependent valuations of the Spanish financial system. A continued recessionary environment is depicted in the base case for and, with real GDP only returning to weak growth in Any such predictions are subject toinherent risks and uncertainties.

Estimated expected losses Retail Mortgages 31Figure In particular, Oliver Wyman shall not have any liability vis–vis such thirdparty in respect of the contents of this report or any actions taken or decisions espaopa a consequence of the results, advice or recommendations set forth herein.

The YE starting point of the fourteen banks under examination in aggregate is: Percentage of Loans to Other Resident Sectors for the selected entities i. Credit loss forecasting Latent risk due to forecasted price deterioration of both housing and land, together with expected haircuts on sale over appraisal values driven mainly by market illiquidity even more so for land and RE under developmentimply significant further losses for these portfolios.

Macroeconomic credit quality model: Most of the portfolio has deteriorated and has been refinanced orrestructured. This portfolio has similar challenges to the Large Corporate portfolio, however losses are mitigated through high collateralisation of the portfolio i.

Recognised lossesGiven the deterioration in the asset book, Spanish balance sheets have alreadysuffered a significant level of distress. To provide a quick assessment of the estimated8 total system-expected losses under a base and adverse scenario at asset-class level andcapital requirements, but Not to provide entity level results which could be biased by the conservativenature of the assumptions, particularly for better banks Strategy: The domestic credit assets can be classified into six main categories: Separation or alteration of any section or pagefrom the main body of this report is expressly forbidden and invalidates this report.


Thesevere stress scenario was more marked than similar exercises in most otherjurisdictions: Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola.

In addition to these official statements we have received additional information from BdE thathas been selectively used and adjusted for market experience i.

The result,released on June 8,was a total projected capital buffer requirement of 37 BN. This report is intended to be readand used as a whole and not in parts.

Bank of Spain stress testing exerciseThe adverse scenario appears reasonably conservative on two counts: There are no third partybeneficiaries with respect to this report, and Oliver Wyman expressly disclaims anyliability whatsoever whether in contract, tort dspaola otherwise to any third party, including,without limitation, any security holder, investor, regulator, institution or any entity that isthe subject of the report.

Personal guarantee, where borrowers and third parties guarantors are liable for the full value of the mortgage loan including all penalties and fees over and above the real estate collateral.

Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola

Forexample, cumulative GDP contraction in the severe stress scenario was 6. This report has been prepared for the Bank of Spain.

Specifically, information that has been provided by or on behalf ofthe Bank of Spain has not been validated, verified or confirmed, nor has OliverWyman sought to validate, verify or confirm such information.

Credit quality indicators Steering Committee scenarios vs. Key building blocks of the Stress Testing framework5Figure 5: