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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This also included offering a FROB injection through common equity or CoCos for those banks with a capital shortfall after achieving the new requirements. Real Estate Developments 19Figure Characterisation of the portfolios and key latent risks Credit loss forecasting framework15Figure Risk coverage the exercise evaluates credit risk in the performing, nonperforming and foreclosed assets, but excludes any other specific risks such asliquidity risk, ALM, market and counterparty credit risk, etc.

Includes large and medium sized banks andexcludes small private banks, other non-foreign banks aside from the 14 listed, and the cooperative sectorOliver Wyman 1MAD-DZZ We identify three main latent risks in this portfolio: Bank of Spain stress testing exerciseAs a starting point for the analysis, we applied earnings and balance sheetinformation provided by the BdE, as summarised below: It also provides a perspective on the losses already incurred and recognised by the banks.

Macroeconomic credit quality model: Indeed because such information and data are not yet fullyavailable, the top-down estimates were conducted with a view to makingconservative assumptions on important parameters along the way.

Thesevere stress scenario was more marked than similar exercises in most otherjurisdictions: Description of the exercise IntroductionOn 10th May the Spanish Bznca agreed to commission two private andindependent valuations of the Spanish financial system.

  IC 74190 PDF

In the absence of a more detailed bottom-up exercise, with its due diligence andmore detailed bank-portfolio level analysis, it is not possible at this stage to providebank-level results.

In particular, actual results could be impacted byfuture events which cannot be predicted or controlled, including, without limitation,changes in macroeconomic conditions such as GDP, unemployment rate, housingprices, exchange rates, interest rates, etc. Macroeconomic scenariosA base and an adverse macroeconomic scenario have been defined by the projectSteering Committee11 for the purpose of this stress testing exercise.

Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola

Steering Committee scenario vs. The subsequentbottom-up process is intended to provide certainty at the individual bank level. The stress testing methodology applied consists of Oliver Wyman proprietary statistical models and estimations. Whereas sharing the vanca philosophy, our assessment differs from the first in threeimportant ways: However, the risk of this segment has been increasing 9.

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

High and sustained unemployment levels, together with overall economic deterioration, which will severely increase the default rate House price deterioration, that epaola both increase the default rate and dampen recoveries, through direct impact on collateral values There are some mitigants related to the specifics of the Spanish portfolios and regulation: Capital deficit under adverse scenario 35Figure Estimated expected losses Drill-down by asset class29Figure Credit quality indicators of historical Spanish macroeconomic indicators vs.

This report does not represent investment advice thus it should not beconstrued as an invitation or inducement to any person to engage in banc nor does it provide any opinion regarding the fairness of any transaction toany and all parties.

The opinions expressed in this report are valid only for the purpose stated herein andin the Agreement, and are solely as of the date of this report. The scope of the work was as follows: However, we refer here to the bznca that balancesheet olivr implies lower RWA requirements and therefore lower capital.


Bank of Spain stress testing exercise2. Steering Committee scenarios13Figure This segment has traditionally seen low defaults since the government is the main borrower.

Spain Financial Services current situation2. Similar to the other sectors, an increase in losses is expected, driven by three main considerations Already observed significant balance sheet deterioration following 4 years of crisis There have been some experiences of misclassification of loans assigned to the Corporate segment, which actually correspond to Real Estate Developers, as a result of the tightening standards associated to real estate The portion of unsecured balance within this segment is particularly high i.

Banesto Given the absence of reliable loan-level information, we applied the followingmethodology strategy to undertake the exercise: Oliver Wyman makesno representation or warranty as to the accuracy of such information, and OliverWyman expressly disclaims all responsibility, and shall have no liability for, theaccuracy of such information.

In addition to these official statements we have received additional information from BdE thathas been selectively used and adjusted for market experience i. Oliver Wyman was commissioned on the 21st of May to provide an independentassessment of the resilience of the main banking groups, based on macro-economicstress scenarios formulated by the Steering Ifnorme.

Credit loss forecasting Most of the portfolio has deteriorated and has been refinanced orrestructured. Scope, purpose and limitations of the exerciseThe exercise was conducted between the 21st of May and the 21st of Juneandfocused on stressing the domestic private credit portfolio, applying bank-levelinformation provided by the BdE within that period.