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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Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola

The stress testing methodology applied consists of Oliver Wyman proprietary statistical models and estimations. A Steering Committee was formed in order to coordinate and supervise ongoingprogress and make key decisions throughout the exercise. This report has been prepared for the Bank of Spain.

Bank of Spain stress testing exerciseThe adverse scenario appears reasonably conservative on two counts: The YE starting point of the fourteen banks under examination in aggregate is: Domestic Financial Institutions in-scope 3Figure 3: Recessionaryenvironment continues for a third year in this adverse scenario.

We identify three main latent risks in this portfolio: Characterisation of the portfolios and key latent risks Latent risk due to forecasted price deterioration of abnca 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.

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Bank of Spain stress testing exercise3. This report is intended to be readand used as a whole and not in parts.

Estimated expected losses Retail Mortgages 31Figure Oliver Wyman expressly disclaims allresponsibility, and shall have no liability, for actual results or future events. Asset-class breakdown of in-scope assets 6Figure 6: 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.

Credit quality indicators Steering Committee scenarios vs.

Key building blocks of the Stress Testing framework5Figure 5: The expected loss forecast, includes: The objective of this work is to assessthe robustness of the Spanish banking system and its ability to withstand a severelyadverse stress scenario of deteriorating macroeconomic and market conditions.

Estimated expected losses Drill-down by asset class29Figure The scope of the work was as follows: Macroeconomic credit quality model: 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.

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

Real Estate Developments 19Figure This consisted of forecastingportfolio losses under various macro-economic scenarios and comparing them withthe loss absorption capacity for the banks under examination.

Recognised lossesGiven the deterioration in the asset book, Spanish balance sheets have alreadysuffered a significant level of distress. Steering Committee scenario vs.


The domestic credit assets can be classified into six main categories: Credit loss forecasting framework15Figure In particular, actual results could be wymman 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.

Steering Committee scenarios13Figure The differencebetween the two roughly corresponds to the additional system capital needs.

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. Key foreclosed asset modelling framework components23Figure This report shall be governed by Spanish law and, without limitation to the foregoing,the extent to baca Oliver Wyman shall be subject to liability if any ooliver respect of thisreport shall be governed exclusively by Spanish law, and by the express terms andconditions of the Agreement.

Under wynan severe stress scenario, cumulative losses are: Section 3 describes the scenarios provided by the Steering Committee to run the stress testing exercise, providing a perspective on those scenarios relative to similar exercises elsewhereSection 4 provides an overview of the methodology and assumptions used in this exercise.