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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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Steering Committee scenarios13Figure We subjected each of these assetclasses to various stress scenarios formulated by the Steering Committee. However, the risk of this segment has been increasing 9.

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

SteeringCommittee scenariosHistorical Average Stan. Credit loss forecasting framework15Figure Characterisation of the portfolios and key latent risks All decisions in connection with the implementation or use of advice orrecommendations if any contained in this report are not the responsibility of OliverWyman.

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. 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: 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.


The breakdown is as follows: The result,released on June 8,was a total projected capital buffer requirement of 37 BN. The scope of the work was as follows: Spain Financial Services current situation This segment has traditionally seen low defaults since the government is the main borrower.

Recessionaryenvironment continues for a third year in this adverse scenario. Loss forecasting and capital absorption framework overview1 Expected loss forecast3 Capital impactCapital buffer Pre-provision profit2 Generic provisionsLoss absorption capacityProvisions onforeclosed assetsSubstandard provisionSpecificprovision provisions Non-performing loansForeclosed assetsProjected earningsExcess of capital buffer Performing loansNew bookLoss absorption capacity6Overall in this exercise, de-leverage has a negative impact on resilience of the system, by contracting theeconomy and therefore significantly rising expected losses.

Bank of Spain Stress Testing ExerciseExecutive Summary baseline scenario with a more benign macro-economic contraction for reference purposes. 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 Loss forecasting and capital absorption framework overview 2Figure 2: Main information used in the analysis4Figure 4: Bank of Spain stress testing exercise1.

Estimated expected losses Corporates 33Figure 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 Committee. This report has been prepared for the Bank of Spain.

Bank of Spain stress testing exercise3. 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.


Spain Financial Services current situation2. Information furnished by others, upon which all or portions of this report are based,has not been verified.

Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola

This report is intended to be readand used as a whole and not in parts. Bank of Spain stress testing exercise Earnings generating capacity includes pre-provisions and pre-tax profits forSpanish businesses and post-provisioning, post-tax for non-domesticbusiness Excess capital buffer, which increases the loss absorption capacity of thoseentities with capital volumes over the minimum post-stress requirements Balance sheet reduction, which accounts for the reduction in the capital needsas a result of the credit de-leverage across the period6Potential capital impact and resulting solvency position, which corresponds to excess losses over provisions and earnings minus additional capital generation, adjusting for expected deleveraging.

Bank of Spain stress testing exerciseThe adverse scenario appears reasonably conservative on two counts: IntroductionOn 10th May the Spanish Government agreed to commission two private andindependent valuations of the Spanish financial system.

Assuming a normal distribution for the variables used, the table includes a measure of distance from the mean in the form of number of Standard Deviations away from each variables long-term average.