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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Bank of Spain stress testing exercise1. SteeringCommittee scenariosHistorical Average Stan. The stress testing methodology applied consists of Oliver Wyman proprietary statistical models and estimations. No obligation isassumed, and Oliver Wyman shall have no liability, to revise this report to reflectchanges, events or conditions, which occur subsequent to the date hereof.
The domestic credit assets can be classified into six main categories: The scope of the work included the domestic lending book and excluded otherassets, such as foreign assets, fixed income and equity portfolios or sovereignlending. 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 madeas a consequence of the results, advice or recommendations set forth herein.
Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola.
Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola
The latent losses associated with these loans are generally notrecognised in the historical performance of the institutions The scenario projects strong house and land price declines, likely comparableto the peak to trough-decline in similar crisis9 Misclassification of Real Estate Developer loans in other Corporate categoriesis addressed in section 4. 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: Structure of the documentThe remainder of this document is structured around the four main methodologicalbuilding blocks as summarised below: This report is not intended for general circulation or publication, nor is it to be used,reproduced, quoted from or distributed for any purpose, except as expresslypermitted by the terms of the Agreement and, in all cases, olifer to the reliancelimitations and the other terms and conditions set forth herein and in the Agreement.
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 It also provides a perspective on informw losses already incurred and recognised by the banks. The chart below shows the overall cumulatedrecognised losses. This consisted of forecastingportfolio losses under various macro-economic scenarios and comparing them withthe loss absorption capacity for the banks under examination.
Credit loss forecasting framework15Figure Recessionaryenvironment continues for a third year in this adverse scenario.
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. This segment is expected to experience an increase in losses driven by a combination of: 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.
Bank of Spain stress testing exercise2. Percentage of Loans to Other Resident Sectors for the selected entities i.
Most of the portfolio has deteriorated and has been refinanced orrestructured. To the extent OliverWyman permits disclosure to any such third party, or such disclosure is permitted bythe Agreement, Oliver Wyman expressly disclaims any liability whatsoever vis–vissuch third party, by the mere fact that such third party has been given access to thereport.
Description of the exerciseThe purpose of this exercise has been to undertake a top down stress testinganalysis to assess the resilience of the Spanish financial system under adversemacroeconomic conditions over 3 years All the models have been adapted to the available data content and granularitySection 5 provides an overview of the results, showing aggregated and asset class cumulative losses as well as the estimated capital needs for the systemOliver Wyman 5MAD-DZZ The short-term nature of this type of credits reinforces the mitigation impact of tightening of credit policies.
Bank of Spain stress testing exercise3. Macroeconomic scenarios provided by Steering Committee11Figure 9: Context and objectives No representation or warranty is given as to the accuracy ofsuch information. Credit quality indicators Steering Committee scenarios vs. Information furnished by others, upon which all or portions of this report are based,has not been verified.
Estimated expected losses Retail Mortgages 31Figure Whereas sharing the same philosophy, our assessment differs from the first in threeimportant ways: 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.
Macroeconomic credit quality model: Main information used in the analysis4Figure 4: 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.
Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola – [PDF Document]
This segment has traditionally seen low defaults since the government is the main borrower. Steering Committeescenarios 12Figure Asset-class breakdown of in-scope assets 6Figure 6: 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.
This report does not represent investment advice thus it should not beconstrued as an invitation or inducement to any person to engage in investmentactivity nor does it provide any opinion regarding the fairness of any transaction toany and all parties.
A Steering Committee was formed in order to coordinate and supervise ongoingprogress and make key decisions throughout the exercise.
Recognised lossesGiven the deterioration in the asset book, Spanish balance sheets have alreadysuffered a significant level of distress. There are no third partybeneficiaries with respect to this report, and Oliver Wyman expressly disclaims anyliability whatsoever whether in contract, tort or otherwise to any third party, including,without limitation, any security holder, investor, regulator, institution or any entity that isthe subject of the report.
Forexample, cumulative GDP contraction in the severe stress scenario was 6. The subsequentbottom-up process is intended to provide certainty at the individual bank level.