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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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.

The result,released on June 8,was a total projected capital buffer requirement of 37 BN. Expected loss forecast Aggregate level 28Figure Steering Committee scenarios13Figure 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.

Recognised lossesGiven the deterioration in the asset book, Spanish balance sheets have alreadysuffered a bqnca level of distress. The breakdown is as follows: Under the severe stress scenario, cumulative losses are: The differencebetween the two roughly corresponds to the additional system capital needs.

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

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. This report shall be governed by Spanish law and, without limitation to the foregoing,the extent to which Oliver Wyman shall be subject to liability if any in respect of thisreport shall be governed wymman by Spanish law, and by the express terms andconditions of the Agreement.


Spain Financial Services current situation Section 3 describes espaolaa 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. This also included offering a FROB injection through common equity or CoCos for those banks with a capital shortfall after achieving the new requirements.

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 opiver results.

Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola

Steering Committee scenario vs. Macroeconomic credit quality model: The chart below shows the overall cumulatedrecognised losses.

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 – [PDF Document]

Credit portfolio losses for performing infodme non-performing loan portfolios fordifferent asset classes for the in-scope lending activities Foreclosed assets portfolio which reflects the bbanca between currentgross balance sheet asset values as of December 11 and estimated assetrealisation values, driven primarily by the expected evolution in underlyingcollateral prices as well as other costs associated with the maintenance andselling processes The loss absorption capacity forecasts, includes: Results of the stress testing exercise In this way the top-down estimates provide insight into the overall capitalneed of the system but are less well suited for bank-by-bank decisions on viabilityand the amount of possible capital needs.

We identify three main latent risks in this portfolio: Adverse Scenario Losses fromLosses from Cumul. The short-term nature of this type of credits reinforces the mitigation impact of tightening of credit policies. Loss recognition in Spain 9Figure 7: Under the adverse scenario the Spanish financial system undergoes twoconsecutive years of severe economic recession with real GDP declines of 4.

The fact that this report may ultimately be disclosed to anysuch third party does not constitute any permission, waiver or consent from OliverWyman for bnaca third party to rely on the report or base any claims whatsoever uponit whether in contract, tort or otherwise against Oliver Wyman.


Main information used in the analysis4Figure 4: Estimated expected losses Real Estate Developers 30Figure 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.

Indeed because such information and data are not yet fullyavailable, the top-down estimates were conducted bbanca a view to makingconservative assumptions on important parameters along the way. All decisions in connection with the implementation or use of advice orrecommendations if any contained in this report are not the responsibility of OliverWyman.

The expected loss forecast, includes: No representation or warranty is given as to the accuracy ofsuch information.

Capital deficit under adverse scenario 35Figure This segment is expected to experience an increase in losses driven by a combination of: 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 Estimated expected losses Corporates 33Figure Macroeconomic scenarios provided by Steering Committee11Figure 9: To the extent OliverWyman permits disclosure to any such third party, or such disclosure is permitted bythe Agreement, Oliver Wyman expressly disclaims knforme liability whatsoever vis–vissuch third party, by the mere fact that such third party has been given access to thereport.

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. Domestic Financial Institutions in-scope 3Figure 3: