INFORME OLIVER WYMAN BANCA ESPAOLA PDF

Macroeconomic credit quality model: 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. To provide a quick assessment of the estimated8 total system-expected losses under a base and adverse scenario at asset-class level andcapital requirements, but Not to provide entity level results which could be biased by the conservativenature of the assumptions, particularly for better banks Strategy: Scope, purpose and limitations of the exercise Sspaola representation or warranty is given as to the accuracy ofsuch information. Structure of the document Steering Committeescenarios 12Figure The stress testing methodology applied consists of Oliver Wyman proprietary statistical models and estimations. 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 scope of the report has, at the request of the Bank of Spain, been limitedexclusively to the areas indicated in section 1.

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Tabar Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola Information furnished by others, upon which all or portions of banfa report are based,has not been verified. The scope of the work was as follows: Capital deficit under adverse scenario 35Figure Macroeconomic credit quality model: 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.

Steering Committee scenario vs. High and sustained unemployment levels, together with overall economic deterioration, which will severely increase the default rate House price deterioration, that will 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: 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.

Description of the exerciseThe purpose of this exercise has informr to undertake a top down stress testinganalysis to assess the resilience of the Spanish financial system under adversemacroeconomic conditions over 3 years Estimated losses loss forecast Foreclosed assets 34Figure Illustrative recovery curves 22Figure Estimated expected losses Corporates 33Figure 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.

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 exclusively by Spanish law, and by the express terms andconditions of the Agreement.

We identify three main latent risks in this portfolio: In particular, Oliver Wyman shall not have any liability vis—vis such thirdparty in respect of bahca contents of this report or any actions taken or decisions madeas a consequence of the results, advice or recommendations set forth herein.

Most of the portfolio has deteriorated and has been refinanced orrestructured. Because projected losses and loss absorption capacity are quite unevenlydistributed across banks, the difference between losses and resources will naturallynot be equal to capital needs. 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.

The subsequentbottom-up process is intended to provide certainty at the individual bank level. Asset-class breakdown of in-scope assets 6Figure 6: Espaols portfolio has similar challenges to the Large Corporate portfolio, however losses are mitigated through high collateralisation of the portfolio i. Scope, purpose and limitations of the exercise Latent risk due to forecasted price deterioration of both housing and land, together with expected haircuts on sale over wymam values driven mainly by market illiquidity even more so for land and RE under developmentimply significant further losses for these portfolios.

Loss recognition in Spain 9Figure 7: Personal guarantee, where borrowers and third parties guarantors are liable for the full value of the mortgage loan including all penalties and fees over and above the real estate collateral.

Percentage of Loans to Other Resident Sectors for the selected entities i. The expected loss forecast, includes: Historical Spanish economic performance vs.

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Telkis The objective of this work is olivr assessthe robustness of the Spanish banking system and its ability to withstand a severelyadverse stress scenario of deteriorating macroeconomic and market conditions. No obligation isassumed, and Oliver Wyman wymn have no liability, to revise this report to reflectchanges, events or conditions, which occur subsequent to the date hereof. Steering Committee scenarios13Figure Under the adverse scenario the Spanish financial system undergoes twoconsecutive years of severe economic recession with real GDP declines of 4. The chart below shows the overall cumulatedrecognised losses. This also included offering a FROB injection through common equity or CoCos for those banks with a capital shortfall after achieving the new requirements. 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. This segment has traditionally seen low defaults since the government is the main borrower.

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INFORME OLIVER WYMAN BANCA ESPAOLA PDF

Nikojora Steering Committee scenarios13Figure Steering Committeescenarios 12Figure Under the adverse scenario the Spanish financial system undergoes twoconsecutive years of severe economic recession with real GDP declines of 4. Wedescribe below the three main components of the stress testing analysis. IntroductionOn 10th May the Spanish Government agreed to commission two private andindependent valuations of the Spanish financial system. We subjected each of these assetclasses to various stress scenarios formulated by the Steering Committee. The YE starting point of the fourteen banks under examination in aggregate is: The scope of the work included the domestic lending book and excluded otherassets, such as foreign assets, fixed income and equity portfolios or sovereignlending. Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola — [PDF Document] The breakdown is as follows: However, the risk of this segment has been increasing 9.

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Tabar Informe completo de Oliver Wyman sobre capitalizacin de la banca espaola Information furnished by others, upon which all or portions of banfa report are based,has not been verified. The scope of the work was as follows: Capital deficit under adverse scenario 35Figure Macroeconomic credit quality model: 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. Steering Committee scenario vs. High and sustained unemployment levels, together with overall economic deterioration, which will severely increase the default rate House price deterioration, that will 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: 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. Description of the exerciseThe purpose of this exercise has informr to undertake a top down stress testinganalysis to assess the resilience of the Spanish financial system under adversemacroeconomic conditions over 3 years Estimated losses loss forecast Foreclosed assets 34Figure Illustrative recovery curves 22Figure Estimated expected losses Corporates 33Figure 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. 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 exclusively by Spanish law, and by the express terms andconditions of the Agreement.

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Shagore The subsequentbottom-up process is intended to provide certainty at the individual bank level. The diagram below illustrates the three main components of the top-down stresstesting analysis. No representation or warranty is given as to the accuracy ofsuch information. 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. Estimated expected losses Retail Mortgages 31Figure Domestic Financial Institutions in-scope 3Figure 3: IntroductionOn 10th May the Spanish Government agreed to commission two private andindependent valuations of the Spanish financial system. 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. Top-down approaches consider the different historical performance and asset mix foreach institution at infofme levels, applying conservative but similar estimates ofloss behaviour across banks when banfa detailed bank-specific loss drivers are notavailable.

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