Financial stability 2/11. Charts

Transcription

1 Financial stability /11 Charts

2 External sources of risk to banking sector Vulnerability in banking sector Chart 1.1 Vulnerabilities in the Norwegian banking sector and external sources of risk to the banking sector 1) Financial Stability 1/11 Financial Stability /11 Structure of banking sector Funding of banking sector Capital and earnings in banking sector Macroeconomic conditions Enterprises Money and credit Households markets 1) A value of, ie. origo, denotes the lowest level of risk or vulnerability. A value of 1 denotes the highest level of risk or vulnerability. Source: Norges Bank

3 Chart 1. Banks 1) pre-tax profit as a percentage of average total assets. Per cent. Annual figures Q1 Q3 and 11 Q1 Q Q Q1-3 Net interest income Other operating income Personnel expenses Other operating expenses Loan losses Pre-tax profit 1) All banks excluding branches of foreign banks in Norway Source: Norges Bank

4 Chart 1.3 Return on equity. Norwegian banks 1) and enterprises. Per cent. Annual figures Banks Enterprises ) All banks excluding branches of foreign banks in Norway Source: Norges Bank -8

5 Chart 1. Indicative risk premiums on 5-year Norwegian bank bonds and covered bonds. Spread against swap rates. Percentage points. Weekly figures. July 7 3 November 11 3,5 3,,5 Small banks with high rating DNB Bank Covered bonds 1) 3,5 3,,5, 1,5 1,,5, -,5 Jul-7 Jan-8 Jul-8 Jan-9 Jul-9 Jan-1 Jul-1 Jan-11 Jul-11 1) Banks with total assets between NOK 5bn and 15bn and rated A by DNB Markets Source: DNB Markets, 1,5 1,,5, -,5

6 Chart 1.5 Yield on 5-year covered bonds 1) and weighted average lending rate on new residential mortgages ). Per cent. Daily figures. July 7 3 November Lending rate new residential mortgages Yield on 5-year covered bonds Jul-7 Jan-8 Jul-8 Jan-9 Jul-9 Jan-1 Jul-1 Jan-11 Jul-11 1) Sum of 3-month NIBOR and indicative credit spreads on 5-year covered bonds ) Interest rate on new residential mortgages of NOK 1m within 6% of purchase price with variable interest rate. Figures for the largest banks, weighted by market share Sources: Norsk Familieøkonomi AS, DNB Markets and Norges Bank

7 Chart 1.6 Average bank lending rate for non-financial private enterprises 1) and yield on 5-year bank bonds ). Per cent. Quarterly and daily figures. 7 Q 11 Q3 and July 7 3 November Average lending rate enterprises Yield on 5-year bank bonds Jun-7 Dec-7 Jun-8 Dec-8 Jun-9 Dec-9 Jun-1 Dec-1 Jun-11 1) All Norwegian banks ) Sum of 3-month NIBOR and indicative credit spreads on 5-year bank bonds Sources: Statistics Norway, DNB Markets and Norges Bank Norges Bank Finansiell stabilitet

8 Chart 1.7 Banks 1) securities holdings as a percentage of total assets. Per cent. Annual figures and 11 Q Securities at fair value Adjusted for government securities in the swap arrangement Securities, non-current assets ) All banks excluding branches of foreign banks in Norway Source: Norges Bank

9 Chart 1.8 Banks 1) and OMF covered bond mortgage companies ) Tier 1 capital ratio and equity ratio. Per cent. Quarterly figures Q 11 Q3 3) 1 1 Tier 1 capital ratio banks Equity ratio banks and OMF covered bond mortgage companies Equity ratio banks ) All banks excluding branches of foreign banks in Norway ) Norwegian OMF covered bond mortgage companies 3) Figures for Tier 1 capital ratio as at 11 Q Sources: Finanstilsynet (Financial Supervisory Authority of Norway) and Norges Bank

10 Chart 1.9 Banks 1) after-tax profits as a percentage of risk-weighted assets. Sum of previous four quarters. Per cent. Annual figures 1. Quarterly figures 11 Q,, 1,6 1,6 1, 1,,8,8,,, ) All banks excluding branches of foreign banks in Norway Source: Norges Bank,

11 Chart 1.1 Funding as a percentage of assets. Norwegian-owned banks and covered bond mortgage companies. Quarterly figures. 7 Q 11 Q Dec-7 Jun-8 Dec-8 Jun-9 Dec-9 Jun-1 Dec-1 Jun-11 Equity Other long-term debt in NOK Other long-term debt in foreign currency 1) Other short-term debt in NOK Customer deposits Swap arrangement and F-loans > 1 year 1) Other short-term debt in foreign currency 1) Short-term debt is debt with a maturity of 1 year or less Source: Norges Bank Norges Bank Finansiell Stabilitet 1

12 Chart 1.11 Banks 1) stable funding as a percentage of stable funding requirement (NSFR). ) Weighted average for group. End of quarter 1 11 Q Q All banks DNB + commercial banks Savings banks Total assets > NOK bn Savings banks Total assets < NOK bn The broken line shows the requirement under the Net Stable Funding Ratio (Basel III) 1) All banks excluding branches of foreign banks in Norway. ) Norges Bank s estimate Source: Norges Bank

13 Chart 1.1 Banks and covered bond mortgage companies 1) weighted residual maturity of gross market funding maturing in more than one year. In years. Quarterly figures. 7 Q 11 Q Covered bond mortgage companies Banks and covered bond mortgage companies Banks Dec-7 Dec-8 Dec-9 Dec-1 1) All banks and covered bond mortgage companies excluding branches and subsidiaries of foreign institutions in Norway. Break in series in 9 Q as a result of more closely defined intervals Source: Norges Bank Norges Bank Finansiell stabilitet 1

14 Chart 1.13 Banks and covered bond mortgage companies senior bond debt by maturity in NOK and foreign currency. As of 3 November 11. In billions of NOK 3 5 Bank bonds in NOK Bank bonds in foreign currency Covered bonds in NOK Covered bonds in foreign currency h 1 h >=17 Sources: Bloomberg and Stamdata 13

15 Chart 1.1 Banks 1) gross short-term market funding as a percentage of total assets. Per cent. Quarterly figures. Q1 11 Q Foreign currency NOK ) All banks excluding branches and subsidiaries of foreign banks in Norway. Source: Norges Bank

16 Chart 1.15 Banks 1) liquid assets as a percentage of required liquid assets (LCR). ) Weighted average for group. End of quarter 1 11 Q Q All banks DNB + commercial banks Savings banks Total assets > NOK bn Savings banks Total assets < NOK bn The broken line shows the requirement under the Liquidity Coverage Ratio (Basel III) 1) All banks excluding branches of foreign banks in Norway. ) Norges Bank s estimate Source: Norges Bank

17 Chart 1.16 Funding structure of Norwegian banks 1). Division into groups based on total assets (TA). ) Percentage of total assets. Per cent. As at 11 Q Equity Various other debt Debt to credit institutions Secured customer deposits Subordinated debt Bank bonds and certificates Unsecured customer deposits TA > NOK 5bn NOK 1bn < TA < NOK 5bn 1) All banks excluding branches of foreign banks in Norway ) Nordlandsbanken is included in the group TA > NOK 5bn Source: Norges Bank TA < NOK 1bn 1 8 6

18 Chart 1.17 Funding structure of the five largest banking groups. 1) Percentage of total assets. ) Per cent. As at 1 Q Equity Various other debt Debt to credit institutions Covered bond (OMF) debt Subordinated debt Bank bonds and certificates Customer deposits DNB Bank Nordea Fokus Bank Handelsbanken SR-Bank 1) DNB Bank, Nordea Bank Norge, Fokus Bank filial av Danske Bank, Handelsbanken NUF and SpareBank 1 SR-Bank ) Shares of lending for Fokus Bank filial av Danske Bank and Handelsbanken NUF 3) Including loans transferred to SpareBank 1 Boligkreditt Sources: Public financial information from the institutions and Norges Bank s estimates 3)

19 Chart 1.18 Composition of Norwegian banks 1) assets. Division into groups based on total assets (TA) as at 11 Q. ) Percentage of total assets. Per cent. As at 6 Q and 11 Q Lending to the retail market Net lending to other customers Financial assets (mark-to-market) Other assets Big 6 Big 11 Medium 6 Lending to the corporate market Lending to credit institutions Financial assets (non-current assets) Medium 11 Small 6 Small 11 1) All banks excluding branches of foreign banks in Norway ) Big: TA > NOK 5bn, medium: NOK 1bn < TA < NOK 5bn, small: TA < NOK 1bn Nordlandsbanken is included in the group of big banks Source: Norges Bank

20 Chart 1.19 Share of mortgage loans that banks 1) have transferred to covered bond mortgage companies. Average for all banks. ) Per cent. As at 11 Q 3) Weighted average for all banks ) Banks with more than NOK 35bn in total assets as at 11 Q ) All banks excluding branches of foreign banks in Norway 3) As at 1 Q for Nordea Bank Norge Sources: Public financial information from the institutions and Norges Bank s estimates

21 Chart1 Total assets in the banking sector as a share of GDP in different countries. Per cent. As of 31 December 1 US Iceland Greece Italy Norway Finland Sweden Spain Denmark France Switzerland UK Ireland Mainland Norway Sources: Central banks, Thomson Reuters, FDIC, Statistics Norway and Norges Bank

22 Chart 1. Projected GDP growth in 1, US and euro area. Per cent. Monthly figures. Projections through 11 3 US 3 3 Euro area NOMURA Consensus Forecasts IMF JP Morgan 3 1 NOMURA Consensus Forecasts IMF JP Morgan May Jun -1 Jul Aug Sep Oct Nov -1 May Jun -1 Jul Aug Sep Oct Nov Sources: Nomura, Consensus Economics, IMF and JP Morgan

23 Chart 1.1 Projected output gap 1) for mainland Norway and Norway s trading partners. Per cent. Quarterly figures. 8 Q1 1 Q Mainland Norway FS /11 Mainland Norway FS 1/11 Trading partners FS /11 Trading partners FS 1/ ) The output gap measures the percentage deviation between GDP and projected potential GDP Sources: Statistics Norway, IMF and Norges Bank -6

24 Chart 1. Bank lending surveys in the euro area. Net share of banks that have tightened credit standards. Quarterly figures. 3 Q1 11 Q Enterprises (euro area) Households (euro area) Source: ECB 3

25 Chart 1.3 Government bond spreads. Compared with German government bonds. 1-year maturity. Percentage points. Daily figures. 1 January 7 3 November Greece Portugal Ireland Italy Spain Belgium France Jan-7 Jul-7 Jan-8 Jul-8 Jan-9 Jul-9 Jan-1 Jul-1 Jan-11 Jul-11 Source: Thomson Reuters

26 Chart 1. Equity index prices. Indices. 1 January 7=1. Daily figures. January 7 3 November US (S&P 5) Norway (OSEBX) Europe (STOXX 6) 1) Banks in the Euro area (STOXX Index) ) STOXX 6 Banks is a capital-weighted index comprising European banks Source: Thomson Reuters

27 Chart 1.5 Risk premium on European and US bank bond indices. 5-year average maturity. AA-rating. Basis points. 3 December November US Euro area Jan-99 Jan-1 Jan-3 Jan-5 Jan-7 Jan-9 Jan-11 Source: Thomson Reuters

28 Chart 1.6 CDS prices. itraxx Senior Financials 1) and Nordic banks. Basis points. Daily figures. 1 January 7 3 November itraxx Danske Bank DNB Nordea ) itraxx Senior Financials comprises 5 large European financial institutions Source Bloomberg

29 Chart 1.7 Volume of bonds and OMF covered bonds issued by Norwegian banks and mortgage companies. In billions of NOK. Annual and monthly figures January November 1) 1 and 11 3 Bank bonds - NOK 3 5 Bank bonds - foreign currencies OMF covered bonds - NOK OMF covered bonds - foreign currencies Jan-Nov 1 1) As at 3 November Sources: Stamdata and Bloomberg Jan-Nov 11

30 Chart 1.8 Spread between 3-month money market rate and market expectations as to the key rate. 1) Percentage points. 5-day moving average. Daily figures. 5 January 7 3 November 11 3 Norway Euro area US Jan-7 Jul-7 Jan-8 Jul-8 Jan-9 Jul-9 Jan-1 Jul-1 Jan-11 Jul-11 1) Expected key rates are derived from Overnight Indexed Swaps (OIS). OIS for Norway estimated by Norges Bank Sources: Bloomberg, Thomson Reuters and Norges Bank

31 Chart 1.9 Household debt burden 1) and interest burden ). Per cent. Quarterly figures Q1 1 Q 3) 1 1 Debt burden (right-hand scale) Interest burden (left-hand scale) ) Debt as a percentage of disposable income adjusted for estimated reinvested share dividends for 5 and redemption/reduction of equity capital for 6 1 ) Interest expenses after tax as a percentage of disposable income adjusted for estimated reinvested share dividends 5 and redemption/reduction of equity capital for 6 1, plus interest expenses 3) Projections for 11 Q1 1 Q from Monetary Policy Report 3/11. The grey broken lines show projections from Monetary Policy Report /11 Sources: Statistics Norway and Norges Bank

32 Chart 1.3 Change in loan conditions for households. Factors affecting credit standards. Net percentage balances. 1) ) As at 11 Q3 6 Lending margins Maximum loan-toincome ratio Maximum loan-to-value ratio Fees Use of interestonly periods Q Q3 Q Q Q3 Q Q Q3 Q Q Q3 Q Q Q3 Q -6 1) Net percentage balances are calculated by weighting together the responses in the bank survey. The blue bars show developments in the past quarter. The yellow diamonds show expectations for the next quarter. The yellow diamonds have been moved forward one quarter ) Positive net percentage balances for lending margins and fees indicate tighter credit Standards. Negative net percentage balances for the other factors denote tighter credit standards Source: Norges Bank

33 Chart 1.31 Share of households with less than three months wages as financial margin 1). Annual figures and Figures for percentage point increase on figures for 9 Figures for Less than 1 month's wages Between 1 and 3 months' wages 1) Financial margin is yearly wages after tax less interest expenses and standard living expenses (as defined by National Institute for Consumer Research, SIFO) Sources: Statistics Norway and Norges Bank

34 Chart 1.3 House prices in selected countries. Indices Q1 = 1. Quarterly figures Q1 11 Q3 1) Norway UK Sweden Denmark New Zealand ) For Denmark and New Zealand to 11 Q Source: Thomson Reuters

35 Percentage change in house prices, Chart 1.33 Change in household leverage and house prices before the financial crisis. Per cent. Annual figures UK IRL 15 1 FRA SWE NOR SPA DEN 1 5 ITA FIN US NLD 5 GER -5 JPN Percentage point change in household leverage, The broken line depicts the best fit relationship in the data as generated by a simple least square statistical regression Sources: OECD, Haver Analytics and Eurostat -5

36 Percentage change in consumption, 8 Q - 9 Q1 Chart 1.3 Change in household leverage before the financial crisis and consumption during the financial crisis. Per cent. Annual and quarterly figures and 8 Q 9 Q1 GER AUS FRA - - JPN BEL ITA FIN SWE US NOR UK SPA POR NLD DEN IRL Percentage point change in household leverage, The broken line depicts the best fit relationship in the data as generated by a simple least square statistical regression Sources: OECD, Haver Analytics and Eurostat

37 Chart 1.35 Deflated house prices. Indices = 1. Annual figures ) 3 5 Deflated by CPI Deflated by paid rent Deflated by construction costs Deflated by disposable income per capita Deflated by disposable income ) Projections for 11 Sources: Association of Norwegian Real Estate agents, Association of Real Estate Agency firms, Finn.no, Econ Pöyry, Statistics Norway and Norges Bank

38 Chart 1.36 Rise in number of households 1) and completed dwellings. Annual figures. 11 ) Rise in number of households Number of completed dwellings First half 1) Estimated rise in number of households - ) Rise in number of households for first half of 11 is based on population growth in this period Sources: Statistics Norway and Norges Bank

39 Chart 1.37 Debt-servicing capacity 1) for different industries. Per cent. Annual figures. 8 1 Total Commercial property Business services Transportation Shipping Retail trade, hotels and restaurants Construction Electricity and water supply Manufacturing Oil services Primary industries ) Profit before tax, depreciation and impairment losses as a percentage of bank and bond debt. Intragroup funding is not included. Only enterprises with debt are included Source: Norges Bank

40 Chart 1.38 Return on equity 1) for listed enterprises ) and all private limited enterprises 3). Quarterly figures for listed enterprises, annual figures for all private limited enterprises. Per cent Listed enterprises Average, listed enterprises 3 Q1-11 Q Average, all private limited enterprises All private limited enterprises ) Profit before tax as a percentage of book equity. Return on equity for listed enterprises is based on profits over the previous four quarters ) Non-financial listed enterprises (excl. Statoil) 3) Public administration, bank/insurance and extraction of primary resources are not included in the sample Sources: Statistics Norway and Norges Bank

41 Chart 1.39 Output growth. Enterprises in Norges Bank s regional network. Aggregated. Annualised index 1) (left-hand scale) and per cent (right-hand scale). October September 11. Estimate for March Past 3 months 6 months ahead Oct- Apr- Oct-5 Apr-7 Oct-8 Apr-1 Oct ) The index ranges from -5 to 5, where -5 indicates a sharp fall and +5 indicates strong growth Source: Norges Bank s regional network

42 Chart 1. 1-month growth in domestic credit (C) and total debt (C3) to nonfinancial enterprises. Mainland Norway. Per cent. Monthly figures. January September C C Source: Statistics Norway

43 Chart 1.1 Equity ratio for listed enterprises 1) and private limited enterprises ). Quarterly figures for listed enterprises, annual figures for all private limited enterprises. Per cent Listed enterprises Average, listed enterprises Q - 11 Q All private limited enterprises Average, all private limited enterprises ) Non-financial listed enterprises (excl. Statoil) 3) Public administration, bank/insurance and extraction of primary resources are not included in the sample Sources: Statistics Norway and Norges Bank

44 Chart 1. Real selling prices 1) for office premises in Oslo and Bergen. ) NOK per square metre. Semi-annual figures. June 1981 June Oslo Average, Oslo Bergen Average, Bergen ) Deflated by CPI ) Average market value for high-standard offices centrally located in Oslo and Bergen Sources: OPAK, Statistics Norway and Norges Bank

45 Chart 1.3 Vacancy rate 1) for office premises in Oslo, Asker and Bærum. Per cent of total square metres. Semi-annual figures. March September Vacancy rate Average ) DNBs definition of office vacancy rate includes both direct lease and sublease and areas that will be ready for new tenants within the next 1 months Source: DNB Næringsmegling Norges Bank Finansiell stabilitet

46 Chart 1. Freight rates (Clarksea index) 1) in USD per day and selling price of ships in millions of USD. Monthly figures. January 199 October 11 5 Freight rates 5 Selling price ) A weighted average for earnings in the tanker, bulk, container and gas segments. Deflated by US CPI Source: Clarkson Research Services Ltd

47 Chart.1 GDP trading partners. Annual volume change. Per cent. Annual figures ) Baseline scenario Stress scenario ) Projections for 11 1 Sources: Statistics Norway, IMF, Thomson Reuters and Norges Bank

48 Chart. Mainland GDP. Annual volume change. Per cent. Annual figures ) Baseline scenario Stress scenario Less pronounced fall in credit growth ) Projections for 11 1 Sources: Statistics Norway and Norges Bank - -6

49 Chart.3 Growth in credit to enterprises (C3). Year-on year growth 1). Per cent. Annual figures. 5 1 ) Baseline scenario Stress scenario Less pronounced fall in credit growth ) Change in stock of loans measured at year-end ) Projections for 11 1 Sources: Statistics Norway and Norges Bank

50 Chart. Banks 1) pre-tax profits as a percentage of average total assets. Stress scenario. Per cent. Annual figures. 5 1 ) Net interest income Other operating income Personnel expenses Other operating expenses Loan losses Pre-tax profits 1) All banks excluding branches of foreign banks in Norway ) Projections for 11 1 for DNB Bank, Nordea Bank Norge, SpareBank 1 SR-Bank, Sparebanken Vest, SpareBank 1 SMN and SpareBank 1 Nord-Norge Sources: Statistics Norway and Norges Bank

51 Chart.5 Banks 1) Tier 1 capital ratio. Per cent. Annual figures. 5 1 ) Baseline scenario Stress scenario Less pronounced fall in credit growth Average ) DNB Bank, Nordea Bank Norge, SpareBank 1 SR-Bank, Sparebanken Vest, SpareBank 1 SMN and SpareBank 1 Nord-Norge ) Projections for 11 1 Sources: Finanstilsynet (Financial Supervisory Authority of Norway) and Norges Bank

52 Chart.6 Banks 1) Tier 1 capital ratios with less pronounced fall in credit growth. Banks are ranked by Tier 1 capital ratio. Per cent. Annual figures. 5 1 ) ) Median Highest and lowest value Current minimum Tier 1 capital ratio Proposed minimum Tier 1 capital ratio ) DNB Bank, Nordea Bank Norge, SpareBank 1 SR-Bank, Sparebanken Vest, SpareBank 1 SMN and SpareBank 1 Nord-Norge ) Projections for ) Median is defined here as the middle bank in a list where half the banks have a lower Tier 1 capital ratio than the median bank Sources: Finanstilsynet (Financial Supervisory Authority of Norway) and Norges Bank

53 Chart 1 Banks 1) pre-tax profits as a percentage of average total assets. Per cent. Annual figures Q1 Q Q1 Q3 FS 1/11 11 Net interest income Other operating income Personnel expenses Other operating expenses Loan losses Pre-tax profit 1) DnB Bank, Nordea Bank Norge, SpareBank 1 SR-Bank, Sparebanken Vest, SpareBank 1 SMN and SpareBank 1 Nord-Norge ) Annualized 3) Baseline scenario in Financial Stability Report 1/11 Sources: Statistics Norway and Norges Bank ) 3) -3

54 Chart Banks 1) loan losses as a percentage of gross lending. Per cent. Annual figures Q1 Q3 1,,5 Median ) Highest and lowest value 1,,5,, -,5 -,5-1, Q1 Q3 3) -1, 1) DnB Bank, Nordea Bank Norge, SpareBank 1 SR-Bank, Sparebanken Vest, SpareBank 1 SMN and SpareBank 1 Nord-Norge ) Median is defined here as the middle bank in a list where half the banks have lower loan losses than the median bank 3) Annualized Sources: Statistics Norway and Norges Bank

55 Chart 3 Banks 1) loan losses in baseline scenario. Percentage of gross lending. Annual figures ,,5 Historical figures Baseline scenario FS /11 Baseline scenario FS 1/11 Baseline scenario FS /1 Baseline scenario FS 1/1 1,,5,, -,5 -,5-1, -1, ) DNB Bank, Nordea Bank Norge, SpareBank 1 SR-Bank, Sparebanken Vest, SpareBank 1 SMN and SpareBank 1 Nord-Norge Sources: Statistics Norway and Norges Bank

56 Chart Banks 1) pre-tax profits as a percentage of average total assets. Baseline scenario. Per cent. Annual figures. 5 1 ) Net interest income Other operating income Personnel expenses Other operating expenses Loan losses Pre-tax profit 1) All banks excluding branches of foreign banks in Norway ) Projections for 11 1 for DnB Bank, Nordea Bank Norge, SpareBank 1 SR-Bank, Sparebanken Vest, SpareBank 1 SMN and SpareBank 1 Nord-Norge Sources: Statistics Norway and Norges Bank