Macroprudential indicators of the financial sector June 6 Macroeconomic risk indicators... Manufacturing Purchasing Managers Index (PMI) in selected economies... Services Purchasing Managers Index (PMI) in selected economies... Consumer confidence indicators in the United States... Economic sentiment indicators in the euro area... Unemployment rates in selected economies... 6 Consumer price inflation in selected economies... 7 Industrial production indices in selected economies... 8 Retail sales indices in selected economies... 9 General government balances of EU countries in... Gross government debt of EU countries in the first quarter of 6... Financial market risk indicators... Price commodity indices... Exchange rate indices... Equity indices... Share price indices of the parent institutions of the five largest domestic banks... Yield curve slopes in selected economies... 6 Volatility of equity indices... 7 CDS spread indices... 8 CDSs of the parent institutions of the largest Slovak banks... 9 Three-month rates and the OIS spread... 6 Inflation-linked swap prices... 6 Credit spreads on -year government bonds issued by lower-rated countries... 6 Credit spreads on -year government bonds issued by selected central European countries and Germany... 6 Corporate credit risk indicators... 6 Exports and the business environment... 6 Exports and corporate sales... 6 Sales in selected sectors compared with their level for the period 6/7 to 6/8... 7 6 Corporate loans and sales... 7 7 Interest rate spreads on new loans to NFCs... 7 8 Non-performing loans and default rates... 7
9 Loans at risk (%)... 7 Debt-service burden and its components... 7 Commercial real estate: price and vacancy rates in the office segment in BA... 8 Commercial real estate: sales in the residential segment (new flats) in BA... 8 Comparison of corporate balance sheets and sales... 8 Liabilities of non-financial corporations (%)... 8 Household credit risk indicators... 8 Household indebtedness in Slovakia and in selected countries... 8 6 Changes in household financial assets... 8 7 Number of unemployed by income category... 9 8 Employment in selected sectors - index... 9 9 Expected employment in selected sectors - index... 9 Real wages in selected sectors - index... 9 The consumer confidence index and its components... 9 Non-performing loans to households... 9 Loan-to-value (LTV) ratio... Housing affordability index... Market risk and liquidity risk indicators... Value at Risk for investments in different types of financial instruments... 6 Loan-to-deposit ratio... 7 Liquid asset ratio... General note: 'Index: December = ' means that the given index was normalized so that its value on the specified date ( December ) was equal to.
.7 7.7.8 7.8.9 7.9. 7.. 7.. 7. 7.. 7.. 7..6 7.6.. 9... 9... 9.. 9... 9... 9..6.6.7 7.7.8 7.8.9 7.9. 7.. 7.. 7. 7.. 7.. 7..6 7.6.8 6.8.8.9 9.9. 7..... 8. 6.. 9.. 7...6.7 7.7.8 7.8.9 7.9. 7.. 7.. 7. 7.. 7.. 7..6 7.6.7 7.7.8 7.8.9 7.9. 7.. 7.. 7. 7.. 7.. 7..6 7.6 Macroeconomic risk indicators Manufacturing Purchasing Managers Index (PMI) in selected economies 6 6 Euro area United States China Source: Bloomberg. Note: PMI (Purchasing Managers Index) is an indicator of the economic health of the manufacturing or service sector: an index value of more than represents expansion, while a value of below represents contraction. Consumer confidence indicators in the United States Services Purchasing Managers Index (PMI) in selected economies 6 6 Euro area United States Source: Bloomberg. Note: PMI (Purchasing Managers Index) is an indicator of the economic health of the manufacturing or service sector: an index value of more than represents expansion, while a value of below represents contraction. Economic sentiment indicators in the euro area 8 6 9 8 7 6 8 6 - - -6-8 Conference Board Consumer Confidence Index University of Michigan Consumer Sentiment Index ESI ZEW (right-hand scale) Source: Bloomberg. Note: The chart refers to US consumer confidence indices produced by two different institutions. Unemployment rates in selected economies (%) 9 7 Source: Bloomberg. Notes: ESI is the Economic Sentiment Indicator compiled by the European Commission. ZEW represents the economic sentiment indicator compiled by a private company ZEW (Zentrum für Europäische Wirtschaftsforschung). 6 Consumer price inflation in selected economies (%) - - Euro area United States Slovakia Source: Eurostat, Bureau of Labor Statistics. Note: Seasonally adjusted. Euro area United States Slovakia Source: Eurostat, Bureau of Labor Statistics. Note: Year-on-year percentage changes in the consumer price indices.
Greece Italy Portugal Cyprus Belgium Spain France Euro area UK Austria Croatia Slovenia Ireland Hungary Germany Malta Netherlands Finland Slovakia Poland Sweden Czech Republic Lithuania Denmark Latvia Romania Bulgaria Luxembourg Estonia Greece Spain Portugal UK France Croatia Slovakia Slovenia Finland Poland Belgium Italy Ireland Bulgaria Euro area Denmark Hungary Netherlands Malta Latvia Austria Cyprus Romania Czech Republic Lithuania Sweden Estonia Germany Luxembourg.7 7.7.8 7.8.9 7.9. 7.. 7.. 7. 7.. 7.. 7..6.7 7.7.8 7.8.9 7.9. 7.. 7.. 7. 7.. 7.. 7..6 7.6 7 Industrial production indices in selected economies 9 8 Euro area United States Slovakia Germany Source: Eurostat, US Federal Reserve. Notes: Rebalanced (average: 7 = ). Seasonally adjusted. 9 General government balances of EU countries in (%) - - - - - -6-7 -8 8 Retail sales indices in selected economies 9 9 Euro area United States Slovakia Germany Source: Eurostat, US Department of Commerce. Notes: Rebalanced (average 7 = ). Seasonally adjusted. Gross government debt of EU countries in the first quarter of 6 (%) 8 6 8 6 Source: Eurostat. Note: Balance is expressed as a percentage of GDP. Source: Eurostat. Note: Gross government debt is expressed as a percentage of shares of GDP. Financial market risk indicators Price commodity indices (.. = ) Exchange rate indices (.. = ).... Brent oil price index. Gold price index.............6..9 USD / EUR CZK / EUR HUF / EUR PLN / EUR.7-7 -8-9 - - - - - - -6
..7..8..9.............6 Equity indices (.. = ) Share price indices of the parent institutions of the five largest domestic banks (.. = ).. EUROSTOXX NIKKEI S&P.. UniCredit KBC Erste Bank RZB Intesa.8.6.................6 Yield curve slopes in selected economies (p. p.) 6 Volatility of equity indices 8 6 VIX VSTOXX - - Germany United States Notes: The yield curve slope is expressed as the difference between the yield to maturity on -year and -month government bonds. p. p. percentage points Source: Bloomberg. 7 CDS spread indices (b. p.) 8 CDSs of the parent institutions of the largest Slovak banks (b. p.) itraxx Europe Y itraxx Senior Financials Y 7 6 Max. - min. CDS spreads of parent banks itraxx Senior Financials Y Note: b. p. basis points Note: b. p. basis points
-8 6-9 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 -8 6-9 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 9 Three-month rates and the OIS spread (%, p. p.) 6 Inflation-linked swap prices (p. p.) OIS Spread - -month EURIBOR -month OIS - -6 -year swaps linked to euro area inflation -year swaps linked to US inflation -year swaps linked to euro area inflation -year swaps linked to US inflation Note: p.p. percentage points. Credit spreads on -year government bonds issued by lower-rated countries (p. p.) Notes: Inflation-linked swaps are swap transactions in which one counterparty pays a fixed rate (a swap price) and the other pays a rate corresponding to the return on a selected price index. The inflation-linked swap price is calculated on a non-coupon basis. p.p. percentage points. Credit spreads on -year government bonds issued by selected central European countries and Germany (p. p.) Ireland Italy Spain Portugal Greece (right-hand scale) 6 Slovakia Czech Republic Poland Germany - - Notes: The vertical scales shows differences between the yield on -year bonds issued by the given countries and -year OIS rates, representing a -year interest rate on high-rated bonds. p. p. percentage points. Notes: The Chart shows the difference between yields on -year government bonds denominated in the domestic currencies of the given countries and -year swap rates for the respective currencies. p. p. percentage points. Corporate credit risk indicators Exports and the business environment Exports and corporate sales (%) 9 8 7 Source: NBS, OECD, Statistical Office of the SR. Business sentiment - Slovakia (left-hand scale) Business sentiment - main trading partners (left-hand scale) Economic Sentiment Indicator (left-hand scale) Exports - annual percentage changes (right-hand scale) % % % % % -% -% -% -% - - - - Exports - annual percentage change Sales in total - annual percentage change Sales weighted by bank exposures - annual percentage change Source: Ministry of Economy of the SR, NBS, OECD, Statistical Office of the SR.
. 6. 9... 6. 9... 6. 9.. 6. 9... 6. 9...6 6.6-8 6-9 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 -8 6-9 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 Sales in selected sectors compared with their level for the period 6/7 to 6/8 (%) 8 6 Corporate loans and sales (%) 6 Corporate sector in total Industry Construction Trade and motor vehicle sales Hotels and restaurants -8-9 - - - - - - - - Total sales - annual percentage change Year-on-year growth in loans from domestic banks to nonfinancial corporations Source: Statistical Office of the SR. Source: NBS, Statistical Office of the SR. 7 Interest rate spreads on new loans to NFCs (%) 8 Non-performing loans and default rates 6 - EURIBOR M Loans of up to and including. million Loans of more than. million, up to and including million Loans of more than million % 9% 8% 7% 6% % % % % % % Change in the volume of NPL - m/m (right-hand scale) Default rate (volume of loans) Default rate (number of loans) NPL ratio - - - Source: NBS, European Banking Federation. Note: The spread is defined as the difference between the monthly EURIBOR rate and the average rate on new loans in the respective category. Notes: Data on the right-hand scale are in EUR mil. Default rates refer to ratio of the number/volume of loans re-categorised as defaulted to the number/volume of non-defaulted loans at the beginning of the period under review. 9 Loans at risk (%) Debt-service burden and its components 8 6 Average Note: The chart shows the interquartile range. Median % % % -% -% Interest rate (left-hand scale) Loans (left-hand scale) Sales (left-hand scale) -6% Debt-service burden - domestic loans - index Debt-service burden at 8 rates - domestic loans - index Debt burden-service - total loans - index -8% Debt-service burden at 8 rates - total loans - index -8 7-8 -9 7-9 - 7- - 7- - 7- - 7- - 7- - 7- Source: NBS, SO SR. Note: Data on the right-hand scale are in EUR mil. 7
.7 6.8.8 6.9.9 6.. 6.. 6.. 6. 6.. 6.....6.7.8.9.......6 6.6.9 9.9. 9.. 9.. 9.. 9.. 9.. 9..6.9 6.9 9.9.9. 6. 9... 6. 9... 6. 9... 6. 9.. 6. 9... 6. 9...6 6.6 Commercial real estate: price and vacancy rates in the office segment in BA Commercial real estate: sales in the residential segment (new flats) in BA (EUR/m ) % 8 Number of flats whose sale fell through (left-hand scale) Number of flats sold in a given quarter (left-hand scale) Residential segment: Net sales of flats (left-hand scale) Share of projects with positive net sales of flats (right-hand scale) % 8% % 6% 9 % 6 % Price per m / month - inner centre Price per m / month - outer centre Price per m / month - outside centre Office vacancy rate - inner centre (right-hand scale) Office vacancy rate - outer centre (right-hand scale) Office vacancy rate - outside centre (right-hand scale) - -6 % % Source: CBRE, NBS. Note: BA - Bratislava. Source: Lexxus, NBS. Note: BA - Bratislava. Comparison of corporate balance sheets and sales (%) Liabilities of non-financial corporations (%) Ratio of domestic bank loans (excl. loans for commercial property) to annual sales Ratio of domestic bank loans to annual sales Ratio of external funding to annual sales External funding as a share of total NFC liabilities Funds from the rest of the world sector as a share of NFC liabilities Source: NBS, Statistical Office of the SR. Note: NFC - non-financial corporations. Household credit risk indicators Household indebtedness in Slovakia and in selected countries (%) 8 6 6 7 8 9 Euro area (9 countries average) Visegrad Four Slovakia Baltic states Source: Eurostat. Note: The indicator is calculated as the ratio of households total debt to their disposable income. 6 Changes in household financial assets (mil. EUR) - Q Q Q Q Q Q Q Q Q Q Q Q 6Q Curenncy and deposits Shares and other equity Insurance, pension and standardised guarantee systems Ratio of financial liabilities to financial assets (right-hand scale) Currency and deposits as a share of financial assets (right-hand scale) Notes: Data on the left-hand scale refer to quarter-on-quarter changes. Owing to a methodological change, historical data are not available as yet. 7% 6% % % % % % %
-8 6-9 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6.8 6.8.8.9 9.9. 7..... 8. 6.. 9.. 7...6.8 6.8.8.9 9.9. 7..... 8. 6.. 9.. 7...6.9 6.9.9. 9.. 7..... 8.. 6... 9..6 7.6-7 -8-9 - - - - - - -6-7 -8-9 - - - - - - -6. 7.. 7.. 7. 7.. 7.. 7..6 7 Number of unemployed by income category 8 Employment in selected sectors - index Inflow of job seekers Number of job seekers 8 6 8 6 9 9 8 8 Higher-income category Lower-income category Source: Central Office of Labour, Social Affairs and Family of the SR. Notes: Left-hand and right-hand scales: Numbers of job seekers are in thousands. Household income categories categorisation based on the KZAM employment classification and KZAM income data; it consists of three categories: higher-income category (income of over 8 per month) legislators, senior officials and managers, scientists, professionals, technicians, health professionals, and teaching professionals; middle-income category (income between 6 and 8 per month) office workers, craft and skilled workers, processors, and plant and machinery operators; lower-income category (income of up to 6) service and retail workers, agricultural and forestry workers, auxiliary and unskilled workers. 9 Expected employment in selected sectors - index - - - - - -6 Source: Statistical Office of the SR. Medium-income category Services Industry Trade Construction The consumer confidence index and its components Manufacturing Wholesale trade Accomodation Source: Statistical Office of the SR. Note: Year-on-year changes. Construction Retail trade Transportation and storage Real wages in selected sectors - index 9 9 8 HICP (righ-hand scale) Industry Construction Wholesale trade except for motor vehicles Retail trade except for motor vehicles Source: Statistical Office of the SR. Note: HICP - Harmonised Index of Consumer Prices, change on the same period of the previous year. Non-performing loans to households 6 98 9 %.% 6 8%.8% 6%.6% - -6 %.% Consumer confidence index Expected financial situation of households Expected economic situation in Slovakia Expected unemployment Expected household savings % % Interquartile range Banks total Net default rate (rhs).%.% Source: Statistical Office of the SR. Note: Left-hand scale: ratio of non-performing household loans to total household loans. The net default rate denotes the net change in the amount of non-performing loans over a - month period as a share of the outstanding amount of loans at the beginning of the period. The numerator is adjusted for the effect of loan write-offs and sell-offs. Data on net default rate is available only from.
-9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 Loan-to-value (LTV) ratio (%) Housing affordability index 9 8 8 7 7 6 6 Interquartile range Banks in total Large banks Note: Loan-to-value ratio is the loan value divided by the value of the loan collateral. Housing affordability index (constant LTV) Housing affordability index (variable LTV)....6.7.8.9..... Source: NBS, Statistical Office of the SR. Notes: Housing affordability index is an index representing the ratio of disposable income to loan instalments. The calculation of disposable income takes into account the average wage and average expenditure of households; the calculation of the instalment amount takes into account the average apartment price, average interest rate, average maturity, and a constant LTV ratio (7%). The calculation methodology for the housing affordability index is set out in the following paper: Rychtárik, Š., Krčmár, M. (), Vývoj na trhu úverov na bývanie a jeho interpretácia (Developments in the housing loan market and their interpretation), Nehnuteľnosti a bývanie (Real Estate and Housing), Vol. No, Bratislava,. Market risk and liquidity risk indicators Value at Risk for investments in different types of financial instruments (%) Open position in USD -year euro-denominated bonds Equity investments (EUROSTOXX index) Notes: The data represent the loss (as a percentage of the given investment) that should not be exceeded over a period of days at a confidence level of 99%. This loss was determined on the basis of a risk factor volatility calculation, using exponentially weighted moving averages.
6 Loan-to-deposit ratio 7 Liquid asset ratio 8 6 Loan-to-deposit ratio Loan-to-deposit ratio (excluding mortgage bonds issued) Loan-to-deposit ratio (retail sector),, Banking sector - median, Retail banks - median Weighted average -9 - - - - - -