Macroprudential indicators of the financial sector June 7 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 6... Gross government debt of EU countries in the first quarter of 7... 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: Development in the office segment... 8 Commercial real estate: sales in the residential segment (new flats)... 8 Comparison of corporate balance sheets and sales... 8 Liabilities of non-financial corporations... 8 Household credit risk indicators... 8 Stock of retail loans... 8 6 Household indebtedness in Slovakia and in selected countries... 8 7 Changes in credit standards and credit demand according to the Bank Lending Survey. 9 8 Loan-to-value (LTV) ratio for new loans... 9 9 Net default rates on retail loans... 9 NPL ratios for retail loans... 9 The consumer confidence index and its components... 9 Number of unemployed by income category... 9 Real wages in selected sectors index... 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 6 = ' means that the given index was normalized so that its value on the specified date ( December 6) was equal to.
.7 7.7.8 7.8.9 7.9. 7.. 7.. 7.. 7.. 7.. 7..6 7.6.7 7.7.. 9... 9... 9... 9... 9... 9..6.6 9.6.7.7.7 8.7.8.8.9.9 7.. 9... 6.. 8....6.6 7.7.8 7.8.9 7.9. 7.. 7.. 7.. 7.. 7.. 7..6 7.6.7 7.7.7 7.7.8 7.8.9 7.9. 7.. 7.. 7.. 7.. 7.. 7..6 7.6.7 7.7.7 7.7.8 7.8.9 7.9. 7.. 7.. 7.. 7.. 7.. 7..6 7.6.7 7.7 Macroeconomic risk indicators Manufacturing Purchasing Managers Index (PMI) in selected economies 6 6 Services 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 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 Euro area United States Slovakia Source: Eurostat, Bureau of Labor Statistics. Note: Seasonally adjusted. 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: Year-on-year percentage changes in the consumer price indices.
Spain France UK Romania Belgium Poland Italy Portugal Finland Slovenia Hungary Slovakia Euro area Austria Denmark Croatia Ireland Bulgaria Latvia Lithuania Estonia Netherlands Cyprus Czech Republic Greece Germany Sweden Malta Luxembourg Spain France UK Romania Belgium Poland Italy Portugal Finland Slovenia Hungary Slovakia Euro area Austria Dennmark Croatia Ireland Bulgaria Latvia Lithuania Estonia Netherlands Cyprus Czech Republic Greece Germany Sweden Malta Luxembourg.7 7.7.8 7.8.9 7.9. 7.. 7.. 7.. 7.. 7.. 7..6 7.6.7 7.7.7 7.7.8 7.8.9 7.9. 7.. 7.. 7.. 7.. 7.. 7..6 7.6.7 7.7 7 Industrial production indices in selected economies 6 8 Retail sales indices in selected economies 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 (%) 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 7 (%) - - - - - 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 (.. 6 = ) Exchange rate indices (.. 6 = ).8.6...8.6 Brent oil price index. Gold price index...............6..7.7....9.7..7..9........7 USD / EUR CZK / EUR HUF / EUR
..7..8..9..............6..7 Equity indices (.. 6 = ) Share price indices of the parent institutions of the five largest domestic banks (.. 6 = ).. EUROSTOXX S&P NIKKEI.. UniCredit KBC Erste Bank RZB Intesa.8.6..................6..7 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 range of the parent institutions' CDS spreads 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 -6 6-7 -8 6-9 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 -6 6-7 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 (rhs) 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.
-8 7-8 -9 7-9 - 7- - 7- - 7- - 7- - 7- - 7- -6 7-6 -7. 6. 9... 6. 9... 6. 9... 6. 9... 6. 9...6 6.6 9.6.6.7 6.7-8 6-9 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 -6 6-7 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 -6 6-7 -8 6-9 -9 6- - 6- - 6- - 6- - 6- - 6- - 6-6 -6 6-7 Sales in selected sectors compared with their level for the period 6/7 to 6/8 6 Corporate loans and sales % 9% % % 7% -% % NFC sector in total Industry Construction Trade and motor vehicle sales Hotels and restaurants -% % -8-9 - - - - - - -6 Source: Statistical Office of the SR. -% Source: NBS, Statistical Office of the SR. Total sales - annual percentage change Year-on-year growth in loans from domestic banks to non-financial corporations 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 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 in period under review 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 % 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 - - - % 8% 6% % % % Average Note: The chart shows the interquartile range. Median % % % -% -% -6% -8% -% Source: NBS, SO SR. Note: Data on the right-hand scale are in EUR mil. Interest rate (left-hand scale) Loans (left-hand scale) Sales (left-hand scale) Debt-service burden - domestic loans - index Debt-service burden at 8 rates - domestic loans - index Debt burden-service - total loans - index Debt-service burden at 8 rates - total loans - index 7
I. VII. I. VII. I. VII. I. VII. I.6 VII.6 I.7 VII.7 I. VII. I. VII. I. VII. I. VII. I.6 VII.6 I.7 VII.7.7 6.8.8 6.9.9 6.. 6.. 6.. 6.. 6.. 6.. 6.6.6 6.7...6.7.8.9.......6.7 6 7 8 9 6 7 H 6- - 6- - 6- - 6- - 6-6 -6 6-7 Commercial real estate: Development in the office segment Commercial real estate: sales in the residential segment (new flats) % % % % % Current office stock - mil. m (right-hand scale) Prime yield Vacancy rate Prime rent per m - index (right-hand scale).8.6...8.6.. Number of flats sold Inflow of new flats to the total supply Flats sold as a share of total supply Unfinished flats as a share of total flats for sale Share of projects with positive net sales % 8% 6% % % % Source: JLL, CBRE, NBS. Note: The chart shows prices and vacancy rates in Bratislava. Source: Lexxus, NBS. Note: The chart shows prices and vacancy rates in Bratislava. Comparison of corporate balance sheets and sales % % Liabilities of non-financial corporations % % % % % % % % % Ratio of domestic bank loans (excl. CRE loans) 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 Share of rest of the world sector in NFC liabilities Source: NBS, Statistical Office of the SR. Note: NFC - non-financial corporations. Household credit risk indicators Stock of retail loans (year-on-year changes) 6 Household indebtedness in Slovakia and in selected countries (%) (mil. EUR) % 8% 6% % % Consumer Loans Hausing Loans Absolute year-on-year change (right-hand scale) Relative year-on-year change % 6 7 8 9 Euro area 9 Slovakia Visegrad Four Baltic states Source: Eurostat. Note: The indicator is calculated as the ratio of households' total debt to their disposable income. Euro area 9 average of 9 Euro area countries.
I.7 XI.7 IX.8 VII.9 V. III. I. XI. IX. VII. V. III.6 I.7 I.7 XI.7 IX.8 VII.9 V. III. I. XI. IX. VII. V. III.6 I.7 I.8 VI.8 XI.8 IV.9 IX.9 II. VII. XII. V. X. III. VIII. I. VI. XI. IV. IX. II. VII. XII. V.6 X.6 III.7 VIII.7 I. VI. XI. IV. IX. II. VII. XII. V.6 X.6 III.7 I. VI. XI. IV. IX. II. VII. XII. V.6 X.6 III.7 I.8 X.8 VII.9 IV. I. X. VII. IV. I. X. VII. IV.6 I.7 I.8 X.8 VII.9 IV. I. X. VII. IV. I. X. VII. IV.6 I.7 - - 9- - - 9- - - 9- - - 9- -6-6 9-6 -7-7 7 Changes in credit standards and credit demand according to the Bank Lending Survey 8 Loan-to-value (LTV) ratio for new loans (%) 7 - - -7 - Consumer loans Housing loans Credit demand Credit standards H H H H H H H H H H H H H H H H H H H H H H H H H H 6 7 6 7 Sources: Bank Lending Survey, NBS. Note: The data show net percentage shares, with positive values denoting an increase in demand or an easing of standards. Note: The indicator is defined in the section 'Glossary and abbreviations' of Analysis of Slovak Financial Sector 6. 9 Net default rates on retail loans (%) NPL ratios for retail loans (%) 7 7 6 6 Average LTV ratio Loans with an LTV ratio of over 8% as a share of new loans (right-hand scale) 6 - Interquartitle range Market average..8.6.. -. 8 6 8 6 Interquartitle range Market averange 9 8 7 6 Consumers loans Housing loans (right-hand scale) Source: SO SR. Note: The net default rate denotes the net change in the amount of NPLs 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. The consumer confidence index and its components 8 6 - - -6 Consumers loans Housing loans (right-hand scale) Number of unemployed by income category 8 6 Inflow of job seekers Numbers of job seekers 8 6 Source: Statistical Office of the SR. Consumer confidence index Expected financial situation of households Expected economic situation in Slovakia Expected unemployment Expected household savings Higher-Income category Lower-Income category Medium-Income category Source: Central Office of Labour, Social Affairs and Family of the Slovak Republic. Notes: The left-hand and right-hand scales show numbers of job seekers in thousands. The income categories are defined in the section 'Glossary and abbreviations' of Analysis of Slovak Financial Sector 6.
I.9 VI.9 XI.9 IV. IX. II. VII. XII. V. X. III. VIII. I. VI. XI. IV. IX. II.6 VII.6 XII.6 V.7 Real wages in selected sectors index Housing affordability index 9 9 8 Source: SO SR. HICP (right-hand scale; same period of the previous year) Industry Construction Wholesale trade except for motor vehicles Retail trade except for motor vehicles 6 98 8 6 8 6 Housing affordability index excluding the impact of interest rates Housing affordability index 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 sektor - median. Retail banks - median Weighted average. -9 - - - - - - -6