Embed Size (px)
DESCRIPTION
Financial Stability May 2005 Charts. Summary. Before loan losses. After loan losses. Chart 1 Banks pre-tax profit, before and after loan losses, as a percentage of average total assets 1). 1) Excluding branches of Norwegian banks abroad. Source: Norges Bank. - PowerPoint PPT Presentation
Citation preview
Financial StabilityMay 2005
Charts
Summary
Chart 1 Banks pre-tax profit, before and after loan losses, as a percentage of average total assets1)
1) Excluding branches of Norwegian banks abroad
Source: Norges Bank
0
0.20.4
0.6
0.8
11.2
1.4
1.6
1998 1999 2000 2001 2002 2003 20040
0.20.4
0.6
0.8
11.2
1.4
1.6
Before loan losses
After loan losses
-2-1012345678
1987 1991 1995 1999 2003-2-1012345678
Chart 2 Household borrowing rate after tax deflated by consumer price inflation1) and inflation expectations.2) Per cent
1) CPI excluding energy products until 1995, Norges Bank’s calculations for CPI adjusted for taxes changes and excluding energy products until 2000 Q2, after that CPI-ATE
Deflated by consumer price inflation
Deflated by inflation expectations
2) Set equal to the inflation target of 2.5 per cent
Sources: Statistics Norway and Norges Bank
-4048
1216202428
1996 1997 1998 1999 2000 2001 2002 2003 2004-40481216202428
Non-financial enterprises1)
Households2)
Chart 3 Credit to mainland Norway. 12-month growth. Per cent
Source: Norges Bank
1) It is assumed that all credit from foreign sources to mainland Norway goes to non-financial enterprises 2) Households’ domestic debt
Chart 4 Bankruptcies. Seasonally adjusted figures. Index, 1998 Q4 = 100
1) Turnover and employment in last normal operating year for bankrupt entities
Sources: Statistics Norway and Norges Bank
0
50
100
150
200
250
300
350
1999 2000 2001 2002 2003 2004 20050
50
100
150
200
250
300
350
Number employed1)
Number of bankruptcies
Turnover1)
Chart 5 Prices for commercial properties in Norway. 12-month rise. Per cent
Source: Statistics Norway
-10
-5
0
5
10
15
20
1997 1998 1999 2000 2001 2002 2003 2004-10
-5
0
5
10
15
20
0.0
0.5
1.0
1.5
2.0
1999 2000 2001 2002 2003 2004 20050.0
0.5
1.0
1.5
2.0
Households
Enterprises
1) Excluding branches of Norwegian banks abroad. Including branches of foreign banks in Norway
Source: Norges Bank
Chart 6 Banks’ holdings of gross non-performing loans to households and enterprises.1) Percentage of gross lending to municipalities, the non-financial sector and households
Chapter 1
0 1 2 3 4 5 6 7
World
North America
Western Europe
Japan
Asia ex Japan
Eastern Europe
Latin America
2005 2006
Chart 1.1 Real GDP increase forecasts for 2005 and 2006 as of May 2005. Per cent
Source: Consensus Forecasts
0 20 40 60 80 100
Norway
Sweden
Denmark
Germany
Japan
UK
US
Dec 04Dec 03Dec 02
Chart 1.2 Moody’s Bank Financial Strength Index1)
1) The index is constructed according to a numerical scale assigned to Moody’s weighted average bank ratings by country. Poorest financial strength corresponds to 0, best to 100
Source: IMF
Source: EcoWin
90
110
130
150
170
Jan 04 Apr 04 Jul 04 Oct 04 Jan 05 Apr 0590
110
130
150
170
Europe
Japan
Chart 1.3 International bank equity indices. Indexed, 01.01.2004 = 100
US
Norway
0
50
100
150
200
250
300
1975 1980 1985 1990 1995 2000 20050
50
100
150
200
250
300
Chart 1.4 International house price indices. Indexed, Q1 1995 = 100
Australia
Norway
US
UK
Sources: EcoWin and Norges Bank
Source: IMF
4000
5000
6000
7000
8000
9000
10000
1999 2000 2001 2002 2003 2004400
500
600
700
800
900
1000
Assets under management (right-hand scale)
Number of funds (left-hand scale)
Chart 1.5 Hedge funds. Number of funds and assets under management in billions of USD
Source: EcoWin
0
1
2
3
4
5
2002 2003 2004 20050
1
2
3
4
5
Eurozone
US
Chart 1.6 Yield spread between corporate bonds1)
and government bonds. Per cent
1) BBB rated
Source: EcoWin
Chart 1.7 International equity indices. Indexed, 01.01.2005 = 100
40
60
80
100
120
140
160
2000 2001 2002 2003 2004 200540
60
80
100
120
140
160
Japan Topix
Europe Stoxx
Norway OSEBX
US S&P 500
Sources: EcoWin and Oslo Stock Exchange
Chart 1.8 Implied volatility in the US and Norwegian equity markets. Per cent
0
10
20
30
40
50
1994 1996 1998 2000 2002 20040
10
20
30
40
50
US
Norway
Sources: Thomson Datastream and Norges Bank
05
1015202530354045
1986 1988 1990 1992 1994 1996 1998 2000 2002 2004051015202530354045
Norway
US
Chart 1.9 P/E based on earnings in the last five years. Monthly figures and periodic mean
Europe
MeanNorway
Mean Europe
Mean US
0
50
100
150
200
250
2000 2001 2002 2003 2004 20050
50
100
150
200
250
1) Average of the telecom index and the IT index2) Average of the industrials index and materials index
Source: EcoWin
Chart 1.10 Sub-indices on the Oslo Stock Exchange. Indexed, 01.01.2000 = 100
Energy
OSEBX
Finance
Industrials2)
ICT1)
-0.2 -0.1 0 0.1 0.2 0.3 0.4
EnergyMaterials
IndustrialsConsumer discretionaries
Consumer staplesHealth careFinancials
ITTelecom
Utilities
US
Norway
Chart 1.11 Correlation between the oil price and equity indices since January 19961)
1) Total return indices of standardised sectors (GICS).Correlation coefficient for relative change over 20 days
Sources: EcoWin og Norges Bank
Sources: Oslo Stock Exchange and Norges Bank
0
5
10
15
20
Jul 02 Jan 03 Jul 03 Jan 04 Jul 04 Jan 050
10
20
30
40
50
60
70
80
Shares (left-hand scale)
Corporate bonds (right-hand scale)
Chart 1.12 New issues at the Oslo Stock Exchangelast twelve months. Billions of NOK
Box: Risk premiums in the equity market
-10
-5
0
5
10
15
20
1909 1927 1945 1963 1981 1999-10
-5
0
5
10
15
20
Chart 1 Realised risk premium in the US and Norway 1909-2004. Moving ten-year geometric average measured against bonds. Per cent
Sources: Norges Bank and Global Investment Returns Yearbook 2005
US
Norway
0.0
0.5
1.0
1.5
2.0
2.5
2002 2003 2004 20050.0
0.5
1.0
1.5
2.0
2.5
Chart 2 Risk premium in the Norwegian equity market, based on a three-stage dividend discounting model. Per cent
Sources: Norges Bank, Thomson Datastream og EcoWin JCF
Chapter 2
0
5
10
15
20
25
30
1987 1990 1993 1996 1999 20020
5
10
15
20
25
30
Chart 2.1 Gross fixed capital formation in percentage of mainland GDP
Source: Statistics Norway
Chart 2.2 Credit as a percentage of GDP
110
120
130
140
150
160
170
180
1987 1990 1993 1996 1999 2002110
120
130
140
150
160
170
180
1) Percentage of GDP2) Percentage of mainland GDP
Total credit to mainland Norway2)
Credit from domestic sources (C2)2) Total credit (C3)1)
Source: Norges Bank
Source: Norges Bank
-5
0
5
10
15
20
1997 1999 2001 2003 2005-5
0
5
10
15
20
Other loans
Chart 2.3 Growth in household credit.1) Per cent
Mortgage loansDomestic credit to
households
1) Twelve-month growth in domestic credit. Four-quarter growth in mortgage loans and other loans
Chart 2.4 Housing indicators in selected countries in 2003
Sources: IMF, Eurostat, Statistics Norway and Norges Bank
1) Total mortgage loans as a percentage of GDP2) Total household debt in Sweden as a percentage of GDP
0
20
40
60
80
100
120
0 20 40 60 80 100 120
Japan
France
Australia
UK
Norway1) US
The Netherlands
Italy
Germany
Spain
Ownership ratio (per cent)
Mor
tgag
e lo
ans
as a
per
cent
age
of G
DP
Ireland
Canada
Denmark
Sweden2)
1) Values for interest rate and housing construction in 05 Q1 are based on estimates from Inflation Report 1/2005
Source: Norges Bank
Chart 2.5 Household debt and estimated contribu-tions from explanatory factors in the model. Contri-bution in percentage points to 4-quarter growth1)
-2
2
6
10
14
02 Q1 03 Q1 04 Q1 05 Q1-2
2
6
10
14
House prices Housing constructionInterest rate Share of studentsUnemployment Housing turnoverDebt
-5
5
15
25
35
45
55
1999 2000 2001 2002 2003 2004 2005-5
5
15
25
35
45
55
Chart 2.6 Housing turnover and housing starts in thousands. 12-month change in house prices in per cent
Housing turnover
House prices
Housing starts
Sources: Association of Norwegian Real Estate Agents (NEF), Association of Real Estate Agency Firms (EFF), Statistics Norway and Norges Bank
0
20
40
60
80
100
120
140
1997 1999 2001 20030
20
40
60
80
100
120
140
Source: Norges Bank
Chart 2.7 Transactions in household gross debt and in financial assets1) by investment instrument. Total last four quarters. NOK billion
Transactions in gross debt
Securities
Insurance claimsOther
Bank deposits
1) Excluding estimated reinvested dividend payments since 2001
0
10
20
30
40
50
60
1 2 3 4 50
10
20
30
40
50
60
Norway Sweden
Chart 2.8 Household debt after income groups.1) Proportion of total debt in each country. Percent
Sources: Sveriges Riksbank, Norges Bank and Statistics Norway
1) Group 1 consists of the first 20 per cent of households in the population sorted by income. Group 2 the next 20 per cent etc..
Chart 2.9 Household debt after interest burden. 1)
In billions of NOK
1) Interest paid in per cent of income after tax2) Forecasts for the period 2003 - 2008
Sources: Norges Bank and Statistics Norway
0
400
800
1200
1600
2000
1987 1990 1993 1996 1999 2002 2005 20080
400
800
1200
1600
2000
Interest burden > 20 %
Interest burden < 20 %
2)
100
120
140
160
180
200
220
1987 1991 1995 1999 2003 2007100
120
140
160
180
200
220
Chart 2.10 Household debt burden1)
Source: Norges Bank
1) Loan debt as a percentage of liquid disposable income (disposable income less the return on insurance claims)
0
2
4
6
8
10
12
1987 1991 1995 1999 2003 20070
2
4
6
8
10
12
Chart 2.11 Household interest burden1) and household borrowing rate after tax
Source: Norges Bank
1) Interest expenses after tax as a percentage of liquid disposable income plus interest expenses
Interest burden
Borrowing rate after tax
Chart 2.12 Pre-tax return on equity for companies listed on Oslo Stock Exchange.1) Per cent
1) Companies registered in Norway with the exception of banks and insurance companies
Sources: Statistics Norway, Statoil and Hydro
-20
-10
0
10
20
30
40
2002 2003 2004 2005-20
-10
0
10
20
30
40
Total
Excl Statoil and Hydro
0
2
4
6
8
10
12
14
16
2000 2001 2002 2003 2004 20050
2
4
6
8
10
12
14
16
Chart 2.13 Expected default probabilities for large Norwegian unlisted enterprises.1) Per cent
1) Non-financial enterprises with turnover of more than NOK 70 million. Probability of default within a year
Source: Moody’s KMV
90 percentile
Median enterprise
75 percentile
-8
-4
0
4
8
12
2002 2003 2004 2005-8
-4
0
4
8
12
Source: Norges Bank
Credit from foreign sources
Total credit
Domestic credit
Chart 2.14 Credit to mainland non-financial enterprises.12-month growth. Per cent
-30
-20
-10
0
10
20
30
40
1990 1992 1994 1996 1998 2000 2002 2004-30
-20
-10
0
10
20
30
40
1) Mainland fixed investment excluding public sector investment and households’ housing investment2) Deflated by GDP deflator for mainland Norway
Sources: Statistics Norway and Norges Bank
Fixed investment1)
Total credit to non-financial enterprises mainland Norway2)
Chart 2.15 Enterprises’ fixed investment and credit to non-financial enterprises. 4-quarter real growth. Per cent
Chart 2.16 Non-financial enterprises’ financing and financial assets1) Stocks. In billions of NOK
-2,500
-2,000
-1,500
-1,000
-500
0
500
1,000
1995 1997 1999 2001 2003-2,500
-2,000
-1,500
-1,000
-500
0
500
1,000
Loans Bonds/notes Paid-in equity
Retained earnings Bank deposits Financial fixed assets
1) The figures do not include debt relationships between non-financial enterprises. Non-financial enterprises include both public sector and private enterprises
Source: Norges Bank
0
2
4
6
8
10
1991 1993 1995 1997 1999 2001 2003 20050
2
4
6
8
10
12
Chart 2.17 Total area of office premises in Oslo, Bærum and Asker in millions of square meters, and vacant premises in per cent of total area1)
Total area(left-hand scale)
Vacant premises(right-hand scale)
1) As of February
Source: Eiendomsspar AS
0
10
20
30
40
50
60
70
80
1987 1990 1993 1996 1999 2002 2005 20080
100
200
300
400
500
600
700
800
1) The cash surplus is adjusted by estimates for reinvested dividends in the period 2001-20042) Cash surplus (computation of debt burden) =Value added – labour costs + net capital income3) Cash surplus (computation of interest burden) =Value added – labour costs + capital income
Sources: Statistics Norway and Norges Bank
Interest burden3)
(left-hand scale)
Debt burden2)
(right-hand scale)
Chart 2.18 Debt and interest burden in non-financial enterprises excluding enterprises in the oil and gas industry and shipping. Per cent of cash surplus1)
Box: What influences the number of bankpruptcies?
Sources: Statistics Norway and Norges Bank
-50
-30
-10
10
30
50
1st half 02 1st half 03 1st half 04 Q1 05-50
-30
-10
10
30
50
DemandProperty prices
Bankruptcies
Wage costsCompetitiveness
DebtMaterial costsInterest rate
(dom. and foreign)Number of firms
(new firms)
Chart 1 Annual percentage change in bankruptcies and calculated contributions from explanatory variables in percentage points. Measured in real terms
Box: Small enterprises more exposed to risk than large enterprises
Chart 1 Distribution of different variables between enterprises with different balance sheet totals at year-end 2003.
1) Risk-weighted debt = Bankruptcy probability multiplied by the bank debt of each enterprise totalled for all enterprises in the group
Source: Norges Bank
0%
20%
40%
60%
80%
100%
Number ofenterprises
Total assets Bank debt Risk-weighteddebt
0%
20%
40%
60%
80%
100%
0 - 1 million 1 - 10 million 10 - 100 million More than 100 million
1)
Chapter 3
Chart 3.1 Banks’ profit/loss.1) Percentage of average total assets
1) Excluding branches of foreign banks in Norway and branches of Norwegian banks abroad
Source: Norges Bank
-3-2-101234
1999 2000 2001 2002 2003 2004 Q12004
Q12005
-3-2-101234
Net interest income Other operating incomeOperating expenses Loan lossesWrite-down Pre-tax profit/loss
0
1
2
3
4
1998 1999 2000 2001 2002 2003 20040
1
2
3
4
Chart 3.2 Banks’ deposit and lending margins, andtotal interest margin.1) Per cent
Total interest margin
Lending margin
Deposit margin
1) Interest margin is defined as the average of lending rates (excluding non-accrual loans) minus the average of deposit rates. 3-month money market rate (NIBOR) is used to split the interest margin into lending margin and deposit margin. The chart shows a moving average over the last four quarters
Source: Norges Bank
Chart 3.3 Moody’s rating for financial strength and financial groups’ Tier 1 capital ratio.1) As at 31.03.20052)
0123456789
10
1) Banks include results for Q1 2005 in their Tier 1 capital ratio to a variable degree2) Fokus Bank’s Tier 1 capital ratio as at 31.12.2004
Source: Banks’ websites
A+AA-B+BB-C+
Nordea
NordeaNorge
Handelsbanken
SEB
SR-Bank
8
Financial strength
Tier 1 capital ratio 9
10
DnB NOR 7
C
Danske BankFöreningsSp.b.
Fokus
Sp.b. Vest og Sp.b. Nord-N.
Spb. Midt-N.
E 6
10
9
8
7
6
0102030405060708090
100
Jan 00 Jan 01 Jan 02 Jan 03 Jan 04 Jan 050102030405060708090100
Chart 3.4 Norwegian banks’ lending to households and enterprises.1) Percentage of gross lending to households, non-financial enterprises and municipalities
Enterprises
Households
1) Non-financial enterprises. Including branches of foreign banks
Source: Norges Bank
Chart 3.5 Mortgage loans to households according to loan-to-asset value. Per cent
Source: Kredittilsynet (Financial Supervisory Authority of Norway)
0
10
20
30
40
spring97
spring98
Feb 99 Mar 00 Mar 01 Mar 02 Mar 03 Nov 03 Sep 040
10
20
30
4080-100 per cent Over 100 per cent
-5
0
5
10
15
Dec 02 Apr 03 Aug 03 Dec 03 Apr 04 Aug 04 Dec 04-5
0
5
10
15
1) 3rd-5th largest in the lending market: Fokus Bank, Handelsbanken (Swedish branch) and Sparebank 1 SR-bank
Source: Norges Bank
Chart 3.6 Growth of loans to the enterprise sector from the largest banks. Twelve-month growth. Quarterly figures. Per cent
3rd-5th largest banks1)
DnB NOR and Nordea
All banks
0 5 10 15 20 25 30 35
Fish-farming
Hotel and restaurant
Construction
Primary ind. (excl. fish-farm.)
Wholesale and retail trade
Manufacturing and mining
Services
Property management
Other
2004
2003
2002
Chart 3.7 Percentage distribution of commercial loans.1) All banks
1) Commercial loans comprise both lending to non-financial enterprises and households including the self-employed
Source: Norges Bank
Chart 3.8 Turnover and liquidity in NBO. In billions of NOK (left-hand scale) and as a ratio (right-hand scale)
Source: Norges Bank
1) Excluding branches of foreign banks
Source: Norges Bank
Chart 3.9 Banks’ financing.1) Percentage of gross lending
0
10
20
30
40
50
60
70
1999 2000 2001 2002 2003 2004 20050
10
20
30
40
50
60
70
Bonds
Notes and short-term paper
Deposits/loans from financial institutions
Deposits from non-financial sector
80
90
100
110
1999 2000 2001 2002 2003 2004 200580
90
100
110
Chart 3.10 Developments in banks’ liquidity indicator
DnB NOR1)
Source: Norges Bank
1) Nordlandsbanken included2) Excluding Nordea, Fokus Bank and branches of foreign banks
Other Norwegian banks3)
Chart 3.11 Banks’ short-term foreign debt.1) Percentage of gross lending
1) Deposits and loans from other financial institutions and short-term paper. Excluding branches of foreign banks.2) Nordlandsbanken included
Source: Norges Bank
0
5
10
15
20
25
30
1999 2000 2001 2002 2003 2004 20050
5
10
15
20
25
30Nordea and Fokus Bank
DnB NOR2)
Other Norwegian banks
0
50
100
150
200
250
300
350
1996 1997 1998 1999 2000 2001 2002 2003 2004 20050
10
20
30
Chart 3.12 Banks’ net debt to foreign lenders (liabilities minus assets). Monthly figures
Source: Norges Bank
Billions of NOK (left-hand scale)
Percentage of total assets (right-hand scale)
Chart 3.13 Sum of the surveyed banks’ exposures to their 15 largest counterparties. By different types of exposure. In billions of NOK
Source: Kredittilsynet (Financial Supervisory Authority of Norway) and Norges Bank
1) The white areas illustrate FX settlement secured through CLS
02040
6080
100120
140160
Derivatives Securities Depsosits/loans
Guarantees/unused credit
FXsettlement
02040
6080100120
140160
30/06/01 31/12/01 30/06/02
31/03/03 31/03/04 31/03/05
1)
Chart 3.14 Tier 1 capital ratio for the banks surveyed when either the largest, second largest or third largest counterparty fails to settle.1) Number of banks
Source: Kredittilsynet (Financial Supervisory Authority of Norway) and Norges Bank
1) All exposures, except FX settlement. It is assumed that there is no dividend from the estate
0123456789
10
1 2 3 1 2 3 1 2 3 1 2 3 1 2 3 1 2 3012345678910
< 4% 4-7% 7-8% Over 8%
Jun 01 Dec 01 Jun 02 Mar 03 Mar 04 Mar 05
Source: Norges Bank
0
1
2
3
4
5
A B C D E F G 2003 20040
1
2
3
4
5
With zero results With results as in 2004
Chart 3.15 Annual losses, depleting buffer capital over three years, measured as a percentage of gross lending. Seven largest Norwegian bank groups (A-G), and average for these groups in 2003 and 2004
Annual average loss in the period 1990-92
Box: Loans to households other than mortgage loans
Chart 1 Loans other than mortgage loans to households and wage-earners from banks and financial undertakings (including state lending institutions). In billions of NOK
Source: Norges Bank
Box: Risk associated with loans to various industries
0
1
2
3
0 10 20 30 40
Share of lending to the industry
Expe
cted l
oan l
osse
s
Chart 1 The largest Norwegian banks’ lending1) and expected loan losses2) to selected industries.Per cent
1) Per cent of total lending to the non-financial enterprise sector at 31.12.20042) Expected loan losses = Probability of bankruptcy * bank debt in the individual enterprise. Aggregated for all the enterprises in the industry. Per cent of total bank debt in the non-financial enterprise sector at 31.12.2003. Interpretation: Expected loan losses related to bankruptcy, excluding realisation of collateral
Source: Norges Bank
Trade/Hotel & rest.
Commercial services
International shippingTransport
Oil/gas
Agriculture & fishing
Propertymanagement
Manufacturing/mining
Construction/Electr.& water
Increasing exposureand increasing risk
0
1
2
3
4
5
6
4 5 6 7 8 9 10 11 12 13 14 15 16
Tier 1 capital (%)
Risk w
eight
Chart 2 The largest Norwegian banks’ Tier 1 capital ratio1) and risk weight2)
1) Tier 1 capital ratio at 31.12.2004. Parent bank2) The individual bank’s share of lending to selected industries (at 31.12.2004) * expected loan-losses to the industry (at 31.12.2003). The sum of all industries is weighted with the bank’s total share of lending to the non-financial enterprise sector
Source: Norges Bank
Box: Banks’ financial position is more robust today than prior to the banking crisis
Source: Norges Bank
80
100
120
140
160
180
1987 1990 1993 1996 1999 200280
100
120
140
160
180
Financial assets
Chart 1 Households financial assets1) and housing wealth as a percentage of debt
1) Break in the statistics for 1995 Q4
Housing wealth
0
1
2
3
4
5
1988 1991 1994 1997 2000 20030
200
400
600
800
1000
1) Debt as a percentage of cash surplus
Source: Norges Bank
Chart 2 Risk indicators for non-financial enterprises excluding enterprises in the oil and gas industry and shipping. Per cent
Risk weighted bankruptcy probability (left-hand scale)
Debt burden1)
(right-hand scale)
Chart 3 Risk indicators for banks. Per cent
1) As a percentage of average total assets
Source: Norges Bank
-1
1
3
5
7
9
11
1983 1986 1989 1992 1995 1998 2001 2004-3
-2
-1
0
1
2
3
Equity ratio(left-hand scale)
Pre-tax profit1) (right-hand scale)
