Financial Stability Report 2013 Charts

Transcription

1 Financial Stability Report 213 Charts

2 Chapter 1

3 Chart 1.1 Total banking sector assets as a share of GDP. 1) Percent. 27/28 and 212 Iceland Norway Germany Belgium Finland Denmark Sweden Netherlands UK Ireland 27/28²) ) All national banks and banking groups including subsidiaries and branches abroad in addition to subsidiaries and branches of foreign banks. Norwegian GDP includes the oil sector. 2) Data for Belgium, Finland and Norway are for 27, while data for the rest are for 28. Sources: ECB, Central Bank of Iceland and Norges Bank

4 Chart 1.2 Lenders' market shares in the Norwegian banking sector. Percent. At year-end 212 Corporate market DNB Bank Branches of foreign banks in Norway Eika Gruppen Retail market Subsidiaries of foreign banks in Norway SpareBank 1 Alliance Other savings and commercial banks Source: Norges Bank

5 Chart 1.3 Lenders' market shares for proposed systemically important banks in Scandinavia. Percent. At year-end Handelsbanken Nordea Bank Norge SEB Nordea Swedbank Nordea Bank Danmark Danske Bank DNB Bank Handelsbanken Nykredit Norway¹) Sweden²) Denmark³) 1) See Annex 1 for further information. 2) At year-end ) At June 212. Including repos. Sources: Riksbanken, Committee on Systemically Important Financial Institutions and Norges Bank 2

6 Chart 1.4 Gross domestic lending to the private sector by credit institutions. In billions of NOK. At October 213 Banks and motgage companies¹) Public lending institutions Finance companies Bonds and notes 3,494 Other sources 1) All banks and mortgage companies including Eksportfinans. Source: Statistics Norway

7 Chart 1.5 Changes in non-financial companies' domestic debt. By credit source. In billions of NOK ) Banks Mortgage companies²) Bonds Notes Other ) To end-october ) Mortgage companies, Eksportfinans and Export Credit Norway. Sources: Statistics Norway and Norges Bank

8 Chart 1.6 Assets and liabilities. Banks and covered bond mortgage companies. 1) Percent. At 213 Q Cash and central bank receivables Receivables from credit institutions Financial instruments Other assets Certificates and other debt Deposits from central banks and credit institutions Deposit from foreign customers Bonds Loans to customers Deposits from Norwegian customers 4 2 Assets Equity and subordinated debt capital Liabilities 1) All banks and covered bond mortgage companies excluding subsidiaries and branches of foreign banks in Norway. Source: Norges Bank

9 Chart 1.7 Lending from Norwegian banks and covered bond mortgage companies to the retail and corporate market. Percent. At 213 Q3 15 Mortgages and other loans - Norwegian retail Foreign customers, primarily shipping Foreign shipping - Norwegian customers Commercial property - Norwegian customers Other - Norwegian corporate Source: Norges Bank

10 Chapter 2

11 Chart 2.1 Funding structure. Norwegian banks and covered bond mortgage companies. 1) Percent. 28 Q1 213 Q3 1 Customer deposits from the retail market 8 Deposits from other Norweigian customers Deposits from foreign customers 6 Deposits from central banks and credit institutions Covered bonds 4 Senior bank bonds Notes 2 Other debt Equity and subordinated debt capital ) Sum of all banks and covered bond mortgage companies excluding branches and subsidiaries of foreign banks in Norway. Source: Norges Bank

12 Chart 2.2 Average maturity on outstanding bonds. Banks and mortgage companies. Average number of years ) Covered bonds Average of senior bank bonds and covered bonds Senior bank bonds ) To end-october 213. Sources: Stamdata and Bloomberg

13 Chart 2.3 Debt 1) by currency and maturity. Norwegian banks and covered bond mortgage companies. 2) Percent. 28 Q1 213 Q Short-term debt in foreign currency Long-term debt in foreign currency Short-term debt in NOK 4 2 Long-term debt in NOK ) Excluding customer deposits, liabilities to the government originating from the swap arrangement and F-loans. Short-term debt has a maturity of less than one year. 2) Excluding subsidiaries and branches of foreign banks in Norway. Source: Norges Bank

14 Innskudd fra norske personmarkedet Chart 2.4 Assets in Norweigan banks and covered bond mortgage companies. 1) Percent. 28 Q1 213 Q Receivables from central banks 4 Receivables from credit institutions Other assets 2 Financial instruments booked at fair value Other financial instruments Customer lending ) All banks and covered bond mortgage companies excluding branches and subsidiares of foreign banks in Norway. Source: Norges Bank

15 Chart 2.5 Norwegian banks' 1) gross and net 2) short-term market funding. Percentage of total assets. 28 Q1 213 Q Gross short-term market funding Central bank deposits + government securities < 1 year Other bonds and notes Net short-term market funding 1 Net short-term market funding ) Sum of all banks excluding branches and subsidiaries of foreign banks in Norway. 2) Net 1 is minus deposits with central banks and government securities maturing in one year or less. Net 2 is also minus other bonds and securities. Source: Norges Bank

16 Chart 2.6 Deposit-to-loan ratio. 1) Percent. 28 Q1 213 Q Deposit-to-loan ratio Deposit-to-loan ratio, excluding foreign money market funds, etc. Deposit-to-loan ratio, excluding foreign customers ) Deposit-to-loan ratio is customer deposits as a percentage of loans to customers. All banks and covered bond mortgage companies excluding branches and subsidiaries of foreign banks in Norway. Source: Norges Bank

17 Chart 2.7 Deposit-to-loan ratio 1) in the euro area and large Scandinavian banking groups. Percent Euro area SEB DNB Bank Nordea Bank Danske Bank Swedbank 1) Deposit-to-loan ratio is customer deposits as a percentage of loans to customers. Sources: SNL Financial and the European Central Bank (ECB) Handelsbanken

18 Chart 2.8 Gross domestic debt to the private sector by credit source 1). Percent Banks and mortgage companies Public lending institutions Bonds and notes Insurance, etc ) Sectors were changed as from 1 January 212. This causes inconsistency in the data series. Source: Statistics Norway

19 Chart 2.9 Banks '1) liquidity coverage ratio (LCR ).1) Consolidated data. Weighted average for the group. 211 Q3 213 Q All banks All banks (estimate 213 definition) 4 2 DNB + commercial banks Savings banks, total assets < NOK 2bn Savings banks, total assets > NOK 2bn LCR requirement in 218 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 1) All banks in Norway excluding branches of foreign banks in Norway. 2) Calculations are based on the recommendations published by the Basel Committee in 21. Broken line indicates estimated levels with the suggested easing the Basel Committee published in 213. Sources: Finanstilsynet and Norges Bank 2

20 Chart 2.1 Large Scandinavian banking groups' liquidity coverage ratio (LCR). 1) Percent. At end 213 Q DNB Bank Nordea Bank SEB Handelsbanken Swedbank Danske Bank 1) Calculations for Norwegain and Swedish banks are based on the recommendations published by the Basel Committee in 21. There might be differences in definitions between the banks. Source: SNL Financial

21 Chart 2.11 Banks' 1) stable funding as a percentage of Net Stable Funding Requirement (NSFR). Consolidated figures. At end of quarter. 211 Q3 213 Q NSFR Expected requirement Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 1) The sample consists of 17 banks in Norway, primarily the largest. Sources: Finanstilsynet and Norges Bank

22 Chart 2.12 Funding with maturity above one year as a share of illiquid assets. 1) Percent. 29 Q3 213 Q ) Reference group indicator. The group consists of 13 large and medium-sized Norwegian banks. Source: Finanstilsynet

23 Chart 2.13 Common Equity Tier 1 (CET1) capital ratio and CET1 capital as a percentage of total assets. 1) Percent CET1 ratio (with transitional rule) CET1 ratio (without transitional rule) CET1 capital / total assets Tier 1 capital ratio Tier 1 capital / total assets ) All Norwegian banking groups and banks from Break in the series in Tier 1 Capital ratio and Tier 1 Capital as a percentage of total assets in the period Sources: Finanstilsynet and Norges Bank

24 Chart 2.14 Minimum capital requirement in Norway. Broken down by element. 1) Percent of risk-weighted assets Tier 2 capital Additional Tier 1 capital CET 1 capital From 22 EBA's temporary requirement without countercyclical buffer maximum countercyclical buffer 1) Common Equity Tier 1 in 216 includes the buffer for systemically important institutions. Sources: Norges Bank, Finanstilsynet and Ministry of Finance

25 Chart 2.15 Risk weights for mortgages and corporate loans with Basel I, standardised approach with Basel II, selected IRB banks with Basel II 1) and marginal risk weight for IRB banks restricted by the transitional rule. Percent 16 Basel I Basel II Standardised approach 16 DNB Bank Nordea Bank Norge 12 SpareBank 1 SR-Bank IRB bank marginal risk weight Handelsbanken Mortgages Corporate loans 1) Average IRB weight for loan type at the end of 212. Sources: Banks' Pillar 3 reports and Norges Bank

26 Chart 2.16 Total lending to the retail and corporate market from all banks and covered bond mortgage companies in Norway. Indexed, 24 = Corporate market Retail market Source: Norges Bank

27 Chart 2.17 Lending to the retail market in total 1) and for selected groups of banks. 2) Indexed, 24 = DNB Bank Subsidiaries of foreign banks in Norway Branches of foreign banks in Norway SpareBank 1 Alliance Total ) Lending from all banks and covered bond mortgage companies in Norway. 2) Static selection based on current banking structure. Source: Norges Bank

28 Chart 2.18 Lending to the corporate market in total 1) and for selected groups of banks. 2) Indexed, 24 = DNB Bank Subsidiaries of foreign banks in Norway Branches of foreign banks in Norway SpareBank 1 Alliance Total ) Lending from all banks and covered bond mortgage companies in Norway. 2) Static selection based on current banking structure. Source: Norges Bank

29 Chart 2.19 Market shares for different groups of banks 1) in lending to the retail market. Percent DNB Bank Subsidiaries of foreign banks in Norway 6 5 Branches of foreign banks in Norway Eika Gruppen SpareBank 1 Alliance Other savings banks 5 4 Other commercial banks ) Static selection based on current banking structure. Includes lending from all banks and covered bond mortgage companies in Norway. Source: Norges Bank

30 Chart 2.2 Market shares for different groups of banks 1) in lending to the corporate market. Percent DNB Bank Subsidiaries of foreign banks in Norway 6 5 Branches of foreign banks in Norway Eika Gruppen SpareBank 1 Alliance Other savings banks 5 4 Other commercial banks ) Static selection based on current banking structure. Includes lending from all banks and covered bond mortgage companies in Norway. Source: Norges Bank

31 Chart 2.21 Banks' return on equity. 1) Net after-tax income relative to book value of shareholder equity Denmark Norway Sweden ) The shaded area is the difference between the maximum and minimum return on bank equity in Belgium, Denmark, Finland, Ireland, Netherlands, Norway, Sweden, Germany, the UK and the US. In general, branches of foreign banks are not included, while foreign branches of domestic banks are included. For more details, see Chart 2.9 in Norges Bank Staff Memo 18/213. Sources: OECD and national sources

32 Chart 2.22 Banks' 1) operating expenses as a share of average total assets. Percent ) All banks excluding branches of foreign banks in Norway. Source: Norges Bank

33 Chart 2.23 Operating expenses as a share of net income. Percent Source: Banks' financial statements DNB Nordea SEB Handelsbanken Swedbank Danske Bank

34 Chart 2.24 Banks' and mortgage companies' interest margins 1) for households. Percent. 22 Q1 213 Q3 4 3 Interest margin Deposit spread Lending spread ) Interest margin = lending rate - deposit rate. Lending spread = lending rate - NIBOR 3-month effective rate. Deposit spread = NIBOR 3-month effective rate - deposit rate. Sources: Statistics Norway and Norges Bank

35 Box 1

36 Chart 1 Foreign currency funding as a share of assets. Norwegian banks and covered bond mortgage companies. Percent Foreign currency funding / total assets Funding of NOK assets in foreign currency / total assets Funding of NOK assets in foreign currency / total assets in NOK Source: Norges Bank

37 Chart 2 Total turnover in the foreign exchange market in April, by instrument. In billions of USD Foreign exchange swaps and outright forwards (left-hand scale) Spot (left-hand scale) Basis swaps (right-hand scale) Source: Norges Bank

38 Box 2

39 Chart 1 Net capital outflows from all sectors in Norway. Cumulative. In billions of NOK Q1 213 Q2 6, 5, 4, 3, 2, 1, -1, Norges Bank and central government Public enterprises Life and non-life insurance Other Private enterprises Banks and credit institutions Current account surplus 6, 5, 4, 3, 2, 1, -1, -2, , Source: Statistics Norway

40 Box 3

41 Chart 1 Lending spread for banks and mortgage companies. Percent. 212 Q3 213 Q Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Source: Statistics Norway

42 Chart 2 Total return for the benchmark index and bank indexes. Indexed, 28 December = December November Bank index (OSE, Norway) Benchmark index (OSE, Norway) European bank index (Stoxx) Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 8 Source: Thomson Reuters

43 Chapter 3

44 Chart 3.1a House prices in baseline and adverse scenario. Annual change. Percent ) Adverse scenario Baseline scenario History ) Projections for Sources: Realtor industry (NEF, EEF, FINN.no and Eiendomsverdi) and Norges Bank

45 Chart 3.1b Registered unemployment in baseline and adverse scenario. Percentage of labour force ) Adverse scenario 1 Baseline scenario History ) Projections for Sources: Statistics Norway and Norges Bank

46 Chart 3.1c Oil price Brent Blend in baseline and adverse scenario. USD per barrel ) Adverse scenario Baseline scenario History ) Projections for Sources: Thomson Reuters and Norges Bank

47 Chart 3.1d Money market rate in baseline and adverse scenario. Percent ) Adverse scenario Baseline scenario History ) Projections for Source: Norges Bank

48 Chart 3.2 Banks' 1) problem loans to non-financial enterprises in baseline and adverse scenario. Percentage of lending to the sector ) Adverse scenario Baseline scenario History ) All banks in Norway. 2) Projections for Sources: Statistics Norway and Norges Bank

49 Chart 3.3 Banks' 1) problem loans to households in baseline and adverse scenario. Percentage of lending to the sector ) Adverse scenario Baseline scenario History ) All banks and mortgage companies in Norway. 2) Projections for Sources: Statistics Norway and Norges Bank

50 Chart 3.4 Banks' 1) lending rate, financing cost, 3-month NIBOR and the key policy rate in the adverse scenario. Percent ) Lending rate, flexible margins Lending rate, fixed margins Banks' financing cost 3-month NIBOR Key policy rate ) Weighted average for the stress-tested banks. 2) Projections for Sources: SNL Financial and Norges Bank

51 Chart 3.5 Common Equity Tier 1 with flexible interest margins in the adverse scenario. Percent ) DNB Nordea Bank Norge Savings banks ) Projections for Sources: SNL Financial and Norges Bank

52 Chart 3.6 Common Equity Tier 1 with fixed interest margins in the adverse scenario. Percent ) DNB Nordea Bank Norge Savings banks ) Projections for Sources: SNL Financial and Norges Bank

53 Chart 3.7 Banks' 1) loans to enterprises and households. In billions of NOK ) 1,4 1,2 1, Corporate loans Household loans 1,4 1,2 1, ) Weighted average for the stress-tested banks. 2) Projections for Sources: SNL Financial and Norges Bank

54 Chart 1 Default as a percentage of total loans to retail market from banks and mortgage companies. Debt as a share of disposable income Debt-to-income ratio (left-hand scale) Default rate (right-hand scale) Sources: Statistics Norway and Norges Bank

55 Chart 2 Debt of exposed households using three criteria. Percent of total debt. 211 Net debt larger than house value: 31% Debt larger than five times income: 34% BGM: 2,4% Margin less than one monthly salary: 8% Sources: Statistics Norway and Norges Bank

56 Chart 3 Debt of households that breaches debt burden, margin and collateral criteria (see Chart 2). Sensitivity analysis. Percentage of total debt. 211 Fall in house prices and interest rate increase 6.8 Only fall in house prices 3.6 Only interest rate increase 4.3 Basis 2.4 Sources: Statistics Norway and Norges Bank

57 Box 4

58 Chart 1 Housing affordability. Indicator Q4 213 Q Norway 2 Oslo Below Sources: Statistics Norway, Norwegian Association of Real Estate Agents (NEF), Eiendomsmeglerforetakenes forening (Eff), Finn.no, Eiendomsverdi and Norges Bank

59 Chapter 4

60 Chart 1 Bank s balance sheet when using bail-in A. Before losses Loans 1 93 Debt 2 Subordinated debt 5 Equity SUM 1 1 B. After losses Loans 1 91 Debt 1) Losses -9 Subordinated debt Equity SUM C. After resolution Loans Debt 2) Subordinated debt 7 Equity SUM ) Written down by 2 to cover losses 2) 7 is converted to new equity

61 Box 5

62 Chart 1 Securities trading with central counterparty Without central counterparty Buyer Money Security Seller With central counterparty Buyer Money Security CCP Money Security Seller With several central counterparties Buyer Money Security Money CCP 1 CCP 2 Security Money Security Seller Source: Norges Bank