Financial stability 1/12 Charts
Chart 1.1 Vulnerabilities in the Norwegian banking sector and external sources of risk to the banking sector1) Financial Stability 2/11
Funding of banking sector
External sources of risk to banking sector
Vulnerability in banking sector
Financial Stability 1/12 Structure of banking sector
Capital and earnings in banking sector
Macroeconomic conditions
Enterprises
Money and credit markets
Households
1) A value of 0, ie. origo, denotes the lowest level of risk or vulnerability. A value of 10 denotes the highest level of risk or vulnerability. Source: Norges Bank
Chart 1.2 Banks’1) pre-tax profits as a percentage of average total assets. Percent. Annual figures. 2002 – 2011 4
4
3
3
2
2
1
1
0
0
-1
-1
-2
-2
-3
-3 2002
2003
2004
Net interest income Other operating expenses
2005
2006
2007
2008
Other operating income Loan losses
2009
2010
2011
Personnel expenses Pre-tax profits
1) All banks except branches of foreign banks in Norway and branches of Norwegian banks abroad Source: Norges Bank 3
Chart 1.3 Banks’1) losses on lending to various sectors and industries in 2011. Percentage of lending to the respective sectors and industries 2
2 2010 2011 Average 2002-2010
1.5
1
1.5
1
0.5
0.5
0
0 Retail market
Total for all Commercial Shipping2) industries real estate
Primary industries
Retail Manufacturing trade
1) All banks in Norway except branches of foreign banks 2) Shipping is limited to lending to Norwegian shipping companies Norges Bank Finansiell stabilitet Source: Norges Bank
Chart 1.4 Change in banks’ credit standards for households and enterprises. Net percentage balances1). Quarterly figures. 2007 Q4 – 2012 Q1 60
60 Non-financial enterprises
40 20
40
Commercial real estate Households
20
0
0
-20
-20
-40
-40
-60
-60
-80
-80
-100 Dec-07
-100 Sep-08
Jun-09
Mar-10
Dec-10
Sep-11
Jun-12
1) Negative net percentage balances denote tighter credit standards compared with previous quarter, while positive balances denote easing in credit standards. The points/diamonds show expectations over the next quarter. The points/diamonds have been moved forward one quarter. Source: Norges Bank
Chart 1.5 Common Equity Tier I capital in banks1) and covered bond mortgage companies. Percentage. Annual figures. 1992 – 2011 14
14
12
12
10
10
8
8
6
6
4
Common Equity Tier I capital /risk-weighted assets
4
Common Equity Tier I capital /total assets
2
Common Equity Tier I capital /risk-weighted assets without floor
2
9 per cent Common Equity Tier I capital /risk-weighted assets
0 1992
0 1995
1998
2001
2004
1) All banks except branches of foreign banks in Norway Source: Finanstilsynet (Financial Supervisory Authority of Norway)
2007
2010
Chart 1 Basel III phase-in of capital requirements 14
14 Countercyclical buffer
12
Conservation buffer
12
Tier 2
10
Hybrid Tier 1
10
Common Equity Tier 1
8
8
6
6
4
4
2
2
0
0 Basel II
2013 2014 2015 2016 2017 2018
Source: Basel Committee on Banking Supervision
Basel III
Chart 1.6 Return on equity. Norwegian banks1) and enterprises. Percent. Annual figures. 1988 – 2011 30
30
20
20
10
10
0
0
-10
-10
-20
-20
-30
-30
-40
-40 Banks
-50
-50
Enterprises
-60
-60
-70
-70
-80 1988
-80 1991
1994
1997
2000
2003
2006
2009
1) All banks except branches of foreign banks in Norway. From 2008 all banks (legal entity) excluding branches of foreign banks in Norway Source: Norges Bank
Chart 1.7 Banks’ and covered bond mortgage companies’ stock of nonperforming loans. Percentage of gross lending to the same sector.1) Quarterly figures. 1990 Q4 - 2011 Q4 15
15 Enterprises Households
12
12
9
9 Change in definition
6
6
3
3
0 Dec-90
0 Dec-95
Dec-00
Dec-05
Dec-10
1) All banks including branches of foreign banks in Norway and covered bond mortgage companies. From 2007 Q4 all banks including branches of foreign banks in Norway and branches of Norwegian banks abroad and covered bond mortgage companies Source: Norges Bank
Chart 1.8 Banks’ and covered bond mortgage companies’ stock of nonperforming loans to households.1) Percentage of gross lending to households. Quarterly figures. 2007 Q4 – 2011 Q4 2.0
1.5
2.0
Covered bond mortgage companies Banks and covered bond mortgage companies Banks
1.5
1.0
0.5
0.0 Dec-07
1.0
Change in definition
Dec-08
Dec-09
0.5
Dec-10
0.0 Dec-11
1) All banks including branches of foreign banks in Norway and covered bond mortgage companies. From 2007 Q4 all banks including branches of foreign banks in Norway and branches of Norwegian banks abroad and covered bond mortgage companies Norges Bank Finansiell stabilitet Source: Norges Bank
Chart 1.9 Norges Banks’ key policy rate and banks’ average lending and deposit rates. Percent. Daily and quarterly figures. 31 December 2007 – 31 December 2011 9
9 Norges Banks' key policy rate
8
8
Average deposit rate Average lending rate
7
7
6
6
5
5
4
4
3
3
2
2
1
1
0 Dec-07
Dec-08
Sources: Statistics Norway and Norges Bank
Dec-09
Dec-10
0 Dec-11 11
Chart 1.10 Banks’1) pre-tax profits as a percentage of average total assets. Baseline scenario. Percent. Annual figures. 2006 – 20152) 3
3
2
2
1
1
0
0
-1
-1
-2
-2
-3
-3 2006
2007
2008
Net interest income Other operating expenses
2009
2010
2011
2012
Other operating income Loan losses
2013
2014
2015
Personnel expenses Pre-tax profits
1) DNB Bank, Nordea Bank Norge, Sparebank 1 SR Bank, Sparebank 1 SMN, Sparebank 1 NordNorge and Sparebanken Vest 2) Projections for 2012 - 2015 Sources: Statistics Norway and Norges Bank
Chart 1.11 Funding as a percentage of total assets. Norwegian-owned banks and covered bond mortgage companies. Quarterly figures. 2007 Q4 – 2011 Q4 1 100
100
80
80
60
60
40
40
20
20
0 Dec-07
0 Sep-08
Jun-09
Equity Other long-term debt in NOK Other long-term debt in foreign currency Other short-term debt 1 in NOK
Mar-10
Dec-10
Sep-11
Customer deposits Swap arrangement and F-loans > 1 year Other short-term debt 1 in foreign currency
1) Short-term debt is debt with a maturity of 1 year or less Source: Norges Bank
13
Chart 1.12 Average volume-weighted maturities on new bonds issued by Norwegian banks and mortgage companies. Years. Semiannual figures. 2008 – April 2012 7
7 Senior bank bonds
6
Covered bonds
6
5
5
4
4
3
3
2
2
1
1
0
0 2008-1 2008-2 2009-1 2009-2 2010-1 2010-2 2011-1
Sources: Bloomberg and Stamdata
2011-2
2012 14
Chart 1.13 Banks’ and covered bond mortgage companies’ bond debt. New issues, maturing bonds, and funding of assumed gap between lending and deposit growth in 2012.1) In billions of NOK 300 250
300
Bank bonds in NOK Bank bonds in foreign currency
250
Covered bonds in NOK
200
Covered bonds in foreign currency
200
Funding of gap between lending and deposit growth
150
150
100
100
50
50
0
0 New issues Jan - Apr 2012
All bonds maturing in 2012 and funding of gap between lending and deposit growth
1) It has been assumed that lending growth and deposit growth are consistent with the baseline scenario (see Section 2) Sources: Bloomberg and Stamdata
15
Chart 1.14 Banks’ and covered bond mortgage companies’ bond debt by maturity in NOK and foreign currency.1) As at 7 May 2012. In billions of NOK 350 300 250
350 Covered bonds in NOK Covered bonds in foreign currency Bank bonds in NOK Bank bonds in foreign currency Maturities in swap arrangement
300 250
200
200
150
150
100
100
50
50
0
0 2012
2013
2014
2015
2016
2017
>=2018
1) Covered bonds used in the swap arrangement may mature in one of the years following the expiry of the swap agreement 16 Sources: Bloomberg and Stamdata
Chart 1.15 Banks’1) stable funding as a percentage of stable funding requirement (NSFR).2) Weighted average for group. As at end of quarter 140
140 2011 Q1
120
120
2011 Q3 2011 Q4
100
100
NSFR requirement in Basel III
80
80
60
60
40
40
20
20
0
0 All banks
DNB + commercial banks
Savings banks Total assets > NOK 20bn
1) All banks except branches of foreign banks in Norway. 2) Estimated by Norges Bank Source: Norges Bank
Savings banks Total assets < NOK 20bn
Chart 1.16 Banks’1) net2) short-term market funding in foreign currency as a percentage of total assets. Quarterly figures. 2002 Q1 – 2011 Q4 30
30 Gross funding
25
Assets
Net funding
25
20
20
15
15
10
10
5
5
0
0
-5
-5
-10
-10
-15 2002
-15 2003
2004
2005
2006
2007
2008
2009
2010
2011
1) All banks except branches and subsidiaries of foreign banks in Norway 2) Net of the following short-term assets: Deposits with central banks and government securities maturing in one year or less. Source: Norges Bank
Chart 1.17 VPS-registered notes and bonds issued by banks and mortgage companies1) by holding sector. Percent. Quarterly figures. 2006 Q3 - 2011 Q4 100
100
80
80
60
60
40
40
20
20
0 Sep-06
Jun-07 Mar-08 Dec-08 Pension providers Securities funds Rest of the world
Sep-09 Jun-10 Mar-11 Banks Central government Other
0 Dec-11
1) Nominal value. Except central government holdings of securities issued by mortgage companies Source: Statistics Norway 19
Chart 1.18 Banks’ and OMF covered bond mortgage companies’1) bond debt and pension providers’ securities holdings2). In billions of NOK. Annual figures. 2008 – 2011 1400
1400 Pension providers' securities holdings
1200
1200
Banks' and OMF covered bond mortgage companies' note and bond debt
1000
1000
800
800
600
600
400
400
200
200
0
0 2008
2009
2010
2011
1) All banks except branches of foreign banks in Norway and Norwegian OMF covered bond mortgage companies 2) Pension funds’ holdings in 2011 are estimated Sources: Statistics Norway and Norges Bank
Chart 1.19 Capital requirement for spread risk in Solvency II. As a percentage of market value 35
35 Covered bonds
AAA
AA
A
Unrated
BBB
30
30
25
25
20
20
15
15
10
10
5
5
0
0 1
2
3
Source: EU Commission (QIS5)
4
5 6 Duration in years
7
8
9
10
Chart 1.20 Government bond spreads. Compared with German government bonds. 10-year maturity. Percentage points. Daily figures. 1 January 2007 – 4 May 2012 40
40 Greece
36 32 28 24
Portugal Italy Spain Belgium Ireland France
36 32 28 24
20
20
16
16
12
12
8
8
4
4
0 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12
0
Source: Thomson Reuters
Chart 1.21 Projected output gap1) for mainland Norway and Norway’s trading partners. Percent. Quarterly figures. 2008 Q1– 2015 Q4 4
4 Mainland Norway FS 1/12 Mainland Norway FS 2/11 Trading partners FS 1/12
2
2
Trading partners FS 2/11
0
0
-2
-2
-4
-4
-6 2008
-6 2009
2010
2011
2012
2013
2014
2015
1) The output gap measures the percentage deviation between GDP and projected potential GDP Sources: Statistics Norway, IMF and Norges Bank
Chart 1.22 IMF’s projections of 2012 GDP growth in selected euro area countries. Percent 2
2
1
1
0
0
-1
-1
-2
-2
-3
-3
-4
September 2011
-4
April 2012
-5
-5 Euro area Greece Portugal
Italy
Sources: IMF, World Economic Outlook database
Spain
France
Ireland Germany
Chart 1.23 Import-weighted exchange rate index (I-44)1). Monthly figures. January 1995 – April 2012 82
82 Import-weighted exchange rate
85
85
88
88
91
91
94
94
97
97
100
100
103
103
106 1995
106
1998
2001
2004
1) A positive slope denotes a stronger krone exchange rate Source: Norges Bank
2007
2010
Chart 1.24 Oil price in NOK (Brent Blend). Quarterly figures.1965 Q1 – 2012 Q1 700
700
600
600
500
500
400
400
300
300
200
200
100
100
0 1965
0 1971
1977
1983
1989
1995
Sources: Statistics Norway, Thomson Reuters and Norges Bank
2001
2007
Chart 1.25 Risk premiums in European bond indices. Difference against government bonds. Financial sector, rating AAA to BBB. 5-year average maturity. Basis points. 1 January 2007 – 4 May 2012 700
700
600
600
500
500
400
400
300
300
200
200
100
100
0 Jan-07
0 Jan-08
Source: Thomson Reuters
Jan-09
Jan-10
Jan-11
Jan-12
Chart 1.26 Market funding costs. Norwegian banks. Percentage points. Daily figures. 1 August 2007 – 4 May 2012 11 10
9 8 7
11 Risk premium covered bonds (5-year) Difference between NIBOR (3-month effective) and key policy rate Key policy rate
10
9 8 7
6
6
5
5
4
4
3
3
2
2
1
1
0 Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12
0
Sources: DNB Markets and Norges Bank
Chart 1.27 Spread between 3-month money market rate and market expectations as to the key rate.1) Percentage points. 5-day moving average. Daily figures. 1 January 2007 – 2 May 2012 4
4 Norway Euro area US
3
3
2
2
1
1
0 Jan-07
Oct-07
Jul-08
Apr-09
Jan-10
Oct-10
Jul-11
0 Apr-12
1) Expected key rates are derived from Overnight Index Swap (OIS) rates. Expected key rates for Norway are estimated by Norges Bank 29 Sources: Bloomberg, Thomson Reuters and Norges Bank
Chart 1.28 Indicative risk premiums on 5-year Norwegian bank bonds and covered bonds. Spread against swap rates. Percentage points. Weekly figures. 2 July 2007 – 4 May 2012 3.5 3.0
3.5 Small banks with high rating DNB Bank Covered bonds
3.0
2.5
2.5
2.0
2.0
1.5
1.5
1.0
1.0
0.5
0.5
0.0
0.0
-0.5 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 1) Banks with total assets between NOK 5bn and 15bn and rated A by DNB Markets Source: DNB Markets
-0.5
Chart 1.29 CDS prices. 5-year senior bond debt. iTraxx Senior Financials1) and Nordic banks. Basis points. Daily figures. 1 January 2007 – 4 May 2012 400
400 iTraxx
350
Danske Bank
350
DNB
300
Nordea
300
250
250
200
200
150
150
100
100
50
50
0
0
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
1) iTraxx Senior Financials comprises 25 large European financial institutions Source: Bloomberg
Jan-12
Chart 1.30 Estimated average risk premium1) Norwegian banks and mortgage companies. Monthly average. Basis points. 1 January 2008 – 30 April 2012 250
250 Average risk premium outstanding senior bonds Average risk premium outstanding covered bonds Risk premium new covered bonds
200
200
Risk premium new senior bonds
150
150
100
100
50
50
0 Jan-08
0 Jan-09
1) Difference against swap rates Sources: DNB Markets and Norges Bank
Jan-10
Jan-11
Jan-12
Chart 1.31 Banks’ and mortgage companies’ qualitative assessment of access to and premiums on market funding.1) Monthly data. March 2008 – April 2012
Access funding
2008
2009
2010
2011
2012
2008
2009
2010
2011
2012
Short-term NOK Short-term foreign curr. Long-term NOK Long-term foreign curr. Risk premium funding Short-term NOK Short-term foreign curr. Long-term NOK Long-term foreign curr.
1) Average reported by banks in Norges Bank’s liquidity survey Red indicates poorer access and higher premiums, grey indicates unchanged, green indicates improved access and lower premiums Source: Norges Bank
Chart 1.32 Volume of bonds and covered bonds issued by Norwegian banks and mortgage companies. In billions of NOK. Annual and monthly figures. 2006 – 2011. January – April 2011 and 2012 400 350 300 250
400
Bank bonds - NOK
350
Bank bonds - foreign currencies Covered bonds NOK Covered bonds foreign currencies
300 250
200
200
150
150
100
100
50
50
0
0 2006
2007
2008
Sources: Stamdata and Bloomberg
2009
2010
2011
Jan-Apr Jan-Apr 2011 2012 34
Chart 1.33 Household debt burden1) and interest burden2). Percent. Quarterly figures. 1988 Q1 – 2015 Q43)
12
250
Debt burden (right-hand scale) Interest burden (left-hand scale)
10
200
8 150 6 100 4 50
2 0 1988
0 1991
1994
1997
2000
2003
2006
2009
2012
2015
1) Debt as a percentage of disposable income adjusted for estimated reinvested share dividends for 2000 – 2005 and redemption/reduction of equity capital for 2006 – 2015 2) Interest expenses after tax as a percentage of disposable income adjusted for estimated reinvested share dividends 2000 – 2005 and redemption/reduction of equity capital for 2006 – 2015, plus interest expenses 3) Projections for 2012 Q1 – 2015 Q4 from Monetary Policy Report 1/2012. Sources: Statistics Norway and Norges Bank
Chart 1.34 Post-tax income by expense item and margin. Households excluding self-employed. In billions of 2009-NOK. 1987 – 2009 1000
Cost of living
1000
900
Interest expenses
900
800
Margin
800
700
700
600
600
500
500
400
400
300
300
200
200
100
100
0 0 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 Sources: Statistics Norway, National Institute for Consumer Research and Norges Bank
Chart 1.35 Households excluding self-employed with a debt burden above 500 percent of disposable income. Percent. Annual figures. 1987 – 20101) 14 12
14 500 to 600
600 to 700
700 to 800
900 to 1000
Above 1000
500 or more
800 to 900
12
10
10
8
8
6
6
4
4
2
2
0 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009
0
1) Estimates for 2010 Source: Norges Bank
Chart 1.36 Household1) saving ratio adjusted for dividend payments, decomposed into net lending and net investment in fixed assets. Percent2). Sum over last four quarters. 2002 Q4 – 2011 Q4. 15 10
15 Net lending adjusted for dividend payments Net investment in fixed assets Saving ratio adjusted for dividend payments
10
5
5
0
0
-5
-5
-10
-10
-15 -15 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 1) Includes non-profit organisations 2) Saving as a percentage of disposable income adjusted for dividend payments. Net lending and Net investment in fixed assets as relative contributions to the saving ratio Source: Statistics Norway
Chart 1.37 House prices and estimated contributions from explanatory variables. Contributions in percentage points to four-quarter growth. 2006 Q1 – 2012 Q1 40 30
40 Income
Housing stock
Interest rate
Unemployment
Expectations
Credit standards
Unspecified
House prices
30
20
20
10
10
0
0
-10
-10
-20
-20
-30 Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Sources: Association of Norwegian Real Estate Agents, Pöyry, Finn.no, Association of Real Estate Agency Firms and Norges Bank
Mar-11
-30 Mar-12
Chart 1 Credit as a percentage of GDP. Mainland Norway.1) Percent. Quarterly figures. 1975 Q4 –2011 Q4 250
250 Credit/Mainland GDP
Trend
200
200
150
150
100
100
50
50
0 Dec-75
0 Dec-80
Dec-85
Dec-90
Dec-95
Dec-00
Dec-05
Dec-10
1) From 1995, credit to the private and municipal sector in mainland Norway as a percentage of mainland GDP (summed over the latest four quarters). Before 1995 the ratio is calculated using the increase in the ratio for total credit to the private and municipal sector as a percentage of GDP (summed over the latest four quarters). Sources: Statistics Norway, IMF and Norges Bank
Chart 2 Credit gap1). Percentage points. Quarterly figures. 1980 Q4 – 2011 Q4 25
25
20
20
15
15
10
10
5
5
0
0
-5
-5
-10
-10
-15
-15
-20
-20
-25 Dec-80
-25 Dec-85
Dec-90
Dec-95
Dec-00
Dec-05
Dec-10
1) Deviation from trend for total credit to the private and municipal sector measured as a percentage of GDP (summed over the latest four quarters). From 1995, credit to the private and municipal sector in mainland Norway as a percentage of mainland GDP. Sources: Statistics Norway, IMF and Norges Bank
Chart 1.38 Bank and OMF mortgage company lending by industry. Percentage of total corporate lending. As at end-2011 Commercial property Foreign enterprises
1)
Services Construction2) Shipping Retail trade, hotels and restaurants Primary industries Manufacturing Transport Utilities Oil and gas extraction and oil services 0
5
10
15
1) Shipping accounts for a large share of lending to foreign enterprises 2) Including development of building projects Source: Norges Bank
20
25
30
35
Chart 1.39 Bank and OMF mortgage company lending by selected industries. 12-month change. Percent. Monthly figures. May 2010 – February 2012 20
20
15
15
10
10
5
5
0
0
-5
-5
-10 -15 -20 May-10
-10
All industries Services Manufacturing Construction and development of building projects
Aug-10
Source: Norges Bank
Nov-10
Feb-11
May-11
Aug-11
-15
Nov-11
-20 Feb-12
Chart 1.40 Investment plans1), corporate credit demand2) and banks’ credit standards for enterprises. Quarterly figures. 2007 Q4 – 2012 Q1 70
1 Credit demand
50 30
Credit standards
0.5
Investment plans (right-hand scale)
10 0 -10 -30
-0.5
-50 -70 Dec-07
-1 Dec-08
Dec-09
Dec-10
Dec-11
1) Enterprises in Norges Bank’s regional network. Expected change in investments next 12 months. The index ranges from -5 to +5, where -5 indicates a sharp fall and +5 indicates strong growth 2) The scale ranges from -100% to 100%, where -100% indicates considerable tightening of credit standards/reduction in credit demand, and 100% indicates considerable easing of credit standards/increase in credit demand Source: Norges Bank
Chart 1.41 Enterprises’ debt to credit institutions together with note and bond debt by enterprises’ balance sheet total (value of total assets). In millions of NOK. As at end-2010 350
40 Debt to credit institutions
300
Notes and bonds
250
30
Number of enterprises (in thousands, right-hand scale)
200 20 150 100
10
50 0
0 1000
1) Enterprises with debt to credit institutions and/or note/bond debt. Figures based on Norwegian limited companies’ annual financial statements Source: Norges Bank
Chart 1.42 Debt-servicing capacity for the most widely traded companies listed on Oslo Børs1), banks and OMF covered bond companies’ stock of nonperforming corporate loans2) and corporate loan losses3). Percent. Annual and quarterly figures. 2001 Q1 – 2011 Q4 100
80
Debt-servicing capacity (left-hand scale) Non-performing loans Loan losses
60 40 20 0 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 -0.5
1) Profit before tax, depreciation and impairment losses over the past four quarters as a percentage of interest-bearing debt. Sample consisting of enterprises in the OBX index excl. Statoil and bank/insurance 2) Stock of non-performing loans as a percentage of total lending. The definition was slightly changed as from 2010 3) Loan losses as a percentage of total lending Sources: Bloomberg and Norges Bank
Chart 1.43 Freight rates (Clarksea index)1) and orders (stock of ordered newbuildings). USD per day and number of ships respectively. Monthly figures. January 1996 – April 2012 60000
14000 Freight rates
50000
12000
Orders (right-hand scale)
10000
40000
8000 30000 6000 20000
4000
10000 0 1996
2000 0 1999
2002
2005
2008
2011
1) Weighted average for earnings in the tanker, bulk, container and gas segments. Deflated by US CPI Source: Clarksons Ltd
Chart 2.1 Banks’1) liquid assets as a percentage of liquidity requirement (LCR).2) Weighted average for the group. As at end of quarter 120 100
120
2011 Q1 2011 Q3
100
2011 Q4
LCR requirement (Basel III)
80
80
60
60
40
40
20
20
0
0 All banks
DNB + commercial banks
Savings banks Total assets > NOK 20bn
1) All banks except branches of foreign banks in Norway. 2) Estimated by Norges Bank Source: Norges Bank
Savings banks Total assets < NOK20bn
Chart 2.2 GDP trading partners. Annual volume change. Percent. Annual figures. 2005 – 20151) 6
6
4
4
2
2
0
0
-2
-2
-4
-4
-6
-6 Baseline scenario
-8
-8
Adverse scenario 1 Adverse scenario 2
-10 2005
2006
2007
2008
2009
2010
2011
2012
1) Projections for 2012 – 2015 Sources: Statistics Norway, IMF, Thomson Reuters and Norges Bank
2013
2014
-10 2015
Chart 2.3 Weighted growth in credit to enterprises (C3) and households (C2). Year-on-year growth1). Percent. Annual figures. 2005 – 20152) 16
16
14
14
12
12
10
10
8
8
6
6
4
4
2
2
0
-2 -4 2005
0
Baseline scenario Adverse scenario 1 Adverse scenario 2
2007
-2 2009
1) Change in stock of loans measured at year-end 2) Projections for 2012 – 2015 Sources: Statistics Norway and Norges Bank
2011
2013 Norges Bank Finansiell stabilitet
-4 2015
Chart 2.4 Nominal exchange rate. Import-weighted exchange rate index (I-44)1). Annual Figures. 2005 - 20152) 82
82
84
84
86
86
88
88
90
90
92
92
94
96 2005
Baseline scenario and adverse scenario 1 Adverse scenario 2
2006
2007
2008
94
2009
2010
2011
1) A positive slope denotes a stronger krone exchange rate 2) Projections for 2012 – 2015 Sources: Statistics Norway and Norges Bank
2012
2013
2014
96 2015
Chart 2.5 Mainland GDP. Annual volume change. Percent. Annual figures. 2005 – 20151) 6
6
4
4
2
2
0
0
-2
-2
Baseline scenario Adverse scenario 1 Adverse scenario 2
-4 2005
2007
2009
1) Projections for 2012 – 2015 Sources: Statistics Norway and Norges Bank
2011
2013
-4 2015
Chart 2.6 Banks’ pre-tax profits as a percentage of average total assets. Adverse scenario 1. Annual figures. 2006 – 20151) 3
3
2
2
1
1
0
0
-1
-1
-2
-2
-3
-3 2006
2007
2008
2009
2010
2011
2012
Net interest income Other operating income Other operating expenses Loan losses 1) Projections for 2012 – 2015 Sources: Statistics Norway and Norges Bank
2013
2014
2015
Personnel expenses Pre-tax profits Norges Bank Finansiell stabilitet
53
Chart 2.7 Banks’ pre-tax profits as a percentage of average total assets. Adverse scenario 2. Annual figures. 2006 – 20151) 3
3
2
2
1
1
0
0
-1
-1
-2
-2
-3
-3 2006
2007
2008
2009
2010
2011
2012
Net interest income Other operating income Other operating expenses Loan losses 1) Projections for 2012 – 2015 Sources: Statistics Norway and Norges Bank
2013
2014
2015
Personnel expenses Pre-tax profits Norges Bank Finansiell stabilitet
54
Chart 2.8 Scatter diagram for loan losses as a percentage of gross lending for all Norwegian banks. Adverse scenario 2. Annual figures. 2006 – 20151) 1.4 1.2
1.4 From 1st to 3rd quartile
1.2
Median
1
1.0
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0
0.0
-0.2
-0.2 2006
2007
2008
2009
2010
1) Projections for 2012 – 2015 Sources: Statistics Norway and Norges Bank
2011
2012
2013
2014
2015
Norges Bank Finansiell stabilitet
Chart 2.9 Banks’ Tier 1 capital ratio. Baseline scenario and adverse scenarios. Percent. Annual figures. 2006 – 20151) 14
14
12
12
10
10
8
8
6
6
4
4
2 0 2006
Baseline scenario Adverse scenario 1 Adverse scenario 2
2007
2008
2
2009
2010
2011
2012
2013
2014
1) Projections for 2012 – 2015 Norges Finansiell stabilitet Sources: Finanstilsynet (Financial Supervisory Authority of Norway) andBank Norges Bank
0 2015 56
Chart 1 Banks’1) pre-tax profits as a percentage of average total assets. Baseline scenario. Annual figures. 2011 3
3
2
2
1
1
0
0
-1
-1
-2 2011 - Actual Net interest income Other operating expenses
2011 - FS 1/11
2)
Other operating income Loan losses
2011 - FS 2/11
3)
-2
Personnel expenses Pre-tax profits
1) DNB, Sparebank 1 SMN, Sparebank 1 Nord-Norge, Sparebank 1 SR-bank, Nordea Bank Norge and Sparebanken Vest 2) Baseline scenario in Financial Stability 1/2011 3) Baseline scenario in Financial Stability 2/2011 Norges Bank Finansiell stabilitet 57 Sources: Statistics Norway and Norges Bank
Chart 2 Banks’1) losses as a share of gross lending. Baseline scenario. Percent. Annual figures. 2006 – 2015 0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1
0
0
-0.1
-0.1
-0.2
-0.2
-0.3
Baseline scenario FS 1/12
-0.3
Baseline scenario FS 2/11
-0.4
-0.5 2006
-0.4
Baseline scenario FS 1/11
2007
2008
2009
2010
2011
2012
2013
2014
-0.5 2015
1) DNB, Sparebank 1 SMN, Sparebank 1 Nord-Norge, Sparebank 1 SR-bank, Nordea Bank Norge and Sparebanken Vest Norges Bank Finansiell stabilitet 58 Sources: Statistics Norway and Norges Bank
Chart 3 Banks’1) Tier 1 capital ratio in baseline scenarios. Percent. Annual figures. 2006 – 2015 14
14
12
12
10
10
8
8
6
6
4
4 Baseline scenario FS 1/12
2
Baseline scenario FS 2/11
2
Baseline scenario FS 1/11
0 2006
2007
2008
2009
2010
2011
2012
2013
2014
0 2015
1) DNB, Sparebank 1 SMN, Sparebank 1 Nord-Norge, Sparebank 1 SR-bank, Nordea Bank Norge and Sparebanken Vest Norges Finansiell stabilitet 59 Sources: Finanstilsynet (Financial Supervisory Authority of Norway) andBank Norges Bank
Chart 1 Sum of debt for households, non-profit organisations, non-financial corporations and the public sector. As a percentage of GDP. Quarterly figures. 1999 Q1 – 2011 Q3
300
300
Spain
France
275
275 Italy
UK
250
250
225
225
200
200
175
175
150 Mar-99
150 Mar-01
Mar-03
Mar-05
Sources: ECB and Eurostat Financial Accounts
Mar-07
Mar-09
Mar-11
Chart 2 Debt for households and non-profit organisations. As a percentage of GDP. Quarterly figures. 1999 Q1 – 2011 Q3 120
120 Spain
France
100
100 Italy
UK
80
80
60
60
40
40
20
20
0 Mar-99
0 Mar-01
Mar-03
Mar-05
Sources: ECB and Eurostat Financial Accounts
Mar-07
Mar-09
Mar-11
Chart 3 Debt for non-financial corporations. As a percentage of GDP. Quarterly figures. 1999 Q1 – 2011 Q3 160
160 Spain
France
140
140 Italy
UK
120
120
100
100
80
80
60
60
40 Mar-99
40 Mar-01
Mar-03
Mar-05
Sources: ECB and Eurostat Financial Accounts
Mar-07
Mar-09
Mar-11
Chart 4 Debt in the public sector. As a percentage of GDP. Quarterly figures. 1999 Q1 – 2011 Q3 150
150
130
130
110
90
Spain
France
Italy
UK
110
90
70
70
50
50
30 Mar-99
30 Mar-01
Mar-03
Mar-05
Sources: ECB and Eurostat Financial Accounts
Mar-07
Mar-09
Mar-11
Chart 5 Net foreign debt, computed as the (negative) “net international investment position” of each country. As a percentage of GDP. Annual figures. 2002 – 2011 110
90
110 Spain
France
UK
Italy
90
70
70
50
50
30
30
10
10
-10 2002
2003
2004
2005
2006
Sources: ECB and Eurostat Financial Accounts
2007
2008
2009
2010
-10 2011
Chart 1 Equity ratio1) and Common Equity Tier 1 ratio2) not including the transitional floor for the six largest financial groups in the Nordic region. Percent. As at 31 December 2011 20 18
20 Equity ratio
Common Equity Tier 1 ratio (not including the transitional floor)
15.7
15.6
16
16
13.7
14 12
14
11.8
11.2
12 9.8
10 8
10 8
6 4
18
3.6
3.7
3.9
4.6
5.3
5.5
6 4
2
2
0
0
1) Equity ratio = Equity / Total assets 2) Tier 1 capital excluding hybrid instruments / Sum risk-weighted assets Source: Public financial information from the institutions
Chart 2 Average risk weights for residential mortgage loans and corporate loans (IRB models) for the six largest financial groups in the Nordic region and the subsidiary Nordea Bank Norge. Percent. As at 31 December 2011 70
70 Residential mortgage loans
60
57.4 52.7
Corporate loans
63.5
60
55.0 50.3
50 40
50 40
36.6 33.4
30
30
20 10.5
20
16.8
16.0 12.8
10 0
Source: Pillar 3 reports from the institutions
12.1 5.4
7.2
10 0
Chart 3 Common Equity Tier 1 ratio1) for the six largest banking groups in the Nordic region. Percent. As at 31 December 2011 20 18
Including the transitional floor Minimum requirement from EBA
16
15.6
Not including the transitional floor
18 15.7
16 13.7
14 12
11.2
10 8
9.2
11.2
9.3
9.8
20
14 11.8
12
10.2
8.0
10 8
6
6
4
4
2
2
0
0
1) Tier 1 capital excluding hybrid instruments / Sum risk-weighted assets Source: Public financial information from the institutions
Chart 1 Reduction in eligible cover pool after a fall in house prices. Percentage points. As at end-2011. 60
60 Excluding defaults
Including defaults
50
50
40
40
30
30
20
20
10
10
0
0 0
5
10
15
20
25
30
35
40
45
50
Sources: DNB Boligkreditt, Sparebanken Vest Boligkreditt, SpareBank 1 Boligkreditt, Terra Boligkreditt, Norges Bank
55
60
Chart 2 Eligible cover pool and over-collateralisation after a fall in house prices. Percentage of outstanding volume of covered bonds and percentage points. As at end-2011. 140
140 Over-collateralisation Balance sheet requirement Eligible cover pool Eligible cover pool incl defaults
120
120
100
100
80
80
60
60
40
40
20
20
0
0
0
5
10
15
20
25
30
35
40
45
50
Sources: DNB Boligkreditt, Sparebanken Vest Boligkreditt, SpareBank 1 Boligkreditt, Terra Boligkreditt, Norges Bank
55
60