OECD Working Party on Financial Statistics 24 – 25 October 2011 Measurement of Households’ risks for France Adeline Bachellerie Paris, October 24th 2011 Directorate General Statistics Directorate Monetary.
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Transcript OECD Working Party on Financial Statistics 24 – 25 October 2011 Measurement of Households’ risks for France Adeline Bachellerie Paris, October 24th 2011 Directorate General Statistics Directorate Monetary.
OECD
Working Party on Financial Statistics
24 – 25 October 2011
Measurement of Households’ risks for France
Adeline Bachellerie
Paris,
October 24th 2011
Directorate General Statistics
Directorate Monetary and Financial Statistics
Outline
1. Financial Soundness Indicators (FSIs) on households
1.1 Total debt service compared to principal payments and interests
paid
Focus on technical measurement
1.2 Total households’ indebtedness: long term versus short term
indebtedness
Focus on real estate analysis
2. Households’ wealth analysis
2.1 A measure of households’ maturity mistmaches & households’
solvency issue
2.2 Households’ wealth effects and the last crisis
Focus on the Household Finance and Consumption Survey (HFCS) 2
FSIs: Household debt service and principal payment to income
The indicator on total debt service could be divided into two parts :
The principal payments and the interests paid on the debt
Households' debt service payments
(in % of disposable income)
15
3,7
14
3,6
13
3,5
12
11
3,4
10
3,3
9
3,2
8
3,1
7
Debt service (L)
Principal payments (L)
Sources: Banque de France, INSEE (NSI)
03/11
09/10
03/10
09/09
03/09
09/08
03/08
09/07
03/07
09/06
03/06
09/05
03/05
09/04
3
03/04
6
Interests paid (R)
3
FSIs: Household debt service and principal payment to income
Principal payments calculation
Two data collecting used:
One from Balance Sheet Item (BSI) statistics used to compile monetary
statistics and providing net transactions on loans granted to households
equal, inside a quarter, to:
New granted loans – principal payments on existing loans
One from Monetary Interest Rate (MIR) statistics used to compile the
interest rates and new business to households
A simple way of calculation would lead to:
Principal payments = new business- net transactions
A need for retreatment as the two data collecting
are not consistent
4
FSIs: Household debt service and principal payment to income
Principal payments calculation
Retreatment
on MIR statistics to comply with the BSI statistics perimeter
Main issue:
MIR statistics on new business include new negociations of existing
loans meaning for instance debt renegotiation for which households
benefited from lower interest rate - especially observed in 2010
series on renegotiations come from a loan by loan collection of data
implemented in the context of the calculation of usurary rates
Conclusion: series on new loans from MIR statistics are “ bleeded ” from
debt renegotiation
After corrections, the simple calculation may be applied:
Principal payments = new business- net transactions
Interests paid on loans compiled through FISIM
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FSIs: Household debt service and principal payment to income
Interests paid calculation
Interests paid on loans compiled (including FISIM) as:
Apparent interest rate from MIR statistics ×
outstanding amounts on loans from financial accounts
total interests paid by households > interests paid in non financial
accounts (D.41)
Interests paid in non financial accounts (D.41) are calculated as:
Reference rate ×
outstanding amounts on loans from financial accounts
6
FSIs: Household debt to Gross Domestic Product
The indicator on total debt to GDP could be divided into two parts:
The short term debt and the long term debt
Households' debt
(in % of GDP)
60
60
50
50
80% in 2011 Q1
40
30
40
Mainly credit for housing
70% in 2004 Q1
30
20
20
Mainly credit for consumption
10
10
77% in 2004 Q1
80% in 2011 Q1
Total debt
Sources: Banque de France, INSEE (NSI)
Long term debt
Short-term debt
03/11
09/10
03/10
09/09
03/09
09/08
03/08
09/07
03/07
09/06
03/06
09/05
03/05
09/04
0
03/04
0
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Households’ indebtedness and real estate transactions
Households’ risk analysis cannot be disconnected from real estate analysis
Graph (1) – Left: Long term banking loans to households compared to existing-home
transactions and households' investment rate(data cumulated over 4 rolling quarters for loans
and transactions)
Graph (2) – Right: Real estate prices compared to households' disposable income
millions & %
billions
y-o-y % change
-10
Investment rate (L)
Disposable income
Real estate prices in Paris
mars-04
mars-11
-10
sept.-10
20
mars-10
6
sept.-09
-5
Existing-home transactions (L)
Long term loans (R)
25
mars-09
-5
sept.-08
30
mars-08
7
sept.-07
0
mars-07
0
sept.-06
40
mars-06
8
sept.-05
5
mars-05
5
sept.-04
50
mars-04
9
mars-11
10
60
sept.-10
10
10
mars-10
70
sept.-09
11
mars-09
15
sept.-08
15
mars-08
80
sept.-07
12
mars-07
20
sept.-06
20
mars-06
90
sept.-05
13
mars-05
25
sept.-04
100
14
Real estate prices in France
8
Sources: Banque de France, INSEE (NSI), CGEDD after Tax Department and notaries' databases
Households : maturity mismatches and solvency issue
Maturity mismatches indicator = short term liabilities / liquid assets
Solvency indicators : total debt / total financial assets & total debt / total
assets (including housing and built land).
Maturity mismatches
versus solvency issue (in %)
6
32
5
28
24
4
20
3
16
2
12
1
maturity indicator (L)
Source: Banque de France
Financial solvency indicator (R)
03/11
09/10
03/10
09/09
03/09
09/08
03/08
09/07
03/07
09/06
03/06
09/05
03/05
09/04
03/04
8
Solvency indicator (R)
9
Households’ revaluation
The plunge in market prices would entail to a negative change in the
households’ gross financial wealth (assessed at about 130 € billions)…
Households' gross financial wealth
(growth rate and contributions in %)
-3
-3
-4
-4
-5
-5
Financial investment flows
Source: Banque de France
Revaluation
09/11
-2
06/11
-2
03/11
-1
12/10
-1
09/10
0
06/10
0
03/10
1
12/09
1
09/09
2
06/09
2
03/09
3
12/08
3
09/08
4
06/08
4
03/08
5
12/07
5
Gross financial wealth
10
Households Finance and Consumption Survey (HFCS)
and Financial Accounts
…But not hitting most of households
Confirmed by a satisfactory consistency between HFCS and
financial accounts
2003-2004
2009-2010
Change in
Household
Outstanding
Household
Outstanding
amounts (in %)
holding rate (in %) amounts (in € bn) holding rate (in %) amounts (in € bn)
Passbooks (included the French "A" Passbook)
83,2
305,8
85,0
447,3
46,3
Passbook and deposits with agreed maturity linked to real estate
41,3
251,6
31,2
208,9
-17,0
Life insurance contracts
26,6
689,8
34,9
1113,8
61,5
Pensions funds contracts
9,7
100,2
12,3
166,0
65,6
Securities
28,3
759,7
24,3
972,9
28,1
Total
91,2
2107,1
91,9
2908,8
38,0
Perimeter : households (without NPISH) - Metropolitan France (i.e. excluding Overseas France)
Sources: on holding rates, Insee, Households' survey in 2003-2004 & 2009-2010 ; on outstanding amounts, financial accounts and monetary statistics from
Banque de France
11
Measurement of Households’ risks for France
Thank you for your attention
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