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
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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
5
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
7
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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