Financial Stability Review – September 2004 List of tables

  • Table 1: House Prices
  • Table 2: Reasons for refinancing 1997–1999
  • Table 3: Bank Return on Assets and Equity
  • Table 4: Half-yearly Profit Results
  • Table 5: Banks' Australian Commercial Property Exposures
  • Table 6: Market Risk
  • Table 7: Australian Banks' Ratings
  • Table 8: Moody's Weighted-average Bank Financial Strength Index
  • Table 9: Asset Class Returns
  • Table 10: Superannuation Funds: Manner of Investment and Asset Allocation

Boxes

Articles

Asset Securitisation in Australia

The Australian Hedge Fund Industry

Table 1: House Prices
Percentage change over half-year
ABS APM(a) CBA REIA
2003II 2004I 2003II 2004I 2003II 2004I 2003II 2004I
Sydney 7.6 −2.1   16.3 −6.0   12.0 −9.2   7.5 4.0
Melbourne 5.9 −0.3   12.5 −8.8   13.6 −8.0   3.3 −3.5
Brisbane 19.2 7.8   22.7 2.3   21.0 −0.8   21.1 0.0
Adelaide 10.7 5.6   9.1 7.1   13.5 −3.5   9.1 4.2
Perth 10.9 3.3   8.7 2.0   11.9 2.2   12.4 1.7
Canberra 12.3 0.7   10.5 0.7   30.6 0.2   8.9 8.9
Australia 9.5 1.3   14.7 −4.0   14.0 −6.5   8.5 1.5

(a) Preliminary.

Sources: ABS; APM; CBA; REIA

Table 2: Reasons for refinancing 1997–1999
Per cent of households refinancing(a)
Better interest rate 23.3
Better loan conditions 25.1
Extension of loan period 5.1
Home renovation 9.5
Other purchase (e.g. car, holiday) 21.0
Debt consolidation 15.2
Business-related reasons 7.5
Other reasons 17.4

(a) Respondents allowed to cite multiple reasons.

Source: ABS

Table 3: Bank Return on Assets and Equity(a)
Before-tax earnings, per cent
Return on assets Return on equity
2003 2004 2003 2004
Australia 1.4 1.5   19.4 20.3
Canada 1.0 1.1   19.4 22.9
France 0.7 0.7   15.3 19.6
Germany −0.2 0.4   −7.1 12.8
Japan −0.8 0.1   −27.9 3.2
Netherlands 0.8 0.8   20.3 23.0
UK 1.2 1.3   20.4 21.1
US 2.0 1.5   26.2 19.8

(a) Full-year results for 2003; annualised latest half-year results for 2004. Based on the 5, 5, 3, 4, 6, 3, 5 and 6 largest banks in Australia, Canada, France, Germany, Japan, the Netherlands, UK and US, respectively.

Sources: Banks' annual reports and half-yearly profit statements; RBA

Table 4: Half-yearly Profit Results
Five largest banks, consolidated, latest half year(a)
2003 2004 2004
Per cent of
average assets(b)
Per cent of
average assets(b)
$b
Income
Net interest income 2.0 1.9 12.0
Before tax profits from wealth management(c) 0.2 0.2 1.4
Other non-interest income(d) 1.2 1.2 7.4
Expenses
Operating expenses 1.7 1.7 10.3
Bad and doubtful debts 0.2 0.2 1.0
Goodwill amortisation and revaluations 0.1 0.1 0.4
Profit(e)
Net profit before tax 1.4 1.5 9.1
Net profit after tax 1.0 1.1 6.6

(a) The six months to March 2004 for the ANZ Banking Group, National Australia Bank, St George Bank and Westpac Banking Corporation, and the six months to June 2004 for the Commonwealth Bank of Australia.
(b) Annualised half-yearly results.
(c) Includes revaluations.
(d) Includes National Australia Bank's profits from the sale of stakes in AMP and St George Bank, foreign exchange options trading losses and the reversal of HomeSide provisions.
(e) Before outside equity interests.

Sources: Banks' half-yearly profit statements; RBA

Table 5: Banks' Australian Commercial Property Exposures
All banks, per cent, March 2004
Type of exposure Growth
Year to March 2004
Share of total
commercial lending
Impaired assets
Share of commercial
property exposures
Office 22 10 0.1
Retail 8 7 0.1
Industrial 8 4 0.1
Residential 7 11 0.6
Tourism and leisure 5 2 1.7
Other 10 4 0.6
Total 11 37 0.4
Source: APRA
Table 6: Market Risk(a)
Per cent of shareholders' funds
Australia 0.06
Canada 0.09
France 0.11
Germany 0.40
Netherlands 0.17
Switzerland 0.30
UK 0.08
US 0.18

(a) Value at risk (VaR) calculated using a 99 per cent confidence interval and one-day holding period. Based on exposures reported by the 4, 5, 3, 4, 3, 2, 5 and 10 largest banks in Australia, Canada, France, Germany, the Netherlands, Switzerland, UK and US respectively that reported VaR in their recent financial statements.

Sources: Banks' annual reports; RBA

Table 7: Australian Banks' Ratings
August 2004
Long-Term
Credit Rating
Financial Strength
Rating
Standard & Poor's Moody's Fitch Moody's Fitch
Adelaide Bank BBB Baa2 na   C− na
AMP Bank A− A3 na   D na
Arab Bank na Baa3 BBB+   D C/D
ANZ Banking Group AA− Aa3 AA−   B B
Bank of Queensland BBB Baa3 BBB   C− B/C
BankWest A A1 na   C na
Bendigo Bank BBB na BBB+   na B/C
Commonwealth Bank of Australia AA− Aa3 AA   B A/B
ING Bank (Australia) AA− Aa2 na   na na
Macquarie Bank A A2 A+   C+ A/B
National Australia Bank AA− Aa3 AA   B B
St George Bank A A2 A+   C+ B
Suncorp-Metway A A2 A   C+ na
Westpac Banking Corporation AA− Aa3 AA−   B B
Sources: Bloomberg; Fitch; Moody's; Standard & Poor's
Table 8: Moody's Weighted-average Bank Financial Strength Index(a)
May 2004
Australia 72.5
Canada 75.0
France 71.2
Germany 46.7
Hong Kong 62.3
Japan 12.0
Malaysia 36.8
Netherlands 84.2
Singapore 74.7
UK 83.3
US 75.0

(a) Constructed according to a numerical scale assigned to Moody's weighted-average bank ratings by country. Zero and 100 indicate lowest and highest possible average ratings, respectively.

Sources: IMF; Moody's

Table 9: Asset Class Returns
Per cent to end June 2004
1 year 3 years 7 years
Australian shares 22 4 7
International shares
(foreign currency risk unhedged)
19 −9 4
International shares
(foreign currency risk hedged)
20 −3 3
Australian listed property 17 15 12
Australian bonds 2 6 6
International bonds
(foreign currency risk hedged)
3 8 8
Cash 5 5 5
Source: InTech Financial Services
Table 10: Superannuation Funds: Manner of Investment and Asset Allocation
Per cent of total, June 2002
DIY funds(a) All funds
Manner of investment
Directly invested 92 33
Held with investment managers 7 37
Placed with life offices 1 30
Asset allocation
Domestic shares and trusts 59 44
Land and buildings 10 6
Cash, term deposits and interest-bearing securities 24 28
Assets overseas 3 19
Other 4 3

(a) Includes only ATO-regulated funds, which comprise around 97 per cent of total DIY fund assets.

Sources: APRA; ATO

Table B1: Dutch Banking Sector
€ billion, unless otherwise indicated
1998 1999 2000 2001 2002 2003
Revenue 31.8 38.3 45.1 44.8 44.3 45.8
Provisioning expenses 2.6 2.1 1.8 3.6 5.1 3.6
Operating profit before tax 6.7 10.1 12.1 9.5 8.1 11.4
Return on equity (per cent)(a) 14.3 17.8 17.3 15.2 11.6 15.3

(a) Before tax and outside equity interests.

Source: DNB

Table 1: Australian Entities' RMBS Issuance
2000-August 2004, A$ billion
Domestic Offshore Total
Major banks 4 20 23
Regional banks 19 20 39
Credit unions and building societies 7 1 8
Mortgage originators 36 49 85
Total 66 90 155
Average issue size 0.4 1.4 0.7
Average spread (basis points)(a) 33 28 30

(a) Spreads are weighted averages of spreads above bank bill rates for the senior tranches of prime RMBS. Offshore spreads include the cost of hedging into Australian dollars.

Source: RBA

Table 1: Australian Hedge Funds by Type
Funds under management, 30 June 2004
$m Per cent of total classified
Funds of hedge funds 6,595 62.6
Long/short 2,115 20.1
Market neutral 518 4.9
Arbitrage 459 4.4
Managed futures 374 3.6
Global macro 341 3.2
Multi-strategy 65 0.6
Event driven 60 0.6
Total classified 10,528 100.0
Not classified by fund type 4,865  
Total 15,393  
Source: InvestorInfo
Table 2: Performance of Australian Hedge Funds and Asset-class Benchmarks
Per cent(a)
12 months to: 3 year
annualised
30 June
2002
30 June
2003
30 June
2004
Australian hedge funds 9.2 11.2 12.2 10.8
– Funds of hedge funds 5.6 7.8 7.9 6.7
– Single-manager hedge funds 12.6 15.0 16.5 14.6
ASX 200 Accumulation Index −4.7 −1.7 21.6 4.4
US S&P 500 Total Return Index (US$) −18.0 0.3 19.1 −0.7
MSCI World Total Return Index (local currency) −17.8 −5.4 21.1 −2.0
UBS Australian Composite Bond Index 6.2 9.8 2.3 6.1
UBS Australian Bank Bill Index 4.7 5.0 5.3 5.0
CSFB/Tremont Hedge Fund Index (global) 3.6 9.8 10.1 7.8

(a) Hedge fund returns are net of fees.

Sources: Bloomberg; InvestorInfo

Table 3: Performance of Australian Hedge Funds by Type
Year to 30 June 2004, per cent(a)
Hedge fund type Number of funds Lowest Highest Average
Long/short 17 −15.7 141.7 25.4
Multi-strategy 3 10.0 25.3 16.2
Managed futures 6 0.7 47.9 15.0
Global macro 6 −1.1 22.8 10.0
Event driven 2 8.3 8.5 8.4
Funds of hedge funds 40 −3.3 19.2 7.9
Market neutral 5 −5.7 9.9 3.9
Arbitrage 2 2.6 5.1 3.8

(a) Hedge fund returns are net of fees.

Source: InvestorInfo