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Financial stability 2003

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The Real-economic development

Financial stability analysis

The financial sector
Financial groups
The Danish banking institutions
Sensitivity analysis and stress-testing of Danish banking institutions
The mortgage-credit institutes
The pension companies

The corporate sector and the households
Corporate sector

Financial markets
Market trends
Assessment of stock prices
Market impacts on the financial institutions

Issues related to financial stability

Pension companies
Pension schemes and pension companies
Pension companies' risks, framework and transparency

Cross-border groups

The capital structure of banking institutions

CLS and payment system stability
The significance of CLS to financial stability
Stress-testing of the Danish settlement structure

Glossary of financial terms



  1. House prices and number of sales, 1996-2003
  2. Return on equity after tax for the largest Nordic financial groups, 1998-2002
  3. Ratings of selected Nordic groups and European banking institutions, beginning of March 2002 and beginning of March 2003
  4. The banking institutions' operating income over operating expenses, 1995-2002
  5. The banking institutions' solvency and core capital ratios, 1997-2002
  6. Growth in lending and losses and provisions as a ratio og loans and guarantees, all banking institutions in categories 1-3, 1980-2002
  7. The banking institutions' losses and provisions as a ratio og loans and guarantees, 1995-2002
  8. The banking institutions' average deposit and lending margins, banking institutions in categories 1 and 2, 1998-Q4 2002
  9. Growth in lending to corporate entities for categories of banking institutions, 1998-2002
  10. The banking institutions' net fee and commission in-come as a ration of total net interest and fee income, all banking institutions in categories 1-3, 1980-2002
  11. The banking institutions' deposit surplus and net debt to other credit institutions, all banking institutions in, categories 1-3, 1980-2002
  12. The banking institutions' net debt to other credit institutions and issued bonds by time to maturity, 1997-2002
  13. Number of banking institutions with a deficit on an increase in losses on loans and guarantees, 2001 and 2002
  14. Number of banking institutions with a solvency ratio below 8 and on an increase in losses on loans and guarantees, 2001 and 2002
  15. Mortgage-credit institutes' buffer against losses, 1990-2002          
  16. Development in the pension companies' investment asset structure, 1996-2002
  17. The pension companies' financial buffers as a ratio of life-insurance provisions, 1996-2002
  18. Incidence of compulsory liquidations in the corporate sector, 1995-2003
  19. Sector breakdown of the banking institutions' lending to the corporate sector, 2000-02, year-end
  20. Sector breakdown of the banking institutions' loss ratio, 2000-02
  21. Return on assets for the 10 per cent least profitable companies in various sectors, 1995-2002
  22. Solvency of the 10 per cent least solvent companies in various sectors, 1995-2002
  23. Failure rate of the weakest companies in various sectors, 1995-2002
  24. Dispersion of failure rates, 1995-2002
  25. Share of bank debt in 2002 broken down by failure rate
  26. Operating results of full-time farms and pork prices, 1995-2003
  27. Index of cash prices for agricultural properties exceeding 30 ha and consumer-price index, 1971-2002
  28. Registration of late payment incidence and arrears ratio, 1992-2003
  29. Growth in lending by banking institutions and mortgage-credit institutes, 1995-2002
  30. The debt burden of the 10 per cent most heavily-burdened households by income bracket, 1997-2001
  31. The interest burden of the 10 per cent most heavily-burdened households by income bracket, 1997-2001
  32. Stock indices in the USA, the Euro area and Denmark, and implied volatility in the USA, 2000-03
  33. Correlations between financial markets in Denmark and the USA, 1993-2003
  34. 10-year yields in the USA, Germany and Denmark and implied volatility in the Euro area, 2000-03
  35. Correlations between stock prices and 10-year yields, 1993-2003
  36. US stock index and GDP in current prices, 1929-2003
  37. Real price development after US stock index peaks
  38. Price-earnings for US stock index and 10-year US yield, 1960-2003
  39. US 10-year yield less E/P (Fed model), 1980-2003
  40. Example of Tobin's q for the USA, 1900-2003
  41. Trading volume and price development on the Copenhagen Stock Exchange, 2001-03
  42. Number of companies listed on the Copenhagen Stock Exchange, 1997-2002
  43. Mergers and acquisitions globally and in Denmark, 1997-2002
  44. Development in the total balance sheets of life- insurance companies and pension funds, 1992-2002, and total pension assets
  45. Equity reserves and bonus reserves in life-insurance companies and pension funds, 1992-2002
  46. Maximum technical interest rate and yield to maturity on a 10-year government bond after pension-return tax/real-interest-rate tax, 1988-2003
  47. The five largest credit institutions' share of the total assets, 2001
  48. Average costs of various types of financing and return on equity in 2002
  49. Return on equity and external financing ratio in the period 1996-2002
  50. Settlements of Danish kroner during the settlement day
  51. Access to current-account overdraft and size of settlement pay-ins
  52. Sensitivity analysis – CLS
  53. Sensitivity analysis – the Sumclearing (retail payments)
  54. Sensitivity analysis – periodical payments
  55. Sensitivity analysis – settlement of securities transactions in VP



  1. Sensitivity test of the banking institutions' ordinary operating result, 2001 and 2002
  2. Securities portfolios of financial institutions
  3. Simplified balance-sheet set-up for pension companies
  4. Mergers and acquisitions among financial enterprises in the EU and the Nordic region, 1997-2002
  5. The banking institutions' relative balance-sheet structure in relative terms at year-end 2002



  1. The smallest banking institutions
  2. Sensitivity analysis
  3. New company accounts act
  4. Data and method
  5. Model for quantification of failure rates
  6. Interest-rate terms in pension companies
  7. Pension companies' risks
  8. Calculated risk scenarios
  9. Group risks
  10. Banking institutions included in the analysis
  11. The principles of CLS settlement
  12. CLS settlement cycle, CET
  13. The automatic collateralisation agreement
  14. Application of the extended automatic collateralisation agreement
  15. Assumptions in the stress tests

The small picture on the cover shows a section of the Århus City Hall Tower, chosen as the motif for the first coin in a series of 7-10 thematic coins that are issued over a number of years.

Danmarks Nationalbank
Havnegade 5
DK-1093  Copenhagen K
Telephone: +45 33 63 63 63
Telefax: +45 33 63 71 15
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Text may be copied from this publication provided that Danmarks Nationalbank is specifically stated as the source. Changes to or misrepresentation of the content are not permitted.

Please direct any enquiries concerning Financial stability to Danmarks Nationalbank, Financial Markets, by e-mail:

Explanation of symbols:
-    Magnitude nil
0   Less than one half of unit employed
·    Category not applicable
…  Numbers not available

Details may not add due to rounding.This publication is based on information available up to 1 May 2003.

Print:    Scanprint as, Viby J
ISSN:    1602-057X
             1602-0588 (online)

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