Financial Stability Report - Sveriges...
31
Financial Stability Report CHART SUPPLEMENT S V E R I G E S R I K S B A N K
Transcript of Financial Stability Report - Sveriges...
Finansiell stabilitet, diagrambilaga 2010-06-01 – 1
Financial Stability Report
CHART SUPPLEMENT
S V E R I G E S R I K S B A N K
Financial stability, chart supplement 2011-05-31 – Page 1
Chart 1:1. Central banks balance sheets......................................................................................................................................................................................................... 5 Chart 1:2. Federal Reserve balance sheet ....................................................................................................................................................................................................... 5 Chart 1:3. Govermnet support from the Riksbank and Swedish National Debt Office to financial institutions on the Swedish market ........................................................ 5 Chart 1.4. ECB outstanding loans ................................................................................................................................................................................................................... 5 Chart 1:5. Swedish stress index ...................................................................................................................................................................................................................... 6 Chart 1:6. International stress index ............................................................................................................................................................................................................... 6 Chart 1:7. Ten-year government bond yields in various countries................................................................................................................................................................. 6 Chart 1:8. The difference between interest rates on ten year government bonds and the German government bond with the same maturity .......................................... 6 Chart 1:9. Stock market developments .......................................................................................................................................................................................................... 7 Chart 1:10. Implied stock market volatility ..................................................................................................................................................................................................... 7 Chart 1.11. P/E ratios ...................................................................................................................................................................................................................................... 7 Chart 1:12. Risk premiums on the interbank market, 3 months ..................................................................................................................................................................... 7 Chart 1:13. Premia in the CDS indices ............................................................................................................................................................................................................ 8 Chart 1:14. Actual global default rate ............................................................................................................................................................................................................ 8 Chart 1:15 Difference between yields on covered bonds and government bonds or interest rate swaps yields with five year maturity ...................................................... 8 Chart 1:16. Issuance of Swedish covered bonds ............................................................................................................................................................................................ 8 Chart 1:17. Indicative breakdown of the Swedish riskpremium, 3 months .................................................................................................................................................... 9 Chart 1:18. EUR/SEK cross currency basis spread, five years .......................................................................................................................................................................... 9 Chart 1:19 Extra cost for borrowing of SEK abroad compared to domestic loan costs.................................................................................................................................. 9 Chart 1:20. Difference between the short-term interbank rate and the Riksbank’s repo rate ........................................................................................................................ 9 Chart 1:21. Credit spreads for US corporate bonds ..................................................................................................................................................................................... 10 Chart 1.22. Credit spreads for European corporate bonds ........................................................................................................................................................................... 10 Chart 1:23. Outstanding volume of commercial paper issued in the United States..................................................................................................................................... 10 Chart 1.24. Outstanding volumes of Euro Commercial Paper ..................................................................................................................................................................... 10 Chart 1:25. Issuance of corporate bonds in the American market ............................................................................................................................................................... 11 Chart 1.26. Issue volumes on the US market for securitised assets ............................................................................................................................................................. 11 Chart 2:1. Lending of the Swedish banking groups by borrower category, March 2011 ............................................................................................................................. 13 Chart 2:2. Lending of the Swedish banking groups by geographical area, March 2011 .............................................................................................................................. 13 Chart 2:3. Prices for single-family dwellings and tenant-owned apartments ............................................................................................................................................... 13
Financial stability, chart supplement 2011-05-31 – Page 2
Chart 2:4. Household borrowing .................................................................................................................................................................................................................. 13 Chart 2:5. Households’ new loans broken down by fixed interest period .................................................................................................................................................... 14 Chart 2:6. Lending to households and three-month mortgage rates .......................................................................................................................................................... 14 Chart 2:7. Household debt and post-tax interest expenditure ..................................................................................................................................................................... 14 Chart 2:8. Households’ gross debts, assets and saving ................................................................................................................................................................................ 14 Chart 2:9. Corporate borrowing from credit institutions and fixed gross investment .................................................................................................................................. 15 Chart 2:10. Cororate credit gap .................................................................................................................................................................................................................... 15 Chart 2:11. Interest coverage ratio in Nordic listed companies ................................................................................................................................................................... 15 Chart 2:12. The number of bankruptcies broken down by industry ............................................................................................................................................................. 15 Chart 2:13. Transaction volumes on the Swedish commercial property market .......................................................................................................................................... 16 Chart 2:14. Average yield levels for modern office premises in city centres ................................................................................................................................................ 16 Chart 2:15. Real house prices ....................................................................................................................................................................................................................... 16 Chart 2:16. Expected default frequency (EDF) .............................................................................................................................................................................................. 16 Chart 2:17. GDP ............................................................................................................................................................................................................................................ 17 Chart:2:18. Real exchange rates ................................................................................................................................................................................................................... 17 Chart 2:19. Households' and companies' debts in relation to GDP ............................................................................................................................................................. 17 Chart 2:20. Late payments ............................................................................................................................................................................................................................ 17 Chart 3:1. Bank assets in relation to GDP 2009 ............................................................................................................................................................................................ 19 Chart 3:2. The total assets of the major Swedish banks, December 2010 .................................................................................................................................................... 19 Chart 3:3. Breakdown of the major Swedish banks’ profits before loan losses, 2010 .................................................................................................................................. 19 Chart 3:4. Profits before loan losses and loan losses in the major Swedish banks ...................................................................................................................................... 19 Chart 3:5. The major swedish banks' revenues............................................................................................................................................................................................. 20 Chart 3:6. The major Swedish banks’ margins on new mortgages in Sweden ............................................................................................................................................. 20 Chart 3:7. The major Swedish banks’ profitability ........................................................................................................................................................................................ 20 Chart 3:8. Swedish major banks' lending to the public in the Baltic countries ........................................................................................................................................... 20 Chart 3:9. Market shares of lending in the Baltic countries .......................................................................................................................................................................... 21 Chart 3:10. The Swedish banks' loan losses ................................................................................................................................................................................................. 21 Chart 3:11. The major Swedish banks’ loan losses ....................................................................................................................................................................................... 21 Chart 3:12. Core Tier 1 capital ratios of Swedish and foreign banks, according to Basel II .......................................................................................................................... 21 Chart 3:13. Core Tier 1 capital ratios according to Basel II ........................................................................................................................................................................... 22
Financial stability, chart supplement 2011-05-31 – Page 3
Chart 3:14. Risk weighting on mortgages according to Basel II ................................................................................................................................................................... 22 Chart 3:15. The major Swedish banks' funding, March 2011 ........................................................................................................................................................................ 22 Chart 3:16. Government-guaranteed borrowing and the Riksbank’s lending to the major Swedish banks ................................................................................................. 22 Chart 3:17. The market funding of the major Swedish banks via Swedish parent and subsidiary companies ............................................................................................. 23 Chart 3:18. The major Swedish banks’ lending funded by foreign currency securities issued in Sweden .................................................................................................... 23 Chart 3:19. Holders of Swedish covered bonds ........................................................................................................................................................................................... 23 Chart 3:20. Funding in US dollars for banks in the euro area and the Fed’s lending to other central banks ............................................................................................... 23 Chart 3:21. Percentage of funding through securities with original time to maturity of less than one year in the Swedish banking system, by currency ......................... 24 Chart 3:22 The major banks’ funding from deposits from the public and securities issued, by currency, per December 2010 ................................................................... 24 Chart 3:23. The major Swedish banks’ assets in USD per December 2010 ................................................................................................................................................... 24 Chart 3:24 Countercyclical capital buffers in the Nordic countries .............................................................................................................................................................. 24 Chart 3:25 Countercyclical capital buffers in the Baltic countries ................................................................................................................................................................ 25 Chart 3:26 Countercyclical capital buffers for Swedish banks ...................................................................................................................................................................... 25 Chart 3:27 Countercyclical capital buffers without ceiling in the Nordic countries ..................................................................................................................................... 25 Chart 3:28 Countercyclical capital buffers without ceiling in the Baltic countries ....................................................................................................................................... 25 Chart 4:1. Earnings before loan losses and loan losses in the major Swedish banks, March 2011 ............................................................................................................... 27 Chart 4:2. Loan loss levels per bank and year in the main scenario ............................................................................................................................................................. 27 Chart 4:3. Distribution of loan losses per region in the period 2010–2013 in the main scenario ................................................................................................................ 27 Chart 4:4. Tier 1 capital ratio of the major Swedish bank with the lowest ratio after another Swedish major bank has defaulted on payments ....................................... 27 Chart 4:5. GDP for Sweden in the stress test and inthe main scenario ........................................................................................................................................................ 28 Chart 4:6. Expected default frequency (EDF) for the Swedish non-financial companies in the stress test and in the main scenario ........................................................... 28 Chart 4:7. The major Swedish banks’ core Tier 1 capital ratios according to Basel II and Basel III, initially and in the stress test ............................................................... 28 Chart 4:8. Factors that contribute to changes in the banks’ core Tier 1 capital ratios according to Basel III in the stress test .................................................................... 28 Chart 4:9. The Riksbank’s structural liquidity measurement for the major Swedish banks compared with the average for a selection of European banks ....................... 29 Chart 4:10. Survival period for the major Swedish banks in the stressed scenario, compared with the average for a selection of European banks .................................. 29
Financial stability, chart supplement 2011-05-31 – Page 4
Financial stability, chart supplement 2011-05-31 – Page 5
Chart 1:1. Central banks balance sheets
Per cent of GDP
0
5
10
15
20
25
30
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
ECB Bank of England Federal Reserve The Riksbank Sources: Respective central bank
Chart 1:2. Federal Reserve balance sheet
USD, billions
0
500
1 000
1 500
2 000
2 500
3 000
Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11
Total Assets Securities Held Outright All Liquidity Facilities Source: Federal Reserve
Chart 1:3. Govermnet support from the Riksbank and Swedish National Debt Office to financial institutions on the Swedish market
SEK, billion
0
100
200
300
400
500
600
700
800
Issuance in SEK guaranteed by the Swedish National Debt Office
Issuance in foreign currency guaranteed by the Swedish National Debt Office
The Riksbank's SEK lending
The Riksbank's USD lending (in SEK) Sources: The Riksbank and Swedish National Debt Office
Chart 1.4. ECB outstanding loans
EUR billions
0
100
200
300
400
500
600
700
800
900
1000
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11
Greece, Ireland, Portugal, Spain Other countries Sources: ECB and the respective central banks
Financial stability, chart supplement 2011-05-31 – Page 6
Chart 1:5. Swedish stress index
-2
0
2
4
6
8
10
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
TED spread Corporate bond spread Stock market volatility
Foreign exchange volatility Stress index Sources: Reuters Ecowin, Bloomberg and the Riksbank
Chart 1:6. International stress index
-2
0
2
4
6
8
10
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
TED spread Corporate bond spread Stock market volatility
Foreign exchange volatility Stress index Sources: Reuters Ecowin, Bloomberg and the Riksbank
Chart 1:7. Ten-year government bond yields in various countries
Per cent
1
2
3
4
5
6
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
Germany Sweden UK United States Source: Reuters EcoWin
Chart 1:8. The difference between interest rates on ten year government bonds and the German government bond with the same maturity
Basis points
0
200
400
600
800
1 000
1 200
1 400
1 600
Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
Grekland Irland Portugal Spanien Source: Reuters EcoWin
Financial stability, chart supplement 2011-05-31 – Page 7
Chart 1:9. Stock market developments
Index, 28 December 2007 =100
0
20
40
60
80
100
120
Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
Sweden - OMXS30 USA - S&P 500 Europe - STOXX Emerging markets - MSCI EM Sources: Reuters EcoWin
Chart 1:10. Implied stock market volatility
Per cent, 10 day moving average
0
10
20
30
40
50
60
70
96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
Sverige - OMX Europa - STOXX USA - S&P 500 Historiskt snitt, OMX Note. Historical average refers to the period November 1999 to November 2011.
Source: Bloomberg
Chart 1.11. P/E ratios
0
5
10
15
20
25
30
35
40
45
US - S&P 500 Europe - STOXX Sweden - OMXS30 Historical average, OMX30
Note. Historical average refers to the period November 1999 to November 2011.
Source: Reuters EcoWin
Chart 1:12. Risk premiums on the interbank market, 3 months
Basis points
0
50
100
150
200
250
300
350
400
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
USA Euro area UK Sweden Soure: Reuters EcoWin
Financial stability, chart supplement 2011-05-31 – Page 8
Chart 1:13. Premia in the CDS indices
Basis points
0
50
100
150
200
250
300
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
North America - CDX Europe - iTraxx Sources: Reuters EcoWin and Bloomberg
Chart 1:14. Actual global default rate
Per cent
0
2
4
6
8
10
12
14
70 73 76 79 82 85 88 91 94 97 00 03 06 09 12
Note. The 'shows the proportion of companies classified as Ba/BB or lower by Moody's/Standard & Poor's to default, as the majority of total defaults take place among companies with this classification. The dot refers to the forecast made by Moody's in May 2009.
Source: Reuters EcoWin and Moody's
Chart 1:15 Difference between yields on covered bonds and government bonds or interest rate swaps yields with five year maturity
Basis points
-50
0
50
100
150
200
Difference between covered bonds and interest swaps Difference between covered bonds and interest swaps
Note: The covered bond is a mortgage bond issued by Stadshypotek. The covered bond, the government bond and the interest rate swap have a constant maturity of five years.
Sources: Reuters EcoWin and the Riksbank
Chart 1:16. Issuance of Swedish covered bonds
Billion SEK
0
100
200
300
400
500
600
2006 2007 2008 2009 2010 2011 Q1
SEK EUR Other currencies Source: ASCB
Financial stability, chart supplement 2011-05-31 – Page 9
Chart 1:17. Indicative breakdown of the Swedish riskpremium, 3 months
Basis points
0
20
40
60
80
100
120
140
160
Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11
Credi risk premium Liquidity risk premium Source: The Riksbank
Chart 1:18. EUR/SEK cross currency basis spread, five years
Basis points
-40
-30
-20
-10
0
10
20
30
40
50
60
70
Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Note: The cross currency basis spread gives an indication of the cost of swapping a loan in euros into Swedish kronor
Source: Bloomberg
Chart 1:19 Extra cost for borrowing of SEK abroad compared to domestic loan costs
Basis points
-250
-200
-150
-100
-50
0
50
100
150
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Source: Bloomberg
Chart 1:20. Difference between the short-term interbank rate and the Riksbank’s repo rate
Basis points
0
10
20
30
40
50
60
70
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Source: Reuters Ecowin
Financial stability, chart supplement 2011-05-31 – Page 10
Chart 1:21. Credit spreads for US corporate bonds
Basis points
-300
200
700
1200
1700
2200
0
200
400
600
800
1000
Aaa (left scale) Bbb (left scale) High yield (right scale) Note. Merrill Lynch has defined the high yield bonds to be included in the index. High-yield is classified by Moody's/Standard & Poor's as Ba/BB or lower.
Source: Reuters EcoWin
Chart 1.22. Credit spreads for European corporate bonds
Basis points
0
500
1000
1500
2000
2500
0
100
200
300
400
500
600
Aaa (left scale) Bbb (left scale) High yieald (right scale) Source: Reuters EcoWin
Chart 1:23. Outstanding volume of commercial paper issued in the United States
Billion USD
0
500
1000
1500
2000
2500
Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11
Asset-backet commercial paper (ABCP) Financial commercial paper Non-financial commercial paper
Source: Reuters EcoWin
Chart 1.24. Outstanding volumes of Euro Commercial Paper
Billion USD
0
100
200
300
400
500
600
700
800
900
1000
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Source: Euroclear
Financial stability, chart supplement 2011-05-31 – Page 11
Chart 1:25. Issuance of corporate bonds in the American market
Billion USD
0
200
400
600
800
1000
1200
96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
Investment grade corporate bonds High-yield corporate bonds Note: The issue volume for 2011 is only calculated until May 2011.
Source: SIFMA
Chart 1.26. Issue volumes on the US market for securitised assets
Billion USD
0
500
1000
1500
2000
2500
3000
3500
4000
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011Q1
MBS - Government-sponsored mortgage agencies MBS - Non-government companies ABS CDO Note: Issuance for CDO is global.
Source: SIFMA
Financial stability, chart supplement 2011-05-31 – Page 12
Financial stability, chart supplement 2011-05-31 – Page 13
Chart 2:1. Lending of the Swedish banking groups by borrower category, March 2011
Per cent of total lending
Households 44%
Property companies
19%
Companies, excluding property
companies37%
Sources: Bank reports and the Riksbank
Chart 2:2. Lending of the Swedish banking groups by geographical area, March 2011
Per cent of total lending
Sweden54%Other Nordic
countries35%
The Baltic countries
4%
Other countries7%
Sources: Bank reports and the Riksbank
Chart 2:3. Prices for single-family dwellings and tenant-owned apartments
Index, January 2008 = 100
60
70
80
90
100
110
120
130
05 06 07 08 09 10 11 12Mäklarstatistik (tenant-owned apartment) HOX (tenant-owned apartment)
Mäklarstatistik (single-family dwellings) HOX (single-family dwellings) Note. All indices are for Sweden. HOX is the hedonic price index from Valueguard. Mäklarstatistik (tenant-owned apartment) is an index of prices per square metre, while Mäklarstatistik (detached house) is an index of the C/I ratio.
Sources: Statistics Sweden, Mäklarstatistik and Valueguard AB
Chart 2:4. Household borrowing
Monthly change on an annual rate and three-month moving average, percentage
0
2
4
6
8
10
12
14
16
18
20
02 03 04 05 06 07 08 09 10 11
Change in borrowing Change in borrowing, three-month moving average Note. Seasonally-adjusted data.
Source: The Riksbank
Financial stability, chart supplement 2011-05-31 – Page 14
Chart 2:5. Households’ new loans broken down by fixed interest period
Per cent
0%
20%
40%
60%
80%
100%
96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
Variable rate Fixed rate < 5 years Fixed rate > 5 years Source: The Riksbank
Chart 2:6. Lending to households and three-month mortgage rates
Annual percentage change and per cent
7
8
9
10
11
12
13
14
0 1 2 3 4 5 6 7
Utl
ånin
g
Bolåneränta
2002-12 till 2008-08 2008-09 till 2011-03 Source: The Riksbank
Chart 2:7. Household debt and post-tax interest expenditure
Per cent of disposable income
0
2
4
6
8
10
12
14
16
18
20
22
0
20
40
60
80
100
120
140
160
180
200
220
82 85 88 91 94 97 00 03 06 09 12 15
Debt ratio (left axis) Interest ratio (right axis) Note. The forecast for household debts and household interest expenditure is produced using a stationary VAR model in which the change in the disposable income and the three-month interest rate for a treasury bill are used as exogenous variables. The forecast was produced under the assumption that the long-term rate of growth of household debt is five per cent per year.
Sources: The National Board of Housing, Building and Planning and Statistics Sweden
Chart 2:8. Households’ gross debts, assets and saving
Per cent
-10
-5
0
5
10
15
20
0
100
200
300
400
500
600
dec-
70
dec-
75
dec-
80
dec-
85
dec-
90
dec-
95
dec-
00
dec-
05
dec-
10
DebtTotal wealth, excluding collective insuranceFinancial wealth, excluding housing and collective insuranceFinancial balance, excluding collective and real saving (right axis)
Sources: Statistics Sweden and the Riksbank
Financial stability, chart supplement 2011-05-31 – Page 15
Chart 2:9. Corporate borrowing from credit institutions and fixed gross investment
Annual percentage change
-20
-15
-10
-5
0
5
10
15
20
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14
Corporate borrowing from credit institutions Forecast borrowing, FSR 2011:01Fixed gross investment Forecast for investments, MPR February 2011Forecast for investments, MPR September 2010
Sources: Statistics Sweden and the Riksbank
Chart 2:10. Cororate credit gap
Per cent
-20
-15
-10
-5
0
5
10
15
99 00 01 02 03 04 05 06 07 08 09 10 11
Note. The credit gap is defined as the distance from the underlying trend in in corporate debt in relation to GDP. Under debts are included short-term and long-term loans (excluding inter-company loans), certificates and bonds.
Sources: Statistics Sweden and the Riksbank
Chart 2:11. Interest coverage ratio in Nordic listed companies
Ratio
-1
0
1
2
3
4
5
6
7
8
03 04 05 06 07 08 09 10
Sweden Denmark Norway Finland Note. The interest coverage ratio is defined as operating profit/loss plus financial income in relation to financial costs.
Sources: Bloomberg and the Riksbank
Chart 2:12. The number of bankruptcies broken down by industry
Twelve-month moving average
0
20
40
60
80
100
120
140
160
95 97 99 01 03 05 07 09 11
Manufacturing Construction IT-telecomTransport Property management ServicesWholesale and retail trade Hotel and restaurants
Source: Statistics Sweden
Financial stability, chart supplement 2011-05-31 – Page 16
Chart 2:13. Transaction volumes on the Swedish commercial property market
SEK billion
0
20
40
60
80
100
120
140
160
99 00 01 02 03 04 05 06 07 08 09 10
Swedish investors Foreign investors Source: Savills
Chart 2:14. Average yield levels for modern office premises in city centres
Per cent
0
2
4
6
8
10
12
14
16
86 88 90 92 94 96 98 00 02 04 06 08 10 12
Stockholm Göteborg Malmö Five-year government bond Sources: Newsec and the Riksbank
Chart 2:15. Real house prices
Index, March 2004 = 100
90
100
110
120
130
140
150
160
04 05 06 07 08 09 10 11
Sweden Denmark Norway Finland Note. Real house prices are defined as nominal prices deflated by the CPI.
Sources: Bank for International Settlement, Bank of Finland, Reuters EcoWin, Statistics Sweden and the Riksbank
Chart 2:16. Expected default frequency (EDF)
Per cent
0,0
0,5
1,0
1,5
2,0
2,5
3,0
05 06 07 08 09 10 11 12
Sweden Denmark Norway Finland Source: Moody's KMV
Financial stability, chart supplement 2011-05-31 – Page 17
Chart 2:17. GDP
Annual percentage change
-25
-20
-15
-10
-5
0
5
10
15
99 00 01 02 03 04 05 06 07 08 09 10 11 12
Estonia Latvia Lithuania Note. The GDP figures for the first quarter of 2011 are preliminary.
Source: Reuters EcoWin
Chart:2:18. Real exchange rates
Index, 2000 = 100
80
90
100
110
120
130
140
01 02 03 04 05 06 07 08 09 10 11 12
Estonia Latvia Lithuania Note. The exchange rates are corrected for the price level (CPI). The scale is inverted so that lower values indicate weaker real exchange rates.
Source: Bank for International Settlements
Chart 2:19. Households' and companies' debts in relation to GDP
Per cent
0
20
40
60
80
100
120
140
95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
Estonia Latvia Lithuania Sources: The national central banks and Reuters EcoWin
Chart 2:20. Late payments
Per cent of lending
0
2
4
6
8
10
12
14
16
18
20
01 02 03 04 05 06 07 08 09 10 11 12Estonia (more than 60 days) Latvia (more than 90 days)Lithuania (more than 60 days)
Note. The definition of late payments may differ from country to country and comparisons between countries should therefore only be made with caution. In Lithuania, this refers to impaired loans, which implies that no payment default has occurred as yet. The number of late payments is thus lower than appears in the chart.
Sources: Eesti Pank, Financial and Capital Market Commission och Lietuvos Bankas
Financial stability, chart supplement 2011-05-31 – Page 18
Financial stability, chart supplement 2011-05-31 – Page 19
Chart 3:1. Bank assets in relation to GDP 2009
Per cent
0% 100% 200% 300% 400% 500% 600% 700%
EstoniaSlovakia
Czech RepublicLithuaniaBulgaria
PolandLatvia
HungaryFinland
SloveniaItaly
GreeceBelgiumAverage
LuxembourgPortugalDenmark
AustriaIrelandFrance
GermanySpain
NetherlandsSweden
United KingdomSwitzerland*
De svenska storbankernas utländska verksamhetThe major Swedish banks´ foreign operations
Note. In banking assets are included all of the assets of the national banking groups, that is both foreign and domestic assets. This means, for example, that Nordea’s assets abroad form a large part of Sweden’s banking assets. UBS and Crédit Suisse contribute to Switzerland’s relatively large banking sector in the same way.
Sources: ECB, The Swiss National Bank and the Riksbank
Chart 3:2. The total assets of the major Swedish banks, December 2010
SEK billion
0
2 000
4 000
6 000
8 000
10 000
12 000
Handelsbanken Nordea SEB Swedbank Total
Sweden Abroad Sources: Bank reports and the Riksbank
Chart 3:3. Breakdown of the major Swedish banks’ profits before loan losses, 2010
Per cent
Sweden38%
Other Nordic countries
38%
Baltic countries7%
Other countries16%
Sources: Bank reports and the Riksbank
Chart 3:4. Profits before loan losses and loan losses in the major Swedish banks
Totalled over four quarters, SEK billion, fixed prices, March 2011
-20
0
20
40
60
80
100
120
Profit before loan losses Loan losses Sources: Bank reports and the Riksbank
Financial stability, chart supplement 2011-05-31 – Page 20
Chart 3:5. The major swedish banks' revenues
Rolling four quarters, SEK billion
0
50
100
150
200
250
08:3 08:4 09:1 09:2 09:3 09:4 10:1 10:2 10:3 10:4 11:1
Other income Net result of financial items Net commission income Net interest income Sources: Bank reports and the Riksbank
Chart 3:6. The major Swedish banks’ margins on new mortgages in Sweden
Per cent
0,0
0,2
0,4
0,6
0,8
1,0
1,2
1,4
02 03 04 05 06 07 08 09 10 11 12
Margin lending rate, 90-day rolling average Average margin lending rate Anm. Med marginal avses skillnaden mellan utlåningsränta och bankens finansieringskostnad.
Sources: Bank reports and the Riksbank
Chart 3:7. The major Swedish banks’ profitability
Four-quarter moving average, per cent
0
5
10
15
20
25
04:4 05:4 06:4 07:4 08:4 09:4 10:4 11:4
Return on equity Average return on equity Sources: Bank reports and the Riksbank
Chart 3:8. Swedish major banks' lending to the public in the Baltic countries
EUR billion and per cent
-15
-10
-5
0
5
10
15
20
25
30
0
5
10
15
20
25
30
35
40
45
07:1 07:2 07:3 07:4 08:1 08:2 08:3 08:4 09:1 09:2 09:3 09:4 10:1 10:2 10:3 10:4 11:1
Lending in EUR billion (left axis) Annual percentage change (right axis) Sources: Bank reports and the Riksbank
Financial stability, chart supplement 2011-05-31 – Page 21
Chart 3:9. Market shares of lending in the Baltic countries
Per cent
43% 43%
24% 25%20% 21%
23% 23%
14% 15% 28% 29%
17% 14%
14% 13%11% 10%
17% 20%
48% 47% 42% 40%
0%
20%
40%
60%
80%
100%
2011 kv 1 2010 kv 1 2011 kv 1 2010 kv 1 2011 kv 1 2010 kv 1
Estland Lettland Litauen
Other Nordea SEB Swedbank
Estonia Latvia Lithuania
Sources: Bank reports and the Riksbank
Chart 3:10. The Swedish banks' loan losses
Percentage of lending at the start of the respective quarters
-0,6
-0,4
-0,2
0,0
0,2
0,4
0,6
0,8
1,0
1,2
08:1 08:2 08:3 08:4 09:1 09:2 09:3 09:4 10:1 10:2 10:3 10:4 11:1
Recoveries Reversals Write-offsSpecific provisions Collective provisions Loan-loss level
Note. Annualised data.
Sources: Bank reports and the Riksbank
Chart 3:11. The major Swedish banks’ loan losses
SEK billion
-4
-2
0
2
4
6
8
10
12
14
16
08:3 08:4 09:1 09:2 09:3 09:4 10:1 10:2 10:3 10:4 11:1
Other countries The Baltic countries Other Nordic countries Sweden Sources: Bank reports and the Riksbank
Chart 3:12. Core Tier 1 capital ratios of Swedish and foreign banks, according to Basel II
December 2010, per cent 0 2 4 6 8 10 12 14 16
UBSSwedbank
HandelsbankenCredit Suisse
SEBDexia
Standard Ch.Barclays
RBSHSBC
NordeaLloyds TSB
Danske BankCommerzbank
DnB NORBBVA
BNPErste Bank
Raiffeisen IntSantander
B. Popular EspanaDeutsche Bank
Societe Gen.UniCredito
Intesa
Sources: Bank reports and the Riksbank
Financial stability, chart supplement 2011-05-31 – Page 22
Chart 3:13. Core Tier 1 capital ratios according to Basel II
Per cent
0
2
4
6
8
10
12
14
16
Swedbank Nordea SEB Handelsbanken
08:4 09:4 10:4 11:1 Source: Bank reports and the Riksbank
Chart 3:14. Risk weighting on mortgages according to Basel II
Per cent
0
10
20
30
40
50
60
Sources: National central banks and the Riksbank
Chart 3:15. The major Swedish banks' funding, March 2011
Per cent 2%
4%
15%
5%
6%
10%
11%
47%
Government-guaranteed borrowing via the Swedish National Debt OfficeInterbank, netSwedish covered bonds in SEKSwedish covered bonds in foreign currenciesForeign covered bondsUnsecured bondsCertificatesDeposits
Note. The funding of the major banks amounts to approximately SEK 7 400 billion.
Sources: Bank reports and the Riksbank
Chart 3:16. Government-guaranteed borrowing and the Riksbank’s lending to the major Swedish banks
Left axis: SEK billion, Right axis: Percentage of Sweden's GDP
0
2
4
6
8
10
12
14
16
18
20
0
100
200
300
400
500
600
700
800
900
1000
08:4 09:1 09:2 09:3 09:4 10:1 10:2 10:3 10:4 11:1Government-guaranteed borrowing via the Swedish National Debt OfficeUSD loans from the RiksbankSEK loans from the RiksbankPercentage of Sweden’s GDP (right axis)
Sources: Bank reports, Statistics Sweden and the Riksbank
Financial stability, chart supplement 2011-05-31 – Page 23
Chart 3:17. The market funding of the major Swedish banks via Swedish parent and subsidiary companies
SEK billion
0
500
1 000
1 500
2 000
2 500
3 000
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
Foreign Currency SEK Sources: Statistics Sweden and the Riksbank
Chart 3:18. The major Swedish banks’ lending funded by foreign currency securities issued in Sweden
Percentage of the major Swedish banks’ market funding in foreign currency via Swedish parent and subsidiary companies
Swedish lending in SEK43%
Swedish lending in foreign currency
3%
Lending, euro area countries
24%
Lending, other countries
26%
Lending, Latvia and Lithuania
4%
Sources: Banks reports, Statistics Sweden and the Riksbank
Chart 3:19. Holders of Swedish covered bonds
SEK billion
0
400
800
1 200
1 600
Non-residents Banks Insurance companies Other Note. Up to the end of 2006, this relates to mortgage bonds, thereafter the outstanding mortgage bonds were gradually converted into covered bonds. SEB’s covered bonds are not included in the chart after October 2007.
Sources: Statistics Sweden and the Riksbank
Chart 3:20. Funding in US dollars for banks in the euro area and the Fed’s lending to other central banks
USD, billions
0
100
200
300
400
500
600
0
1 000
2 000
3 000
4 000
5 000
6 000
Outstanding USD debts for banks from euro area countries
Federal Reserve’s lending to other central banks via swap agreements (right scale) Sources: Bank for international settlements, Federal Reserve and the Riksbank
Financial stability, chart supplement 2011-05-31 – Page 24
Chart 3:21. Percentage of funding through securities with original time to maturity of less than one year in the Swedish banking system, by currency
Per cent
0
10
20
30
40
50
60
USD EUR SEK Note. The banks’ foreign subsidiaries are not included in the statistics
Source: The Riksbank
Chart 3:22 The major banks’ funding from deposits from the public and securities issued, by currency, per December 2010
Per cent
0%
20%
40%
60%
80%
100%
Deposits Issued securities
SEK EUR USD Other Sources: Bank reports and the Riksbank
Chart 3:23. The major Swedish banks’ assets in USD per December 2010
Billion SEK
0
100
200
300
400
500
600
Nordea SEB Handelsbanken Swedbank Summa
Financial assets Loans to the public Loans to credit institutions Sources: Bank reports and the Riksbank
Chart 3:24 Countercyclical capital buffers in the Nordic countries
Per cent
0,0
0,5
1,0
1,5
2,0
2,5
3,0
81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11
Sweden Finland Norway Denmark Sources: Reuters EcoWin and the Riksbank
Financial stability, chart supplement 2011-05-31 – Page 25
Chart 3:25 Countercyclical capital buffers in the Baltic countries
Per cent
0,0
0,5
1,0
1,5
2,0
2,5
3,0
94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
Estonia Latvia Lithuania Sources: Reuters EcoWin and the Riksbank
Chart 3:26 Countercyclical capital buffers for Swedish banks
Per cent
0,0
0,5
1,0
1,5
2,0
2,5
3,0
00 01 02 03 04 05 06 07 08 09 10 11
Swedbank SEB Handelsbanken Nordea Sources: The Riksbank and banks’ annual reports
Chart 3:27 Countercyclical capital buffers without ceiling in the Nordic countries
Percent
0
1
2
3
4
5
6
7
8
9
81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11
Sweden Finland Norway Denmark Note. ”without ceiling” means that the countercyclical buffer is given the possibility of exceeding 2.5 per cent.
Sources: Reuters EcoWin and the Riksbank
Chart 3:28 Countercyclical capital buffers without ceiling in the Baltic countries
Per cent
0
1
2
3
4
5
6
7
8
9
94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
Estonia Latvia Lithuania Note. ”without ceiling” means that the countercyclical buffer is given the possibility of exceeding 2.5 per cent.
Sources: Reuters EcoWin and the Riksbank
Financial stability, chart supplement 2011-05-31 – Page 26
Financial stability, chart supplement 2011-05-31 – Page 27
Chart 4:1. Earnings before loan losses and loan losses in the major Swedish banks, March 2011
Totalled over four quarters, SEK billion, fixed prices March 2011
-20
0
20
40
60
80
100
120
Profit before loan losses Loan lossesMain scenario loan losses FSR 2010:2 Main scenario loan losses FSR 2010:1Main scenario loan losses FSR 2009:2 Main scenario loan losses FSR 2009:1
Note. The broken lines represent the Riksbank’s main scenario according to the current and previous Financial Stability Reports. Estimates for earnings before loan losses according to the consensus estimate presented in SME Direkt, February/March 2011
Sources: Bank reports, SME Direkt and the Riksbank
Chart 4:2. Loan loss levels per bank and year in the main scenario
Per cent
-0,2
-0,1
0,0
0,1
0,2
0,3
0,4
Handelsbanken Nordea SEB Swedbank Total
2010 outcome 2011 2012 2013 Note. A negative figure means that recoveries and reversals of earlier provisions are greater than new provisions for loan losses and realised loan losses.
Source: The Riksbank
Chart 4:3. Distribution of loan losses per region in the period 2010–2013 in the main scenario
SEK billion
-2
-1
0
1
2
3
4
5
6
7
8
Sweden Denmark Finland Norway Estonia Latvia Lithuania Othercountries
Note. A negative figure means that recoveries and reversals of earlier provisions are greater than new provisions for loan losses and realised loan losses.
Source: The Riksbank
Chart 4:4. Tier 1 capital ratio of the major Swedish bank with the lowest ratio after another Swedish major bank has defaulted on payments
Per cent
0
1
2
3
4
5
6
7
8
9
00 01 02 03 04 05 06 07 08 09 10 11
Note. The major bank with the lowest Tier 1 capital ratio is not necessarily the same bank on every occasion. The Tier 1 capital ratios are calculated in accordance with Basel II and transition rules.
Source: The Riksbank
Financial stability, chart supplement 2011-05-31 – Page 28
Chart 4:5. GDP for Sweden in the stress test and inthe main scenario
SEK billions, fixed prices
0
500
1 000
1 500
2 000
2 500
3 000
3 500
4 000
1997 1999 2001 2003 2005 2007 2009 2011 2013
Main scenario Stress scenario Sources: Statistics Sweden and the Riksbank
Chart 4:6. Expected default frequency (EDF) for the Swedish non-financial companies in the stress test and in the main scenario
Per cent
0,0
0,5
1,0
1,5
2,0
2,5
00 01 02 03 04 05 06 07 08 09 10 11 12 13 14
EDF, stress scenario EDF, main scenario Sources: Moody's KMV and the Riksbank
Chart 4:7. The major Swedish banks’ core Tier 1 capital ratios according to Basel II and Basel III, initially and in the stress test
Per cent
0%
2%
4%
6%
8%
10%
12%
14%
16%
11Q1
11 12 13 11Q1
11 12 13 11Q1
11 12 13 11Q1
11 12 13
Handelsbanken Nordea SEB Swedbank Note. Solid bars represent core Tier 1 capital ratios according to Basel III, striped bars represent core Tier 1 capital ratios according to Basel II. The core Tier 1 capital ratios according to Basel II have been calculated according to the fully-implemented regulations. The core Tier 1 capital ratios according to Basel III are based on the Riksbank’s own estimates. * indicates the observed capital relation in Q1 2011.
Source: The Riksbank
Chart 4:8. Factors that contribute to changes in the banks’ core Tier 1 capital ratios according to Basel III in the stress test
Per cent
10,6%
0,099,6%
5,5% -4,9%
-1,2%
10,0%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Core Tier 1capital ratio Q 4
2010
Earnings Loan losses Change in risk-weighted assets
Core Tier 1capital ratio 2013
Note. Average for the four major banks. The ratios are based on the Riksbank’s estimates. The striped areas of the grey bars show how much lower the banks’ core Tier 1 capital ratios would have been if the banks were fully utilising their repurchase programmes at present. Source: The Riksbank
Financial stability, chart supplement 2011-05-31 – Page 29
Chart 4:9. The Riksbank’s structural liquidity measurement for the major Swedish banks compared with the average for a selection of European banks
Stable funding in relation to illiquid assets, per cent
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
SEB Handelsbanken Nordea Swedbank AverageEuropean banks
December 2009 December 2010 Note 1. The selection consists of 41 European banks with varying business models. Total assets per bank amount on average to SEK 4 500 billion.
Note 2. If the measure amounts to at least 100 per cent, this means that the bank’s funding is stable enough to be able to manage its assets, according to the assumptions made in the test.
Source: Liquidatum and the Riksbank
Chart 4:10. Survival period for the major Swedish banks in the stressed scenario, compared with the average for a selection of European banks
Number of months
0,0
0,5
1,0
1,5
2,0
2,5
Swedbank Nordea Handelsbanken SEB AverageEuropean banks
December 2009 December 2010 Note. See Notes 1 and 2 to Chart 4:9.
Sources: Liquidatum and the Riksbank
