The Swedish banking system

The banks’ assets in relation to GDP December 2011, per cent

Sources: ECB, the European Commission, the Swiss National Bank and the Riksbank Chart 1

Lending of the major Swedish banks per borrower category March 2013

Households 48%

Property companies

20%

Companies, excluding property

companies32%

Sources: Bank reports and the Riksbank Chart 2

The major banks' market funding via Swedish parent companies and subsidiaries SEK billions

0

500

1000

1500

2000

2500

3000

3500

4000

02 03 04 05 06 07 08 09 10 11 12 13

SEK Foreign currency

Sources: Statistics Sweden and the Riksbank Chart 3

Chapter 1 Stability assessment

and recommendations

Stability web

Macroeconomicconditions

Financial markets

The Swedish banks'borrowers

The Swedish banks

FSR 2012:1 FSR 2012:2 FSR 2013:1

Source: The Riksbank Chart 1:1

European stress index Ranking

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

07 08 09 10 11 12 13

Money market Bond market Stock market

Financial intermediaries Foreign exchange market Stress index

Source: ECB Chart 1:2

Systemic risk indicator for the Swedish financial system Probability, per cent

0.000

0.005

0.010

0.015

0.020

0.025

0.030

06 07 08 09 10 11 12 13 14

Source: The Riksbank Chart 1:3

Transparency index for liquidity reporting, European banks March 2013

0 10 20 30 40 50 60 70 80 90 100

HandelsbankenNordea

SEBSwedbank

Source: Liquidatum Chart 1:4

The four Basel III measures June 2012, per cent

EBA, Finansinspektionen and the Riksbank Chart 1:5

Core tier 1 capital ratio according to Basel II December 2012, per cent

0 2 4 6 8 10 12 14 16 18 20

Crédit AgricoleRBS

Banco SantanderRaiffeisen

Société GénéraleBarclays

BBVAUniCredit

Intesa SanpaoloDNB

Deutsche BankBNP Paribas

LloydsCommerzbank

HSBCNordea

Danske BankSEB

Credit SuisseSwedbank

HandelsbankenUBS

Sources: SNL Financial and the Riksbank Chart 1:6

Equity in relation to total assets December 2012, per cent

0 2 4 6 8 10 12

Handelsbanken

SEBNordea

Swedbank

Source: Liquidatum Chart 1:7

Profit before loan losses and loan losses in the major Swedish banks in the main scenario Rolling four quarters, SEK billion, fixed prices, March 2013

-20

0

20

40

60

80

100

120

91 93 95 97 99 01 03 05 07 09 11 13 15

Profit before loan losses Loan losses Main scenario loan losses FSR 2012:2

Sources: Bank reports and the Riksbank Chart 1:8

The credit gap for Sweden Per cent of GDP

-40

-30

-20

-10

0

10

20

30

81 85 89 93 97 01 05 09

Non financial corporates Households Other Total

Sources: Statistics Sweden and the Riksbank Chart 1:9

Household debt December 2011, percentage of disposable income

0 50 100 150 200 250 300 350

Italy

Germany

Austria

Belgium

France

Finland

USA

Japan

Spain

Portugal

Canada

UK

Sweden

Switzerland

Norway

Ireland

Netherlands

Denmark

Source: OECD Chart 1:10

Swedish banks' wholesale funding in foreign currency Percentage of GDP

0

10

20

30

40

50

60

0

10

20

30

40

50

60

98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13

Sources: Statistics Sweden and the Riksbank Chart 1:11

CET 1 ratios according to Basel III Per cent

0

2

4

6

8

10

12

14

16

18

20

Handels-banken

Nordea SEB Swedbank

March 2012 June 2012 September 2012 December 2012 March 2013

Sources: Bank reports and the Riksbank Chart 1:12

The Riksbank's structural liquidity measure Per cent

0

20

40

60

80

100

120

Handels-banken

Nordea SEB Swedbank

December 2010 December 2011 December 2012

Sources: Liquidatum and the Riksbank Chart 1:13

The major Swedish banks’ risk-weighted assets March 2013, SEK billion

0

1000

2000

3000

4000

5000

6000

Basel III Basel II excl.transition rules

Basel II incl.transition rules

Basel I

Sources: Bank reports and the Riksbank

Chart B1:1

The major Swedish banks’ Tier 1 capital ratio March 2013, per cent

0

2

4

6

8

10

12

14

16

18

Basel II incl.transition rules

Basel II excl.transition rules

Sources: Bank reports and the Riksbank Chart B1:2

CET 1 ratios and leverage ratios June 2012, per cent

0

2

4

6

8

10

12

14

CET 1 ratio Basel III Leverage ratio

Major Swedish banks Other European banks

Sources: Bank reports, EBA and the Riksbank Chart B1:3

Chapter 2 Financial markets

Stock market developments Index, 1 june 2011=100

40

50

60

70

80

90

100

110

120

130

Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13

United States - S&P500 Europe - STOXX600Sweden - OMXS30 Emerging markets - MSCI

Source: Bloomberg Chart 2:1

Swedish stress index Ranking

Sources: Reuters EcoWin, Bloomberg and the Riksbank Chart 2:2

Issuance volumes and funding costs for European corporates EUR billion and basis points

Sources: Barclays Research, Dealogic and the Riksbanken Chart 2:3

Balances in Target2 EUR billion

Source: Bloomberg Chart 2:4

Yields on two-year government bonds Per cent

0

1

2

3

4

5

6

7

8

9

10

Ireland Italy Portugal Spain Germany France

Source: Reuters EcoWin Chart 2:5

Yields on ten-year government bonds Per cent

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13

United States Germany United Kingdom Sweden

Source: Reuters EcoWin Chart 2:6

Public debt in relation to GDP Per cent

0

25

50

75

100

125

150

175

200

00 02 04 06 08 10 12

Sweden Spain Portugal Italy Ireland Greece France Germany

Source: Reuters EcoWin Chart 2:7

Ownership structure for Italy's government debt EUR billion

0

500

1000

1500

2000

2500

Dec 2010 Jan 2013

Foreign investors Domestic banks

Domestic finance companies Bank of Italy

Other domestic investors

Sources: Bank of Italy and the Riksbank Chart 2:8

Bank deposits in Cyprus EUR billion

0

10

20

30

40

50

60

70

80

06 07 08 09 10 11 12 13

Domestic Other euro area countries Other countries

Sources: Reuters EcoWin and the Riksbank Chart 2:9

ECB-lending to the banks and banks' lending to the public ECB-lending in per cent of bank assets. Bank lending: Index, 1 January 2010=0 2010

-10

-8

-6

-4

-2

0

2

4

6

8

10

Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13

Bank lending core countries Bank lending heavily indebted countries

ECB-lending core countries ECB-lending heavily indebted countries

Sources: ECB, Bloomberg and the Riksbank Chart 2:10

Interest rates on corporate loans in selected euro area countries Per cent

Source: ECB Chart 2:11

Yields on covered bonds Basis points

Source: Barclays Research Chart 2:12

Five-year CDS-premiums for banks Basis points

Sources: Bloomberg and the Riksbank Chart 2:13

Yields on Swedish banks' covered bonds Basis points

-20

0

20

40

60

80

100

120

05 06 07 08 09 10 11 12 13 14

Two-year maturity Five-year maturity

Sources: Reuters EcoWin and the Riksbank Chart 2:14

The risk premium on the interbank market Basis points

0

20

40

60

80

100

120

Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13

United States Euro area United Kingdom Sweden

Sources: Bloomberg and the Riksbank Chart 2:15

US money market fund exposures USD billion

0

100

200

300

400

500

600

700

800

900

Sweden Euro area Other Europe

Sources: Crane Data, ICI and the Riksbank Chart 2:16

Interbank and central bank loans Per cent of total bank assets

0

1

2

3

4

5

6

7

8

9

Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13

Interbank loans, heavily indebted countries Interbank loans, core countries

Centralbank loans, heavily indebted countries Centralbank loans, core countries

Sources: Bloomberg, Reuters EcoWin and the Riksbank Chart 2:17

European banks’ held-for-trading assets and available-for-sale assets as a proportion of total assets December 2011, per cent

0 10 20 30 40 50 60

Handelsbanken

UBI

Raiffeisen

Lloyds

Rabobank

Swedbank

Erste Group Bank

SEB

Intesa Sanpaolo

UniCredit

Santander

ING

BBVA

Monte dei Paschi di Siena

KBC Group

Standard Chartered

Danske Bank

Commerzbank

Crédit Agricole

Nordea

HSBC

Société Générale

Barclays

BNP Paribas

RBS

Source: SNL Financial Chart B2:1

Chapter 3 The Swedish banking

groups´ borrowers

Real housing prices Index, January 2005=100

100

110

120

130

140

150

160

170

180

05 06 07 08 09 10 11 12 13 14

Composite index Tenant-owned apartments Single-family houses

Sources: Valueguard and the Riksbank Chart 3:1

Number of housing starts Thousands

0

20

40

60

80

100

120

70 75 80 85 90 95 00 05 10

Source: Statistics Sweden Chart 3:2

Housing stock by type and tenure Index, 1990=100

Sources: Statistics Sweden and the Riksbank Chart 3:3

0

2

4

6

8

10

12

14

16

18

20

02 03 04 05 06 07 08 09 10 11 12 13

Monthly percentage changes restated as an annual rate

Annual percentage change

Household debt Per cent

Sources: Statistics Sweden and the Riksbank Chart 3:4

Household debt and post-tax interest expenditure Percentage of disposable income

0

2

4

6

8

10

12

14

16

18

20

0

20

40

60

80

100

120

140

160

180

200

72 76 80 84 88 92 96 00 04 08 12 16

Debt ratio (left scale) Interest ratio (right scale)

Sources: Statistics Sweden and the Riksbank Chart 3:5

Distribution of debt ratios of new mortgage borrowers, 2012 Percentage of borrowers

Sources: Finansinspektionen and the Riksbank Chart 3:6

Household savings Percentage of disposable income

Source: The Riksbank Chart 3:7

Household assets and debt Percentage of disposable income

0

100

200

300

400

500

600

71 74 77 80 83 86 89 92 95 98 01 04 07 10 13

Total wealth, excluding collective insurance Real wealth Liquid wealth Debt

Sources: Statistics Sweden and the Riksbank Chart 3:8

Households with deficit following an increase to the actual interest rate split across debt ratios Percentage share of household with deficit

0

5

10

15

20

25

30

0 1 2 3 4 5

Interest rate increase, percentage points

Debt ratio <= 600% Debt ratio > 600% Total

Source: Finansinspektionen Chart 3:9

Households with deficit following an increase to the actual interest rate given different living expenses Share of households with deficit, per cent

0

2

4

6

8

10

12

14

16

18

20

0 1 2 3 4 5

Interest rate increase, percentage points

Average of banks' standard values HBS 2009 (adjusted for consumption)

Sources: Finansinspektionen, Statistics Sweden and the Riksbank Chart 3:10

Corporate borrowing from credit institutions and fixed gross investment Annual percentage change

Sources: Statistics Sweden and the Riksbank Chart 3:11

Default rate for Swedish companies Per cent

0

0.5

1

1.5

2

2.5

3

85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15

Bankruptcy rate Forecast FSR 2013:1

Source: The Riksbank Chart 3:12

Corporate defaults Twelve-month moving average, index, average 2007=100

0

100

200

300

400

500

600

700

800

900

1000

07 08 09 10 11 12 13 14

Sweden Denmark Finland Norway Spain UK Germany

Sources: Reuters EcoWin, Destatis Statistches Bundesamt, and the Riksbank Chart 3:13

Corporate borrowing Annual percentage change

-10

-5

0

5

10

15

20

25

04 05 06 07 08 09 10 11 12 13 14

Sweden Denmark Finland Norway

Sources: Reuters EcoWin, Bank of Finland and the Riksbank Chart 3:14

Real house prices Index, Q1 1995 = 100

0

50

100

150

200

250

300

350

80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14

Sweden Denmark Finland Norway

Sources: Reuters EcoWin and the Riksbank Chart 3:15

Late payments Per cent of outstanding loans

0

5

10

15

20

25

05 06 07 08 09 10 11 12 13 14

Estonia (more than 60 days) Latvia (more than 90 days)

Lithuania (more than 60 days)

Sources: Eesti Pank, Financial and Capital Market Commission and Lietuvos Bankas Chart 3:16

Loan to deposit ratio Per cent

0

50

100

150

200

250

300

350

05 06 07 08 09 10 11 12 13 14

Estonia Latvia Lithuania

Sources: Eesti Pank, Latvijas Banka, Lietuvos Bankas and The Riksbank Chart 3:17

Resident and Non-resident deposits in Latvia LVL Million

Source: Latvijas Banka Chart 3:18

Chapter 4 Developments in the

Swedish banking groups

The major Swedish banks' income and costs, and forecast according to the Riksbank’s main scenario Rolling four quarters, SEK billion

-150

-100

-50

0

50

100

150

200

250

10 11 12 13 14 15

Costs Other income Net commission income Net interest income

Sources: Bank reports and the Riksbank Chart 4:1

Breakdown of interest rates on new mortgages with fixed-interest periods of three months Per cent

0

1

2

3

4

5

6

7

8

08 09 10 11 12 13

Repo rate Funding costs in excess of the reop rate Gross margin

Sources: Bank reports, Reuters EcoWin and the Riksbank Chart 4:2

Return on equity Rolling four quarters, per cent

Sources: SNL Financial and the Riksbank Chart 4:3

Price-to-book ratio Per cent

Sources: SNL Financial and the Riksbank Chart 4:4

The major Swedish banks' return on equity, 2007 and 2012 Per cent

0

2

4

6

8

10

12

14

16

18

ROEDecember 2007

Change fromlower ROA

Change fromlower debt toequity level

ROEDecember 2012

Sources: Bank reports and the Riksbank Chart 4:5

Annual change in the major Swedish banks' lending and forecast according to the Riksbanks' main scenario Per cent

Sources: Bank reports and the Riksbank Chart 4:6

Change in the major Swedish banks' lending volumes between 2009 and 2012 Per cent

-30

-25

-20

-15

-10

-5

0

5

10

15

20

Sweden Other Nordiccountries

The Balticcountries

Other counties Totalt

Sources: Bank reports and the Riksbank Chart 4:7

The major Swedish banks’ loan losses, geographical distribution SEK billion per quarter

-4

-2

0

2

4

6

8

10

12

14

16

08 09 10 11 12 13

Sweden Denmark Other Nordic countries The Baltic countries Othercountries

Sources: Bank reports and the Riksbank Chart 4:8

Distribution of the major Swedish banks' loan losses in the main scenario SEK billion

0

2

4

6

8

10

12

Sweden Norway Denmark Finland Estonia Latvia Lithuania Othercountries

Source: The Riksbank Chart 4:9 Note. Refers to the period 2013-2015.

The lowest Tier 1 capital ratio for one of the major Swedish banks after another 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 12 13

Source: The Riksbank Chart 4:10

Change in core Tier 1 ratio for the major Swedish banks Per cent

Sources: Bank reports and the Riksbank Chart 4:11

The major Swedish banks’ lending and risk weighted assets SEK billion

Sources: Bank reports and the Riksbank Chart 4:12

Core Tier 1 ratio and leverage ratio December 2012, per cent

Sources: Liquidatum, SNL Financial and the Riksbank Chart 4:13

The major Swedish banks’ outstanding issued debt March 2013, SEK billion and percentage of total outstanding debt

26%

3%

23%

22% 25%

0

500

1000

1500

2000

2500

Covered bonds Senior unsecured bonds Certificates

Swedish krona Foreign currency

Sources: Bank reports and the Riksbank Chart 4:14

The major Swedish banks' liquidity buffers SEK billion

Sources: Bank reports and the Riksbank Chart 4:15

The major Swedish banks' liquidity coverage ratio (LCR) March 2013, per cent

0

20

40

60

80

100

120

140

160

Handels-banken

Nordea SEB Swedbank

Sources: Bank reports and the Riksbank Chart 4:16

The Riksbank's structural liquidity measure Per cent

0

20

40

60

80

100

120

Handels-banken

Nordea SEB Swedbank

December 2010 December 2011 December 2012

Sources: Liquidatum and the Riksbank Chart 4:17

Maturity distribution on the major Swedish banks' issued debt Per cent

0

10

20

30

40

50

60

70

80

90

100

07 08 09 10 11 12

0-3 months 3-12 months 1-5 years Over 5 years

Sources: Liquidatum and the Riksbank Chart 4:18

The Riksbank's short-term and structural liquidity measures December 2012

Nordea

SEB

Handelsbanken

Swedbank

0

20

40

60

80

100

120

140

160

180

70 80 90 100 110 120 130 140

Sh

ort

-term

liq

uid

ity m

easu

re (

days)

Structural liquidity measure (per cent)

Sources: Liquidatum and the Riksbank Chart 4:19

The major Swedish banks' liabilities in US dollar December 2012, SEK billion

Issued debt:SEK bn 1,040

Deposit: SEK bn 350

Interbank net and other: SEK bn 220

Under 1 year: SEK bn 860, 83%

Over 1 year: SEK bn 180, 17%

0

200

400

600

800

1000

1200

1400

1600

1800

Liabilities Maturity distribution,issued debt

Sources: Bank reports and the Riksbank Chart B4:1

The major Swedish banks' liquid assets in US dollar December 2012, SEK billion

0

50

100

150

200

250

Handels-banken

Nordea SEB Swedbank

Sources: Bank reports and the Riksbank Chart B4:2

Maturity for the major Swedish banks' issued bank certificates in US dollar December 2012, per cent

Sources: Bank reports and the Riksbank Chart B4:3

The major Swedish banks' illiquid assets in US dollar December 2012, SEK billion

0

50

100

150

200

250

Handels-banken

Nordea SEB Swedbank

Sources: Bank reports and the Riksbank Chart B4:4

Hypothetical balance sheets of banks, pension and insurance companies after a currency swap

Source: The Riksbank Chart B4:5

Investment/lending SEK

Claims/lending In USD in swaps

Securities issued USD

Liabilities/borrowing In SEK in swaps

Assets Liabilities

Balance sheet items

Off-balance sheet items

Investment/holdings Of securities in USD

Claims/lending In SEK in swaps

Liabilities in SEK to policyholders

Liabilities/borrowing in USD in swaps

Balance sheet items

Off-balance sheet items

Ban

ks

Pen

sio

n f

un

ds

an

d

insu

ran

ce c

om

pan

ies

The major Swedish banks' assets and liabilities in US dollar December 2012, SEK billion

Sources: Bank reports and the Riksbank Chart B4:6

Cost for SEK funding Per cent

Sources: Bloomberg and the Riksbank Chart B4:7

Flows in connection with the issue of securities in dollars and currency swaps

Figure B4:1

Bank Investment/ Lending SEK

Investors in USD certificates

Pension/Insurance companies

USD flow today

Future USD flow

SEK flow today

Future SEK flow

Appendix Stress test of the banks’

capital ratios

Unemployment in the stress test and in the main scenario Index, 2012=100

0

20

40

60

80

100

120

140

160

180

200

12 13 14 15

Sweden Other Nordic countries The Baltic countries Other countries

Source:The Riksbank Figure A:1

Profit before loan losses and loan losses in the Swedish major banks, according to the stress test stress test Rolling four quarters, SEK billion, fixed prices, March 2013

-20

0

20

40

60

80

100

120

91 93 95 97 99 01 03 05 07 09 11 13 15

Profit before loan losses, main scenario

Loan losses, main scenario

Profit before loan losses, stress test

Loan losses, stress test

Sources: Bank reports and the Riksbank Chart A:2

CET 1 ratios according to Basel III, initially and in the stress test Per cent

0

2

4

6

8

10

12

14

16

18

20

Q113

13 14 15 Q113

13 14 15 Q113

13 14 15 Q113

13 14 15

Handelsbanken Nordea SEB Swedbank

Sources: Bank reports and the Riksbank Chart A:3

Changes in the major Swedish banks’ CET 1 ratios in the stress test Per cent

13,8 -8,5

-0,9

+7,4 11,7

0

2

4

6

8

10

12

14

16

CET 1 ratioQ1 2013

Loan losses Change inrisk-weighted assets

Profit before loan losses

CET 1 ratio 2015

Sources: Bank reports and the Riksbank Chart A:4

Weighted mean values for the major Swedish banks’ CET 1 ratios , initially and in the stress test, given different assumptions about a fall in profit before loan losses Per cent

0

2

4

6

8

10

12

14

16

10% 20% 30%

Start 2013 2014 2015

Sources: Bank reports and the Riksbank Chart A:5

The major Swedish banks' loan-loss levels in the stress test Percentage of total lending

-1

0

1

2

3

4

5

6

90 92 94 96 98 00 02 04 06 08 10 12 14

Loan-loss level Stress test

Sources: Bank reports and the Riksbank Chart A:6

The effect of a house price fall of 20 per cent on the banks credit losses Rolling four quarters, SEK billion

-20

0

20

40

60

80

100

120

02 04 06 08 10 12 14 16

Loan losses Stress test Stress test without a fall in house prices

Sources: Bank reports and the Riksbank Chart A:7

The major banks’ loan losses in the stress test with an calculated uncertainty band Rolling four quarters, SEK billion, fixed prices, March 2013

Sources: Bank reports and the Riksbank Chart A:8