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 2011-11-29 – Page 1
Chapter 1
Chart 1:1. Government support from the Riksbank and SNDO to financial institutions on the Swedish market
SEK billion
Sources: SNDO (Swedish National Debt Office) and the Riksbank
Chart 1:2. ECB outstanding loans
EUR billion
Sources: ECB and the respective central banks
Chart 1:3. Swedish stress index
Note: The stress index is based on four broad indicators: stock market volatility, the bond spread, the basis spread and exchange rate volatility. The indicators are then weighted equally in the aggregate index. Financial stress is defined as deviations from the historic average, calculated for the years 1997-2007. For more details on the stress index, see the box “Financial Stress Index” in the Financial Stability Report 2009:2. Sources: Reuters EcoWin, Bloomberg and the Riksbank
Chart 1:4. International stress index
Note: The stress index is based on four broad indicators: stock market volatility, the bond spread, the basis spread and exchange rate volatility. The indicators are then weighted equally in the aggregate index. Financial stress is defined as deviations from the historic average, calculated for the years 1997-2007. For more details on the stress index, see the box “Financial Stress Index” in the Financial Stability Report 2009:2. Sources: Reuters EcoWin, Bloomberg and the Riksbank
0
100
200
300
400
500
600
700
800
Issuance in SEK guaranteed by the Swedish National Debt OfficeIssuance in foreign currency guaranteed by the Swedish National Debt OfficeThe Riksbank's SEK lendingThe Riksbank's USD lending
0
100
200
300
400
500
600
700
800
900
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
Main refinancing operations Long-term refinancing operations
-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 Jan-12
TED spread Corporate bond spread Stock market volatilityForeign exchange volatility 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 Jan-12
TED spread Corporate bond spread Stock market volatilityForeign exchange volatility Stress index
Financial Stability, Chart supplement 2011-11-29 – Page 2
Chart 1:5. Ten-year government bond yields in various countries
Per cent
Source: Reuters EcoWin
Chart 1:6. The difference between interest rates on ten year government bonds and the German government bond with the same maturity
Basis points
Source: Reuters EcoWin
Chart 1:7. Stock market developments
Index, 28 December 2007 =100
Source: Reuters EcoWin
Chart 1:8. Implied stock market volatility
Per cent, 10 day moving average
Note: Historical average refers to the period November 1999 to November 2011.
Source: Bloomberg
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
Sweden Germany UK United States0
500
1000
1500
2000
2500
0
500
1000
1500
2000
2500
Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12
Greece Ireland Portugal Italy Spain
0
50
100
150
200
250
Jan/09 Jul/09 Jan/10 Jul/10 Jan/11 Jul/11 Jan/12
Sweden - OMXS30 USA - S&P 500 Europe - STOXX Emerging markets - MSCI EM
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
Sweden - OMX Europe - STOXX USA - S&P 500 Historical average, OMX
Financial Stability, Chart supplement 2011-11-29 – Page 3
Chart 1:9. P/E ratios
Note: Historical average refers to the period November 1999 to November 2011.
Source: Reuters EcoWin
Chart 1:10. Risk premiums on the interbank market, 3 months
Basis points
Source: Reuters EcoWin
Chart 1:11. Premia in the CDS indices
Basis points
Sources: Reuters EcoWin and Bloomberg
Chart 1:12. Actual global default rate
Per cent
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.
Souces: Reuters EcoWin and Moody's
0
5
10
15
20
25
30
35
40
45
99 00 01 02 03 04 05 06 07 08 09 10 11 12
US - S&P 500 Europe - STOXXSweden - OMXS30 Historical average, OMX30
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 Jan-12
USA Euro area UK Sweden
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 Jan-12
North America - CDX Europe - iTraxx
0
2
4
6
8
10
12
14
70 73 76 79 82 85 88 91 94 97 00 03 06 09 12
Financial Stability, Chart supplement 2011-11-29 – Page 4
Chart 1:13. Difference between yields on covered bonds and government bonds or interest rate swaps yields with five year maturity
Basis points
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 1:14. Issuance of Swedish covered bonds
Billion SEK
Source: ASCB
Chart 1:15. Indicative breakdown of the Swedish riskpremium, 3 months
Basis points
Source: the Riksbank
Chart 1:16. EUR/SEK cross currency basis spread, five years
Basis points
Note: The cross currency basis spread gives an indication of the cost of swapping a loan in euros into Swedish kronor
Source: Bloomberg
-50
0
50
100
150
200
Difference between covered bonds and interest swaps
Difference between covered bonds and interest swaps
0
100
200
300
400
500
600
2006 2007 2008 2009 2010 2011 Q3
SEK EUR Other currencies
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 Dec-11
Credi risk premium Liquidity risk premium
-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 Jan-12
Financial Stability, Chart supplement 2011-11-29 – Page 5
Chart 1:17. Extra cost for borrowing of SEK abroad compared to domestic loan costs
Basis points
Source: Bloomberg
Chart 1:18. Difference between the short-term interbank rate and the Riksbank’s repo rate
Basis points
Source: Reuters EcoWin
Chart 1:19. Credit spreads for U:S: corporate bonds
Basis points
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 1:20. Credit spreads for European corporate bonds
Basis points
Source: Reuters EcoWin
-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 Jan-120
10
20
30
40
50
60
70
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
-300
200
700
1200
1700
2200
0
200
400
600
800
1000
Aaa (left scale) Bbb (left scale) High yield (right scale)
0
500
1000
1500
2000
2500
0
100
200
300
400
500
600
Aaa (left scale) Bbb (left scale) High yieald (right scale)
Financial Stability, Chart supplement 2011-11-29 – Page 6
Chart 1:21. Outstanding volume of commercial paper issued in the United States
Billion USD
Source: Reuters EcoWin
Chart 1:22. Outstanding volumes of Euro Commercial Paper
Billion USD
Source: Euroclear
Chart 1:23. Issuance of corporate bonds in the American
Billion USD
Note: The issue volume for 2011 is only calculated until October 2011.
Source: SIFMA
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 paper0
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 Jul-11 Jan-12
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
Financial Stability, Chart supplement 2011-11-29 – Page 7
Chapter 2
Chart 2:1. Lending activities of the Swedish banking groups by borrower category, September 2011
Per cent of total lending
Sources: Bank reports and the Riksbank
Chart 2:2. Lending activities of the Swedish banking groups by geographical area, September 2011
Per cent of total lending
Sources: Bank reports and the Riksbank
Chart 2:3. Real house prices
Index, quarter 1 1995 = 100
Note: Real house prices are defined as nominal house prices deflated by the CPI.
Sources: Statistics Sweden and the Riksbank
Chart 2:4. Household borrowing
Monthly change on an annual rate and annual change, percentage
Note. Seasonally-adjusted data.
Source: The Riksbank
Households 44%
Property companies
19%
Companies, excluding property
companies37%
Sweden55%
Other Nordic countries
34%
The Baltic countries
4%
Other countries7%
0
50
100
150
200
250
300
0
50
100
150
200
250
300
80 84 88 92 96 00 04 08
0
2
4
6
8
10
12
14
16
18
20
0
2
4
6
8
10
12
14
16
18
20
02 03 04 05 06 07 08 09 10 11 12
Monthly percentage changes restated as an annual rate
Annual percentage change
Financial Stability, Chart supplement 2011-11-29 – Page 8
Chart 2:5. Credit gap
Per cent
Note. The credit gap is defined as the distance from the underlying trend in total debt in relation to GDP. The total debt consists of total lending to the public and the non-financial companies’ market funding.
Sources: The Riksbank
Chart 2:6. Difference between three month and three year mortgage rates and the share of new lending at variable rates
Percentage points and per cent
Source: The Riksbank
Chart 2:7. Household debt and post-tax interest expenditure
Per cent of disposable income
Note. The broken lines represent the Riksbank’s forecast.
Source: The Riksbank
Chart 2:8. Households’ debts, assets, housing expenditures and savings
Per cent of disposable income
Sources: Statistics Sweden and the Riksbank
-40
-30
-20
-10
0
10
20
30
-40
-30
-20
-10
0
10
20
30
81 86 91 96 01 06 11
Non financial corporates Households Other Total
0
10
20
30
40
50
60
70
80
90
100
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
Difference between 3-month and 3-year mortgage rates
Share of new lending at variable rates
0
2
4
6
8
10
12
14
16
18
20
22
0
20
40
60
80
100
120
140
160
180
200
220
87 91 95 99 03 07 11 15
Debt ratio (left scale) Interest ratio (right scale)
-15
-10
-5
0
5
10
15
0
100
200
300
400
500
600
70 74 78 82 86 90 94 98 02 06 10 14Debt
Total wealth, excluding collective insurance
Financial wealth, excluding housing and collective insurance
Housing expenditure
Financial balance, excluding collective and real saving (right axis)
Financial Stability, Chart supplement 2011-11-29 – Page 9
Chart 2:9. Corporate borrowing from credit institutions and fixed gross investment
Annual percentage change
Sources: Statistics Sweden and the Riksbank
Chart 2:10. Default rate for Swedish companies
Per cent
Note. The default rate is defined as the number of bankruptcies divided by the number of companies
Source: The Riksbank
Chart 2:11. Transaction volumes for commercial properties
SEK billion
Note: Forecasts by the Riksbank
Sources: Saville and the Riksbank
Chart 2:12. Average yield levels for modern office premises in city centres
Per cent
Sources: Newsec and the Riksbank
-20
-15
-10
-5
0
5
10
15
20
-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 Fixed gross investment
Forecast for gross investments, MPR October 2011 Forecast borrowing, FSR 2011:2
Forecast borrowing, FSR 2011:1 Forecast for gross investments, MPU April 2011
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
85 90 95 00 05 10 15
Default rate Forecast FSR 2011:2 5-year moving average
0
20
40
60
80
100
120
140
160
180
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Swedish investors Forecast Swedish investors Q3-Q4 2011
Foreign investors Forecast foreign investors Q3-Q4 2011
0
2
4
6
8
10
12
14
16
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
Financial Stability, Chart supplement 2011-11-29 – Page 10
Chart 2:13. Household borrowing
Annual percentage change
Sources: Reuters EcoWin and the Riksbank
Chart 2:14. Corporate borrowing
Annual percentage change
Sources: Reuters EcoWin, the ECB and the Riksbank
Chart 2:15. Real house prices
Index, quarter 1 2004 = 100
Note: Real house prices are defined as nominal prices deflated by the CPI.
Sources: Reuters EcoWin, Bank for International Settlements and the Riksbank
Chart 2:16. Corporate defaults
Twelve-month moving average, index, average 2007 = 100
Sources: Reuters EcoWin and the Riksbank
0
2
4
6
8
10
12
14
16
0
2
4
6
8
10
12
14
16
04 05 06 07 08 09 10 11 12
Sweden Denmark Finalnd Norway
-10
-5
0
5
10
15
20
25
-10
-5
0
5
10
15
20
25
04 05 06 07 08 09 10 11 12
Sweden Denmark Finland Norway
90
100
110
120
130
140
150
160
90
100
110
120
130
140
150
160
04 05 06 07 08 09 10 11
Sweden Denmark Finland Norway
0
50
100
150
200
250
300
350
0
50
100
150
200
250
300
350
00 01 02 03 04 05 06 07 08 09 10 11 12
Sweden Denmark Finland Norway
Financial Stability, Chart supplement 2011-11-29 – Page 11
Chart 2:17. Credit losses in the Danish banking sector from household borrowing
Per cent of total lending
Source: Danmarks Nationalbank
Chart 2:18. Real exchange rates
Index, January 2009 = 100
Note. The comparison group corresponds to Greece, Italy, Portugal and Spain. The data for the Baltic countries and the comparison group are unweighted averages. 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. Private sector debt
Per cent of GDP
Note: Data for Estonia also includes leasing.
Sources: The national central banks, Latvijas Statistika and Reuters EcoWin
Chart 2:20. Late payments
Per cent of lending
Note. The definition of late payments differs from country to country.
Sources: Eesti Pank, Financial and Capital Market Commission och Lietuvos Bankas
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
93 95 97 99 01 03 05 07 09
70
75
80
85
90
95
100
105
110
70
75
80
85
90
95
100
105
110
01 02 03 04 05 06 07 08 09 10 11 12
The Baltic countries Comparison group Ireland
0
20
40
60
80
100
120
140
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 12
Estonia Latvia Lithuania
0
5
10
15
20
25
0
5
10
15
20
25
01 02 03 04 05 06 07 08 09 10 11 12
Estonia (more than 60 days) Latvia (more than 90 days) Lithuania (more than 60 days)
Financial Stability, Chart supplement 2011-11-29 – Page 12
Chart 2:21. Sovereign debt
Percentage of GDP
Note. Data for 2011, 2012 and 2013 are the EU Commission's forecast.
Source: European Commission
Chart 2:22. Budget deficit in relation to GDP
Per cent
Note. Data for 2011, 2012 and 2013 are the EU Commission's forecast. The line at minus three per cent marks the Maastricht criteria.
Source: European Commission
Chart 2:23. Lending in foreign currency to households and non-financial companies
Per cent of total lending
Source: European Systemic Risk Board (ESRB)
0
20
40
60
80
100
120
140
160
180
200
11 12 13
Estonia Lithuania Latvia Spain Portugal Ireland Italy Greece
-15
-10
-5
0
5
10
15
-15
-10
-5
0
5
10
15
94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14
Estonia Latvia Lithuania
3 %
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Latvia Lithuania Poland
December 2007 Augusti 2011
Financial Stability, Chart supplement 2011-11-29 – Page 13
Chapter 3
Chart 3:1. Bank assets in relation to GDP December 2010
Per cent
Note: The shadowed part of the blue bar shows the four major banks’ assets abroad in relation to Sweden’s GDP. In banking assets are included all of the assets of the national banking groups, that is both foreign and domestic assets.
Sources: ECB, the European Commission, the Swiss National Bank and the Riksbank
Chart 3:2. Total assets of the major Swedish banks
December 2010, SEK billion
Sources: Bank reports and the Riksbank
Chart 3:3. Earnings before loan losses and loan losses in the major Swedish banks, March 2011
Totalled over four quarters, SEK billion, fixed prices, September 2011
Sources: Bank reports and the Riksbank
Chart 3:4. The major Swedish banks' income
Rolling four quarters, SEK billion
Sources: Bank reports and the Riksbank
0 100 200 300 400 500 600 700
EstoniaSlovakiaRomaniaLithuaniaBulgaria
PolandHungary
LatviaCzech Republic
FinlandSlovenia
LuxembourgItaly
BelgiumGreece
AveragePortugal
IrelandAustria
GermanyFrance
DenmarkSpain
SwedenNetherlands
United KingdomSwitzerland
De svenska storbankernas utländska verksamhet
0
2,000
4,000
6,000
8,000
10,000
12,000
Handelsbanken Nordea SEB Swedbank Total
Sweden Abroad
-20
0
20
40
60
80
100
120
-20
0
20
40
60
80
100
120
Profit before loan losses Loan losses
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 11:2 11:3
Other income Net result of financial items Net commission income Net interest income
Financial Stability, Chart supplement 2011-11-29 – Page 14
Chart 3:5. The major Swedish banks’ return on equity
Four-quarter moving average, per cent
Sources: Bank reports and the Riksbank
Chart 3:6. The major Swedish banks’ return on total assets
Four-quarter moving average, per cent
Sources: Bank reports and the Riksbank
Chart 3:7. Breakdown of a mortgage loan with three-month fixed rate
Per cent
Sources: Bank reports and the Riksbank
Chart 3:8. Swedish major banks' lending to the public in the Baltic countries
EUR billion and annual percentage change
Sources: Bank reports and the Riksbank
0
5
10
15
20
25
01 02 03 04 05 06 07 08 09 10 11
Return on equity Average return on equity
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
01 02 03 04 05 06 07 08 09 10 11
Return on assets Average return on assets
0
1
2
3
4
5
6
7
8
Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12
Repo rate
Other funding costs up to the interbank rate
Funding costs in excess of the interbank rate
Margin
-15
-10
-5
0
5
10
15
20
25
30
0
5
10
15
20
25
30
35
40
45
07:107:207:307:408:108:208:308:409:109:209:309:410:110:210:310:411:111:211:3
EUR billion (left axis) Annual percentage change (right axis)
Financial Stability, Chart supplement 2011-11-29 – Page 15
Chart 3:9. Market shares of lending in the Baltic countries
Per cent
Sources: Bank reports and the Riksbank
Chart 3:10. The major Swedish banks' loan losses
Percentage of lending at the start of the respective quarters
Note. Annualised data.
Sources: Bank reports and the Riksbank
Chart 3:11. The major Swedish banks’ loan losses per quarter
SEK billion
Sources: Bank reports and the Riksbank
Chart 3:12. The major Swedish banks’ impaired loans
Percentage of gross lending
Note. Impaired loans in relation to gross lending, i.e. lending including provisions
Sources: Bank reports and the Riksbank
42% 45%
23% 27%19%
25%
23%25%
15%14% 28%
30%
18% 12%
14% 12%11%
9%
17% 18%
48% 47% 42%36%
0%
20%
40%
60%
80%
100%
2011 kv 3 2008 kv 3 2011 kv 3 2008 kv 3 2011 kv 3 2008 kv 3
Estland Lettland Litauen
Others Nordea SEB Swedbank
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
-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 11:2 11:3
Recoveries Reversals Write-offsSpecific provisions Collective provisions Loan-loss level
-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 11:2 11:3
Other countries The Baltic countries Other Nordic countries Sweden
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
01 02 03 04 05 06 07 08 09 10 11 12
Handelsbanken Nordea SEB Swedbank
Financial Stability, Chart supplement 2011-11-29 – Page 16
Chart 3:13. Core Tier 1 capital ratios of Swedish and foreign banks as defined by Basel II
September 2011, per cent
Note: The figures for Standard Chartered and Raiffeisen International refer to December 2010.
Sources: Bank reports and the Riksbank
Chart 3:14. Core Tier 1 capital ratios
Per cent
Note: The red area of the bars corresponds to the European Banking Authority (EBA) definition of Core Tier 1 capital.
Source: Bank reports and the Riksbank
Chart 3:15. Risk weights on mortgages defined by Basel II
Per cent
Sources: National central banks and the Riksbank
Chart 3:16. Core Tier 1 capital in relation to total assets
Per cent
Source: Bank reports and the Riksbank
0 2 4 6 8 10 12 14 16 18
UBSSwedbank
HandelsbankenSEB
Credit SuisseStandard Ch.Danske Bank
RBSBarclaysNordea
HSBCLloyds TSB
IntesaDeutsche Bank
B. Popular EspanaBNP
Societe Gen.Santander
CommerzbankBBVA
Raiffeisen IntErste BankUniCredito
DnB NOR
0
2
4
6
8
10
12
14
16
08:3 09:3 10:3 11:3 08:3 09:3 10:3 11:3 08:3 09:3 10:3 11:3 08:3 09:3 10:3 11:3
Handelsbanken Nordea SEB Swedbank
Basel II Basel III Transitional rules Transitional rules excluding preference shares
0
10
20
30
40
50
60
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
08:3 08:4 09:1 09:2 09:3 09:4 10:1 10:2 10:3 10:4 11:1 11:2 11:3
Handelsbanken Nordea SEB Swedbank
Financial Stability, Chart supplement 2011-11-29 – Page 17
Chart 3:17. Countercyclical capital buffers for the Swedish banks
Per cent
Sources: Bank reports, Reuters EcoWin and the Riksbank
Chart 3:18. The Riksbank's structural liquidity measure on an aggregated for the major Swedish banks
Stable funding in relation to illiquid assets, per cent
Source: Liquidatum and the Riksbank
Chart 3:19. The major Swedish banks' funding, September 2011
Per cent
Note: The funding of the major banks amounts to approximately SEK 8,100 billion. SNDO (Swedish National Debt Office)
Sources: Bank reports and the Riksbank
Chart 3:20. The major Swedish banks’ market funding via Swedish parent companies and subsidiaries
SEK billion
Sources: Statistics Sweden and the Riksbank
0.0
0.5
1.0
1.5
2.0
2.5
3.0
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
Handelsbanken Nordea SEB Swedbank0
10
20
30
40
50
60
70
80
90
2008 2009 2010
1%
3%
14%
5%
5%
9%
16%
47%
Government-guaranteed borrowing via the SNDO
Interbank, net
Swedish covered bonds in SEK
Swedish covered bonds in foreign currencies
Foreign covered bonds
Unsecured bonds
Certificates
Deposits
0
500
1,000
1,500
2,000
2,500
3,000
3,500
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
Foreign currency SEK
Financial Stability, Chart supplement 2011-11-29 – Page 18
Chart 3:21. The major Swedish banks’ market funding, December 2010
Per cent of total market funding
Sources: Bank reports and the Riksbank
Chart 3:22. The major Swedish banks’ short-term market funding via Swedish parent companies and subsidiaries
SEK billion
Sources: Statistics Sweden and the Riksbank
Chart B3:1 Lending in foreign currency to households and non-financial companies
Percentage of total lending
Source: European Systemic Risk Board (ESRB)
Chart B3:2. Distribution and change in U.S. money market funds' exposure to banks
Per cent and percentage change
Note: Data is based on a sample of US money market funds. In September this sample accounted for 45 per cent of the US money market funds’ total investment. The group of fiscally weak countries includes Portugal, Italy, Ireland, Greece and Spain.
Source: Fitch Ratings
37
24
22
10
26
SEK EUR USD DKK NOK Other currencies0
100
200
300
400
500
600
700
800
900
98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
Foreign currency SEK
0
10
20
30
40
50
60
70
80
90
100
Latv
ia
Lith
uani
a
Rom
ania
Hun
gary
Bulg
aria
Pola
nd
Aus
tria
Slov
enia
Den
mar
k
Gre
ece
Cypr
us
Fran
ce
Irel
and
Spai
n
Ger
man
y
Luxe
mbo
urg
Ital
y
Mal
ya
Fina
land
Net
herl
ands
Uni
ted
Kin
gdom
Czec
h R
epub
lic
Port
ugal
Swed
en
Slov
akia
Bel
gium
Esto
nia
Households Non-financial companies
0
5
10
15
20
25
30
35
40
45
United States Australia, Canadaand Japan
Nordic countries Fiscally weakcountries
Rest of Europe
December 2010 September 2011
+ 2 %
+ 37 %
+ 44 %
- 100
- 29 %
Financial Stability, Chart supplement 2011-11-29 – Page 19
Chart B3:3. Average Liquidity Coverage Ratio (LCR) according to the Basel regulations
Per cent
Sources: Finansinspektionen and the Riksbank
Chart B3:4. The major Swedish banks’ reported liquid assets in US dollars
SEK billion
Note: Handelsbanken did not report its liquidity buffer by currency in its report for the first quarter.
Source: Bank reports
Chart B3:5. Percentage of issued securities with original maturities of less than one year in the Swedish banking system
September 2011, per cent
Note. The banks’ foreign subsidiaries are not included in the statistics.
Source: The Riksbank
Chart B3:6 The major banks’ lending to the public in US dollars
SEK billion
Note: Lending for Handelsbanken and SEB is per December 2010. Lending for Nordea and Swedbank is per September 2011.
Source: Bank reports
0
50
100
150
200
250
Juli 2011 August 2011 September 2011
0
50
100
150
200
250
300
Handelsbanken Nordea SEB Swedbank
March 2011 June 2011 September 2011
0
10
20
30
40
50
60
USD EUR SEK
0
50
100
150
200
250
SEB Handelsbanken Nordea Swedbank
Financial Stability, Chart supplement 2011-11-29 – Page 20
Chart B3:7. Development of the major Swedish banks’ dollar assets
SEK billion
Sources: Bank reports and the Riksbank
Chart B3:8. The Riksbank’s structural liquidity measure
Per cent
Note: The measure is the average value for the four major banks. The currency-aggregated measure is based on data for September 2011 apart from SEB, where the data is from December 2010. The dollar measure is based on data for June 2011 for all the banks.
Sources: Bank reports and the Riksbank
0
100
200
300
400
500
600
700
800
900
December 2010 Juni 2011
Cash and balances with central banks Other securities and reverse reposLoans to credit institutions Loans to non-financial companies < 1 yearLoans to non-financial companies > 1 year
0
10
20
30
40
50
60
70
80
90
100
Currency aggregated USD
Financial Stability, Chart supplement 2011-11-29 – Page 21
Chapter 4
Chart 4:1. Earnings before loan losses and loan losses in the four major Swedish banks
Totalled over four quarters, SEK billion, fixed prices, September 2011
Note: The broken lines represent the Riksbank’s main scenario according to the current and previous Financial Stability Reports.
Sources: Bank reports and the Riksbank
Chart 4:2. Level of loan losses in the main scenario
Per cent
Note. A negative figure means that recoveries and reversals of earlier provisions are greater than new provisions for loan losses and realized loan losses.
Source: The Riksbank
Chart 4:3. Distribution of loan losses per region in the period 2012–2014 in the main scenario
SEK billion
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. The major Swedish bank with the lowest Tier 1 capital ratio after another major Swedish bank has defaulted on payments
Per cent
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. In the calculation of the core Tier 1 capital ratio according to Basel III, the last observation mounts to 8.2 per cent. Source: The Riksbank
-20
0
20
40
60
80
100
120
-20
0
20
40
60
80
100
120
90 92 94 96 98 00 02 04 06 08 10 12 14
Profit before loan losses Loan losses Main scenario loan losses FSR 2011:1
-0.20
-0.15
-0.10
-0.05
0.00
0.05
0.10
0.15
0.20
Handelsbanken Nordea SEB Swedbank Total
2011 2012 2013 2014
0
1
2
3
4
5
6
7
8
9
10
Sweden Denmark Finland Norway Estonia Latvia Lithuania Othercountries
0
1
2
3
4
5
6
7
8
9
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Financial Stability, Chart supplement 2011-11-29 – Page 22
Chart 4:5. Expected default frequency (EDF) for the Swedish non-financial companies in the stress test and in the main scenario
Per cent
Sources: Moody's KMV and the Riksbank
Chart 4:6. GDP for Sweden in the stress test and in the main scenario
SEK billions, fixed prices
Sources: Statistics Sweden 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
Note: Solid bars represent core Tier 1 capital ratios as defined by Basel III. Striped bars represent core Tier 1 capital ratios as defi ned by Basel II. The core Tier 1 capital ratios under Basel II have been calculated according to the fullyimplemented regulations. The core Tier 1 capital ratios under Basel III are based on the Riksbank’s estimates.
Sources: Bank reports and the Riksbank
Chart 4:8. Factors that contribute to changes in the banks’ core Tier 1 capital ratios as defined by Basel III in the stress test
Per cent
Note: Average for the four major banks. The ratios are based on the Riksbank’s estimates.
Source: The Riksbanken
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 12 13 14
EDF, main scenario EDF, stress scenario
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
0
2
4
6
8
10
12
14
16
11Q 3
12 13 14 11Q 3
12 13 14 11Q 3
12 13 14 11Q 3
12 13 14
Handelsbanken Nordea SEB Swedbank
11,6%10.8%
6.9% -5,6%
-2,1%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
Core Tier 1capital ratio Q 3
2011
Earnings Loan losses Change in risk-weighted assets
Core Tier 1capital ratio 2014
Financial Stability, Chart supplement 2011-11-29 – Page 23
Chart 4:9. The Riksbank’s structural liquidity measure for the major Swedish banks
Stable funding in relation to illiquid assets, per cent
Note: Securities that have been reclassified to loans and receivables count as lending to the public. Swedbank has become the first Swedish bank to include NSFR in its public reporting. On 30 September 2011, the bank reported NSFR of 92 per cent. As SEB does not publish complete maturity data for assets and liabilities more than once per year, it has not been possible to update SEB’s measurement since the last Financial Stability Report was published in May.
Source: Liquidatum and the Riksbank
Chart 4:10. Aggregated Net Stable Funding Ratio (NSFR) for the major Swedish banks
Per cent
Source: Finansinspektionen
Chart 4:11. Issues and maturity, long-term securities
SEK billion
Sources: Bank reports, Bloomberg and the Riksbank
Chart 4:12. The Riksbank's structural liquidity measure for the major Swedish banks and for banks in the European sample
Stable funding in relation to illiquid assets, percent
Note: Securities that have been reclassified to loans and receivables count as lending to the public. The 43 banks that are included in the sample have different business models. For the Swedish banks, apart from SEB, the measure is calculated for September 2011. For SEB and the European banks the measure is calculated for December 2010. This is due to the banks’ reporting.
Sources: Liquidatum and the Riksbank
0
10
20
30
40
50
60
70
80
90
100
SEB Handelsbanken Nordea Swedbank
December 2009 December 2010 September 20110
10
20
30
40
50
60
70
80
90
100
January 2011 September 2011
0.0
50.0
100.0
150.0
200.0
250.0
300.0
SEB Handelsbanken Nordea Swedbank
Long-term securities issued until October 2011
Long-term securities maturing in 2011
0
20
40
60
80
100
120
140
0
20
40
60
80
100
120
140
Financial Stability, Chart supplement 2011-11-29 – Page 24
Chart 4:13. The Riksbank’s short-term liquidity measure for the major Swedish banks
Survival period, number of days
Sources: Liquidatum and the Riksbank
Chart 4:14. Aggregated LCR for the major Swedish banks
Survival period, number of days
Sources: Finansinspektionen and the Riksbank
Chart 4:15. Överlevnadsperiod för de svenska storbankerna och för bankerna i det europeiska urvalet
Överlevnadsperiod, antal dagar
Note. The 43 banks included in the sample have different business models. The measure is calculated as of December 2010 for the European banks and as of September 2011 for the Swedish banks.
Sources: Liquidatum and the Riksbank
Chart: B4:1. Systemic risk indicator, March 2006-October 2011
Probability in per cent
Note. Vertical lines indicate the following important dates. 15/9 2008: Lehman Brother’s applies for bankruptcy protection. 27/10 2008 and 17/8 2009: information regarding new rights issues by Swedbank. 10/2 2009 and 4/3 2009: information regarding new rights issues by Nordea and SEB. 4/5 2010 and 21/7 2011: Greece receives rescue packages. 22/11 2010 and 6/4 2011: Ireland and Portugal apply for rescue packages. The systemic risk indicator is the probability that all the four major banks falls into distress simultaneously. This probability is denoted JPoD in Segoviano och Goodhart (2009).
Sources: Bloomberg, Moody’s KMV and the Riksbank
0
10
20
30
40
50
60
70
80
90
100
Handelsbanken Nordea SEB Swedbank
December 2009 December 2010 September 20110.000
5.000
10.000
15.000
20.000
25.000
30.000
35.000
40.000
45.000
January 2011 September 2011
0
20
40
60
80
100
120
140
The Riksbank's short term measure
The Riksbank’s short-term measure assuming that no market funding can be refinanced in the stressed three-month period
Mean value
Riksbankens kortfristiga mått
0
0.01
0.02
0.03
0.04
0.05
Lehman Brothers files for bankruptcy
Information on new issue by Swedish bankSupport, or application for support, from the EMU/IMF