Chapter 1
Chapter 1
Jan 18, 2016
Chapter 1. Sovereign debt Percentage of GDP. Sources: Reuters EcoWin and IMF. Chart 1:1. Public finance deficits Percentage of GDP. Source: Reuters Ecowin. Chart 1:2. Interest rates on ten-year government bonds Per cent. Source: Reuters EcoWin. Chart: 1:3. Credit rating development. - PowerPoint PPT Presentation
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Chapter 1
Sovereign debtPercentage of GDP
0
20
40
60
80
100
120
140
160
180
0
20
40
60
80
100
120
140
160
180
2007 2008 2009 2010 2011
Greece Ireland Portugal Italy Spain UK
Sources: Reuters EcoWin and IMFChart 1:1.
Public finance deficitsPercentage of GDP
-35
-30
-25
-20
-15
-10
-5
0
5
-35
-30
-25
-20
-15
-10
-5
0
5
2007 2008 2009 2010 2011
Greece Ireland Portugal Italy Spain UK
Source: Reuters EcowinChart 1:2.
Interest rates on ten-year government bonds Per cent
2
6
10
14
18
22
26
30
34
2
6
10
14
18
22
26
30
34
Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11
Greece Ireland Portugal Italy Spain
Source: Reuters EcoWinChart: 1:3.
Credit rating development
012345678910111213141516171819202122
0123456789
10111213141516171819202122
Jan-04 Feb-05 Mar-06 Apr-07 Jun-08 Jul-09 Aug-10 Sep-11
Greece Ireland Portugal Spanien Italien
AAAAA+AAAA-A+AA-BBB+BBBBBB-BB+BBBB-B+BB-CCC+CCCCCC-CCCD
AAAAA+AAAA-A+AA-BBB+BBBBBB-BB+BBBB-B+BB-CCC+CCCCCC-CCCD
Source: BloombergChart 1:4
Refinancing needs of countries and banks for 2012Percentage of GDP
0
5
10
15
20
25
30
35
40
45
Greece Spain Italy Portugal Ireland
Redemption of bank bonds
Redemption of government bonds + net funding
Chart 1:5 Sources: Dealogic, IMF and the Riksbank
Exposure of international banksIndex, fourth quarter 2008=100, euro
40
50
60
70
80
90
100
110
120
40
50
60
70
80
90
100
110
120
Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11
Greece Ireland Portugal Italy Spain Germany
Sources: Bank for International Settlements and the RiksbankChart 1:6.
Correlation between CDS premiums for
states and banksBasis points
0
50
100
150
200
250
300
350
400
450
0 100 200 300 400
CD
S pre
miu
ms
for co
untr
ies
CDS premiums for banks in each country
Sweden
France
Spain
Germany
DenmarkUSA
Belgium
800 1000 1200
800
1600
2400
Ireland
Portugal
Greece
Italy
1400
United Kingdom
Sources: Reuters Ecowin, Bloomberg and the RiksbankChart 1:7.
Indication of investors’ risk propensityPercentage change
-40
-30
-20
-10
0
10
20
30
Interest on highyieldcorporate
bonds (USA)
Interest on ten-yeargovernment bonds
(USA)
Raw materials index(world)
Stock market index(Europe)
Januari - maj 2011 Juni - november 2011
Sources: Reuters EcoWin and the RiksbankChart 1:8.
International stress index
-4
-2
0
2
4
6
8
10
Jan-07 Jan-08 Jan-09 Jan-10 Jan-11
TED spread Corporate bond spread
Stock market volatility Foreign exchange volatility
Sources: Reuters EcoWin, Bloomberg and the RiksbankChart 1:9.
The ECB’s holdings of government bonds
and covered bondsEUR billion
0
20
40
60
80
100
120
140
160
180
200
0
20
40
60
80
100
120
140
160
180
200
Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12
Holdings of government bonds Holdings of covered bonds
Source: Reuters EcoWinChart 1:10
ECB’s lending to European banksEUR billion
0
100
200
300
400
500
600
700
800
900
Jan-07 Jan-08 Jan-09 Jan-10 Jan-11
Source: ECBChart 1:11.
Central banks’ balance sheetsPercentage of GDP
0
5
10
15
20
25
30
07 08 09 10 11 12
ECB Bank of England Federal Reserve The Riksbank
Sources: Reuters EcoWin and national central banks Chart 1:12.
European banks’ bond issuanceEUR billion
0
50
100
150
200
250
300
350
400
450
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
2007 2008 2009 2010 2011
Covered bonds Unsecured bonds Government guaranted bonds
Sources: Dealogic and the RiksbankChart 1:13.
Comparison of 5-year CDS premiums for banks Basis points
0
100
200
300
400
500
600
700
800
Europe inkl Spain och Italy (304)
United States (307)
Nordic countries (188)
Portugal, Ireland, Greece(1385)
1000
1500
2000
Source: Bloomberg and the RiksbankChart: 1:14.
Five-year CDS premiums for banksBasis points
0
50
100
150
200
250
300
350
400
450
500
Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12
USA Europé Sweden UK
Sources: Bloomberg and the RiksbankChart 1:15
Maturity profile of bonds issued by European banksEUR billion
0
20
40
60
80
100
120
5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112 1 2 3 4 5 6 7 8 9 101112
2011 2012 2013 2014
Covered bonds Unsecured bonds Government guaranted bonds
Sources: Dealogic and the RiksbankChart 1:16.
Funding costs over three months STIBOR for covered bondsBasis points
-20
0
20
40
60
80
100
120
-20
0
20
40
60
80
100
120
03 04 05 06 07 08 09 10 11 12
Two-year maturity Five-year maturity
Sources: Reuters EcoWin and the RiksbankChart 1:17.
The risk premium on the interbank marketBasis points
0
20
40
60
80
100
120
140
0
20
40
60
80
100
120
140
08 09 10 11 12
United States United Kingdom Euro Area Sweden
Sources: Reuters Ecowin, Bloomberg and the Riksbank Chart 1:18.
Indicative breakdown of the risk premiumin the euro areaBasis points
0
50
100
150
200
jan-07 jan-08 jan-09 jan-10 jan-11 jan-12
Credit risk Liquidity risk
Sources: Reuters EcoWin, Bloomberg and the RiksbankChart 1:19
Difference between the short-term interbank rate and the Riksbank repo rateBasis points
0
10
20
30
40
50
60
70
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Source: Reuters EcowinChart 1:20.
Extra cost of borrowing in EUR and converting to USD compared with borrowing directly in USDBasis points
-10
10
30
50
70
90
110
Sources: Bloomberg and the RiksbankChart 1:21.
Credit spreads for high-yield corporate bondsBasis points
0
500
1000
1500
2000
2500
0
500
1000
1500
2000
2500
04 05 06 07 08 09 10 11 12
Europé United States
Sources: Reuters EcoWin and the RiksbankChart 1:22.
Chapter 2
Lending activities of the Swedish banking groups by borrower category, September 2011Per cent of total lending
Households 44%
Property companies
19%
Companies, excluding property
companies37%
Sources: Bank reports and the RiksbankChart 2:1.
Lending activities of the Swedish banking groups by geographical area, September 2011 Per cent of total lending
Sweden55%
Other Nordic countries
34%
The Baltic countries
4%
Other countries7%
Sources: Bank reports and the RiksbankChart 2:2.
Real house pricesIndex, quarter 1 1995 = 100
0
50
100
150
200
250
300
0
50
100
150
200
250
300
80 84 88 92 96 00 04 08
Sources: Statistics Sweden and the RiksbankChart 2:3.
Household borrowingMonthly change on an annual rate and annual change, percentage
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
Source: The RiksbankChart 2:4.
Credit gapPer cent
-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
Sources: The RiksbankChart 2:5.
Difference between three month and three year mortgage rates and the share of new lending at variable ratesPercentage points and per cent
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
Source: The RiksbankChart 2:6.
Household debt and post-tax interest expenditurePer 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
87 91 95 99 03 07 11 15
Debt ratio (left scale) Interest ratio (right scale)
Source: The RiksbankChart 2:7.
Households’ debts, assets, housing expenditures and savingsPer cent of disposable income
-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 14
Debt
Total wealth, excluding collective insurance
Financial wealth, excluding housing and collective insurance
Housing expenditure
Financial balance, excluding collective and real saving (right axis)
Sources: Statistics Sweden and the RiksbankChart 2:8.
Corporate borrowing from credit institutions and fixed gross investmentAnnual percentage change
-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
Sources: Statistics Sweden and the RiksbankChart 2:9.
Default rate for Swedish companiesPer cent
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
Source: The RiksbankChart 2:10.
Transaction volumes for commercial propertiesSEK billion
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
Sources: Saville and the RiksbankChart 2:11.
Average yield levels for modern office premises in city centresPer cent
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
Sources: Newsec and the RiksbankChart 2:12.
Household borrowingAnnual percentage change
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
Sources: Reuters EcoWin and the RiksbankChart 2:13.
Corporate borrowingAnnual percentage change
-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
Sources: Reuters EcoWin, the ECB and the RiksbankChart 2:14.
Real house pricesIndex, quarter 1 2004 = 100
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
Sources: Reuters EcoWin, Bank for International Settlements and the RiksbankChart 2:15.
Corporate defaultsTwelve-month moving average, index, average 2007 = 100
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
Sources: Reuters EcoWin and the RiksbankChart 2:16.
Credit losses in the Danish banking sector from household borrowingPer cent of total lending
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
Source: Danmarks NationalbankChart 2:17.
Real exchange ratesIndex, January 2009 = 100
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
Source: Bank for International SettlementsChart 2:18.
Private sector debtPer cent of GDP
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
Sources: The national central banks, Latvijas Statistika and Reuters EcoWinChart 2:19.
Late paymentsPer cent of lending
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)
Sources: Eesti Pank, Financial and Capital Market Commission och Lietuvos BankasChart 2:20.
Sovereign debtPercentage of GDP
0
20
40
60
80
100
120
140
160
180
200
11 12 13
Estonia Lithuania Latvia Spain Portugal Ireland Italy Greece
Source: European CommissionChart 2:21.
Budget deficit in relation to GDPPer cent
-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 %
Source: European CommissionChart 2:22.
Lending in foreign currency to house-holds and non-financial companiesPer cent of total lending
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Latvia Lithuania Poland
December 2007 Augusti 2011
Source: European Systemic Risk Board (ESRB)Chart 2:23.
Chapter 3
Bank assets in relation to GDP December 2010Per cent
0 100 200 300 400 500 600 700
EstoniaSlovakiaRomaniaLithuaniaBulgariaPoland
HungaryLatvia
Czech RepublicFinland
SloveniaLuxembourg
ItalyBelgium
GreeceAveragePortugal
IrelandAustria
GermanyFrance
DenmarkSpain
SwedenNetherlands
United KingdomSwitzerland
De svenskastorbankernas utländskaverksamhet
Sources: ECB, the European Commission, the Swiss National Bank and the RiksbankChart 3:1.
Total assets of the major Swedish banksDecember 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 RiksbankChart 3:2.
Earnings before loan losses and loan losses in the major Swedish banks, March 2011Totalled over four quarters, SEK billion, fixed prices, September 2011
-20
0
20
40
60
80
100
120
-20
0
20
40
60
80
100
120
Profit before loan losses Loan losses
Sources: Bank reports and the RiksbankChart 3:3.
The major Swedish banks' incomeRolling 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 11:2 11:3
Other income Net result of financial items Net commission income Net interest income
Sources: Bank reports and the RiksbankChart 3:4.
The major Swedish banks’ return on equityFour-quarter moving average, per cent
0
5
10
15
20
25
01 02 03 04 05 06 07 08 09 10 11
Return on equity Average return on equity
Sources: Bank reports and the RiksbankChart 3:5.
The major Swedish banks’ return on total assetsFour-quarter moving average, per cent
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
Sources: Bank reports and the RiksbankChart 3:6.
Breakdown of a mortgage loan with three-month fixed ratePer cent
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
Sources: Bank reports and the RiksbankChart 3:7.
Swedish major banks' lending to the public in the Baltic countries EUR billion and annual percentage change
-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)
Sources: Bank reports and the RiksbankChart 3:8.
Market shares of lending in the Baltic countries Per cent
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
Sources: Bank reports and the RiksbankChart 3:9.
The major Swedish banks' loan lossesPercentage 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
-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
Sources: Bank reports and the RiksbankChart 3:10.
The major Swedish banks’ loan losses per quarterSEK 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 11:2 11:3
Other countries The Baltic countries Other Nordic countries Sweden
Sources: Bank reports and the RiksbankChart 3:11.
The major Swedish banks’ impaired loansPercentage of gross lending
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
Sources: Bank reports and the RiksbankChart 3:12.
Core Tier 1 capital ratios of Swedish and foreign banks as defined by Basel IISeptember 2011, per cent
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 BankUniCreditoDnB NOR
Sources: Bank reports and the RiksbankChart 3:13.
Core Tier 1 capital ratiosPer cent
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
Source: Bank reports and the RiksbankChart 3:14.
Risk weights on mortgages defined by Basel IIPer cent
0
10
20
30
40
50
60
Sources: National central banks and the RiksbankChart 3:15.
Core Tier 1 capital in relation to total assetsPer cent
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
Source: Bank reports and the RiksbankChart 3:16.
Countercyclical capital buffers for the Swedish banksPer cent
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 Swedbank
Sources: Bank reports, Reuters EcoWin and the RiksbankChart 3:17.
The Riksbank's structural liquidity measure on an aggregated for the major Swedish banksStable funding in relation to illiquid assets, per cent
0
10
20
30
40
50
60
70
80
90
2008 2009 2010
Source: Liquidatum and the RiksbankChart 3:18.
The major Swedish banks' funding, September 2011Per cent
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
Sources: Bank reports and the RiksbankChart 3:19.
The major Swedish banks’ market funding via Swedish parent companies and subsidiariesSEK billion
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
Sources: Statistics Sweden and the RiksbankChart 3:20.
The major Swedish banks’ market funding, December 2010Per cent of total market funding
37
24
22
10
26
SEK EUR USD DKK NOK Other currencies
Sources: Bank reports and the RiksbankChart 3:21.
The major Swedish banks’ short-term market funding via Swedish parent companies and subsidiariesSEK billion
0
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
Sources: Statistics Sweden and the RiksbankChart 3:22.
Lending in foreign currency to households and non-financial companiesPercentage of total lending
0
10
20
30
40
50
60
70
80
90
100La
tvia
Lith
uan
ia
Rom
ania
Hungar
y
Bulg
aria
Pola
nd
Aust
ria
Slove
nia
Den
mar
k
Gre
ece
Cyp
rus
Fran
ce
Irel
and
Spai
n
Ger
man
y
Luxe
mbourg
Ital
y
Mal
ya
Final
and
Net
her
lands
Unit
ed K
ingdom
Cze
ch R
epublic
Port
ugal
Swed
en
Slova
kia
Bel
giu
m
Esto
nia
Households Non-financial companies
Source: European Systemic Risk Board (ESRB)Chart B3:1
Distribution and change in U.S. money market funds' exposure to banksPer cent and percentage change
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%
Source: Fitch RatingsChart B3:2.
Average Liquidity Coverage Ratio (LCR) according to the Basel regulationsPer cent
Sources: Finansinspektionen and the RiksbankChart B3:3.
0
50
100
150
200
250
July 2011 August 2011 September 2011
The major Swedish banks’ reported liquid assets in US dollarsSEK billion
0
50
100
150
200
250
300
Handelsbanken Nordea SEB Swedbank
March 2011 June 2011 September 2011
Source: Bank reportsChart B3:4.
Percentage of issued securities with original maturities of less than one year in the Swedish banking systemSeptember 2011, per cent
0
10
20
30
40
50
60
USD EUR SEK
Source: The RiksbankChart B3:5.
The major banks’ lending to the public in US dollarsSEK billion
0
50
100
150
200
250
SEB Handelsbanken Nordea Swedbank
Source: Bank reportsChart B3:6
Development of the major Swedish banks’ dollar assetsSEK billion
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
Sources: Bank reports and the RiksbankChart B3:7.
The Riksbank’s structural liquidity measurePer cent
0
10
20
30
40
50
60
70
80
90
100
Currency aggregated USD
Sources: Bank reports and the RiksbankChart B3:8.
Chapter 4
Earnings before loan losses and loan losses in the four major Swedish banksTotalled over four quarters, SEK billion, fixed prices, September 2011
-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
Sources: Bank reports and the RiksbankChart 4:1.
Level of loan losses in the main scenarioPer cent
-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
Source: The RiksbankChart 4:2.
Distribution of loan losses per region in the period 2012–2014 in the main scenarioSEK billion
0
1
2
3
4
5
6
7
8
9
10
Sweden Denmark Finland Norway Estonia Latvia Lithuania Othercountries
Source: The RiksbankChart 4:3.
The major Swedish bank with the lowest Tier 1 capital ratio after another major Swedish bank has defaulted on paymentsPer cent
0
1
2
3
4
5
6
7
8
9
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Source: The RiksbankChart 4:4.
Expected default frequency (EDF) for the Swedish non-financial companies in the stress test and in the main scenarioPer 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 12 13 14
EDF, main scenario EDF, stress scenario
Sources: Moody's KMV and the RiksbankChart 4:5.
GDP for Sweden in the stress test and in the main scenarioSEK 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 RiksbankChart 4:6.
The major Swedish banks’ core Tier 1 capital ratios according to Basel II and Basel III, initially and in the stress testPer cent
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
Sources: Bank reports and the RiksbankChart 4:7.
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
Factors that contribute to changes in the banks’ core Tier 1 capital ratios as defined by Basel III in the stress testPer cent
Chart 4:8. Source: The Riksbank
The Riksbank’s structural liquidity measure for the major Swedish banksStable funding in relation to illiquid assets, per cent
Source: Liquidatum and the RiksbankChart 4:9.
0
10
20
30
40
50
60
70
80
90
100
SEB Handelsbanken Nordea Swedbank
December 2009 December 2010 September 2011
Aggregated Net Stable Funding Ratio (NSFR) for the major Swedish banksPer cent
0
10
20
30
40
50
60
70
80
90
100
January 2011 September 2011
Source: FinansinspektionenChart 4:10.
Issues and maturity, long-term securitiesSEK billion
Sources: Bank reports, Bloomberg and the RiksbankChart 4:11.
0
50
100
150
200
250
300
SEB Handelsbanken Nordea Swedbank
Long-term securities issued until October 2011
Long-term securities maturing in 2011
The Riksbank's structural liquidity measure for the major Swedish banks and for banks in the European sampleStable funding in relation to illiquid assets, percent
Sources: Liquidatum and the RiksbankChart 4:12.
0
20
40
60
80
100
120
140
0
20
40
60
80
100
120
140
The Riksbank’s short-term liquidity measure for the major Swedish banksSurvival period, number of days
0
10
20
30
40
50
60
70
80
90
100
Handelsbanken Nordea SEB Swedbank
December 2009 December 2010 September 2011
Sources: Liquidatum and the RiksbankChart 4:13.
Aggregated LCR for the major Swedish banksSurvival period, number of days
0.000
5.000
10.000
15.000
20.000
25.000
30.000
35.000
40.000
45.000
January 2011 September 2011
Sources: Finansinspektionen and the RiksbankChart 4:14.
The Riksbank’s short-term liquidity measure for the major Swedish banks and for banks in the European sampleSurvival period, number of days
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
Sources: Liquidatum and the RiksbankChart 4:15.
Systemic risk indicator, March 2006-October 2011Probability in per cent
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
Sources: Bloomberg, Moody’s KMV and the RiksbankChart: B4:1.
Chapter 5
Bank assets in relation to GDP December 2010Per cent
0 100 200 300 400 500 600 700
EstoniaSlovakiaRomaniaLithuaniaBulgariaPoland
HungaryLatvia
Czech RepublicFinland
SloveniaLuxembourg
ItalyBelgium
GreeceAveragePortugal
IrelandAustria
GermanyFrance
DenmarkSpain
SwedenNetherlands
United KingdomSwitzerland
De svenskastorbankernas utländskaverksamhet
Sources: ECB, the European Commission, the Swiss National Bank and the RiksbankChart 5:1.
Core Tier 1 capital ratiosPer cent
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
Source: Bank reports and the RiksbankChart 5:2.
The Riksbank’s short-term liquidity measure for the major Swedish banksSurvival period, number of days
0
10
20
30
40
50
60
70
80
90
100
Handelsbanken Nordea SEB Swedbank
December 2009 December 2010 September 2011
Sources: Liquidatum and the RiksbankChart 5:3.
Aggregated LCR for the major Swedish banksSurvival period, number of days
0.000
5.000
10.000
15.000
20.000
25.000
30.000
35.000
40.000
45.000
January 2011 September 2011
Sources: Finansinspektionen and the RiksbankChart 5:4.
The Riksbank’s structural liquidity measure for the major Swedish banksStable funding in relation to illiquid assets, per cent
Source: Liquidatum and the RiksbankChart 5:5.
0
10
20
30
40
50
60
70
80
90
100
SEB Handelsbanken Nordea Swedbank
December 2009 December 2010 September 2011
Aggregated Net Stable Funding Ratio (NSFR) for the major Swedish banksPer cent
0
10
20
30
40
50
60
70
80
90
100
January 2011 September 2011
Source: FinansinspektionenChart 5:6.
Risk weights on mortgages defined by Basel IIPer cent
0
10
20
30
40
50
60
Sources: National central banks and the RiksbankChart 5:7.
Average Liquidity Coverage Ratio (LCR) according to the Basel regulationsPer cent
Sources: Finansinspektionen and the RiksbankChart 5:8.
0
50
100
150
200
250
July 2011 August 2011 September 2011
The Riksbank's structural liquidity measure for the major Swedish banks and for banks in the European sampleStable funding in relation to illiquid assets, percent
Sources: Liquidatum and the RiksbankChart 5:9.
0
20
40
60
80
100
120
140
0
20
40
60
80
100
120
140
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