Financial stability report 2014:1 - Sveriges Riksbankarchive.riksbank.se/Documents/Rapporter/FSR/2014/... · Slovakia Czech Republic Bulgaria Poland Hungary Latvia Finland Slovenia

2014-06-04

Financial stability report 2014:1

European stress index Ranking (1=high stress, 0=low stress)

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 14

Money market Bond market Stock market

Financial intermediaries Foreign exchange market Stress index

Source: European Central Bank (ECB) Chart 1:1

Swedish stress index Ranking (1=high stress, 0=low stress)

Sources: Bloomberg and the Riksbank Chart 1:2

CET 1 capital ratios in accordance with Basel III Per cent

0

5

10

15

20

Handels-banken

Nordea SEB Swedbank

March 2012 March 2013 March 2014

Sources: Bank reports and the Riksbank Chart 1:3

100 100

137

99,5

7,0

3,0

16,5

4,1

0

2

4

6

8

10

12

14

16

18

0

20

40

60

80

100

120

140

160

180

LCR NSFR CET 1 Leverage ratio

Liquidity, left scale Capital, right scale

Minimum level Basel III Major Swedish banks

Sources: Bank reports, BIS and the Riksbank Chart 1:4

The four Basel III measures December 2013, per cent

Lending by the major Swedish banks in the Riksbank's main scenario SEK billion

0

2 000

4 000

6 000

8 000

10 000

14 15 16

Sweden, corporates Sweden, households Norway

Denmark Finland The Baltic countries

Other countries

Source: The Riksbank Chart 1:5

Profits before loan losses and loan losses in the major Swedish banks Rolling four quarters, SEK billion, fixed prices, March 2014

-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


The banks’ assets in relation to GDP December 2013, per cent

0 100 200 300 400 500

Estonia

Romania

Lithuania

Slovakia

Czech Republic

Bulgaria

Poland

Hungary

Latvia

Finland

Slovenia

Belgium

Italy

Ireland

Average

Luxembourg

Greece

Portugal

Germany

Austria

Cyprus

Denmark

France

Spain

United Kingdom

Sweden

Netherlands

Switzerland

Sources: ECB, the European Commission, the Swiss National Bank and the Riksbank Chart 1:7

The major Swedish banks’ wholesale funding via Swedish parent companies and subsidiaries SEK billions

0

500

1 000

1 500

2 000

2 500

3 000

3 500

4 000

02 03 04 05 06 07 08 09 10 11 12 13 14

SEK Foreign currency

Sources: Statistics Sweden and the Riksbank Chart 1:8

The major Swedish banks' funding March 2014, per cent

5

24

10

14

47

0,2

Interbank, net Covered bonds Senior bonds Certificates Deposits Other


The major Swedish banks' lending December 2013, per cent

Sources: Bank reports, Statistics Sweden and the Riksbank Chart 1:10

Owners of Covered Bonds December 2013, per cent

22

26

9

6

36

Swedish banksSwedish insurance companiesOther financial institutions, including Swedish fundsPublic sector including National Swedish Pension FundsForeign investors


The major Swedish bank's liquidity coverage ratio (LCR) February 2014, per cent

0

50

100

150

200

250

300

USD EUR SEK All currencies

Sources: Finansinspektionen and the Riksbank Chart 1:12

Equity in relation to total assets December 2013, per cent

0 1 2 3 4 5 6 7 8

Crédit Agricole

Deutsche Bank

Société Générale

Handelsbanken

Danske Bank

Nordea

Lloyds

Barclays

Commerzbank

UBS

SEB

BNP Paribas

Credit Suisse

Average

RBS

UniCredit

DNB

Swedbank

HSBC

Banco Santander

Intesa Sanpaolo

Erste Bank

BBVA

Raiffeisen Bank

Source: SNL Financial Chart 1:13

Equity in relation to total assets, Swedish bank Per cent

0

5

10

15

20

25

30

35

1870 1880 1890 1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010

Sorces: Hortlund, Do Inflation and High Taxes Increase Bank Leverage?, SSE/EFI Working Paper Series in Economics and Finance, No 6122005, November 2005 and the Riksbank

Chart 1:14

Household debts in various countries December 2012, percentage of disposable income

0 50 100 150 200 250 300

Italy

Germany

Austria

Belgium

France

USA

Finland

Japan

Spain

Portugal

United Kingdom

Canada

Sweden

Switzerland

Norway

Ireland

The Netherlands

Denmark

Source: The OECD Chart 1:15

The Swedish households' debt and real property price index Per cent, total debt as a proportion of disposable income and index, 2000 Q1 = 100

60

80

100

120

140

160

180

200

80 85 90 95 00 05 10

Debt ratio Real property price index


Household expectations of the variable mortgage rate one, two and five years ahead Per cent

0

1

2

3

4

5

6

7

13 14 15 16 17 18 19

Repo-rate +1.7 percentage points Repo-rate +2.0 percentage points

Households' mortgage-rate expectations

Sources: The National Institute of Economic Research and the Riksbank Chart 1:17

The credit-to-GDP ratio and statistical trend according to the Basel Committee's standard method Per cent

0

20

40

60

80

100

120

140

160

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

Credit-to-GDP ratio Trend


The countercyclical buffer rate according to the Basel Committee's standard method Per cent

0,0

0,5

1,0

1,5

2,0

2,5

3,0

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


The major Swedish banks' results in the Riksbanks' structural liquidity measure Per cent

0

10

20

30

40

50

60

70

80

90

100

08 09 10 11 12 13 14

Sources: Liquidatum and the Riksbank Chart 1:20

The credit-to-GDP ratio and statistical trend according to the Basel Committee's standard method Per cent

0

20

40

60

80

100

120

140

160

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

Credit-to-GDP ratio Trend Average

Source: The Riksbank Chart B1:1

The countercyclical buffer rate according to the Basel Committee's standard method Per cent

0,0

0,5

1,0

1,5

2,0

2,5

3,0

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


The countercyclical buffer rate according to the Basel Committee's standard method with no upper limit for the buffer rate Per cent

0

1

2

3

4

5

6

7

8

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


The credit-to-GDP ratio and alternative trend using Norges Bank's method Per cent

0

20

40

60

80

100

120

140

160

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

Credit-to-GDP ratio Standard trend Alternative trend


The countercyclical buffer rate in Sweden according to Norges Bank's method Per cent

0,0

0,5

1,0

1,5

2,0

2,5

3,0

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

Countercyclical buffer rate according to Norges Bank's method

Countercyclical buffer rate according to the standard method


Credit funded by non-stable funding Per cent of GDP

0

5

10

15

20

25

30

35

40

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


Real house prices and statistical trend Index, 1980 Q4=100

0

20

40

60

80

100

120

140

160

180

200

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

Real house prices Trend


The major Swedish banks LCRs Per cent

Chart B1:8 Sources: Finansinspektionen and the Riksbank

The major Swedish banks average and lowest LCR levels in Swedish kronor Per cent


Distribution of the major Swedish banks' liquidity buffers March 2014, per cent

0

5

10

15

20

25

30

35

40

45

SEK Euro USD Other

Level 1 Level 2 Level 2 excluded from LCR


The major Swedish banks' need for additional level 1 assets to reach an LCR in kronor of 60 per cent, compared to outstanding government bonds SEK billion

100

770

50

0

100

200

300

400

500

600

700

800

900

Level 1 assets today Additional need for level 1assets

Outstanding governmentbonds

Chart B1:11 Sources: Finansinspektionen, the Swedish National Debt Office and the Riksbank

2014-06-04

Chapter 2

Expected volatility on the bond and stock markets Index

Sources: Reuters EcoWin and the Riksbank Chart 2:1

Expected volatility on the bond and stock markets Index


Ten-year government bond yields Per cent

0

1

2

3

4

11 12 13 14

United States Germany United Kingdom Sweden

Source: Reuters EcoWin Chart 2:3

Developments on the stock market Index, 1 January 2013 = 100


The difference between the yield on European corporate bonds and German government bonds Percentage points

0,0

0,5

1,0

1,5

2,0

2,5

3,0

3,5

4,0

4,5

5,0

07 08 09 10 11 12 13 14

Corporates, AA Corporates, A Corporates, BBB


Risk premia for Swedish corporate bonds Basis points

0

50

100

150

200

250

08 09 10 11 12 13 14

Source: NASDAQ OMX Chart 2:6

Issued volumes for Swedish corporates, regardless of currency and number of issuers EUR billion and number

0

2

4

6

8

10

12

14

16

18

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

Higher credit worthiness Lower credit worthiness

18 10 2014 141216132013 594525

Sources: Dealogic and the Riksbank Chart 2:7

Emerging market economies' exchange rate against US dollar Index, 1 January 2013 = 100

Source: Bloomberg and the Riksbank Chart 2:8

Ten-year government bond yields Per cent

0

2

4

6

8

10

12

14

16

18

08 09 10 11 12 13 14

Italy Spain France Portugal Ireland Germany

Source: Reuters Ecowin Chart 2:9

Balances in Target2 EUR billion

-500

-300

-100

100

300

500

700

900

11 12 13 14

Germany Spain Italy Portugal Ireland Greece

Source: Bloomberg and the Riksbank Chart 2:10

The banks' lending to non-financial companies Annual growth rate, per cent

-30

-20

-10

0

10

20

30

40

04 05 06 07 08 09 10 11 12 13 14

Germany Spain France Italy

Source: ECB Chart 2:11

Covered bond yield and the swap rate Per cent

0

1

2

3

4

5

6

7

8

09 10 11 12 13 14

Italy France Spain Germany Sweden Swap rate

Sources: Barclays Research and Bloomberg Chart 2:12

Five-year CDS premiums for banks Basis points

0

100

200

300

400

500

600

700

11 12 13 14

Germany Spain France Italy Netherlands Sweden

Sources: Bloomberg, Reuters EcoWin and the Riksbank Chart 2:13

Swedish banks' funding cost via covered bonds Basis points

Source: Bloomberg and the Riksbank Diagram 2:14

The risk premium on the interbank market Basis points


Stibor and the interest rate for unsecured loans from tomorrow until the day after tomorrow between the banks in the Stibor panel Per cent


2014-06-04

Chapter 3

Housing prices in Sweden Index, January 2005=100

100

120

140

160

180

200

220

05 06 07 08 09 10 11 12 13 14

Tenant-owned apartment Single-family houses

Sources: Valueguard and the Riksbank Chart 3:1

The Swedish households' debts Annual percentage change


The Swedish households' debt ratio Per cent, total debt in relation to disposable income

60

80

100

120

140

160

180

200

71 74 77 80 83 86 89 92 95 98 01 04 07 10 13 16

Debt ratio Debt ratio, incl. tenant-owner associations


Average debt of Swedish tenant-owner associations in different municipalities SEK per square meter of living space

0

1 000

2 000

3 000

4 000

5 000

6 000

7 000

Stockholm Göteborg Malmö Whole country

2007 2012

Source: Värderingsdata Chart 3:4

Debt ratios for different groups, 2013 Per cent, debt in relation to disposable income

0

50

100

150

200

250

300

350

400

All, even non-indebted

Only indebted Only mortgageborrowers

New mortgageborrowers

Sources: Statistics Sweden, Finansinspektionen and the Riksbank Chart 3:5

Household debt ratios in different income groups, only mortgage borrowers Per cent, debt in relation to disposable income

0

100

200

300

400

500

600

1 2 3 4 5 6 7 8 9 10

Income groups (deciles)


Proportion of mortgage borrowers that has increased, decreased or kept their debts unchanged between 2012 and 2013, and calculated repayment rate Percentages

4

10

15

10

23

16

23

Repaid all debt

0 to 10 years

10 to 30 years

30 to 50 years

>50 years

Unchanged debt

Increased debt


The Swedish households' assets and debts Per cent of disposable income

0

100

200

300

400

500

600

700

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

Total assets excluding collective insurance Real assets

Financial assets Debt

Cash and bank deposits


The share of debt held by indebted households in different income groups, 2013 Per cent

0

5

10

15

20

25

30

35

1 2 3 4 5

Income groups (quintiles)


The share of financial assets and real assets held by indebted households in different income groups, 2007 Per cent

0

10

20

30

40

50

1 2 3 4 5

Income groups (quintiles)

Percentage of financial assets Percentage of real assets


The Swedish households' interest expenditure Per cent of disposable income

0

2

4

6

8

10

12

71 75 79 83 87 91 95 99 03 07 11 15

Debt ratio Forecast

Sources: Statistics Sweden and the Riksbank Chart: 3:11

The Swedish households' expectations of housing prices Net figures

-80

-60

-40

-20

0

20

40

60

80

04 05 06 07 08 09 10 11 12 13 14

Source: SEB Chart 3:12

Swedish corporate debt Annual percentage change


Swedish corporate debt Total debt as a percentage of GDP


Non-financial companies' debt in different countries, 2013 Percentage of GDP

0 100 200 300 400

Sweden, excl.intra-company loans

Sweden

Sources: Bank for International Settlements, Statistics Sweden and the Riksbank Chart 3:15

Default rate for Swedish companies Per cent

Sources: Swedish Companies Registration Office, Statistics Sweden and The Riksbank Chart 3:16

Expected default frequencies for Swedish companies Median

Source: Moody's KMV Chart 3:17

Commercial property prices in Sweden Index, 1984=100

0

50

100

150

200

250

300

84 87 90 93 96 99 02 05 08 11

Commercial property Commercial property for residential purposes

Real house price index

Sources: IPD and the Riksbank Chart 3:18

Number of corporate bankruptcies Twelve-month moving average, index, 2007=100

0

50

100

150

200

250

300

350

00 02 04 06 08 10 12 14

Sweden Denmark Finland Norway


Households' debt ratio and consumption in Denmark Debt as a percentage of disposable income and DKK billion

120

130

140

150

160

170

180

190

200

160

180

200

220

240

260

280

300

320

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

Skuldkvot (vänster skala) Konsumtion (höger skala)

Source: Macrobond Chart 3:20

Housing prices in Norway Index, 2003=100

100

120

140

160

180

200

220

03 04 05 06 07 08 09 10 11 12 13 14

Sources: Norwegian Association of Real Estate Agents and the Riksbank Chart 3:21

Late payments Per cent of outstanding loans

0

5

10

15

20

25

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

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

Sources: Eesti Pank, Financial and Capital Market Comission and Lietuvos Bankas Chart 3:22

2014-06-04

Chapter 4

The major Swedish banks' income and costs Rolling four quarters, SEK billion


Costs in relation to income Rolling four quarters, per cent

Sources: SNL Financial and the Riksbank Chart 4:2

Loan losses in relation to lending to the public Rolling four quarters, per cent


Return on equity Rolling four quarters, per cent


Lending to the public of the major Swedish banks SEK billion

0

1 000

2 000

3 000

4 000

5 000

6 000

7 000

8 000

05 06 07 08 09 10 11 12 13 14

Swedish mortgages Non-financial companies, Sweden

Other lending, Sweden Lending, abroad

Sources: Statistics Sweden, bank reports and the Riksbank Chart 4:5

The major Swedish banks’ loan losses SEK billion, quarterly

-4

-2

0

2

4

6

8

10

12

14

16

18

08 09 10 11 12 13 14

Sweden Denmark Norway Finland The Baltic countries Other countries


The major Swedish banks impaired loans as a percentage of total lending, the Baltic countries Per cent


Forecast of the major Swedish banks loan losses according to the Riksbank's main scenario SEK billion per year

0

2

4

6

8

10

12

14 15 16

Sweden Denmark Norway Finland The Baltic countries Other countries


Development of the major Swedish banks' core Tier 1 capital ratios, Basel II Percentage points

0

2

4

6

8

10

12

14

16

18

Core tier 1 ratio,December 2008

Change incore tier 1

capital

Change inaverage

risk-weights

Change intotal assets

Core tier 1 ratio,December 2013

Source: Bank reports and the Riksbank Chart 4:9

The major Swedish bank's core Tier 1 capital ratios and core Tier 1 capital in relation to total assets Per cent


Swedish and European banks' core tier 1 capital ratios and equity in relation to total assets December 2013, per cent

8

10

12

14

16

18

20

1 2 3 4 5 6 7 8 9

Co

re t

ier

1 c

ap

ital

rati

o

Equity / total assets

HandelsbankenSwedbank

SEB

Nordea


The major Swedish banks' CET 1 capital ratios and requirements March 2014, per cent


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

0

5

10

15

20

25

Q114

14 15 16 Q114

14 15 16 Q114

14 15 16 Q114

14 15 16

Handelsbanken Nordea SEB Swedbank


The major Swedish banks' CET 1 capital ratios in the stress test and changes in them over time Per cent

Chart 4:14 Sources: Bank reports and the Riksbank

0

1

2

3

4

5

6

Q114

14 15 16 Q114

14 15 16 Q114

14 15 16 Q114

14 15 16

Handels-banken

Nordea SEB Swedbank

Leverage ratios, initially and in the stress test Per cent

Chart 4:15 Sources: SNL Financial and the Riksbank

The major Swedish banks' counterparty exposures through securities holdings SEK billion

0

100

200

300

400

500

600

700

800

900

07 08 09 10 11 12 13 14Other exposures

The 15 largest counterparty exposures (excl. the major Swedish banks)

The major Swedish banks


The Riksbank's structural liquidity measure December 2013, per cent

0 20 40 60 80 100 120 140

SEB

Nordea

Handelsbanken

Swedbank

Average

Sources: Liquidatum and the Riksbank Chart 4:17

Average maturity of issued Swedish covered bonds Number of years

Source: Association of Swedish Covered Bond issuers Chart 4:18

Swedish money market funds' assets per legal domicile SEK billion

0

50

100

150

200

250

07 08 09 10 11 12 13

Sweden Luxembourg Finland

Source: Morningstar Chart B4:1

Outstanding Swedish debt instruments per remaining maturity and type of issuer March 2014, SEK billion

0

200

400

600

800

1000

1200

1400

1600

Certificates < 1 yearmaturity

< 2 yearsmaturity

Banks, incl. covered bonds Non-financial corporations

Government, regional, municipalities

Source: Statistics Sweden Chart B4:2

US money market funds' investments in different countries' banking sectors USD billion

0

100

200

300

400

500

600

11 12 13 14

Sweden Euro area Other Europe

Sources: ICI and the Riksbank Chart B4:3

0

500

1000

1500

2000

2500

3000

Covered Bonds Other bonds Certificates

SEK Other currencies incl. USD Other currencies excl. USD USD

The major Swedish bank's market funding March 2014, SEK Billion

Sources: Bank reports and the Riksbank Chart B4:4

US money market funds' investments in the country's banks in relation to the size of the banking sector April 2014, per cent

0 1 2 3 4 5 6

Austria

Germany

Sweden

United Kingdom

Spain

Switzerland

Norway

Netherlands

Luxembourg

Italy

France

Belgium

Sources: SNL Financial, ECB, ICI and the Riksbank Chart B4:5