Financial Stability Report - Sveriges Riksbankarchive.riksbank.se/Upload/Rapporter/2011/FS_2/FS_2011_2... · 2011. 11. 30. · Stability Report 2009:2. Sources: Reuters EcoWin, Bloomberg

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


TED spread Corporate bond spread Stock market volatilityForeign exchange volatility Stress index


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


Chart 1:7. Stock market developments

Index, 28 December 2007 =100


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


Chart 1:9. P/E ratios

Note: Historical average refers to the period November 1999 to November 2011.


Chart 1:10. Risk premiums on the interbank market, 3 months

Basis points


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


USA Euro area UK Sweden

0

50

100

150

200

250

300


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


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


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


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.


Chart 1:20. Credit spreads for European corporate bonds

Basis points


-250

-200

-150

-100

-50

0

50

100

150


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)


Chart 1:21. Outstanding volume of commercial paper issued in the United States

Billion USD


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


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


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



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


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


Chart 2:7. Household debt and post-tax interest expenditure

Per cent of disposable income

Note. The broken lines represent the Riksbank’s forecast.


Chart 2:8. Households’ debts, assets, housing expenditures and savings

Per cent of disposable income


-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)


Chart 2:9. Corporate borrowing from credit institutions and fixed gross investment



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


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


Chart 2:13. Household borrowing



Chart 2:14. Corporate borrowing


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


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

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130

140

150

160

04 05 06 07 08 09 10 11


0

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300

350

0

50

100

150

200

250

300

350

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



Chart 2:17. Credit losses in the Danish banking sector from household borrowing


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)


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


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


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


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


Chart 3:4. The major Swedish banks' income

Rolling four quarters, SEK billion


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


Chart 3:5. The major Swedish banks’ return on equity

Four-quarter moving average, per cent


Chart 3:6. The major Swedish banks’ return on total assets

Four-quarter moving average, per cent


Chart 3:7. Breakdown of a mortgage loan with three-month fixed rate

Per cent


Chart 3:8. Swedish major banks' lending to the public in the Baltic countries

EUR billion and annual percentage change


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

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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

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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)


Chart 3:9. Market shares of lending in the Baltic countries

Per cent


Chart 3:10. The major Swedish banks' loan losses

Percentage of lending at the start of the respective quarters

Note. Annualised data.


Chart 3:11. The major Swedish banks’ loan losses per quarter

SEK billion


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


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


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.


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


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



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)


Chart 3:20. The major Swedish banks’ market funding via Swedish parent companies and subsidiaries

SEK billion


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


Chart 3:21. The major Swedish banks’ market funding, December 2010

Per cent of total market funding


Chart 3:22. The major Swedish banks’ short-term market funding via Swedish parent companies and subsidiaries

SEK billion


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 %


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.


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

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Juli 2011 August 2011 September 2011

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March 2011 June 2011 September 2011

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USD EUR SEK

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SEB Handelsbanken Nordea Swedbank


Chart B3:7. Development of the major Swedish banks’ dollar assets

SEK billion


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.


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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

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Currency aggregated USD


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.


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.


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.


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

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120

-20

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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

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Sweden Denmark Finland Norway Estonia Latvia Lithuania Othercountries

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2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011


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


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.


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

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500

1,000

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1997 1999 2001 2003 2005 2007 2009 2011 2013

Main scenario Stress scenario

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11Q 3

12 13 14 11Q 3

12 13 14 11Q 3

12 13 14 11Q 3

12 13 14


11,6%10.8%

6.9% -5,6%

-2,1%

0%

2%

4%

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8%

10%

12%

14%

16%

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20%

Core Tier 1capital ratio Q 3

2011

Earnings Loan losses Change in risk-weighted assets

Core Tier 1capital ratio 2014


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

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December 2009 December 2010 September 20110

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January 2011 September 2011

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300.0


Long-term securities issued until October 2011

Long-term securities maturing in 2011

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Chart 4:13. The Riksbank’s short-term liquidity measure for the major Swedish banks

Survival period, number of days


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.


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

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December 2009 December 2010 September 20110.000

5.000

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15.000

20.000

25.000

30.000

35.000

40.000

45.000

January 2011 September 2011

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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

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Lehman Brothers files for bankruptcy

Information on new issue by Swedish bankSupport, or application for support, from the EMU/IMF

Financial Stability Report - Sveriges Riksbankarchive.riksbank.se/Upload/Rapporter/2011/FS_2/FS_2011_2... · 2011. 11. 30. · Stability Report 2009:2. Sources: Reuters EcoWin, Bloomberg

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