chapter 1. european stress index sources: reuters ecowin and the riksbankchart 1:1
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Chapter 1
European stress index
-5
0
5
10
15
20
25
2007 2008 2009 2010 2011 2012
Basis spread Stock market volatility
Exchange market volatility Government bond spread
Corporate bond spread Stress index
Sources: Reuters EcoWin and the RiksbankChart 1:1.
Prices of single-family houses and tenant-owned apartments Index, January 2008 = 100
Sources: Mäklarstatistik and ValueguardChart 1:2.
The credit gap in SwedenPer cent
-30
-20
-10
0
10
20
30
80 85 90 95 00 05 10
Sources: Reuters EcoWin and the RiksbankChart 1:3.
Earnings before loan losses and loan losses in the four major banks Totalled over four quarters, SEK billion, fixed prices, March 2012
-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 2011:2
Chart 1:4. Sources: Bank reports and the Riksbank
Core Tier 1 capital ratios defined by Basel IIDecember 2011, per cent
0 2 4 6 8 10 12 14 16
SwedbankHandelsbanken
UBSSEB
Standard Ch.Danske Bank
NordeaBarclays
Lloyds TSBCredit Suisse
RBSBBVAHSBCIntesa
B. Popular EspanaSantander
CommerzbankBNP
Deutsche BankErste BankDnB NOR
Societe Gen.Raiffeisen Int
UniCredito
Sources: Bank reports and the RiksbankChart 1:5.
CET 1 capital ratios as defined by Basel III, initially and in the stress test Per cent
0
2
4
6
8
10
12
14
16
2012Kv 1
12 13 14 2012Kv 1
12 13 14 2012Kv 1
12 13 14 2012Kv 1
12 13 14
Handelsbanken Nordea SEB Swedbank
Sources: Bank reports and the RiksbankChart 1:6.
Swedish and foreign banks’ published levels of Liquidity Coverage Ratio (LCR)Per cent, December 2011
0 50 100 150 200
ABN Amro
Lloyds
Barclays
ING Bank
SEB
Standard Chartered
Citigroup
Nationwide
Swedbank
Bank van Lanschot
Handelsbanken
Sources: Bank reports and LiquidatumChart 1:7.
Bank assets in relation to GDP December 2010, per cent
Sources: ECB, the European Commission, the Swiss National Bank and the RiksbankChart 1:8.
CET 1 capital ratios, Basel IIIPer cent
Source: The RiksbankChart 1:9.
Risk weights on mortgages defined by Basel IIPer cent
Sources: National central banks and the RiksbankChart 1:10.
Countercyclical capital buffersPer 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 1:11.
The major Swedish banks’ liquidity buffers SEK billion
0
500
1,000
1,500
2,000
2,500
Mar 2011 Jun 2011 Sep 2011 Dec 2011 Mar 2012
Sources: Bank reports and the RiksbankChart 1:12.
The major Swedish banks’ LCRsPer cent
Sources: Bank reports and the RiksbankChart 1:13.
The major Swedish banks´ average LCRPer cent
Sources: Finansinspektionen and the RiksbankChart 1:14.
The major Swedish banks average LCR in eurosPer cent
Sources: Finansinspektionen and the RiksbankChart 1:15.
The major Swedish banks' average LCR in US dollarsPer cent
Sources: Finansinspektionen and the RiksbankChart 1:16.
The major Swedish banks' average NSFRPer cent
Sources: Finansinspektionen and the RiksbankChart 1:17.
Chapter 2
The ECB’s lending to European banksEUR billion
0
200
400
600
800
1000
1200
1400
2007 2008 2009 2010 2011 2012
Source: ECBChart 2:1.
Net lending in the ECB’s three-year loans and the euro area’s bank bond maturitiesEUR billion
Sources: Dealogic and the RiksbankChart 2:2.
Borrowing from the ECB before and after the three-year loans in December and FebruaryPercentage of total bank assets
Sources: Bloomberg, national central banks and the RiksbankChart 2:3.
Change in banks’ holdings of government
bonds in euros and in loans from the ECBEUR billion
Sources: ECB and BloombergChart 2:4.
10-year government bonds yieldsPer cent
0
5
10
15
20
25
30
35
40
45
0
4
8
12
16
20
24
28
32
36
40
Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12
Greece Ireland Italy Portugal Spain Germany
Source: Reuters EcoWinChart 2:5.
Development of various stock marketsIndex, July 2011=100
Source: BloombergChart 2:6.
European stress index
-5
0
5
10
15
20
25
2007 2008 2009 2010 2011 2012Basis spread Stock market volatilityForeign exchange volatility Government bond spreadCorporate bond spread Stress index
Sources: Reuters EcoWin and the RiksbankChart 2:7.
Public debtPercentage of GDP
0
20
40
60
80
100
120
140
160
180
2007 2008 2009 2010 2011 2012
Greece Ireland Italy Portugal Spain
Sources: Reuters EcoWin and the RiksbankChart 2:8.
Deficit in i public financesPer cent of GDP
-35
-30
-25
-20
-15
-10
-5
0
5
-35
-30
-25
-20
-15
-10
-5
0
5
2008 2009 2010 2011 2012
Greece Ireland Italy Portugal Spain
Source: Reuters EcowinChart 2:9.
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 Q1 Q2
2007 2008 2009 2010 2011 2012Covered bonds Unsecured bonds Government guaranted bonds
Sources: Dealogic and the RiksbankChart 2:10.
Maturity of banks’ issued unsecured debtYears
Source: DealogicChart 2:11.
Funding costs over 3-months Stibor for covered bondsBasis points
Sources: Reuters EcoWin and the RiksbankChart 2:12.
Five-year CDS premiums for banksBasis points
Sources: Bloomberg and the RiksbankChart 2:13.
Five-year CDS premiums for Swedish banksBasis points
0
50
100
150
200
250
300
350
400
0
50
100
150
200
250
300
350
400
2008 2009 2010 2011 2012
Handelsbanken Nordea SEB Swedbank
Sources: Bloomberg and the RiksbankChart 2:14.
The risk premium on the interbank marketBasis points
0
20
40
60
80
100
120
140
160
180
0
20
40
60
80
100
120
140
160
180
09 10 11 12
United States Euro Area United Kingdom Sweden
Sources: Bloomberg and the Riksbank Chart 2:15.
Indicative breakdown of the three month risk premium in the euro areaBasis points
0
50
100
150
200
250
08 09 10 11 12
Credit risk Liquidity risk
Sources: Bloomberg and the RiksbankChart 2:16.
Cost of borrowing in euros for three months and converting the loan to US dollarsBasis points
-50
0
50
100
150
200
250
300
08 09 10 11 12
Sources: Bloomberg and the RiksbankChart 2:17.
Turnover on the Swedish repo market, per monthSEK billion
0
1000
2000
3000
4000
5000
6000
08 09 10 11 12
Government bond Mortgage bonds Other
Source: The RiksbankChart 2:18.
Volumnes issued by European companies regardless of currencyEUR billion
0
20
40
60
80
100
120
140
160
01 02 03 04 05 06 07 08 09 10 11 12
Investment grade Non investment grade/High-yield Others
Source: DealogicChart 2:19.
Comparison between corporate bond yields and bank bond yields in Europe Basis points
Källa: Barclays Live/IboxxChart 2:20.
Volumes issued by Swedish corporate bonds, regardless of currencyEUR billion
0
1
2
3
4
5
6
7
01 02 03 04 05 06 07 08 09 10 11 12
Investment grade Non investment grade/High-yield
Source: DealogicChart 2:21.
The risk premium on the interbank marketBasis points
0
50
100
150
200
250
300
350
400
0
50
100
150
200
250
300
350
400
06 07 08 09 10 11 12
United States Euro Area United Kingdom Sweden
Sources: Bloomberg and the Riksbank Chart B2:1.
Chapter 3
Lending activities of the Swedish banking groups by borrower category, Mars 2012Per cent of total lending
Sources: Bank reports and the RiksbankChart 3:1.
Lending activities of the Swedish banking groups by geographical area, Mars 2012 Per cent of total lending
Sources: Bank reports and the RiksbankChart 3:2.
Household borrowingPer cent
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
Sources: Statistics Sweden and the RiksbankChart 3:3.
Average lending rate and property prices Per cent, index 1980 = 100
0
100
200
300
400
500
600
0
3
6
9
12
15
18
90 92 94 96 98 00 02 04 06 08 10 12
Average lending rate Real estate price index (right scale)
Sources: Statistics Sweden and the RiksbankChart 3:4.
Turnover and changes in house pricesNumber of permanent housing units in thousands, per cent
Sources: Statistics Sweden and the RiksbankChart 3:5.
Unsecured credit as a percentage of total borrowingAnnual percentage change
0
1
2
3
4
5
6
7
8
9
10
03 04 05 06 07 08 09 10 11 12
Source: Statistics SwedenChart 3:6.
Prices of single-family houses and tenant-owned apartments Index, 2008-01 = 100
Sources: Mäklarstatistik and ValueguardChart 3:7.
Number of housing startsThousands
0
20
40
60
80
100
120
70 75 80 85 90 95 00 05 10
Source: Statistics SwedenChart 3:8.
Household indebtedness and interest expenditures after taxPer 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
93 95 97 99 01 03 05 07 09 11 13 15
Debt ratio (left scale) Interest ratio (right scale)
Sources: Statistics Sweden and the RiksbankChart 3:9
Households’ debts, assets and savingsPer cent of disposable income
Sources: Statistics Sweden and the RiksbankChart 3:10.
Corporate borrowing from credit institutions and fixed gross investmentAnnual percentage change
Sources: Statistics Sweden and the RiksbankChart 3:11.
Lending rates to non-financial companies for new loans and three month Stibor Per cent
Sources: Statistics Sweden and Reuters EcoWinChart 3:12.
Default rate for Swedish companiesPer cent
Source: The RiksbankChart 3:13.
Direct earnings requirement for office premises in city centresPer cent
0
1
2
3
4
5
6
7
8
0
1
2
3
4
5
6
7
8
01 02 03 04 05 06 07 08 09 10 11 12 13
Stockholm Göteborg Malmö Five-year government bond
Sources: Pangea and Reuters EcoWinChart 3:14.
Household borrowingAnnual percentage change
0
2
4
6
8
10
12
14
16
04 05 06 07 08 09 10 11 12
Sweden Denmark Finland Norway
Sources: Reuters EcoWin and the RiksbankChart 3:15.
Corporate borrowingAnnual percentage change
-10
-5
0
5
10
15
20
25
03 04 05 06 07 08 09 10 11 12
Sweden Denmark Finland Norway
Sources: Reuters EcoWin and the RiksbankChart 3:16.
Real house pricesIndex, Q1 1995 = 100
0
50
100
150
200
250
300
0
50
100
150
200
250
300
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12
Sweden Denmark Finland Norway
Sources: Reuters EcoWin, Bank for International Settlements (BIS) and the RiksbankChart 3:17.
GDPAnnual percentage change
-25
-20
-15
-10
-5
0
5
10
15
20
-25
-20
-15
-10
-5
0
5
10
15
20
00 01 02 03 04 05 06 07 08 09 10 11 12
Estonia Latvia Lithuania
Source: Reuters EcoWinChart 3:18.
Real exchange ratesIndex, January 2009 = 100
70
75
80
85
90
95
100
105
110
70
75
80
85
90
95
100
105
110
00 01 02 03 04 05 06 07 08 09 10 11 12
The Baltic countries Comparison group Ireland
Source: Bank for International SettlementsChart 3:19.
Household and corporate borrowingAnnual percentage change
-20
-10
0
10
20
30
40
50
60
70
80
01 02 03 04 05 06 07 08 09 10 11 12
Estonia Latvia Lithuania
Source: Reuters EcoWinChart 3:20.
Late paymentsPer cent of total lending
0
5
10
15
20
25
0
5
10
15
20
25
00 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 3:21.
Percentage of total loans and mortgages in foreign currency in PolandPer cent
0
10
20
30
40
50
60
70
80
04 05 06 07 08 09 10 11 12
Total lending Mortgages
Source: Narodowy Bank PolskiChart 3:22.
Credit growth in non-financial private sectorPer cent
-4
-3
-2
-1
0
1
2
3
4
5
6
-4
-3
-2
-1
0
1
2
3
4
5
6
09 10 11 12
High-spread euro area Other euro area Total euro area
Source: IMFChart B3:1
Lending to Swedish households and companies by credit institutionsSEK billion
0
500
1000
1500
2000
2500
3000
3500
4000
4500
80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10
Households Companies
Sorce: Statistics SwedenChart B3:2.
Swedish banks’ lending to households and companies in the Baltic countries EUR billion
0
5
10
15
20
25
30
35
40
4507
:1
07:2
07:3
07:4
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
11:4
12:1
Estonia Latvia Lithuania
Sources: Bank reports and the RiksbankChart B3:2.
Chapter 4
Bank assets in relation to GDP December 2010, per cent
Sources: ECB, the European Commission, the Swiss National Bank and the RiksbankChart 4:1.
Total assetsDecember 2011, SEK billion
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
Handelsbanken Nordea SEB Swedbank Total
Sweden Abroad
Sources: Bank reports and the RiksbankChart 4:2.
Earnings before loan losses and loan losses in the major Swedish banksTotalled over four quarters, SEK billion, fixed prices, March 2012
-20
0
20
40
60
80
100
120
Profit before loan losses Loan losses
Sources: Bank reports and the RiksbankChart 4:3.
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 11:4 12:1
Other income Net result of financial items Net commission income Net interest income
Sources: Bank reports and the RiksbankChart 4:4.
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 12
Return on equity Average return on equity
Sources: Bank reports and the RiksbankChart 4:5.
The major Swedish banks’ return on total assetsFour-quarter moving average, per cent
Sources: Bank reports and the RiksbankChart 4:6.
The swedish banks' cost to income ratioFour-quarter moving average, per cent
46
48
50
52
54
56
58
05 06 07 08 09 10 11 12
Sources: Bank reports and the RiksbankChart 4:7.
Breakdown of interest rate for new mortgages with tree-month fixed ratePer cent
0
1
2
3
4
5
6
7
8
06 07 08 09 10 11 12
Repo rate
Other funding costs up to the interbank rate
Funding costs in excess of the interbank rate
Gross margin
Sources: Bank reports and the RiksbankChart 4:8.
Gross margins on Swedish new mortgages with three-month fixed ratePer cent
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
02 03 04 05 06 07 08 09 10 11 12
Sources: Bank reports, Reuter EcoWin and the RiksbankChart 4:9.
The major Swedish banks' volume and earnings on mortgagesDecember 2011, per cent
Sources: Banks' reports, SCB and the RiksbankChart 4:10.
Swedish major banks' lending to the public in the Baltic countries EUR billions and annual percentage change
-15
-10
-5
0
5
10
15
20
25
30
0
5
10
15
20
25
30
35
40
45
07:1
07:2
07:3
07:4
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
11:4
12:1
EUR billion (left scale) Annual percentage change (right scale)
Sources: Bank reports and the RiksbankChart 4:11.
Market shares of lending in the Baltic countries Per cent
Sources: Bank reports and the RiksbankChart 4:12.
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
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 11:4 12:1
Recoveries Reversals Write-offsSpecific provisions Collective provisions Loan-loss level
Sources: Bank reports and the RiksbankChart 4:13.
The major Swedish banks’ loan losses per quarterSEK billions
-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 11:4 12:1
Other countries The Baltic countries Other Nordic countries Sweden
Sources: Bank reports and the RiksbankChart 4:14.
Loan losses in Swedish mortgage institutions and the four major banksLoan losses in relation to lending to the public, per cent
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
90 92 94 96 98 00 02 04 06 08 10
Swedish mortgage institutions The Swedish major banks, group level
Sources: Bank reports, Statistics Sweden and the RiksbankChart 4:15.
Impaired loansPercentage of gross lending
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
00 01 02 03 04 05 06 07 08 09 10 11 12
Handelsbanken Nordea SEB Swedbank
Sources: Bank reports and the RiksbankChart 4:16.
Core Tier 1 capital ratios as defined by Basel IIDecember 2011, per cent
0 2 4 6 8 10 12 14 16
SwedbankHandelsbanken
UBSSEB
Standard Ch.Danske Bank
NordeaBarclays
Lloyds TSBCredit Suisse
RBSBBVAHSBCIntesa
B. Popular EspanaSantander
CommerzbankBNP
Deutsche BankErste BankDnB NOR
Societe Gen.Raiffeisen Int
UniCredito
Sources: Bank reports and the RiksbankChart 4:17.
Core Tier 1 Capital ratios according to Basel II Per cent
0
2
4
6
8
10
12
14
16
18
Handelsbanken Nordea SEB Swedbank
09:1 10:1 11:1 12:1
Sources: Bank reports and the RiksbankChart 4:18.
Core Tier 1 capital according to Basel II in relation to total assetsPer cent
0%
1%
2%
3%
4%
5%
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 11:4 12:1
Handelsbanken Nordea SEB Swedbank
Source: Bank reports and the RiksbankChart 4:19.
Risk weights on mortgages defined by Basel IIPer cent
Sources: National central banks and the RiksbankChart 4:20.
The Riksbank's structural liquidity measure for the major Swedish banksStable funding in relation to illiquid assets, per cent
0
10
20
30
40
50
60
70
80
90
100
2009 2010 2011
Source: Liquidatum and the RiksbankChart 4:21.
The major Swedish banks' funding, March 2012Per cent
Sources: Bank reports and the RiksbankChart 4:22.
The major Swedish banks' liquidity buffersSEK billions
Sources: Bank reports and the RiksbankChart 4:23.
US Money Market Funds' exposures on European and Nordic banksUSD billions
Sources: Fitch and the RiksbankChart 4:24.
Investors in Swedish Covered BondsDecember 2011, per cent
Sources: SCB and the RiksbankChart 4:25.
Chapter 5
Earnings before loan losses and loan losses in the four major Swedish banksTotalled over four quarters, SEK billion, fixed prices, March 2012
-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 2011:2
Sources: Bank reports and the RiksbankChart 5:1.
Level of loan losses in the main scenarioPer cent
Source: The RiksbankChart 5:2.
-0.20
-0.15
-0.10
-0.05
0.00
0.05
0.10
0.15
0.20
0.25
Handelsbanken Nordea SEB Swedbank Totalt
Outcome 2011 2012 2013 2014
Distribution of the major banks' loan losses per region in the period 2012–2014 in the main scenarioSEK billion
Source: The RiksbankChart 5:3.
The major Swedish bank with the lowest Tier 1 capital ratio after another major Swedish bank has defaulted on paymentsPer cent
2
3
4
5
6
7
8
9
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Source: The RiksbankChart 5:4.
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 5:5.
Common Equity Tier 1 capital ratios according to Basel III, initially and in the stress testPer cent
Sources: Bank reports and the RiksbankChart 5:6.
Factors that contribute to changes in the banks’ CET 1 capital ratios according to Basel III in the stress testPer cent
Source: The RiksbankenChart 5:7.
The Riksbank’s short-term liquiditymeasureSurvival period, number of days
0
10
20
30
40
50
60
70
80
90
100
Handelsbanken Nordea SEB Swedbank
March 2011 June 2011 September 2011 December 2011 March 2012
Sources: Liquidatum and the RiksbankChart 5:8.
The major Swedish banks’ liquidity buffersSEK billion
0
500
1,000
1,500
2,000
2,500
Jun 2011 Sep 2011 Dec 2011 Mar 2012
Sources: Bank reports and the RiksbankChart 5:9.
The major Swedish banks average LCRPer cent
0
20
40
60
80
100
120
140
Januari 2011 Mars 2012
Sources: Finansinspektionen and the RiksbankChart 5:10.
The Riksbank’s short-term liquidity measureDecember 2011, Survival period, number of days
0
20
40
60
80
100
120
140
160
Mean value, 59days
Sources: Liquidatum and the RiksbankChart 5:11.
The Riksbank’s structural liquidity measureStable funding in relation to illiquid assets, per cent
0
20
40
60
80
100
120
Handelsbanken Nordea SEB Swedbank
June 2011 September 2011 December 2011 March 2012
n/a n/an/a
Source: Liquidatum and the RiksbankChart 5:12.
The major Swedish banks' average NSFRPer cent
Source: Finansinspektionen and the RiksbankChart 5:13.
Maturity and issues of bonds 2011SEK billion
Sources: Bank reports and the RiksbankChart 5:14.
Relation between lending and depositsPer cent
0
50
100
150
200
250
300
Handelsbanken Nordea SEB Swedbank
June 2011 September 2011 December 2011 March 2012
Sources: Liquidatum and the RiksbankChart 5:15.
The Riksbank's structural liquidity measureStable funding in relation to illiquid assets, percent
0
20
40
60
80
100
120
140
160
0
20
40
60
80
100
120
140
160
Mean value, 97%
Sources: Liquidatum and the RiksbankChart 5:16.
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