chapter 1. european stress index sources: reuters ecowin and the riksbankchart 1:1

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Page 1: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Chapter 1

Page 2: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 3: Chapter 1. European 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.

Page 4: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 5: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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

Page 6: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 7: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 8: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 9: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Bank assets in relation to GDP December 2010, per cent

Sources: ECB, the European Commission, the Swiss National Bank and the RiksbankChart 1:8.

Page 10: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

CET 1 capital ratios, Basel IIIPer cent

Source: The RiksbankChart 1:9.

Page 11: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Risk weights on mortgages defined by Basel IIPer cent

Sources: National central banks and the RiksbankChart 1:10.

Page 12: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 13: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 14: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks’ LCRsPer cent

Sources: Bank reports and the RiksbankChart 1:13.

Page 15: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks´ average LCRPer cent

Sources: Finansinspektionen and the RiksbankChart 1:14.

Page 16: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks average LCR in eurosPer cent

Sources: Finansinspektionen and the RiksbankChart 1:15.

Page 17: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks' average LCR in US dollarsPer cent

Sources: Finansinspektionen and the RiksbankChart 1:16.

Page 18: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks' average NSFRPer cent

Sources: Finansinspektionen and the RiksbankChart 1:17.

Page 19: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Chapter 2

Page 20: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 21: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 22: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 23: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Change in banks’ holdings of government

bonds in euros and in loans from the ECBEUR billion

Sources: ECB and BloombergChart 2:4.

Page 24: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 25: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Development of various stock marketsIndex, July 2011=100

Source: BloombergChart 2:6.

Page 26: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 27: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 28: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 29: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 30: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Maturity of banks’ issued unsecured debtYears

Source: DealogicChart 2:11.

Page 31: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Funding costs over 3-months Stibor for covered bondsBasis points

Sources: Reuters EcoWin and the RiksbankChart 2:12.

Page 32: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Five-year CDS premiums for banksBasis points

Sources: Bloomberg and the RiksbankChart 2:13.

Page 33: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 34: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 35: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 36: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 37: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 38: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 39: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Comparison between corporate bond yields and bank bond yields in Europe Basis points

Källa: Barclays Live/IboxxChart 2:20.

Page 40: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 41: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 42: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Chapter 3

Page 43: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Lending activities of the Swedish banking groups by borrower category, Mars 2012Per cent of total lending

Sources: Bank reports and the RiksbankChart 3:1.

Page 44: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 45: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 46: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 47: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Turnover and changes in house pricesNumber of permanent housing units in thousands, per cent

Sources: Statistics Sweden and the RiksbankChart 3:5.

Page 48: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 49: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Prices of single-family houses and tenant-owned apartments Index, 2008-01 = 100

Sources: Mäklarstatistik and ValueguardChart 3:7.

Page 50: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 51: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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

Page 52: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Households’ debts, assets and savingsPer cent of disposable income

Sources: Statistics Sweden and the RiksbankChart 3:10.

Page 53: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Corporate borrowing from credit institutions and fixed gross investmentAnnual percentage change

Sources: Statistics Sweden and the RiksbankChart 3:11.

Page 54: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Lending rates to non-financial companies for new loans and three month Stibor Per cent

Sources: Statistics Sweden and Reuters EcoWinChart 3:12.

Page 55: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Default rate for Swedish companiesPer cent

Source: The RiksbankChart 3:13.

Page 56: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 57: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 58: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 59: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 60: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 61: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 62: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 63: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 64: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 65: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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

Page 66: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 67: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 68: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Chapter 4

Page 69: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Bank assets in relation to GDP December 2010, per cent

Sources: ECB, the European Commission, the Swiss National Bank and the RiksbankChart 4:1.

Page 70: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 71: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 72: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 73: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 74: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks’ return on total assetsFour-quarter moving average, per cent

Sources: Bank reports and the RiksbankChart 4:6.

Page 75: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 76: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 77: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 78: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks' volume and earnings on mortgagesDecember 2011, per cent

Sources: Banks' reports, SCB and the RiksbankChart 4:10.

Page 79: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 80: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Market shares of lending in the Baltic countries Per cent

Sources: Bank reports and the RiksbankChart 4:12.

Page 81: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 82: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 83: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 84: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 85: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 86: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 87: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 88: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Risk weights on mortgages defined by Basel IIPer cent

Sources: National central banks and the RiksbankChart 4:20.

Page 89: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 90: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks' funding, March 2012Per cent

Sources: Bank reports and the RiksbankChart 4:22.

Page 91: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks' liquidity buffersSEK billions

Sources: Bank reports and the RiksbankChart 4:23.

Page 92: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

US Money Market Funds' exposures on European and Nordic banksUSD billions

Sources: Fitch and the RiksbankChart 4:24.

Page 93: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Investors in Swedish Covered BondsDecember 2011, per cent

Sources: SCB and the RiksbankChart 4:25.

Page 94: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Chapter 5

Page 95: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 96: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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

Page 97: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Distribution of the major banks' loan losses per region in the period 2012–2014 in the main scenarioSEK billion

Source: The RiksbankChart 5:3.

Page 98: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 99: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 100: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 101: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 102: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 103: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 104: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 105: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 106: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 107: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

The major Swedish banks' average NSFRPer cent

Source: Finansinspektionen and the RiksbankChart 5:13.

Page 108: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

Maturity and issues of bonds 2011SEK billion

Sources: Bank reports and the RiksbankChart 5:14.

Page 109: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.

Page 110: Chapter 1. European stress index Sources: Reuters EcoWin and the RiksbankChart 1:1

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.